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 Money Market Fund
* Putnam VT New Opportunities Fund
* Putnam VT U.S. Government and High Quality
Bond Fund
* Putnam VT Utilities Growth and Income Fund
* Putnam VT Voyager Fund
A series of mutual fund portfolios for variable insurance investors
offered in conjunction with the Hartford Life Insurance Companies
ANNUAL REPORT
December 31, 1996
[Putnam Logo]
BOSTON * LONDON * TOKYO
To the contract-holders and policy-owners of
Putnam Capital Manager Trust Separate Accounts
The positive economic conditions that led global equities to outperform
fixed-income securities during the first six months of 1996 largely
continued through the latter half of Putnam Capital Manager Trust's fiscal
year. For the 12 months ended December 31, 1996, U.S. stocks led
world equity performance. With foreign economic cycles continuing to lag
the U.S. cycle, international bonds outperformed the U.S. fixed-income
market during the period. As always, each country's markets responded to
the unique interplay of economic, political, and interest-rate
conditions. Putnam's teamwork approach to portfolio management once
again enhanced the ability of analysts and portfolio managers to seek
the maximum advantage from the investment opportunities in each market.
EQUITIES
* United States Despite an eleventh-hour tumble, the U.S. stock market
finished 1996 with a second straight year of stellar performance. Driven
by a positive environment of low inflation, relatively low, stable
interest rates, and solid economic growth, healthy corporate earnings
propelled many stock market indexes to new highs during the year. A
rather sharp correction in July influenced market psychology, however,
as higher-quality large companies seized center stage. Late in the
fourth quarter, the market rotated once again toward large-
capitalization value stocks. During 1996, the best-performing sectors
were technology, energy, and financial; fund management maintained
healthy exposures to these sectors. Utilities dramatically
underperformed in 1996; this sector remains underweighted in the
domestic portfolios.
* Europe Led by the United Kingdom, European stock markets performed
well over the period. Exchanges in Germany, France, and Denmark
experienced strong performance. Generally, continental markets benefited
from conditions similar to those that prevailed in the United States:
low inflation, stable interest rates, and increasing political consensus
on fiscal responsibility. On the corporate side, many European
corporations are also reaping the rewards of restructuring and efforts
to boost competitiveness -- changes reminiscent of those that have
underpinned the sustained U.S. market advance.
* Pacific Rim In contrast to European markets, which generally moved in
concert during the period, Asian equity returns varied from country to
country. Of the major global economies, Japan's showed the weakest
recovery. Accordingly, the Japanese stock market underperformed, giving
back more than its earlier gains. Hong Kong remained one of the world's
leading performers, with both Australia and Malaysia turning in solid
performance as well. Smaller equity markets including Thailand,
Indonesia, Korea, and Singapore floundered, although these markets
remain attractive over the longer term.
FIXED INCOME
* United States As the U.S. economy expanded through much of the year,
corporate earnings continued to grow, as did investors' fears of
inflation. In turn, inflation fears dealt a blow to the U.S. bond
market, particularly restraining performance of Treasury securities for
a portion of the year. Lack of momentum in the Treasury market led bond
investors to look elsewhere for yield. Consequently, corporate, asset-
backed, and mortgage-backed securities all outperformed Treasuries
throughout the year. Toward the end of the period, the U.S. fixed-income
market appeared to be settling down.
* Global International bond markets delivered generally positive returns
during the fiscal year. In Europe, fixed-income markets were buoyed by
the improving outlook for European Monetary Union (EMU), while the
Japanese bond market posted mixed returns amid shifting signals about
the strength of Japan's economic recovery. Europe's higher-yielding bond
markets maintained their rally, with Italy, Spain, and Sweden leading
the pack. Dollar-bloc markets outside the United States, including
Canada and Australia, were also among the period's top performers.
Emerging fixed-income markets sustained their long-running rally
throughout the year.
* High Yield With the U.S. economy continuing to show strength, high-
yield corporate bonds once again led the way with superior performance
for the period. Issues from growth-oriented companies in sectors
including telecommunications, media, and radio provided the best returns
as the new telecommunications deregulation law exerted a positive
influence on this portion of the high-yield market. Provisions of the
new legislation have begun to stimulate high-yield borrowing among
companies seeking to expand beyond their traditional service base. In
addition, the legislation has produced a rise in merger and acquisition
activity, which likewise has benefited many high-yield issuers. Outside
the telecommunications industry, specialty retail and gaming sectors
also performed well.
<TABLE>
<CAPTION>
SUB-ACCOUNT PERFORMANCE SUMMARY
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Total return PCM PCM PCM PCM PCM
at unit value Asia Diversified Global Global Growth
(as of 12/31/96)* Pacific Income Asset Alloca- Growth and Income
Growth Fund tion Fund Fund Fund
Fund
- ------------------------------------------------------------------------------------------------
1 year 7.58% 7.30% 14.02% 15.58% 20.22%
................................................................................................
5 years -- -- 63.69 65.15 95.58
................................................................................................
annualized -- -- 10.36 10.55 14.36
................................................................................................
Life (since 2/1/88) 9.03+ 21.27++ 129.02 72.94+++ 227.03
................................................................................................
annualized 5.32 6.02 9.74 8.56 14.21
- ------------------------------------------------------------------------------------------------
Total return PCM PCM PCM PCM PCM
at CDSC Asia Diversified Global Global Growth
(as of 12/31/96)* Pacific Income Asset Alloca- Growth and Income
Growth Fund tion Fund Fund Fund
Fund
- ------------------------------------------------------------------------------------------------
1 year 2.18% 4.52% 8.61% 10.18% 14.82%
................................................................................................
5 years -- -- 60.08 61.55 91.99
................................................................................................
annualized -- -- 9.87 10.07 13.93
................................................................................................
Life (since 2/1/88) 3.63+ 16.77++ 129.02 71.14+++ 227.03
................................................................................................
annualized 2.16 4.82 9.73 8.39 14.21
- ------------------------------------------------------------------------------------------------
<CAPTION>
SUB-ACCOUNT PERFORMANCE SUMMARY (Continued)
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Total return PCM PCM PCM PCM PCM PCM
at unit value High Money New U.S. Govt Utilities Voyager
(as of 12/31/96)* Yield Market Oppor- and High Growth and Fund
Fund Fund tunities Quality Income
Fund Bond Fund Fund
- ---------------------------------------------------------------------------------------------------
1 year 11.24% 3.64% 8.64% 0.99% 14.19% 11.40%
....................................................................................................
5 years 75.40 14.32 -- 33.13 -- 96.12
....................................................................................................
annualized 11.89 2.71 -- 5.89 -- 14.42
....................................................................................................
Life (since 2/1/88) 126.82 42.90 66.35** 86.31 60.72++++ 262.28
....................................................................................................
annualized 9.62 4.08 21.00 7.22 10.69 15.52
- ---------------------------------------------------------------------------------------------------
Total return PCM PCM PCM PCM PCM PCM
at unit value High Money New U.S. Govt Utilities Voyager
(as of 12/31/96)* Yield Market Oppor- and High Growth and Fund
Fund Fund tunities Quality Income
Fund Bond Fund Fund
- ---------------------------------------------------------------------------------------------------
1 year 5.84% -1.76% 3.24% -4.41% 8.79% 6.00%
....................................................................................................
5 years 71.80 10.72 -- 29.53 -- 92.52
....................................................................................................
annualized 11.43 2.06 -- 5.31 -- 14.00
....................................................................................................
Life (since 2/1/88) 126.82 42.90 61.85** 86.31 57.12++++ 262.28
....................................................................................................
annualized 9.62 4.08 19.77 7.22 10.16 15.52
- ---------------------------------------------------------------------------------------------------
* This performance summary and the unit value and performance data included in the following
subaccount discussions apply only to Putnam Capital Manager Trust 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 to 0% 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.
+ Commencement of operations: May 1, 1995.
++ Commencement of operations: September 15, 1993.
+++ Commencement of operations: May 2, 1994.
** Commencement of operations: May 1, 1990.
++++ Commencement of operations: May 4, 1992.
</TABLE>
PCM Asia Pacific Growth Fund
Sub-Account
The performance of Asian and Pacific Rim stock markets varied
considerably from country to country during 1996. Strength in Hong Kong,
Australia, and Malaysia contrasted with weakness in Thailand, Japan, and
Singapore. PCM Asia Pacific Growth Fund subaccount performance, like the
performance of most comparable Asia Pacific portfolios, reflects these
disparities. Total return for the 12 months ended December 31, 1996 was
7.58% at unit value.
Three factors affected the region most heavily in recent months. First,
business confidence in Japan was generally weak, underscoring the
fragile state of the country's economic recovery. Second, because of the
close relationship between U.S. interest rates and the Hong Kong
economy, relatively stable U.S. interest rates exerted a favorable
influence there. Finally, a slowdown in the smaller Southeast Asian
economies was evident.
Over the past several months, fund management's moderate optimism about
progress in both Japan's economy and stock market has gradually faded.
Strength in such areas as retail sales and housing starts was at least
partially caused by spending in anticipation of a planned sales tax
increase. Meanwhile, corporate profits and consumer consumption have
declined, institutional investors are favoring bonds over stocks, and
business confidence has fallen. With the Japanese market more than
giving back its spring 1996 gains during the summer, the portfolio's
underweight position once again helped boost subaccount performance
overall.
Fund management remains optimistic about Hong Kong's future, and
recently added to the portfolio's holdings there. As the July 1997
transfer of rule over Hong Kong from Great Britain to China approaches,
indications are that the changeover will be fairly smooth. Equities are
reaping the benefits of this situation, and some portfolio holdings have
risen substantially in value. To the south, Australia was also buoyant.
Australian banks in particular have benefited from lower interest rates
and corporate restructuring. Fund management remains less enthusiastic
about some of the region's smaller stock markets and recently reduced
holdings in Indonesia and Thailand, redeploying those assets to Hong
Kong. This move proved judicious, since these markets subsequently
floundered.
In the coming months, a number of Asian and Pacific stock exchanges
appear poised for continued strength, while others will require watchful
attention. However, regardless of any short-term difficulties, various
regional stock markets may encounter, fund management continues to
believe that the Pacific Rim remains one of the world's premier areas
for long-term investors.
- -------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- -------------------------------------------------------------------
PORTFOLIO
Common stocks of companies located in Asia and the Pacific Basin
- -------------------------------------------------------------------
UNIT VALUE
December 31, 1996 $10.90
- -------------------------------------------------------------------
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
Once again, PCM Diversified Income Fund subaccount's trisector
investment approach demonstrated the value of diversification across a
wide spectrum of the world's bond markets. The subaccount's high-yield
bond sector led performance, followed by the international bond sector
and the U.S. government sector. Total return at unit value was 7.30% for
the 12 months ended December 31, 1996.
As high-yield corporate bonds responded positively to continued economic
strength, the growth-oriented companies represented in this sector were
among the fund's best-performing holdings. During the period, management
continued to reduce the fund's allocation to core cyclical issues, so-
called because their performance tends to rise and fall along with the
pace of economic growth. At the same time, the fund's managers added to
the portfolio's holdings of growth-oriented companies in sectors such as
telecommunications and media. The fund also prospered from its high-
yield investments in the banking industry.
In the portfolio's international sector, markets delivered generally
positive returns. An emphasis on country selection and currency
management, rather than on duration management allowed the subaccount to
derive superior returns from its international holdings. European bonds
maintained their rally, and a focus on bonds in Italy and Spain proved
especially rewarding. Holdings in Canada and Australia also performed
well. An increased allocation to emerging markets also provided robust
gains during the period. The fund's currency strategy involved hedging
international bonds back to the U.S. dollar to protect the fund's value
from losses resulting from currency fluctuations.
In the U.S. government sector, rising interest rates prompted fund
management to shorten duration and move the portfolio to a greater
allocation of mortgage-backed investments. Duration is a measure of the
price sensitivity of a portfolio of bonds to changes in interest rates.
When interest rates decline, bond prices generally rise, and a
relatively long duration enables the fund to capture a greater portion
of that price appreciation. By midyear, mortgage-backed securities were
still outperforming U.S. Treasury issues. In the latter months of the
period, falling rates prompted fund management to extend duration as
still well-acting mortgage-backed securities continued to add to
positive performance.
In coming months, fund management expects that moderate economic growth,
low inflation, and interest rates that move within a relatively limited
range will continue to favor most sectors. Regardless of whether this
scenario remains intact or changes somewhat, the fund's emphasis on
diversification across the world's fixed-income markets should continue
to serve it well.
- -------------------------------------------------------------------
INVESTMENT OBJECTIVE
High current income consistent with preservation of capital
- -------------------------------------------------------------------
PORTFOLIO
A managed asset allocation portfolio spread across three sectors of
the bond market -- U.S. government securities, high-yield bonds and
international instruments
- -------------------------------------------------------------------
UNIT VALUE
December 31, 1996 $12.13
- -------------------------------------------------------------------
High-yield securities are rated lower than investment-grade securities
because there is a greater possibility that negative changes in the
issuer's financial condition, or in general economic conditions, may
hinder the issuer's ability to pay principal and interest on the
securities. Foreign investments may be subject to certain risks, such as
currency fluctuations and political developments, that are not present
with domestic investments.
PCM Global Asset Allocation Fund
Sub-Account
PCM Global Asset Allocation Fund subaccount turned in solid performance
for fiscal 1996 as stock and bond markets worldwide evidenced generally
positive performance and market conditions. For the 12 months ended
December 31, 1996, the subaccount tallied a total return of 14.02% at
unit value.
Despite a selloff in July, the U.S. stock market continued its upward
march throughout fiscal 1996. July's downturn did influence investor
psychology, however, as higher-quality large and midsize growth
companies seized center stage in the second half of the year. The
overall strength of the equity market, as well as this favorable climate
for large-company growth stocks, contributed to the equity portfolio's
positive performance.
The U.S. bond market, on the other hand, was generally weak throughout
the year, reflecting investors' concerns over anticipated interest-rate
changes that had not come to pass by the year's end. Among the fixed-
income sectors, high-yield corporate bonds were the clear leaders once
again as improved corporate profitability bolstered the creditworthiness
of many issuers. At the same time, investor demand for these investments
remained strong, creating a favorable market dynamic.
The U.S. government sector lagged throughout the year, although extended
durations and a greater allocation to mortgage-backed securities
benefited portfolio performance as interest rates declined. Duration is
a measure of the price sensitivity of a portfolio of bonds. The longer
the duration, the greater the opportunity for sharing in a market
advance during periods of falling rates.
In the international sector, the stock markets of Europe, led by U.K.
equities, continued to gain in response to growing investor demand. Of
the major global economies, Japan's showed the weakest recovery. This
point was reflected in the underperformance of Japanese equities, which
more than gave back their spring gains over the summer. The portfolio's
underweight position in Japanese securities once again helped lift
subaccount performance overall.
With economies abroad generally lagging that of the United States,
international bonds outperformed the U.S. fixed-income market during the
period. Higher-yielding European bonds were star performers. The
portfolio benefited from its holdings in these markets, along with
favorable currency hedges.
Fund management expects that current trends should hold steady, although
the U.S. stock market may show some volatility. Management also believes
that many international stock markets are poised for strong performance,
while foreign bond markets may come under increasing pressure as the
global economic recovery moves forward. With its flexible strategy and
diversified global mix of stocks and fixed-income securities, management
believes the fund is well positioned for what may lie ahead.
- -------------------------------------------------------------------
INVESTMENT OBJECTIVE
A high level of long-term total return consistent with preservation
of capital
- -------------------------------------------------------------------
PORTFOLIO
A managed asset allocation portfolio spread across domestic and
international stock and bond markets
- -------------------------------------------------------------------
UNIT VALUE
December 31, 1996 $22.90
- -------------------------------------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations and political developments, that are not present with
domestic investments.
PCM Global Growth Fund
Sub-Account
Bolstered by the ongoing rally in U.S. equities and by broadly positive
conditions in markets in Europe and Asia, PCM Global Growth Fund
subaccount once again enjoyed a strong fiscal year. Many of the stocks
held in the portfolio outperformed their local stock market indexes and
several registered exceptional absolute gains. Strategic country
allocations and well-planned currency hedges also helped performance for
the period, as did superior performance from U.S. equities, which
accounted for about a quarter of the portfolio. For the 12 months ended
December 31, 1996, the subaccount tallied a total return of 15.58% at
unit value.
As the U.S. stock market extended its rally after the November election,
most world markets followed suit, recovering from a weak October to
finish 1996 on a firm note. The exception was Japan, where the economy
was stalled and growth in corporate profits has slowed. With the
Japanese market more than giving back its spring 1996 gains during the
summer, the portfolio's underweighted position once again helped the
subaccount's performance overall.
Elsewhere in the Pacific Basin, the fund's managers continue to favor
Hong Kong, but they are not yet ready to rebuild portfolio weightings in
Malaysia and Singapore. Their caution toward the smaller regional stock
markets of Indonesia, Korea, and Thailand proved judicious as these
markets floundered, but they are prepared to take advantage of
investment opportunities if their research uncovers attractively priced
stocks for the longer term. The fund's Australian holdings performed
well in recent months, and management expects to add to holdings there
as opportunities arise.
Many Western European markets including Germany, France, Denmark, and
Sweden performed very well over the fund's fiscal year. For the most
part, the fund's European strategy was on target, although an
underweight position in the United Kingdom was unfortunate as that stock
market recovered from its earlier underperformance to tally excellent
returns for the period. Overweight allocations in the Netherlands,
Ireland, and Sweden contributed positively to fund returns. Stock
selection also played a key role in the superior performance of several
holdings in France, Ireland, and the Netherlands.
Currency hedges also boosted fund returns. Although the U.S. dollar
weakened in July and August, it recovered strongly in September. The
portfolio's defensive currency hedges, which had helped mitigate the
negative effect of the dollar's strength, were kept in place during the
period.
A stable interest-rate and low-inflation environment has supported many
international stock markets thus far, and while unforeseen occurrences,
of course, could alter this scenario at any time, management remains
upbeat about prospects for global equities as the fund begins its new
fiscal year.
- -------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- -------------------------------------------------------------------
PORTFOLIO
An internationally diversified common stock portfolio
- -------------------------------------------------------------------
UNIT VALUE
December 31, 1996 $17.29
- -------------------------------------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations and political developments, that are not present with
domestic investments.
PCM Growth and Income Fund
Sub-Account
The 12 months ended December 31, 1996, are likely to stand out in the
memories of equity investors for their combination of market volatility
and record-breaking stock market surges. As different market sectors
shifted in and out of favor, PCM Growth and Income Fund subaccount once
again demonstrated the rewards of a solid, value-oriented approach to
stock selection. The subaccount's fiscal 1996 performance owes much to
its holdings in the financial, pharmaceutical, and technology sectors.
For the 12 months ended December 31, 1996, the subaccount tallied a
total return of 20.22% at unit value.
The portfolio's overweight position in bank stocks proved beneficial as
this sector outperformed many others -- a somewhat surprising outcome
for this interest-rate-sensitive industry. It was, after all, in the
first half of the fiscal year that the U.S. bond market experienced the
sharpest one-day decline in its history. Nevertheless, bank stocks
delivered strong performance for the year, due in large part to industry
consolidation that enhanced revenues and reduced costs.
Although the largely growth-oriented companies in the technology sector
are not typically represented in a value-oriented portfolio such as this
one, fund management discovered a number of value investing
opportunities in technology during 1996. Early in the calendar year, and
then again in July, sharp market downturns battered many technology
stocks. Fund management took advantage of these situations to add
technology holdings, many of which subsequently leaped in value during
the period.
During the first half of fiscal 1996, the retail and automotive
industries performed strongly. However, in a clear demonstration of the
shifting 1996 equity market, these two sectors were disappointing during
the fiscal year's second half. Although automotive stocks
underperformed, fund management continues to believe that a number of
automotive companies -- including those held in this portfolio -- are
undergoing changes that will improve their earnings potential. In the
retail sector, a few holdings contributed favorably to performance over
the second half despite underperformance for the sector as a whole.
Looking ahead to fiscal 1997 and beyond, fund management will continue
to focus on the growing significance of worldwide economies. Although
the fund will always invest primarily in U.S. securities, maintaining a
global perspective is vital. And, of course, the fund's emphasis on
investing for the long term and seeking out undervalued companies should
continue to be its greatest strength.
- -------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital growth and current income
- -------------------------------------------------------------------
PORTFOLIO
Primarily common stocks and convertible securities
- -------------------------------------------------------------------
UNIT VALUE
December 31, 1996 $32.70
- -------------------------------------------------------------------
PCM High Yield Fund
Sub-Account
Propelled by enduring economic expansion and healthy corporate earnings,
high-yield bonds sustained their spirited performance through much of
fiscal 1996. Amid this rally, a strategy of diversification across
promising market sectors enabled PCM High Yield Fund subaccount to
capitalize on prevailing trends and post a favorable total return of
11.24% at unit value for the 12 months ended December 31, 1996.
As economic growth thrived, so did the level of new high-yield bond
issuance. Issuers began calendar 1996 at full sprint, bringing to market
$33.7 billion in new high-yield bonds by the end of April (more than
twice the amount issued over the same four-month period in 1995). In the
months that followed, new bonds continued to flow into the market at a
comparable pace and were absorbed by even more vigorous demand. These
supply-demand dynamics also enhanced high-yield performance.
The deregulation of the telecommunications industry early in the year
continued to have a positive effect on the fund's telecommunications
holdings. Several competitive access providers (CAPs) -- which compete
against local telephone companies primarily for commercial customers --
were among the portfolio's most impressive performers during the period.
Companies of this type typically issue high-yield securities to help
finance the construction of the fiber-optic network required to attract
corporate customers and compete with larger telephone service providers.
Elsewhere in the telecommunications industry, a noteworthy trend is
developing in the United Kingdom, where, unlike in the United States,
one-stop cable and telephone services are now the standard. Fund
management took advantage of investment opportunities there and expects
that existing momentum toward more broad-based marketing, advancing
technology, and more prevalent corporate consolidation will boost
performance of these holdings in 1997.
Outside the telecommunications industry, the portfolio profited from
investments in retailers. Specialty niche-oriented boutiques have proved
particularly rewarding, with the retail sector advancing as economic
growth boosted consumer spending. The gaming industry also provided the
fund with solid returns during the period as the sector's high-yield
bonds rallied impressively.
In the coming months, fund management anticipates that economic growth
will be moderate and inflation negligible, providing a favorable
investment climate for the fund. As always, the portfolio will remain
diversified among sectors as fund management continues to believe this
strategy offers the greatest potential for solid, consistent
performance.
- -------------------------------------------------------------------
INVESTMENT OBJECTIVE
High current income, with a secondary objective of capital
appreciation
- -------------------------------------------------------------------
PORTFOLIO
Primarily high-yielding, lower-rated corporate bonds and notes
- -------------------------------------------------------------------
UNIT VALUE
December 31, 1996 $22.68
- -------------------------------------------------------------------
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 Money Market Fund
Sub-Account
In the 12 months ended December 31, 1996, PCM Money Market Fund
subaccount once again provided contractholders with a competitive total
return while continuing to focus on capital preservation and maintaining
a stable net asset value. The fund's conservative investment strategy,
which emphasizes superior quality short-term instruments and the pursuit
of current income, served it well in an environment of continued
economic strength, slightly higher interest rates, and diminished
inflationary expectations.
With the economy's strength, the potential for inflation, and the
possibility of a Federal Reserve Board interest-rate increase somewhat
unclear, the portfolio remained in a flexible position throughout the
period. This meant keeping portfolio duration relatively neutral --
rather than short or long -- in order to be ready to take advantage of
incrementally higher yields, should interest rates begin to rise.
Throughout the period, fund management sought out securities offering
strong value and solid yield. The portfolio adopted a "barbell"
structure, focusing primarily on superior quality corporate and
government agency securities at both the short and long ends of the
money market maturity spectrum. In the current interest rate
environment, this configuration allowed the fund to maximize its income
stream while protecting its net asset value.
For some time during the period, market expectations of an upcoming Fed
interest-rate increase dramatically cheapened the prices of money market
instruments in the longer, six-month maturity range. Because fund
management had a more conservative outlook with regard to the potential
for higher interest rates, management took advantage of the opportunity
to add attractively priced, high quality issues to the portfolio. This
move proved rewarding. It not only boosted the fund's income stream, but
since the Fed ultimately chose to leave rates alone, the strategy
enabled the fund to capture some of the highest yields available over
the period.
The supply of money market securities remained relatively steady and
strong for much of the year. Demand, however, assumed a rather cautious
tone as buyers exhibited renewed enthusiasm for the most conservative
money market investments. This fund has always concentrated on
traditional money market securities of the very highest quality. In this
time of interest rate uncertainty and increased credit-consciousness,
fund management has redoubled efforts to find well-valued securities
that meet our criteria for quality, liquidity, and price sensitivity.
With the economy's strength and the future direction of interest rates
somewhat uncertain, the market may remain unsettled over the near term.
However, the portfolio's neutral duration and concentration in superior
quality issues should continue to serve contractholders well by
preserving share price and income stream amid this challenging climate.
- -------------------------------------------------------------------
INVESTMENT OBJECTIVE
Current income consistent with preservation of capital and
maintenance of liquidity
- -------------------------------------------------------------------
PORTFOLIO
Primarily high-quality money market instruments
- -------------------------------------------------------------------
UNIT VALUE
December 31, 1996 $1.43
- -------------------------------------------------------------------
An investment in Putnam VT Money Market Fund, in which the subaccount
invests, is neither insured nor guaranteed by the U.S. government.
Accumulation units of a variable annuity money market fund will
fluctuate in price. Upon annuitization, there can be no assurance that
Putnam VT Money Market Fund will be able to maintain a stable unit value
of $1.00.
PCM New Opportunities Fund
Sub-Account
After an outstanding start, fiscal 1996 ended on a less positive note
for PCM New Opportunities Fund subaccount. The stock market rally
shifted away from the small and medium-capitalization growth stocks that
have made up the core of your fund's portfolio, and toward larger-
capitalization "blue-chip" stocks. For the 12 months ended December 31,
1996, the subaccount delivered a total return of 8.64% at unit value.
Although the stock market became disenchanted with many smaller growth
companies after the July selloff, technology firms were the exception,
and these stocks garnered considerable enthusiasm in the second half of
1996. Fortunately, technology stocks represent a substantial allocation
in the portfolio, and this sector contributed significantly to
performance. In particular, the fund benefited from gains among holdings
in software, services, and a small allocation to semiconductors.
Health care represents the second-largest sector allocation in the
portfolio, and these stocks have continued to lag the market. Price
competition and rising costs from increased utilization of products and
services continue to challenge managed-care companies, particularly
health maintenance organizations which were eliminated from the
portfolio. Nonetheless, favorable demographic trends continue to make
health care stocks a promising long-term investment for the fund, and
management continues to regard this sector positively.
Business services provided a bright spot for the portfolio. These stocks
performed exceptionally well during the period, and fund management
continues to find solid opportunities in such areas as telemarketing
services, temporary help and staffing, and technology service providers.
The business services industry is experiencing a great deal of
consolidation, as well as growth through corporate outsourcing, which
often translates into exciting investment opportunities.
Fund management remains cautiously optimistic about the environment for
small and midsize growth stock performance in the months ahead. The
economy appears to be continuing its leisurely pace, and there are no
signs of rising inflation. This combination provides a solid backdrop
for lower interest rates, which, if they were to occur, could support
price increases for smaller growth stocks like those in the fund's
portfolio.
- -------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- -------------------------------------------------------------------
PORTFOLIO
Common stocks of companies in market sectors with above-average
long-term growth potential
- -------------------------------------------------------------------
UNIT VALUE
December 31, 1996 $16.63
- -------------------------------------------------------------------
PCM U.S. Government and
High Quality Bond Fund
Sub-Account
After enduring the uncertainty that pervaded bond markets throughout the
early part of its fiscal year, PCM U.S. Government and High Quality Bond
Fund subaccount rebounded soundly in the second half, resulting in solid
competitive performance for the fiscal period. Total return for the 12
months ended December 31, 1996 was 0.99% at unit value.
Against an often challenging backdrop of investor concern over the
economy and interest rates, active management of the portfolio's
duration was the key that enabled the fund to post such a positive
return. Duration, which is measured in years, is the principal indicator
of a bond portfolio's sensitivity to changes in interest rates.
Through the first few months of the period, fund management kept the
portfolio's duration relatively long. When rates are falling, as they
were at that point, bond prices rise, and a relatively long duration
enabled the fund to capture a greater portion of that price
appreciation. When interest rates rise, however, a longer duration has
the opposite effect, causing the portfolio's value to decline more
rapidly.
By late February, it was clear that the rally had definitely ended. Fund
management then shortened duration to protect the fund's value as
interest rates climbed. Subsequently, when the bond market regained its
footing in late spring, fund management again extended the portfolio's
duration to capture price appreciation.
With U.S. Treasuries underperforming for much of the period, many fixed-
income investors searched elsewhere for yield. This led to an increased
demand for mortgage-backed securities just when the supply of these
bonds was relatively low. As a result, these securities outperformed
Treasuries as rising interest rates allayed prepayment fears.
Toward the end of the period, GNMAs appeared to be fully valued relative
to Treasuries. Therefore, when fund management extended the fund's
duration, it did so by adding intermediate- and long-term Treasuries,
although GNMAs still represent a large portion of the portfolio.
As we head into 1997, economic indicators suggest that the U.S. economy
is still strong and its growth rate remains moderate, with continued low
inflation and high employment. Technical bond market factors of supply
and demand are also positive. For investors, this may suggest an
environment that is conducive to healthy fixed-income market
performance, and fund management believes the fund's diversified
portfolio and neutral duration position it well for what appears to lie
ahead.
- -------------------------------------------------------------------
INVESTMENT OBJECTIVE
Current income consistent with preservation of capital
- -------------------------------------------------------------------
PORTFOLIO
Securities issued or backed by the full faith and credit of the
U.S. government or its agencies or instrumentalities plus corporate
bonds rated A or above
- -------------------------------------------------------------------
UNIT VALUE
December 31, 1996 $18.63
- -------------------------------------------------------------------
PCM Utilities Growth and Income Fund
Sub-Account
Capitalizing on changes in the utility sector while drawing on the
strength of its diversified strategy, PCM Utilities Growth and Income
Fund subaccount finished fiscal 1996 with superior competitive
performance. Total return at unit value was 14.19% for the 12 months
ended December 31, 1996.
As investors remain uncertain about the effects of deregulation, utility
stocks have generally lagged the stock market. Nevertheless, the
Telecommunications Act of 1996 and ongoing changes in the energy sector
have presented your fund with the potential to benefit from a new trend
of mergers and acquisitions within the industry. In fact, the fund has
recently begun to reap the benefits of consolidation in the gas and
electric utility industries as pending acquisition deals have made
positive contributions to the fund's performance. Fund management has
also weighted the portfolio heavily in the stocks of smaller gas
companies in order to capitalize on opportunities arising from a
continued increase in gas usage, improved profitability within the
industry, and the recent boom in consolidation of gas and electric
companies.
During much of the past year, the utility sector has struggled with the
newfound consequences of industry deregulation. Accordingly, fund
management has continued to diversify the portfolio with appropriate
non-utility holdings. These holdings have bolstered performance and
created a sense of equilibrium in the portfolio.
Worries over possible interest-rate fluctuations, coupled with a
shrinking of corporate balance sheets in the newly competitive utility
sector, brought about a reduction in new-issue utility bonds during
1996. This less favorable environment prompted fund management to keep
the portfolio's bond allocation relatively low. At the same time, it
forced management to look harder and farther afield for securities that
met management's strict credit quality and income standards. Bonds
issued by utility companies outside the United States proved an
excellent choice. Fund management especially favored bonds from foreign
markets that offered the relative stability of monopolistic industry
structure or with competitive environments that had been in place for
several years. This international focus led to the purchase of holdings
from Spain, Australia, and Chile.
Fund management firmly believes that deregulation should ultimately
benefit the utility industry and result in substantial gains for the
fund. The market may yet experience some volatility in the short-term
until the dust settles.
- -------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital growth and current income
- -------------------------------------------------------------------
PORTFOLIO
Common stocks and bonds issued by public utility companies
- -------------------------------------------------------------------
UNIT VALUE
December 31, 1996 $16.07
- -------------------------------------------------------------------
Investing in a single sector increases the possibility of greater price
fluctuations and does not provide the diversification of multisector
investment.
PCM Voyager Fund
Sub-Account
Fiscal 1996 demonstrated anew the benefits of a focus on companies with
above-average growth prospects, which has always been the hallmark of
PCM Voyager Fund subaccount. During the period, the stock market
continued its rather spectacular rise, although it did experience some
fairly sharp corrections along the way. For the most part, the fund's
focus on companies that could demonstrate superior earnings potential,
allowed the subaccount to weather the declines and make the most of the
rally. Total return at unit value was 11.40% for the 12 months ended
December 31, 1996.
As 1996 drew to a close, the fund's opportunity stocks -- stocks of
larger companies currently making positive changes such as new-product
development, improving productivity, and the like -- continued to
perform exceptionally well. These larger-capitalization stocks are
benefiting from a change in market psychology that occurred after the
July stock market correction, when investors began to believe that
higher-quality large and midsize growth companies were better positioned
to deliver positive earnings, given uncertainty about the economy's
strength and the volatility in the financial markets.
Following the July selloff, the stock market resumed its climb and many
major indexes reached new highs. Although the fund's smaller, more
aggressive growth stocks came under pressure, most rebounded. Some
technology stocks made spectacular comebacks. Telecommunications,
finance, and international stocks were also strong, while others have
yet to rebound. At the end of the period, consumer and technology stocks
remained the fund's largest sector weightings, followed by health care,
although this position has been reduced somewhat in recent months.
The market's emphasis on large-capitalization stocks has created a less
beneficial environment for aggressive growth stocks such as those in the
fund's foundation and premier growth portfolio segments. Nonetheless,
the relative valuation of growth stocks has improved and this factor,
when combined with moderate inflation and economic growth, argues for a
more favorable climate for growth stocks in the months ahead.
- -------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- -------------------------------------------------------------------
PORTFOLIO
Stocks of "emerging growth" companies with significant growth
potential and established companies with positive growth prospects
- -------------------------------------------------------------------
UNIT VALUE
December 31, 1996 $36.23
- -------------------------------------------------------------------
This fund invests a portion of its assets in small to medium-sized
companies. Such investments increase the risk of greater price
fluctuations.
Fund Manager changes
C. Kim Goodwin joined the management team of Putnam VT Global Growth
Fund in December 1996. She joined Putnam in May 1996 as a senior vice
president. Before coming to Putnam, she was a vice president at
Prudential Mutual Fund Investment Management, and prior to February
1993, she was an assistant vice president at Mellon Bank Corporation.
She has nine years of investment experience.
Jin W. Ho, who has been with Putnam since 1983, joined the management
team of Putnam VT High Yield Fund in October 1996.
Anthony I. Kreisel, who has been with Putnam since 1986, joined the
management team of Putnam VT Global Asset Allocation Fund in October
1996.
Carol McMullen joined Putnam as a managing director and director of the
Core Growth Equity Team in 1995. Prior to June 1995, she was a senior
vice president of Baring Asset Management. She joined the management
team of Putnam VT New Opportunities Fund in October 1996. She has 14
years of investment experience.
Robert M. Paine joined Putnam's High Yield Bond Group in 1989. He has
been a member of Putnam VT Global Asset Allocation Fund's management
team since January 1997.
Anthony W. Regan, senior managing director and chief of international
equity investments, has been with Putnam since 1987. He joined the
management team of Putnam VT Global Growth Fund in December 1996.
Cumulative total returns of a
$10,000 investment at unit value
PCM Asia Pacific Growth Fund
Subaccount -- since 5/1/95
[GRAPHIC WORM CHART OMITTED: PCM Asia Pacific Growth Fund]
[Plot Points]
date Asia Pac index
5/1/95 10000 10000
95 10135 10021
96 10903 9161
Footnote reads:
PCM Asia Pacific Growth Fund subaccount's underlying portfolio seeks
capital appreciation through common stocks of companies located in Asia
and in the Pacific Basin. The fund's portfolio contains securities that
do not match those in the index. The Morgan Stanley Capital
International Pacific Basin Index is an unmanaged list of Asian and
Pacific Rim equity securities, excluding U.S., with all values expressed
in U.S. dollars. Performance of the index reflects changes in market
price and reinvestment of distributions net of withholding taxes.
PCM Diversified Income Fund
Subaccount -- since 9/15/93
[GRAPHIC WORM CHART OMITTED: PCM Diversified Income Fund]
[Plot Points]
date div inc index\lehman index\salomon index\first boston
9/15/93 10000 10000 10000 10000
93 10188 10005 10188 10501
94 9622 9654 10798 10398
95 11302 11511 12909 12205
96 12127 11845 13436 13721
Footnote reads:
PCM Diversified Income Fund subaccount's underlying portfolio of U.S.
government, high-yield, and international fixed-income securities seeks
high current income consistent with capital preservation. Lehman Bros.
Mortgage-Backed Index is an unmanaged list of U.S. government and
mortgage-backed securities. (In earlier reports, the index was referred
to as Lehman Bros. Government/Mortgage Index.) Salomon Brothers Non-U.S.
World Government Bond Index is an unmanaged list of bonds issued by 10
countries. First Boston High Yield Index is an unmanaged list of lower-
rated higher-yielding U.S. corporate bonds. Securities indexes assume
reinvestment of all distributions and interest payments and do not take
into account brokerage fees or taxes. Securities in the fund do not
match those in the indexes and performance of the fund will differ.
PCM Global Asset Allocation Fund
Subaccount -- since 2/1/88
[GRAPHIC WORM CHART OMITTED: PCM Global Asset Allocation Fund]
[Plot Points]
date fund S&P 500 MSCI Solomn World Govt
2/1/88 10000 10000 10000 10000
88 10545 11170 12038 10627
89 12068 14712 14038 10263
90 11922 14250 11648 11832
91 13992 18590 13778 13754
92 14665 20001 13057 14410
93 16988 22017 15995 16587
94 16335 22307 16807 17581
95 20087 30879 20290 21018
96 22902 37718 23025 21875
Footnote reads:
PCM Global Asset Allocation Fund subaccount's underlying managed asset
allocation portfolio spread across domestic and international stock and
bond markets that seeks a high level of long-term total return
consistent with preservation of capital. The Morgan Stanley Capital
International World Index is an unmanaged list of international equity
securities, with all values expressed in U.S. dollars. The Standard &
Poor's 500 Index is an unmanaged list of common stocks frequently used
as a gauge of general U.S. stock market performance. The Salomon
Brothers World Government Bond Index ex U.S. is a market-capitalization-
weighted index of government bond markets, excluding U.S. issues.
Indexes assume reinvestment of all distributions and interest payments
and do not take into account brokerage fees or taxes. The fund's
portfolio contains securities that do not match those in the indexes.
PCM Global Growth Fund
Subaccount -- since 5/1/90
[GRAPHIC WORM CHART OMITTED: PCM Global Growth Fund]
[Plot Points]
date global growth MSCI
5/1/90 10000 10000
90 9233 9832
91 10472 11629
92 10289 11021
93 13432 13501
94 13119 14187
95 14963 17126
96 17294 19435
Footnote reads:
PCM Global Growth Fund subaccount's underlying internationally
diversified common stock portfolio that seeks capital appreciation. The
Morgan Stanley Capital International World Index is an unmanaged list of
international equity securities, with all values expressed in U.S.
dollars. Index assumes reinvestment of all distributions and interest
payments and does not take into account brokerage fees or taxes. The
fund's portfolio contains securities that do not match those in the
index.
An investment's past performance should not be taken as an
assurance of future results.
Cumulative total returns of a
$10,000 investment at unit value
PCM Growth and Income Fund
Subaccount -- since 2/1/88
[GRAPHIC WORM CHART OMITTED: PCM Growth and Income Fund]
[Plot Points]
date gro and inc S&P 500
2/1/88 10000 10000
88 11848 11170
89 14166 14713
90 14243 14250
91 16720 18590
92 18096 20001
93 20390 22017
94 20178 22306
95 27201 30677
96 32703 37717
Footnote reads:
PCM Growth and Income Fund subaccount's underlying portfolio primarily
of common stocks seeks capital growth and current income. The Standard &
Poor's 500 Index is an unmanaged list of common stocks frequently used
as a gauge of general market performance. Index assumes reinvestment of
all distributions and interest payments and does not take into account
brokerage fees or taxes. The fund's portfolio contains securities that
do not match those in the index.
PCM High Yield Fund
Subaccount -- since 2/1/88
[GRAPHIC WORM CHART OMITTED: PCM High Yield Fund]
[Plot Points]
date hy first boston hy
2/1/88 10000 10000
88 10624 10990
89 10200 11033
90 9055 10329
91 12932 14849
92 15173 17323
93 17890 20598
94 17476 20397
95 20390 23942
96 22682 26915
PCM High Yield Fund subaccount's underlying portfolio primarily of high-
yielding, lower-rated corporate bonds and notes seeks high current
income, with a secondary objective of capital appreciation. The First
Boston High Yield Index is an unmanaged list of lower-rated higher-
yielding corporate bonds. Index assumes reinvestment of all
distributions and interest payments and does not take into account
brokerage fees or taxes. The fund's portfolio contains securities that
do not match those in the index.
PCM New Opportunities Fund
Subaccount -- since 5/2/94
[GRAPHIC WORM CHART OMITTED: PCM New Opportunities Fund]
[Plot Points]
date new opp s&P
5/2/94 10000 10000
94 10718 10397
95 15312 14299
96 16635 17581
Footnote reads:
PCM New Opportunities Fund subaccount's underlying portfolio seeks long-
term capital appreciation primarily through common stock investments in
companies in economic sectors with above-average long-term growth
potential. The Standard & Poor's 500 Index is an unmanaged list of
common stocks frequently used as a gauge of general market performance.
Index assumes reinvestment of all distributions and interest payments
and does not take into account brokerage fees or taxes. The fund's
portfolio contains securities that do not match those in the index.
PCM U.S. Government and
High Quality Bond Fund
Subaccount -- since 2/1/88
[GRAPHIC WORM CHART OMITTED: PCM U.S. Government and High Quality Bond Fund]
[Plot Points]
date US govt/hq Lehman
2/1/88 10000 10000
88 10150 10402
89 11414 11882
90 12100 12866
91 13994 14941
92 14833 16074
93 16277 17847
94 15533 17220
95 18448 20534
96 18631 21129
Footnote reads:
PCM U.S. Government and High Quality Bond Fund subaccount's underlying
portfolio of 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 seeks current income consistent with preservation
of capital. The Lehman Brothers Government/Corporate Bond Index is an
unmanaged list of publicly issued U.S. Treasury obligations, debt
obligations of U.S. government agencies (excluding mortgage-backed
securities), fixed-rate nonconvertible investment-grade corporate debt
securities, and U.S. dollar-denominated SEC-registered nonconvertible
debt issued by foreign governmental entities or international agencies
used as a general measure of the performance of fixed income securities.
Index assumes reinvestment of all distributions and interest payments
and does not take into account brokerage fees or taxes. The fund's
portfolio contains securities that do not match those in the index.
An investment's past performance should not be taken as an
assurance of future results.
Cumulative total returns of a
$10,000 investment at unit value
PCM Utilities Growth and Income Fund
Subaccount -- since 5/4/92
[GRAPHIC WORM CHART OMITTED: PCM Utilities Growth and Income Fund]
[Plot Points]
date Util G&I S&P 500
5/4/92 10000 10000
92 10618 10709
93 11876 11788
94 10889 11943
95 14075 16425
96 16072 20195
Footnote reads:
PCM Utilities Growth and Income Fund subaccount's underlying portfolio
of common stocks and bonds issued by public utilities companies seeks
capital growth and current income. The Standard & Poor's 500 Index is an
unmanaged list of common stocks frequently used as a gauge of general
market performance. Index assumes reinvestment of all distributions and
interest payments and does not take into account brokerage fees or
taxes. The fund's portfolio contains securities that do not match those
in the index.
PCM Voyager Fund
Subaccount -- since 2/1/88
[GRAPHIC WORM CHART OMITTED: PCM Voyager Fund]
[Plot Points]
date Voyager First Boston
2/1/88 10000 10000
88 10170 11170
89 13272 14713
90 12822 14250
91 18472 18590
92 20102 20001
93 23530 22017
94 23445 22306
95 32520 30667
96 36228 37717
Footnote reads:
PCM Voyager Fund subaccount's underlying portfolio seeks capital
appreciation through stocks of "emerging growth" companies with
significant growth potential and established companies with positive
growth prospects. The Standard & Poor's 500 Index is an unmanaged list
of common stocks frequently used as a gauge of general market
performance. Index assumes reinvestment of all distributions and
interest payments and does not take into account brokerage fees or
taxes. The fund's portfolio contains securities that do not match those
in the index.
An investment's past performance should not be taken as an
assurance of future results.
Report of Independent Public Accountants
To Hartford Life Insurance Company Putnam Capital Manager Trust Separate
Account and to the Owners
of Units of Interest therein:
We have audited the accompanying statement of assets and liabilities of
Hartford Life Insurance Company Putnam Capital Manager Trust Separate
Account (the Account) as of December 31, 1996, and the related statement
of operations for the year then ended and statements of changes in net
assets for each of the two years in the period then ended. These
financial statements are the responsibility of the Account's management.
Our responsibility is to express an opinion on these financial
statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit
to obtain reasonable assurance about whether the financial statements
are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the
financial statements. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe
that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present
fairly, in all material respects, the financial position of Hartford
Life Insurance Company Putnam Capital Manager Trust Separate Account as
of December 31, 1996, the results of its operations for the year then
ended and the changes in its net assets for each of the two years in the
period then ended in conformity with generally accepted accounting
principles.
ARTHUR ANDERSEN LLP
Hartford, Connecticut
February 14, 1997
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Assets and Liabilities
- ------------------------------------------------------------------------------------------------------------------------
December 31, 1996 Asia Pacific Diversified Global Asset Global Growth High Yield
Growth Income Allocation Growth and Income Fund
Fund Fund Fund Fund Fund Sub-Account
Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Assets
Investments:
........................................................................................................................
Putnam VT Asia Pacific Growth Fund
Shares 4,397,016
Cost $45,980,179
........................................................................................................................
Market Value: $ 48,411,143 $ -- $ -- $ -- $ -- $ --
........................................................................................................................
Putnam VT Diversified Income Fund
Shares 22,563,007
Cost $233,037,931
........................................................................................................................
Market Value: -- 254,285,088 -- -- -- --
........................................................................................................................
Putnam VT Global Asset
Allocation Fund
Shares 23,335,440
Cost $305,356,571
........................................................................................................................
Market Value: -- -- 402,536,334 -- -- --
........................................................................................................................
Putnam VT Global Growth Fund
Shares 37,782,256
Cost $495,227,462
........................................................................................................................
Market Value: -- -- -- 637,764,475 -- --
........................................................................................................................
Putnam VT Growth and
Income Fund
Shares 128,551,708
Cost $2,261,024,731
........................................................................................................................
Market Value: -- -- -- -- 3,157,229,956 --
........................................................................................................................
Putnam VT High Yield Fund
Shares 28,877,357
Cost $326,511,425
........................................................................................................................
Market Value: -- -- -- 374,250,546
........................................................................................................................
Putnam VT Money Market Fund
Shares 200,165,280
Cost $200,165,280
........................................................................................................................
Market Value: -- -- -- -- -- --
........................................................................................................................
Putnam VT New Opportunities Fund
Shares 37,002,157
Cost $570,588,023
........................................................................................................................
Market Value: -- -- -- -- -- --
........................................................................................................................
Putnam VT U.S. Government and
High Quality Bond Fund
Shares 41,509,581
Cost $496,424,167
........................................................................................................................
Market Value: -- -- -- -- -- --
........................................................................................................................
Putnam VT Utilities Growth and
Income Fund
Shares 25,106,997
Cost $286,919,290
........................................................................................................................
Market Value: -- -- -- -- -- --
........................................................................................................................
Putnam VT Voyager Fund
Shares 51,300,099
Cost $1,157,301,378
........................................................................................................................
Market Value: -- -- -- -- -- --
........................................................................................................................
Due from Hartford Life
Insurance Company 127,160 -- 63,189 1,041,250 -- --
........................................................................................................................
Receivable from fund
shares sold -- 487,335 -- -- 392,720 289,469
- ------------------------------------------------------------------------------------------------------------------------
Total Assets 48,538,303 254,772,423 402,599,523 638,805,725 3,157,622,676 374,540,015
- ------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life
Insurance Company -- 486,617 -- -- 395,936 300,737
........................................................................................................................
Payable for fund
shares purchased 127,075 -- 63,032 1,045,046 -- --
........................................................................................................................
Total Liabilities 127,075 486,617 63,032 1,045,046 395,936 300,737
- ------------------------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $48,411,228 $254,285,806 $402,536,491 $637,760,679 $3,157,226,740 $374,239,278
- ------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets and Liabilities (Continued)
- ---------------------------------------------------------------------------------------------------------------
December 31, 1996 Money New U.S. Govt. Utilities Voyager
Market Opportunities and High Growth Fund
Fund Sub-Account Quality Bond and Income Sub-Account
Sub-Account Fund Fund
Sub-Account Sub-Account
- ---------------------------------------------------------------------------------------------------------------
Assets
Investments:
...............................................................................................................
Putnam VT Asia Pacific Growth Fund
Shares 4,397,016
Cost $45,980,179
...............................................................................................................
Market Value: $ -- $ -- $ -- $ -- $ --
...............................................................................................................
Putnam VT Diversified Income Fund
Shares 22,563,007
Cost $233,037,931
...............................................................................................................
Market Value: -- -- -- -- --
...............................................................................................................
Putnam VT Global Asset
Allocation Fund
Shares 23,335,440
Cost $305,356,571
...............................................................................................................
Market Value: -- -- -- -- --
...............................................................................................................
Putnam VT Global Growth Fund
Shares 37,782,256
Cost $495,227,462
...............................................................................................................
Market Value: -- -- -- -- --
...............................................................................................................
Putnam VT Growth and
Income Fund
Shares 128,551,708
Cost $2,261,024,731
...............................................................................................................
Market Value: -- -- -- -- --
...............................................................................................................
Putnam VT High Yield Fund
Shares 28,877,357
Cost $326,511,425
...............................................................................................................
Market Value: -- -- -- -- --
...............................................................................................................
Putnam VT Money Market Fund
Shares 200,165,280
Cost $200,165,280
...............................................................................................................
Market Value: 200,165,280 -- -- -- --
...............................................................................................................
Putnam VT New Opportunities Fund
Shares 37,002,157
Cost $570,588,023
...............................................................................................................
Market Value: -- 637,177,139 -- --
...............................................................................................................
Putnam VT U.S. Government and
High Quality Bond Fund
Shares 41,509,581
Cost $496,424,167
...............................................................................................................
Market Value: -- -- 548,341,560 -- --
...............................................................................................................
Putnam VT Utilities Growth and
Income Fund
Shares 25,106,997
Cost $286,919,290
...............................................................................................................
Market Value: -- -- -- 371,583,551 --
...............................................................................................................
Putnam VT Voyager Fund
Shares 51,300,099
Cost $1,157,301,378
...............................................................................................................
Market Value: -- -- -- -- 1,668,792,217
...............................................................................................................
Due from Hartford Life
Insurance Company 732,579 1,011,985 1,004 701,717 900,077
...............................................................................................................
Receivable from fund
shares sold -- -- 191,338 -- 1
- ---------------------------------------------------------------------------------------------------------------
Total Assets 200,897,859 638,189,124 548,533,902 372,285,268 1,669,692,295
- ---------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life
Insurance Company -- -- 192,258 -- 1
...............................................................................................................
Payable for fund
shares purchased 732,417 1,009,867 -- 698,423 903,125
...............................................................................................................
Total Liabilities 732,417 1,009,867 192,258 698,423 903,126
- ---------------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $200,165,442 $637,179,257 $548,341,644 $371,586,845 $1,668,789,169
- ---------------------------------------------------------------------------------------------------------------
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 and Liabilities (continued)
- --------------------------------------------------------------------------------------------------------------------------
December 31, 1996 Units Unit Contract
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 4,437,154 $10.903401 $ 48,380,066
..........................................................................................................................
Asia Pacific Growth Fund .40% 2,811 11.086834 31,162
..........................................................................................................................
Diversified Income Fund Sub-Account 20,955,466 12.127111 254,129,263
..........................................................................................................................
Diversified Income Fund .40% 1,058 12.780074 13,520
..........................................................................................................................
Global Asset Allocation Fund Sub-Account 17,521,243 22.902056 401,272,497
..........................................................................................................................
Global Asset Allocation Fund .40% 2,179 14.539293 31,675
..........................................................................................................................
Global Growth Fund Sub-Account 36,757,455 17.293688 635,671,967
..........................................................................................................................
Global Growth Fund .40% 1,518 13.768089 20,901
..........................................................................................................................
Growth and Income Fund Sub-Account 96,382,983 32.702761 3,151,989,641
..........................................................................................................................
Growth and Income Fund .40% 2,283 16.943940 38,690
..........................................................................................................................
High Yield Fund Sub-Account 16,478,633 22.682306 373,773,392
..........................................................................................................................
High Yield Fund .40% 1,029 13.178320 13,555
..........................................................................................................................
Money Market Fund Sub-Account 140,032,592 1.428989 200,105,034
..........................................................................................................................
Money Market Fund .40% 10,215 1.122808 11,469
..........................................................................................................................
New Opportunities Fund Sub-Account 38,289,051 16.634688 636,926,421
..........................................................................................................................
New Opportunities Fund .40% 1,228 18.462454 22,673
..........................................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 29,394,679 18.630709 547,643,702
..........................................................................................................................
U.S. Government and High Quality Bond Fund .40% 1,020 12.261742 12,508
..........................................................................................................................
Utilities Growth and Income Fund Sub-Account 23,096,309 16.071812 371,199,540
..........................................................................................................................
Utilities Growth and Income Fund .40% 1,018 15.357653 15,635
..........................................................................................................................
Voyager Fund Sub-Account 45,912,235 36.227529 1,663,286,808
..........................................................................................................................
Voyager Fund .40% 2,821 17.619913 49,705
..........................................................................................................................
Sub-total Individual Sub-Accounts: 8,284,639,824
..........................................................................................................................
Annuity contracts in the annuity period:
..........................................................................................................................
Individual Sub-Accounts:
..........................................................................................................................
Diversified Income Fund Sub-Account 11,794 12.127111 143,023
..........................................................................................................................
Global Asset Allocation Fund Sub-Account 53,808 22.902056 1,232,319
..........................................................................................................................
Global Growth Fund Sub-Account 119,570 17.293688 2,067,811
..........................................................................................................................
Growth and Income Fund Sub-Account 158,959 32.702761 5,198,409
..........................................................................................................................
High Yield Fund Sub-Account 19,942 22.682306 452,331
..........................................................................................................................
Money Market Fund Sub-Account 34,247 1.428989 48,939
..........................................................................................................................
New Opportunities Fund Sub-Account 13,836 16.634688 230,163
..........................................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 36,791 18.630709 685,434
..........................................................................................................................
Utilities Growth and Income Fund Sub-Account 23,126 16.071812 371,670
..........................................................................................................................
Voyager Fund Sub-Account 150,511 36.227529 5,452,656
..........................................................................................................................
Subtotal Individual Sub-Accounts: 15,882,755
- --------------------------------------------------------------------------------------------------------------------------
Grand Total $8,300,522,579
- --------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Operations
- -------------------------------------------------------------------------------------------------------------------------
For the 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>
Investment income:
Dividends $ 326,828 $11,490,480 $15,557,250 $10,264,492
.........................................................................................................................
Capital gains income -- -- 10,208,810 14,952,454
.........................................................................................................................
Net realized and
unrealized gain
(loss) on
investments:
.........................................................................................................................
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 gain (loss) on
investments 2,369,205 7,580,170 26,760,378 59,862,758
.........................................................................................................................
Expenses:
Mortality and expense
undertakings (464,671) (2,956,253) (4,982,331) (7,529,175)
- -------------------------------------------------------------------------------------------------------------------------
Net increase
in net assets
resulting from
operations $2,231,362 $16,114,397 $47,544,107 $77,550,529
- -------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (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>
Investment income:
Dividends $ 99,173,418 $19,920,018 $9,794,579 $ --
.........................................................................................................................
Capital gains income 44,966,829 -- -- --
.........................................................................................................................
Net realized and
unrealized gain
(loss) on
investments:
.........................................................................................................................
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 gain (loss) on
investments 375,220,444 17,967,782 -- 19,173,556
.........................................................................................................................
Expenses:
Mortality and expense
undertakings (36,028,539) (4,321,581) (2,761,570) (6,560,512)
- -------------------------------------------------------------------------------------------------------------------------
Net increase
in net assets
resulting from
operations $483,332,152 $33,566,219 $7,033,009 $12,613,044
- -------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (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
- -----------------------------------------------------------------------------------------------------
Investment income:
Dividends $33,510,120 $12,517,443 $25,213,296
.....................................................................................................
Capital gains income -- -- 49,032,686
.....................................................................................................
Net realized and
unrealized gain
(loss) on
investments:
.....................................................................................................
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 gain (loss) on
investments (21,057,738) 38,312,987 87,197,812
.....................................................................................................
Expenses:
Mortality and expense
undertakings (7,644,853) (4,767,387) (20,326,857)
- -----------------------------------------------------------------------------------------------------
Net increase
in net assets
resulting from
operations $4,807,529 $46,063,043 $141,116,937
- -----------------------------------------------------------------------------------------------------
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>
<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, 1995 Growth Growth Allocation Growth
Fund Fund Fund Fund
Sub-Account* Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income (loss) $ (60,724) $ 483,172 $ 936,514 $ (2,204,993)
.........................................................................................................................
Capital gains income -- -- -- 6,601,518
.........................................................................................................................
Net realized gain (loss)
on security transactions (60,287) 9,172 399,476 911,496
.........................................................................................................................
Net unrealized
appreciation of
investments during
the period 242,108 18,343,699 58,868,469 49,557,344
.........................................................................................................................
Net increase
in net assets resulting
from operations 121,097 22,836,043 60,204,459 54,865,365
.........................................................................................................................
Unit transactions:
Purchases 4,126,265 32,309,949 22,881,301 45,923,798
.........................................................................................................................
Net transfers 6,974,378 (5,571,318) (11,919,895) (31,613,725)
.........................................................................................................................
Surrenders (664,081) (9,346,669) (18,839,572) (21,768,741)
.........................................................................................................................
Net annuity transactions -- (14,911) (77,478) (18,657)
.........................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 10,436,562 17,377,051 (7,955,644) (7,477,325)
.........................................................................................................................
Total increase (decrease)
in net assets 10,557,659 40,213,094 52,248,815 47,388,040
.........................................................................................................................
Net assets:
Beginning of period -- 129,284,056 270,360,069 399,187,201
.........................................................................................................................
End of period $10,557,659 $169,284,056 $322,608,884 $446,575,241
- -------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- ----------------------------------------------------------------------------------------------------------------------------
For the Year Ended Growth High Yield Money New
December 31, 1995 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) $ 29,643,724 $ 16,143,005 $ 6,270,171 $ (1,659,539)
............................................................................................................................
Capital gains income 13,724,917 -- -- 199,716
............................................................................................................................
Net realized gain (loss)
on security transactions (34,307) 1,236,511 -- (26,148)
............................................................................................................................
Net unrealized
appreciation of
investments during
the period 453,648,232 20,718,106 -- 45,091,587
............................................................................................................................
Net increase
in net assets resulting
from operations 496,982,566 38,097,622 6,270,171 43,605,616
............................................................................................................................
Unit transactions:
Purchases 278,125,135 36,534,502 59,269,091 95,362,106
............................................................................................................................
Net transfers 61,348,178 23,654,821 (80,739,372) 68,118,806
............................................................................................................................
Surrenders (96,650,335) (20,293,432) (28,048,736) (3,619,540)
............................................................................................................................
Net annuity transactions (216,062) (34,458) 43,839 31,757
............................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 242,606,916 39,861,433 (49,475,178) 159,893,129
............................................................................................................................
Total increase (decrease)
in net assets 739,589,482 77,959,055 (43,205,007) 203,498,745
............................................................................................................................
Net assets:
Beginning of period 1,355,393,351 200,647,476 192,109,711 39,586,754
............................................................................................................................
End of period $2,094,982,833 $278,606,531 $148,904,704 $243,085,499
- ----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- ------------------------------------------------------------------------------------------------------
For the Year Ended U.S. Govt. Utilities Voyager
December 31, 1995 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) $ 26,934,924 $ 9,371,613 $ (10,593,407)
......................................................................................................
Capital gains income -- -- 16,140,156
......................................................................................................
Net realized gain (loss)
on security transactions 69,862 (424,609) (410,019)
......................................................................................................
Net unrealized
appreciation of
investments during
the period 63,229,345 63,147,534 292,690,527
......................................................................................................
Net increase
in net assets resulting
from operations 90,234,131 72,094,538 297,827,257
......................................................................................................
Unit transactions:
Purchases 42,562,828 27,209,860 175,795,447
......................................................................................................
Net transfers (50,224,416) (10,419,694) 67,563,970
......................................................................................................
Surrenders (40,651,284) (18,062,599) (43,669,375)
......................................................................................................
Net annuity transactions (157,837) 30,306 (307,639)
......................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions (48,470,709) (1,242,127) 199,382,403
......................................................................................................
Total increase (decrease)
in net assets 41,763,422 70,852,411 497,209,660
......................................................................................................
Net assets:
Beginning of period 521,093,083 251,641,892 691,664,430
......................................................................................................
End of period $562,856,505 $322,494,303 $1,188,874,090
- ------------------------------------------------------------------------------------------------------
*From inception, Date, 1996, to December 31, 1995.
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
December 31, 1996
1. ORGANIZATION:
Putnam Capital Manager Trust Separate Account (the Account) is a
separate investment account within Hartford Life Insurance Company (the
Company) and is registered with the Securities and Exchange Commission
(SEC) as a unit investment trust under the Investment Company Act of
1940, as amended. Both the Company and the Account are subject to
supervision and regulation by the Department of Insurance of the State
of Connecticut and the SEC. 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.
Dividends 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 December 31, 1996.
C) Federal Income Taxes -- The operations of the Account form a part of,
and are taxed with, the total operations of the Company, which is taxed
as an insurance company under the Internal Revenue Code. Under current
law, no federal income taxes are payable with respect to the operations
of the Account.
D) Use of Estimates -- The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
A) Mortality and Expense Undertakings -- The Company, as issuer of
variable annuity contracts, provides the mortality and expense
undertakings and, with respect to the Account, receives a maximum annual
fee of 1.25% of the Account's average daily net assets. The Company also
provides administrative services and receives an annual fee of 0.15% of
the Account's average daily net assets.
B) Deduction of Other Fees -- Annual maintenance fees are deducted
through termination of units of interest from applicable contract
owners' accounts, in accordance with the terms of the contracts.
Report of Independent Public Accountants
To Hartford Life Insurance Company Putnam Capital Manager Trust Separate
Account Variable Life One and to the Owners of Units of Interest therein:
We have audited the accompanying statement of assets and liabilities of
Diversified Income Fund Sub-Account, Global Asset Allocation Fund Sub-
Account, Global Growth Fund Sub-Account, Growth and Income Fund Sub-
Account, High Yield Fund Sub-Account, Money Market Fund Sub-Account, New
Opportunities Fund Sub-Account, U.S. Government and High Quality Bond
Fund Sub-Account, Utilities Growth and Income Fund Sub-Account and
Voyager Fund Sub-Account (constituting Hartford Life Insurance Company
Putnam Capital Manager Trust Separate Account Variable Life One) (the
Account) as of December 31, 1996, and the related statement of
operations for the year then ended and statements of changes in net
assets for each of the two years in the period then ended. These
financial statements are the responsibility of the Account's management.
Our responsibility is to express an opinion on these financial
statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit
to obtain reasonable assurance about whether the financial statements
are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the
financial statements. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe
that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present
fairly, in all material respects, the financial position of Diversified
Income Fund Sub-Account, Global Asset Allocation Fund Sub-Account,
Global Growth Fund Sub-Account, Growth and Income Fund Sub-Account, High
Yield Fund Sub-Account, Money Market Fund Sub-Account, New Opportunities
Fund Sub-Account, U.S. Government and High Quality Bond Fund Sub-
Account, Utilities Growth and Income Fund Sub-Account and Voyager Fund
Sub-Account (constituting Hartford Life Insurance Company Putnam Capital
Manager Trust Separate Account Variable Life One) as of December 31,
1996, the results of its operations for the year then ended and the
changes in its net assets for each of the two years in the period then
ended in conformity with generally accepted accounting principles.
ARTHUR ANDERSEN LLP
Hartford, Connecticut
February 14, 1997
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Assets & Liabilities
- ----------------------------------------------------------------------------------------------------
December 31, 1996 Diversified Global Asset Global Growth High Yield
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 38,605
Cost $422,674
....................................................................................................
Market Value: $435,083 $ -- $ -- $ -- $ --
....................................................................................................
Putnam VT Global Asset
Allocation Fund
Shares 338,776
Cost $4,929,519
....................................................................................................
Market Value: -- 5,843,885 -- -- --
....................................................................................................
Putnam VT Global Growth Fund
Shares 697,882
Cost $10,354,773
....................................................................................................
Market Value: -- -- 11,780,245 -- --
....................................................................................................
Putnam VT Growth and Income Fund
Shares 673,834
Cost $13,684,147
....................................................................................................
Market Value: -- -- -- 16,549,365 --
....................................................................................................
Putnam VT High Yield Fund
Shares 195,211
Cost $2,368,169
....................................................................................................
Market Value: -- -- -- -- 2,529,937
....................................................................................................
Putnam VT Money Market Fund
Shares 1,736,570
Cost $1,736,570
....................................................................................................
Market Value: -- -- -- -- --
....................................................................................................
Putnam VT New Opportunities Fund
Shares 577,100
Cost $9,925,787
....................................................................................................
Market Value: -- -- -- -- --
....................................................................................................
Putnam VT U.S. Government and
High Quality Bond Fund
Shares 361,426
Cost $4,675,759
....................................................................................................
Market Value: -- -- -- -- --
....................................................................................................
Putnam VT Utilities Growth and
Income Fund
Shares 132,241
Cost $1,606,704
....................................................................................................
Market Value: -- -- -- -- --
....................................................................................................
Putnam VT Voyager Fund
Shares 764,339
Cost $21,417,935
....................................................................................................
Market Value: -- -- -- -- --
....................................................................................................
Due from Hartford Life
Insurance Company 200 3,483 11,088 16,222 7,130
....................................................................................................
Receivable from fund
shares sold -- -- -- -- --
- ----------------------------------------------------------------------------------------------------
Total Assets 435,283 5,847,368 11,791,333 16,565,587 2,537,067
- ----------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life
Insurance Company -- -- -- -- --
....................................................................................................
Payable for fund shares
purchased 200 3,489 11,088 16,329 7,147
....................................................................................................
Total Liabilities 200 3,489 11,088 16,329 7,147
- ----------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $435,083 $5,843,879 $11,780,245 $16,549,258 $2,529,920
- ----------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liabilities (Continued)
- ----------------------------------------------------------------------------------------------------------
December 31, 1996 Money New U.S. Govt. Utilities Voyager
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 Diversified Income Fund
Shares 38,605
Cost $422,674
..........................................................................................................
Market Value: $ -- $ -- $ -- $ -- $ --
..........................................................................................................
Putnam VT Global Asset
Allocation Fund
Shares 338,776
Cost $4,929,519
..........................................................................................................
Market Value: -- -- -- -- --
..........................................................................................................
Putnam VT Global Growth Fund
Shares 697,882
Cost $10,354,773
..........................................................................................................
Market Value: -- -- -- -- --
..........................................................................................................
Putnam VT Growth and Income Fund
Shares 673,834
Cost $13,684,147
..........................................................................................................
Market Value: -- -- -- -- --
..........................................................................................................
Putnam VT High Yield Fund
Shares 195,211
Cost $2,368,169
..........................................................................................................
Market Value: -- -- -- -- --
..........................................................................................................
Putnam VT Money Market Fund
Shares 1,736,570
Cost $1,736,570
..........................................................................................................
Market Value: 1,736,570 -- -- -- --
..........................................................................................................
Putnam VT New Opportunities Fund
Shares 577,100
Cost $9,925,787
..........................................................................................................
Market Value: -- 9,937,669 -- -- --
..........................................................................................................
Putnam VT U.S. Government and
High Quality Bond Fund
Shares 361,426
Cost $4,675,759
..........................................................................................................
Market Value: -- -- 4,774,443 -- --
..........................................................................................................
Putnam VT Utilities Growth and
Income Fund
Shares 132,241
Cost $1,606,704
..........................................................................................................
Market Value: -- -- -- 1,957,164 --
..........................................................................................................
Putnam VT Voyager Fund
Shares 764,339
Cost $21,417,935
..........................................................................................................
Market Value: -- -- -- -- 24,863,947
..........................................................................................................
Due from Hartford Life
Insurance Company -- 18,858 199 -- 39,530
..........................................................................................................
Receivable from fund
shares sold 10 -- -- 2,230 --
- ----------------------------------------------------------------------------------------------------------
Total Assets 1,736,580 9,956,527 4,774,642 1,959,394 24,903,477
- ----------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life 1 -- -- $2,254 --
Insurance Company
..........................................................................................................
Payable for fund shares
purchased -- 18,785 199 -- 39,611
..........................................................................................................
Total Liabilities 1 18,785 199 2,254 39,611
- ----------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $1,736,579 $9,937,742 $4,774,443 $1,957,140 $24,863,866
- ----------------------------------------------------------------------------------------------------------
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 and Liablilites (continued)
- ----------------------------------------------------------------------------------------------------------------------------
December 31, 1996 Units Unit Contract
Owned by Price Liability
Participants
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Deferred annuity contracts in the accumulation period:
Group Sub-Accounts:
............................................................................................................................
Diversified Income Fund Sub-Account 36,063 $12.064581 $435,083
............................................................................................................................
Global Asset Allocation Fund Sub-Account 381,904 15.301933 5,843,879
............................................................................................................................
Global Growth Fund Sub-Account 741,021 15.897325 11,780,245
............................................................................................................................
Growth and Income Fund Sub-Account 929,091 17.812315 16,549,258
............................................................................................................................
High Yield Fund Sub-Account 174,838 14.470063 2,529,920
............................................................................................................................
Money Market Fund Sub-Account 1,483,882 1.170296 1,736,579
............................................................................................................................
New Opportunities Fund Sub-Account 670,053 14.831271 9,937,742
............................................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 381,812 12.504679 4,774,443
............................................................................................................................
Utilities Growth and Income Fund Sub-Account 132,125 14.812870 1,957,140
............................................................................................................................
Voyager Fund Sub-Account 1,356,650 18.327403 24,863,866
- ----------------------------------------------------------------------------------------------------------------------------
Grand Total $80,408,155
- ----------------------------------------------------------------------------------------------------------------------------
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 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>
Investment income:
Dividends $ 3,462 $188,398 $ 127,576 $ 373,127
.........................................................................................................................
Capital gains income -- 123,629 185,843 169,182
.........................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
.........................................................................................................................
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 gain (loss) on
investments 11,778 395,052 938,770 1,724,477
- -------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) in net
assets resulting
from operations $15,240 $707,079 $1,252,189 $2,266,786
- -------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (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>
Investment income:
Dividends $100,269 $64,821 $ -- $118,810
..........................................................................................................................
Capital gains income -- -- -- --
..........................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
..........................................................................................................................
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 gain (loss) on
investments 112,081 -- (58,412) 40,772
- --------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) in net
assets resulting
from operations $212,350 $64,821 $(58,412) $159,582
- --------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (Continued)
- ---------------------------------------------------------------------------------
For the year ended Utilities Voyager
December 31, 1996 Growth Fund
and Income Sub-Account
Fund
Sub-Account
- ---------------------------------------------------------------------------------
<S> <C> <C
Investment income:
Dividends $ 54,039 $275,323
.................................................................................
Capital gains income -- 535,426
.................................................................................
Net realized and
unrealized gain (loss)
on investments:
.................................................................................
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 gain (loss) on
investments 193,379 992,826
- ---------------------------------------------------------------------------------
Net increase
(decrease) in net
assets resulting
from operations $247,418 $1,803,575
- ---------------------------------------------------------------------------------
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>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- -------------------------------------------------------------------------------------------------------------------------
For the year ended Diversified Global Asset Global Growth
December 31, 1995 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 $ -- $ 39,388 $ 24,814 $ 121,893
.........................................................................................................................
Capital gains income -- -- 46,171 31,376
.........................................................................................................................
Net realized gain
on security transactions 10 14,435 932 1,768
.........................................................................................................................
Net unrealized
appreciation of
investments during
the period 1,182 535,036 471,341 1,198,951
.........................................................................................................................
Net increase in net
assets resulting
from operations 1,192 588,859 543,258 1,353,988
.........................................................................................................................
Unit transactions:
Purchases 765 339,758 1,154,464 899,746
.........................................................................................................................
Net transfers 12,424 2,127,164 1,287,158 2,362,146
.........................................................................................................................
Surrenders (57) (72,050) (133,739) (160,057)
.........................................................................................................................
Loan withdrawals -- (55,002) (58,904) (75,016)
.........................................................................................................................
Cost of insurance (116) (78,172) (172,021) (152,234)
.........................................................................................................................
Net increase
in net assets resulting
from unit transactions 13,016 2,261,698 2,076,958 2,874,585
.........................................................................................................................
Total increase
in net assets 14,208 2,850,557 2,620,216 4,228,573
.........................................................................................................................
Net assets:
Beginning of period -- 882,542 2,055,567 2,558,107
- -------------------------------------------------------------------------------------------------------------------------
End of period $14,208 $3,733,099 $4,675,783 $6,786,680
- -------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- -------------------------------------------------------------------------------------------------------------------------
For the year ended High Yield Money New U.S. Govt.
December 31, 1995 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 $ 45,484 $ 14,226 $ -- $ 22,761
.........................................................................................................................
Capital gains income -- -- -- --
.........................................................................................................................
Net realized gain
on security transactions 35 -- 56 2,030
.........................................................................................................................
Net unrealized
appreciation of
investments during
the period 64,042 -- 58,166 74,145
.........................................................................................................................
Net increase in net
assets resulting
from operations 109,561 14,226 58,222 98,936
.........................................................................................................................
Unit transactions:
Purchases 232,533 77,580 140,605 165,903
.........................................................................................................................
Net transfers 488,483 106,176 712,707 964,335
.........................................................................................................................
Surrenders (36,113) (5,881) (14,763) (33,996)
.........................................................................................................................
Loan withdrawals (3,445) (31,209) (5,438) (11,534)
.........................................................................................................................
Cost of insurance (47,259) (14,549) (6,489) (27,019)
.........................................................................................................................
Net increase
in net assets resulting
from unit transactions 634,199 132,117 826,622 1,057,689
.........................................................................................................................
Total increase
in net assets 743,760 146,343 884,844 1,156,625
.........................................................................................................................
Net assets:
Beginning of period 379,594 252,271 -- 264,250
- -------------------------------------------------------------------------------------------------------------------------
End of period $1,123,354 $398,614 $884,844 $1,420,875
- -------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- ---------------------------------------------------------------------------------
For the year ended Utilities Voyager
December 31, 1995 Growth Fund
and Income Sub-Account
Fund
Sub-Account
- ---------------------------------------------------------------------------------
<S> <C> <C>
Operations:
Net investment
income $ 47,950 $ 14,475
.................................................................................
Capital gains income -- 106,726
.................................................................................
Net realized gain
on security transactions 3,151 1,707
.................................................................................
Net unrealized
appreciation of
investments during
the period 229,924 2,361,906
.................................................................................
Net increase in net
assets resulting
from operations 281,025 2,484,814
.................................................................................
Unit transactions:
Purchases 168,645 2,208,784
.................................................................................
Net transfers 71,815 4,010,510
.................................................................................
Surrenders (74,646) (313,366)
.................................................................................
Loan withdrawals (2,201) (64,074)
.................................................................................
Cost of insurance (26,397) (368,558)
.................................................................................
Net increase
in net assets resulting
from unit transactions 137,216 5,473,296
.................................................................................
Total increase
in net assets 418,241 7,958,110
.................................................................................
Net assets:
Beginning of period 797,003 3,535,293
- ---------------------------------------------------------------------------------
End of period $1,215,244 $11,493,403
- ---------------------------------------------------------------------------------
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
December 31, 1996
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 sub-accounts. These
financial statements include ten subaccounts which invest solely in the
Putnam Variable Trust Funds (the Funds). The other twelve sub-accounts,
which invest in Hartford Mutual Funds 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.
Dividends 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 December 31, 1996.
C) Federal Income Taxes -- The operations of the Account form a part of,
and are taxed with, the total operations of the Company, which is taxed
as an insurance company under the Internal Revenue Code. Under current
law, no federal income taxes are payable with respect to the operations
of the Account.
D) Use of Estimates -- The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
In accordance with the terms of the contracts, the Company makes
deductions for mortality and expense undertakings, cost of insurance,
administrative fees, and state premium taxes. These charges are deducted
through termination of units of interest from applicable contract
owners' accounts, in accordance with the terms of the contracts.
Report of Independent Public Accountants
To Hartford Life Insurance Company Putnam Capital Manager Trust Separate
Account Variable Life Two and to the Owners of Units of Interest therein:
We have audited the accompanying statement of assets and liabilities of
Diversified Income Fund Sub-Account, Global Asset Allocation Fund Sub-
Account, Global Growth Fund Sub-Account, Growth and Income Fund Sub-
Account, High Yield Fund Sub-Account, Money Market Fund Sub-Account, New
Opportunities Fund Sub-Account, U.S. Government and High Quality Bond
Fund Sub-Account, Utilities Growth and Income Fund Sub-Account and
Voyager Fund Sub-Account (constituting Hartford Life Insurance Company
Putnam Capital Manager Trust Separate Account Variable Life Two) (the
Account) as of December 31, 1996, and the related statement of
operations for the year then ended and statements of changes in net
assets for the year ended December 31, 1996 and the period from
inception, August 14, 1995, to December 31, 1995. These financial
statements are the responsibility of the Account's management. Our
responsibility is to express an opinion on these financial statements
based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit
to obtain reasonable assurance about whether the financial statements
are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the
financial statements. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe
that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present
fairly, in all material respects, the financial position of Diversified
Income Fund Sub-Account, Global Asset Allocation Fund Sub-Account,
Global Growth Fund Sub-Account, Growth and Income Fund Sub-Account, High
Yield Fund Sub-Account, Money Market Fund Sub-Account, New Opportunities
Fund Sub-Account, U.S. Government and High Quality Bond Fund Sub-
Account, Utilities Growth and Income Fund Sub-Account and Voyager Fund
Sub-Account (constituting Hartford Life Insurance Company Putnam Capital
Manager Trust Separate Account Variable Life Two) as of December 31,
1996, the results of its operations for the year then ended and changes
in its net assets for the year ended December 31, 1996 and the period
from inception, August 14, 1995, to December 31, 1995, in conformity
with generally accepted accounting principles.
ARTHUR ANDERSEN LLP
Hartford, Connecticut
February 14, 1997
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Assets and Liabilities
- -----------------------------------------------------------------------------------------------------
December 31, 1996 Diversified Global Asset Global Growth High Yield
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 5,316
Cost $58,095
.....................................................................................................
Market Value: $59,911 $ -- $ -- $ -- $ --
.....................................................................................................
Putnam VT Global Asset Allocation Fund
Shares 22,320
Cost $361,596
.....................................................................................................
Market Value: -- 385,013 -- -- --
.....................................................................................................
Putnam VT Global Growth Fund
Shares 89,239
Cost $1,412,148
.....................................................................................................
Market Value: -- -- 1,506,351 -- --
.....................................................................................................
Putnam VT Growth and Income Fund
Shares 65,763
Cost $1,487,814
.....................................................................................................
Market Value: -- -- -- 1,615,133 --
.....................................................................................................
Putnam VT High Yield Fund
Shares 26,909
Cost $330,249
.....................................................................................................
Market Value: -- -- -- -- 348,744
.....................................................................................................
Putnam VT Money Market Fund
Shares 200,433
Cost $200,433
.....................................................................................................
Market Value: -- -- -- -- --
.....................................................................................................
Putnam VT New Opportunities Fund
Shares 102,739
Cost $1,781,382
.....................................................................................................
Market Value: -- -- -- -- --
.....................................................................................................
Putnam VT U.S. Government and
High Quality Bond Fund
Shares 70,509
Cost $897,461
.....................................................................................................
Market Value: -- -- -- -- --
.....................................................................................................
Putnam VT Utilities Growth and
Income Fund
Shares 9,582
Cost $131,216
.....................................................................................................
Market Value: -- -- -- -- --
.....................................................................................................
Putnam VT Voyager Fund
Shares 95,062
Cost $3,032,374
.....................................................................................................
Market Value: -- -- -- -- --
.....................................................................................................
Due from Hartford Life
Insurance Company -- 16 316 229 4
- -----------------------------------------------------------------------------------------------------
Total Assets 59,911 385,029 1,506,667 1,615,362 348,748
- -----------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life
Insurance Company -- -- -- -- --
.....................................................................................................
Payable for fund shares
purchased -- -- 200 225 --
.....................................................................................................
Total Liabilities -- -- 200 225 --
- -----------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $59,911 $385,029 $1,506,467 $1,615,137 $348,748
- -----------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liabilities (Continued)
- -----------------------------------------------------------------------------------------------------
December 31, 1996 Money New U.S. Govt. Utilities Voyager
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 Diversified Income Fund
Shares 5,316
Cost $58,095
.....................................................................................................
Market Value: $ -- $ -- $ -- $ -- $ --
.....................................................................................................
Putnam VT Global Asset Allocation Fund
Shares 22,320
Cost $361,596
.....................................................................................................
Market Value: -- -- -- -- --
.....................................................................................................
Putnam VT Global Growth Fund
Shares 89,239
Cost $1,412,148
.....................................................................................................
Market Value: -- -- -- -- --
.....................................................................................................
Putnam VT Growth and Income Fund
Shares 65,763
Cost $1,487,814
.....................................................................................................
Market Value: -- -- -- -- --
.....................................................................................................
Putnam VT High Yield Fund
Shares 26,909
Cost $330,249
.....................................................................................................
Market Value: -- -- -- -- --
.....................................................................................................
Putnam VT Money Market Fund
Shares 200,433
Cost $200,433
.....................................................................................................
Market Value: 200,433 -- -- -- --
.....................................................................................................
Putnam VT New Opportunities Fund
Shares 102,739
Cost $1,781,382
.....................................................................................................
Market Value: -- 1,769,161 -- -- --
.....................................................................................................
Putnam VT U.S. Government and
High Quality Bond Fund
Shares 70,509
Cost $897,461
.....................................................................................................
Market Value: -- -- 931,423 -- --
.....................................................................................................
Putnam VT Utilities Growth and
Income Fund
Shares 9,582
Cost $131,216
.....................................................................................................
Market Value: -- -- -- 141,815 --
.....................................................................................................
Putnam VT Voyager Fund
Shares 95,062
Cost $3,032,374
Market Value: -- -- -- -- 3,092,374
.....................................................................................................
Due from Hartford Life
Insurance Company 1 245 -- 109 705
- -----------------------------------------------------------------------------------------------------
Total Assets 200,434 1,769,406 931,423 141,924 3,093,079
- -----------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life
Insurance Company -- -- 82 -- --
.....................................................................................................
Payable for fund shares
purchased -- -- -- 75 500
.....................................................................................................
Total Liabilities -- -- 82 75 500
- -----------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $200,434 $1,769,406 $931,341 $141,849 $3,092,579
- -----------------------------------------------------------------------------------------------------
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 and Liablilites (continued)
- ------------------------------------------------------------------------------------------------------------------------
December 31, 1996 Units Unit Contract
Owned by Price Liability
Participants
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Deferred annuity contracts in the accumulation period:
Group Sub-Accounts:
........................................................................................................................
Diversified Income Fund Sub-Account 4,966 $12.064581 $59,911
........................................................................................................................
Global Asset Allocation Fund Sub-Account 25,162 15.301933 385,029
........................................................................................................................
Global Growth Fund Sub-Account 94,762 15.897325 1,506,467
........................................................................................................................
Growth and Income Fund Sub-Account 90,675 17.812315 1,615,137
........................................................................................................................
High Yield Fund Sub-Account 24,101 14.470063 348,748
........................................................................................................................
Money Market Fund Sub-Account 171,267 1.170296 200,433
........................................................................................................................
New Opportunities Fund Sub-Account 119,302 14.831271 1,769,406
........................................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 74,479 12.504679 931,341
........................................................................................................................
Utilities Growth and Income Fund Sub-Account 9,576 14.812870 141,849
........................................................................................................................
Voyager Fund Sub-Account 168,741 18.327403 3,092,579
- ------------------------------------------------------------------------------------------------------------------------
Grand Total $10,050,900
- ------------------------------------------------------------------------------------------------------------------------
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 Operations
- -------------------------------------------------------------------------------------------------------------------------
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>
Investment income:
Dividends $ -- $ -- $ -- $ --
.........................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
.........................................................................................................................
Net realized gain (loss)
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 gain (loss)
on investments 1,839 23,439 94,226 128,383
- -------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) in net
assets resulting
from operations $1,839 $23,439 $94,226 $128,383
- -------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (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>
Investment income:
Dividends $ -- $2,362 $ -- $ --
..........................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
..........................................................................................................................
Net realized gain (loss)
on security transactions 284 -- 387 184
..........................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 18,495 -- (12,221) 33,963
..........................................................................................................................
Net gain (loss)
on investments 18,779 -- (11,834) 34,147
- --------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) in net
assets resulting
from operations $18,779 $2,362 $(11,834) $34,147
- --------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (Continued)
- ---------------------------------------------------------------------------------
For the year ended Utilities Voyager
December 31, 1996 Growth Fund
and Income Sub-Account
Fund
Sub-Account
- ---------------------------------------------------------------------------------
<S> <C> <C>
Investment income:
Dividends $ -- $ --
.................................................................................
Net realized and
unrealized gain (loss)
on investments:
.................................................................................
Net realized gain (loss)
on security transactions (545) 9
.................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 10,598 59,940
.................................................................................
Net gain (loss)
on investments 10,053 59,949
- ---------------------------------------------------------------------------------
Net increase
(decrease) in net
assets resulting
from operations $10,053 $59,949
- ---------------------------------------------------------------------------------
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 1,150,115 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>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- --------------------------------------------------------------------------------------------------------------------------------
For the period from inception, Global Asset Global Money U.S. Govt. Voyager
August 14, 1995 to December 31, 1995. Allocation Growth Market and High Fund
Fund Fund Fund Quality Bond Sub-Account
Sub-Account Sub-Account Sub-Account Fund
Sub-Account
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Operations:
Net investment
income $ -- $ -- $ -- $ -- $ --
................................................................................................................................
Net realized gain on
security transactions -- -- -- -- --
................................................................................................................................
Net unrealized
appreciation
of investments
during the period -- -- -- -- 60
................................................................................................................................
Net increase in
net assets resulting
from operations -- -- -- -- 60
................................................................................................................................
Unit transactions:
Purchases -- -- -- -- --
................................................................................................................................
Net transfers 17,512 148,850 2,398 280,189 39,157
................................................................................................................................
Surrenders -- -- -- -- --
................................................................................................................................
Cost of insurance -- -- -- -- --
................................................................................................................................
Net increase in
net assets resulting
from unit transactions 17,512 148,850 2,398 280,189 39,157
................................................................................................................................
Total increase
in net assets 17,512 148,850 2,398 280,189 39,217
................................................................................................................................
Net assets:
Beginning of period -- -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------------
End of period $17,512 $148,850 $2,398 $280,189 $39,217
- --------------------------------------------------------------------------------------------------------------------------------
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
December 31, 1996
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 sub-accounts. These
financial statements include ten subaccounts which invest solely in the
Putnam Variable Trust Funds (the Funds). The other twelve sub-accounts,
which invest in Hartford Mutual Funds 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.
Dividends 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 December 31, 1996.
C) Federal Income Taxes -- The operations of the Account form a part of,
and are taxed with, the total operations of the Company, which is taxed
as an insurance company under the Internal Revenue Code. Under current
law, no federal income taxes are payable with respect to the operations
of the Account.
D) Use of Estimates -- The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
In accordance with the terms of the contracts, the Company makes
deductions for mortality and expense undertakings, cost of insurance,
administrative fees, and state premium taxes. These charges are deducted
through termination of units of interest from applicable contract
owners' accounts, in accordance with the terms of the contracts.
Report of Independent Public Accountants
To Hartford Life Insurance Company Putnam Capital Manager Trust Separate
Account Five and to the Owners of Units of Interest therein:
We have audited the accompanying statement of assets and liabilities of
Hartford Life Insurance Company Putnam Capital Manager Trust Separate
Account Five (the Account) as of December 31, 1996, and the related
statement of operations for the year then ended and statements of
changes in net assets for the year ended December 31, 1996 and the
period from inception, January 10, 1995, to December 31, 1995. These
financial statements are the responsibility of the Account's management.
Our responsibility is to express an opinion on these financial
statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit
to obtain reasonable assurance about whether the financial statements
are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the
financial statements. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe
that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present
fairly, in all material respects, the financial position of Hartford
Life Insurance Company Putnam Capital Manager Trust Separate Account
Five as of December 31, 1996, the results of its operations for the year
then ended and the changes in its net assets for the year ended December
31, 1996 and the period from inception, January 10, 1995, to December
31, 1995, in conformity with generally accepted accounting principles.
ARTHUR ANDERSEN LLP
Hartford, Connecticut
February 14, 1997
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Assets & Liabilities
- ------------------------------------------------------------------------------------------------------------------------
December 31, 1996 Asia Pacific Diversified Global Asset Global Growth High Yield
Growth Income Allocation Growth and Income Fund
Fund Fund Fund Fund Fund Sub-Account
Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Assets
Investments:
........................................................................................................................
Putnam VT Asia Pacific Growth Fund
Shares 82,583
Cost $856,545
........................................................................................................................
Market Value: $909,242 $ -- $ -- $ -- $ -- $ --
........................................................................................................................
Putnam VT Diversified Income Fund
Shares 94,294
Cost $1,018,843
........................................................................................................................
Market Value: -- 1,062,698 -- -- -- --
........................................................................................................................
Putnam VT Global Asset
Allocation Fund
Shares 70,478
Cost $1,107,725
........................................................................................................................
Market Value: -- -- 1,215,746 -- -- --
........................................................................................................................
Putnam VT Global Growth Fund
Shares 364,671
Cost $5,496,986
........................................................................................................................
Market Value: -- -- -- 6,155,645 -- --
........................................................................................................................
Putnam VT Growth and Income Fund
Shares 564,735
Cost $11,958,250
........................................................................................................................
Market Value: -- -- -- -- 13,869,884 --
........................................................................................................................
Putnam VT High Yield Fund
Shares 254,551
Cost $3,088,531
........................................................................................................................
Market Value: -- -- -- -- -- 3,298,982
........................................................................................................................
Putnam VT Money Market Fund
Shares 4,222,628
Cost $4,222,628
........................................................................................................................
Market Value: -- -- -- -- -- --
........................................................................................................................
Putnam VT New Opportunities Fund
Shares 454,880
Cost $7,223,865
........................................................................................................................
Market Value: -- -- -- -- -- --
........................................................................................................................
Putnam VT U.S. Government and
High Quality Bond Fund
Shares 97,635
Cost $1,279,571
........................................................................................................................
Market Value: -- -- -- -- -- --
........................................................................................................................
Putnam VT Utilities Growth and
Income Fund
Shares 100,315
Cost $1,310,238
........................................................................................................................
Market Value: -- -- -- -- -- --
........................................................................................................................
Putnam VT Voyager Fund
Shares 289,032
Cost $8,711,600
........................................................................................................................
Market Value: -- -- -- -- -- --
........................................................................................................................
Due from Hartford Life
Insurance Company -- -- -- -- 14,202 --
- ------------------------------------------------------------------------------------------------------------------------
Total Assets 909,242 1,062,698 1,215,746 6,155,645 13,884,086 3,298,982
- ------------------------------------------------------------------------------------------------------------------------
Liabilities
Payable for fund
shares purchased -- -- -- -- 14,202 --
........................................................................................................................
Total Liabilities -- -- -- -- 14,202 --
- ------------------------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $909,242 $1,062,698 $1,215,746 $6,155,645 $13,869,884 $3,298,982
- ------------------------------------------------------------------------------------------------------------------------
Units Outstanding 81,465 81,563 84,252 450,022 837,713 247,165
- ------------------------------------------------------------------------------------------------------------------------
Accumulation Unit Value
at end of period 11.161102 13.029218 14.429914 13.678537 16.556836 13.347317
- ------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liabilities (Continued)
- -----------------------------------------------------------------------------------------------------
December 31, 1996 Money New U.S. Govt. Utilities Voyager
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 Asia Pacific Growth Fund
Shares 82,583
Cost $856,545
.....................................................................................................
Market Value: $ -- $ -- $ -- $ -- $ --
.....................................................................................................
Putnam VT Diversified Income Fund
Shares 94,294
Cost $1,018,843
.....................................................................................................
Market Value: -- -- -- -- --
.....................................................................................................
Putnam VT Global Asset
Allocation Fund
Shares 70,478
Cost $1,107,725
.....................................................................................................
Market Value: -- -- -- -- --
.....................................................................................................
Putnam VT Global Growth Fund
Shares 364,671
Cost $5,496,986
.....................................................................................................
Market Value: -- -- -- -- --
.....................................................................................................
Putnam VT Growth and Income Fund
Shares 564,735
Cost $11,958,250
.....................................................................................................
Market Value: -- -- -- -- --
.....................................................................................................
Putnam VT High Yield Fund
Shares 254,551
Cost $3,088,531
.....................................................................................................
Market Value: -- -- -- -- --
.....................................................................................................
Putnam VT Money Market Fund
Shares 4,222,628
Cost $4,222,628
.....................................................................................................
Market Value: 4,222,628 -- -- -- --
.....................................................................................................
Putnam VT New Opportunities Fund
Shares 454,880
Cost $7,223,865
.....................................................................................................
Market Value: -- 7,833,025 -- -- --
.....................................................................................................
Putnam VT U.S. Government and
High Quality Bond Fund
Shares 97,635
Cost $1,279,571
.....................................................................................................
Market Value: -- -- 1,289,764 -- --
.....................................................................................................
Putnam VT Utilities Growth and
Income Fund
Shares 100,315
Cost $1,310,238
.....................................................................................................
Market Value: -- -- -- 1,484,659 --
.....................................................................................................
Putnam VT Voyager Fund
Shares 289,032
Cost $8,711,600
.....................................................................................................
Market Value: -- -- -- -- 9,402,223
.....................................................................................................
Due from Hartford Life
Insurance Company 330,629 -- -- -- --
- -----------------------------------------------------------------------------------------------------
Total Assets 4,553,257 7,833,025 1,289,764 1,484,659 9,402,223
- -----------------------------------------------------------------------------------------------------
Liabilities
Payable for fund
shares purchased 330,313 -- -- -- --
.....................................................................................................
Total Liabilities 330,313 -- -- -- --
- -----------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $4,222,944 $7,833,025 $1,289,764 $1,484,659 $9,402,223
- -----------------------------------------------------------------------------------------------------
Units Outstanding 3,812,530 488,477 104,473 97,813 587,891
- -----------------------------------------------------------------------------------------------------
Accumulation Unit Value
at end of period 1.107649 16.035615 12.345439 15.178606 15.993147
- -----------------------------------------------------------------------------------------------------
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 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>
Investment income:
Dividends $ 6,265 $45,501 $ 31,236 $ 78,177
.........................................................................................................................
Capital gains income -- -- 20,497 113,882
.........................................................................................................................
Net realized and
unrealized gain
(loss) on
investments:
.........................................................................................................................
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 gain (loss)
on investments 45,623 31,314 79,667 535,048
- -------------------------------------------------------------------------------------------------------------------------
Net increase
in net assets
resulting from
operations $51,888 $76,815 $131,400 $727,107
- -------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (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>
Investment income:
Dividends $ 341,685 $163,141 $203,725 $ --
...........................................................................................................................
Capital gains income 154,926 -- -- --
...........................................................................................................................
Net realized and
unrealized gain
(loss) on
investments:
...........................................................................................................................
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 gain (loss)
on investments 1,522,421 159,000 -- 327,204
- ---------------------------------------------------------------------------------------------------------------------------
Net increase
in net assets
resulting from
operations $2,019,032 $322,141 $203,725 $327,204
- ---------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (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>
Investment income:
Dividends $58,449 $35,664 $103,280
.....................................................................................................
Capital gains income -- -- 200,850
.....................................................................................................
Net realized and
unrealized gain
(loss) on
investments:
.....................................................................................................
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 gain (loss)
on investments (13,577) 145,349 390,324
- -----------------------------------------------------------------------------------------------------
Net increase
in net assets
resulting from
operations $44,872 $181,013 $694,454
- -----------------------------------------------------------------------------------------------------
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 676,759 665,549 5,086,675
.....................................................................................................
Total increase (decrease)
in net assets 631,887 846,562 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>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- -------------------------------------------------------------------------------------------------------------------------
For the period Asia Paciific Diversified Global Asset Global
from inception, Growth Income Allocation Growth
January 10, 1995 to Fund Fund Fund Fund
December 31, 1995 Sub-Account* Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income $ -- $ 521 $ 192 $ 91
.........................................................................................................................
Capital gains income -- -- -- 170
.........................................................................................................................
Net realized gain (loss)
on security transactions 349 31 7 89
.........................................................................................................................
Net unrealized
appreciation
of investments
during the period 7,112 13,566 28,590 125,784
.........................................................................................................................
Net increase in net
assets resulting
from operations 7,461 14,118 28,789 126,134
.........................................................................................................................
Unit transactions:
Purchases -- -- -- --
.........................................................................................................................
Net transfers 264,817 330,819 527,900 2,532,395
.........................................................................................................................
Surrenders (11,791) (12,664) (14,453) (24,192)
.........................................................................................................................
Loan withdrawals -- -- -- (7,875)
.........................................................................................................................
Cost of insurance (548) (537) (858) (4,471)
.........................................................................................................................
Net increase in
net assets resulting
from unit transactions 252,478 317,618 522,589 2,495,857
.........................................................................................................................
Total increase
in net assets 259,939 331,736 551,378 2,621,991
.........................................................................................................................
Net assets:
Beginning of period -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------
End of period $259,939 $331,736 $551,378 $2,621,991
- -------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- ---------------------------------------------------------------------------------------------------------------------------
For the period Growth High Yield Money New
from inception, and Income Fund Market Opportunities
January 10, 1995 to Fund Sub-Account Fund Fund
December 31, 1995 Sub-Account Sub-Account Sub-Account
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income $ 387 $ 916 $ 80,712 $ 1
...........................................................................................................................
Capital gains income 100 -- -- 31
...........................................................................................................................
Net realized gain (loss)
on security transactions 6 119 -- (2,699)
...........................................................................................................................
Net unrealized
appreciation
of investments
during the period 392,116 53,019 -- 283,377
...........................................................................................................................
Net increase in net
assets resulting
from operations 392,609 54,054 80,712 280,710
...........................................................................................................................
Unit transactions:
Purchases -- -- 24,494,446 --
...........................................................................................................................
Net transfers 4,908,808 1,770,947 (17,615,354) 2,798,806
...........................................................................................................................
Surrenders (28,551) (17,973) (147,693) (15,714)
...........................................................................................................................
Loan withdrawals (9,320) (7,918) (1,548,256) (9,713)
...........................................................................................................................
Cost of insurance (8,557) (2,485) (23,250) (5,129)
...........................................................................................................................
Net increase in
net assets resulting
from unit transactions 4,862,380 1,742,571 5,159,893 2,768,250
...........................................................................................................................
Total increase
in net assets 5,254,989 1,796,625 5,240,605 3,048,960
...........................................................................................................................
Net assets:
Beginning of period -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------
End of period $5,254,989 $1,796,625 $5,240,605 $3,048,960
- ---------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- -----------------------------------------------------------------------------------------------------
For the period U.S. Govt. Utilities Voyager
from inception, and High Growth Fund
January 10, 1995 to Quality Bond and Income Sub-Account
December 31, 1995 Fund Fund
Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment
income $ 696 $ 543 $ 30
.....................................................................................................
Capital gains income -- -- 224
.....................................................................................................
Net realized gain (loss)
on security transactions 133 72 (604)
.....................................................................................................
Net unrealized
appreciation
of investments
during the period 22,432 29,823 301,754
.....................................................................................................
Net increase in net
assets resulting
from operations 23,261 30,438 301,404
.....................................................................................................
Unit transactions:
Purchases -- -- --
.....................................................................................................
Net transfers 603,807 621,666 3,345,405
.....................................................................................................
Surrenders (13,535) (13,432) (19,818)
.....................................................................................................
Loan withdrawals -- -- --
.....................................................................................................
Cost of insurance (528) (575) (5,897)
.....................................................................................................
Net increase in
net assets resulting
from unit transactions 589,744 607,659 3,319,690
.....................................................................................................
Total increase
in net assets 613,005 638,097 3,621,094
.....................................................................................................
Net assets:
Beginning of period -- -- --
- -----------------------------------------------------------------------------------------------------
End of period $613,005 $638,097 $3,621,094
- -----------------------------------------------------------------------------------------------------
*From inception, May 1, 1995, to December 31, 1995.
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
December 31, 1996
1. ORGANIZATION:
Putnam Capital Manager Trust Separate Account Five (the Account) is a
separate investment account within Hartford Life Insurance Company (the
Company) and is registered with the Securities and Exchange Commission
(SEC) as a unit investment trust under the Investment Company Act of
1940, as amended. Both the Company and the Account are subject to
supervision and regulation by the Department of Insurance of the State
of Connecticut and the SEC. The Account invests deposits by variable
life contractholders of the Company in 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.
Dividends 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 December 31, 1996.
C) Federal Income Taxes -- The operations of the Account form a part of,
and are taxed with, the total operations of the Company, which is taxed
as an insurance company under the Internal Revenue Code. Under current
law, no federal income taxes are payable with respect to the operations
of the Account.
D) Use of Estimates -- The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
In accordance with the terms of the contracts, the Company makes
deductions for mortality and expense undertakings, cost of insurance,
administrative fees, and state premium taxes. These charges are deducted
through termination of units of interest from applicable contract
owners' accounts, in accordance with the terms ot the contracts.
Report of Independent Public Accountants
To ITT Hartford Life and Annuity Insurance Company Putnam Capital
Manager Trust Separate Account Two and to the Owners
of Units of Interest therein:
We have audited the accompanying statement of assets and liabilities of
ITT Hartford Life and Annuity Insurance Company Putnam Capital Manager
Trust Separate Account Two (the Account) as of December 31, 1996, and
the related statements of operations for the year then ended and
statements of changes in net assets for each of the two years in the
period then ended. These financial statements are the responsibility of
the Account's management. Our responsibility is to express an opinion
on these financial statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit
to obtain reasonable assurance about whether the financial statements
are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the
financial statements. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe
that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present
fairly, in all material respects, the financial position of ITT Hartford
Life and Annuity Insurance Company Putnam Capital Manager Trust Separate
Account Two as of December 31, 1996, the results of its operations for
the year then ended and the changes in its net assets for each of the
two years in the period then ended in conformity with generally accepted
accounting principles.
ARTHUR ANDERSEN LLP
Hartford, Connecticut
February 14, 1997
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- ITT HARTFORD LIFE AND ANNUITY INSURANCE
<CAPTION>
Statement of Assets & Liabilities
- -------------------------------------------------------------------------------------------------------------------------
December 31, 1996 Asia Diversified Global Asset Global Growth High Yield
Growth Income Allocation Growth and Income Fund
Fund Fund Fund Fund Fund Sub-Account
Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Assets
Investments:
.........................................................................................................................
Putnam VT Asia Pacific Growth Fund
Shares 6,913,743
Cost $72,382,041
.........................................................................................................................
Market Value: $76,120,308 $ -- $ -- $ -- $ -- $ --
.........................................................................................................................
Putnam VT Diversified Income Fund
Shares 19,663,203
Cost $204,526,818
.........................................................................................................................
Market Value: -- 221,604,293 -- -- -- --
.........................................................................................................................
Putnam VT Global Asset
Allocation Fund
Shares 19,061,170
Cost $279,233,236
.........................................................................................................................
Market Value: -- -- 328,805,175 -- -- --
.........................................................................................................................
Putnam VT Global Growth Fund
Shares 40,513,240
Cost $580,534,451
.........................................................................................................................
Market Value: -- -- -- 683,863,485 -- --
.........................................................................................................................
Putnam VT Growth and Income Fund
Shares 97,460,724
Cost $1,929,310,872
.........................................................................................................................
Market Value: -- -- -- -- 2,393,635,368 --
.........................................................................................................................
Putnam VT High Yield Fund
Shares 29,813,031
Cost $359,902,417
.........................................................................................................................
Market Value: -- -- -- -- -- 386,376,880
.........................................................................................................................
Putnam VT Money Market Fund
Shares 211,074,679
Cost $211,074,679
.........................................................................................................................
Market Value: -- -- -- -- -- --
.........................................................................................................................
Putnam VT New Opportunities Fund
Shares 49,303,364
Cost $783,098,881
.........................................................................................................................
Market Value: -- -- -- -- -- --
.........................................................................................................................
Putnam VT U.S. Government and
High Quality Bond Fund
Shares 15,677,072
Cost $207,064,882
.........................................................................................................................
Market Value: -- -- -- -- -- --
.........................................................................................................................
Putnam VT Utilities Growth and
Income Fund
Shares 18,475,100
Cost $223,377,332
.........................................................................................................................
Market Value: -- -- -- -- -- --
.........................................................................................................................
Putnam VT Voyager Fund
Shares 45,873,148
Cost $1,257,173,323
.........................................................................................................................
Market Value: -- -- -- -- -- --
.........................................................................................................................
Due from ITT Hartford
Life and Annuity
Insurance Company 10,201 7,342 111,680 742,407 3,133,200 --
.........................................................................................................................
Receivable from fund
shares sold -- 1,565,430 -- -- -- 320,374
- -------------------------------------------------------------------------------------------------------------------------
Total Assets 76,130,509 223,177,065 328,916,855 684,605,892 2,396,768,568 386,697,254
- -------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to ITT Hartford
Life and Annuity
Insurance Company -- 1,572,891 -- -- -- 315,275
.........................................................................................................................
Payable for fund
shares purchased 10,366 -- 111,659 743,147 3,137,954 --
.........................................................................................................................
Total Liabilities 10,366 1,572,891 111,659 743,147 3,137,954 315,275
- -------------------------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $76,120,143 $221,604,174 $328,805,196 $683,862,745 $2,393,630,614 $386,381,979
- -------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liabilities (Continued)
- --------------------------------------------------------------------------------------------------------
December 31, 1996 Money New U.S. Govt. Utilities Voyager
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 Asia Pacific Growth Fund
Shares 6,913,743
Cost $72,382,041
........................................................................................................
Market Value: $ -- $ -- $ -- $ -- $ --
........................................................................................................
Putnam VT Diversified Income Fund
Shares 19,663,203
Cost $204,526,818
........................................................................................................
Market Value: -- -- -- -- --
........................................................................................................
Putnam VT Global Asset
Allocation Fund
Shares 19,061,170
Cost $279,233,236
........................................................................................................
Market Value: -- -- -- -- --
........................................................................................................
Putnam VT Global Growth Fund
Shares 40,513,240
Cost $580,534,451
........................................................................................................
Market Value: -- -- -- -- --
........................................................................................................
Putnam VT Growth and Income Fund
Shares 97,460,724
Cost $1,929,310,872
........................................................................................................
Market Value: -- -- -- -- --
........................................................................................................
Putnam VT High Yield Fund
Shares 29,813,031
Cost $359,902,417
........................................................................................................
Market Value: -- -- -- -- --
........................................................................................................
Putnam VT Money Market Fund
Shares 211,074,679
Cost $211,074,679
........................................................................................................
Market Value: 211,074,679 -- -- -- --
........................................................................................................
Putnam VT New Opportunities Fund
Shares 49,303,364
Cost $783,098,881
........................................................................................................
Market Value: -- 849,003,923 -- -- --
........................................................................................................
Putnam VT U.S. Government and
High Quality Bond Fund
Shares 15,677,072
Cost $207,064,882
........................................................................................................
Market Value -- -- 207,094,125 -- --
........................................................................................................
Putnam VT Utilities Growth and
Income Fund
Shares 18,475,100
Cost $223,377,332
........................................................................................................
Market Value: -- -- -- 273,431,484 --
........................................................................................................
Putnam VT Voyager Fund
Shares 45,873,148
Cost $1,257,173,323
........................................................................................................
Market Value: -- -- -- -- 1,492,253,505
........................................................................................................
Due from ITT Hartford
Life and Annuity
Insurance Company 2,820,103 1,790,696 161,678 1,058,328 --
........................................................................................................
Receivable from fund
shares sold -- -- -- -- 953,408
- --------------------------------------------------------------------------------------------------------
Total Assets 213,894,782 850,794,619 207,255,803 274,489,812 1,493,206,913
- --------------------------------------------------------------------------------------------------------
Liabilities
Due to ITT Hartford
Life and Annuity
Insurance Company -- -- -- -- 949,181
........................................................................................................
Payable for fund
shares purchased 2,820,458 1,791,934 161,956 1,062,328 --
........................................................................................................
Total Liabilities 2,820,458 1,791,934 161,956 1,062,328 949,181
- --------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $211,074,324 $849,002,685 $207,093,847 $273,427,484 $1,492,257,732
- --------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPTIAL MANAGER TRUST SEPARATE ACCOUNT TWO -- ITT HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
Statement of Assets and Liablilites (continued)
- -----------------------------------------------------------------------------------------------------------------------------
December 31, 1996 Units Unit Contract
Owned by Price Liability
Participants
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C>
Deferred annuity contracts in the accumulation period:
Group Sub-Accounts:
.............................................................................................................................
Asia Pacific Growth Fund Sub-Account 6,979,709 $10.903401 $76,102,568
.............................................................................................................................
Diversified Income Fund Sub-Account 18,268,498 12.127111 221,544,100
.............................................................................................................................
Global Asset Allocation Fund Sub-Account 14,342,397 22.902056 328,470,374
.............................................................................................................................
Global Growth Fund Sub-Account 39,497,886 17.293688 683,064,124
.............................................................................................................................
Growth and Income Fund Sub-Account 73,133,030 32.702761 2,391,652,009
.............................................................................................................................
High Yield Fund Sub-Account 17,030,987 22.682306 386,302,058
.............................................................................................................................
Money Market Fund Sub-Account 147,637,599 1.428989 210,972,505
.............................................................................................................................
New Opportunities Fund Sub-Account 50,976,377 16.634688 847,976,127
.............................................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 11,110,189 18.630709 206,990,692
.............................................................................................................................
Utilities Growth and Income Fund Sub-Account 17,006,322 16.071812 273,322,410
.............................................................................................................................
Voyager Fund Sub-Account 41,120,653 36.227529 1,489,699,663
.............................................................................................................................
Sub-total Group Sub-Accounts: 7,116,096,630
.............................................................................................................................
Annuity contracts in the annuity period:
.............................................................................................................................
Group Sub-Accounts:
.............................................................................................................................
Asia Pacific Growth Fund Sub-Account 1,612 10.903401 17,575
.............................................................................................................................
Diversified Income Fund Sub-Account 4,954 12.127111 60,074
.............................................................................................................................
Global Asset Allocation Fund Sub-Account 14,620 22.902056 334,822
.............................................................................................................................
Global Growth Fund Sub-Account 46,180 17.293688 798,621
.............................................................................................................................
Growth and Income Fund Sub-Account 60,503 32.702761 1,978,605
.............................................................................................................................
High Yield Fund Sub-Account 3,523 22.682306 79,921
.............................................................................................................................
Money Market Fund Sub-Account 71,253 1.428989 101,819
.............................................................................................................................
New Opportunities Fund Sub-Account 61,712 16.634688 1,026,558
.............................................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 5,537 18.630709 103,155
.............................................................................................................................
Utilities Growth and Income Fund Sub-Account 6,538 16.071812 105,074
.............................................................................................................................
Voyager Fund Sub-Account 70,611 36.227529 2,558,069
.............................................................................................................................
Sub-total Group Sub-Accounts: 7,164,293
- -----------------------------------------------------------------------------------------------------------------------------
Grand Total $7,123,260,923
- -----------------------------------------------------------------------------------------------------------------------------
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 Operations
- -------------------------------------------------------------------------------------------------------------------------
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>
Investment income:
Dividends $ 444,348 $ 8,696,565 $10,522,914 $ 9,354,006
.........................................................................................................................
Capital gains income -- -- 6,905,232 13,626,134
.........................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
.........................................................................................................................
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 gain (loss) on
investments 3,916,648 7,191,820 21,824,858 60,759,846
.........................................................................................................................
Expenses:
Mortality and expense
undertakings (677,863) (2,377,825) (3,636,739) (7,304,106)
- -------------------------------------------------------------------------------------------------------------------------
Net increase
in net assets
resulting from
operations $3,683,133 $13,510,560 $35,616,265 $76,435,880
- -------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (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>
Investment income:
Dividends $ 60,150,688 $17,598,932 $7,725,296 $ --
...........................................................................................................................
Capital gains income 27,273,294 -- -- --
...........................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
...........................................................................................................................
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 gain (loss) on
investments 265,011,519 18,335,558 -- 22,579,640
...........................................................................................................................
Expenses:
Mortality and expense
undertakings (24,044,363) (4,078,477) (2,177,748) (8,148,912)
- ---------------------------------------------------------------------------------------------------------------------------
Net increase
in net assets
resulting from
operations $328,391,138 $31,856,013 $5,547,548 $14,430,728
- ---------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (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>
Investment income:
Dividends $10,584,014 $ 8,226,428 $ 17,763,163
......................................................................................................
Capital gains income -- -- 34,544,297
......................................................................................................
Net realized and
unrealized gain (loss)
on investments:
......................................................................................................
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 gain (loss) on
investments (5,220,692) 27,542,142 66,188,219
......................................................................................................
Expenses:
Mortality and expense
undertakings (2,568,363) (3,272,042) (16,026,046)
- ------------------------------------------------------------------------------------------------------
Net increase
in net assets
resulting from
operations $ 2,794,959 $32,496,528 $102,469,633
- ------------------------------------------------------------------------------------------------------
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>
<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 Paciific Diversified Global Asset Global
December 31, 1995 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) $ (52,108) $ 2,907,371 $ 380,924 $(1,785,527)
.........................................................................................................................
Capital gains income -- -- -- 4,647,670
.........................................................................................................................
Net realized gain (loss)
on security transactions 45,350 12,156 13,244 96,200
.........................................................................................................................
Net unrealized
appreciation
of investments
during the period 324,982 12,703,345 33,958,536 39,510,074
.........................................................................................................................
Net increase in net
assets resulting
from operations 318,224 15,622,872 34,352,704 42,468,417
.........................................................................................................................
Unit transactions:
Purchases 8,256,286 3,509,244 31,667,598 74,877,453
.........................................................................................................................
Net transfers 4,626,408 (4,186,538) 3,930,913 3,555,397
.........................................................................................................................
Surrenders (104,818) (4,967,234) (6,946,292) (10,596,903)
.........................................................................................................................
Net annuity transactions 7,244 11,139 83,391 183,233
.........................................................................................................................
Net increase in
net assets resulting
from unit transactions 12,785,120 25,949,611 28,735,610 68,019,180
.........................................................................................................................
Total increase
in net assets 13,103,344 41,572,483 63,088,314 110,487,597
.........................................................................................................................
Net assets:
Beginning of period -- 82,830,861 141,664,308 266,252,481
- -------------------------------------------------------------------------------------------------------------------------
End of period $13,103,344 $124,403,344 $204,752,622 $37,674,078
- -------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets
- ---------------------------------------------------------------------------------------------------------------------------
For the Year Ended Growth High Yield Money New
December 31, 1995 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) $ 11,549,814 $ 10,185,937 $ 2,571,635 $ (1,525,514)
...........................................................................................................................
Capital gains income 5,824,801 -- -- 142,845
...........................................................................................................................
Net realized gain (loss)
on security transactions (9,213) 78,832 -- (5,875)
...........................................................................................................................
Net unrealized
appreciation
of investments
during the period 213,540,442 14,324,591 -- 41,849,801
...........................................................................................................................
Net increase in net
assets resulting
from operations 230,905,844 24,589,360 2,571,635 40,461,257
...........................................................................................................................
Unit transactions:
Purchases 319,833,403 67,095,956 96,115,789 145,442,076
...........................................................................................................................
Net transfers 93,723,475 7,962,393 (46,531,467) 47,343,854
...........................................................................................................................
Surrenders (31,018,066) (8,443,113) (12,195,875) (2,294,814)
...........................................................................................................................
Net annuity transactions 500,392 (5,403) 140,021 294,255
...........................................................................................................................
Net increase in
net assets resulting
from unit transactions 383,039,204 66,609,833 37,528,468 190,785,371
...........................................................................................................................
Total increase
in net assets 613,945,048 91,199,193 40,100,103 231,246,628
...........................................................................................................................
Net assets:
Beginning of period 540,789,490 125,009,356 51,440,500 28,929,440
- ---------------------------------------------------------------------------------------------------------------------------
End of period $1,154,734,538 $216,208,549 $91,540,603 $260,176,068
- ---------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets
- ------------------------------------------------------------------------------------------------------
For the Year Ended U.S. Govt. Utilities Voyager
December 31, 1995 and High Growth Fund
Quality Bond and Income Sub-Account
Fund Fund
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment
income (loss) $ 6,325,698 $ 5,029,651 $ (5,878,030)
.......................................................................................................
Capital gains income -- -- 7,846,764
.......................................................................................................
Net realized gain (loss)
on security transactions 39,522 23,185 (74,997)
.......................................................................................................
Net unrealized
appreciation
of investments
during the period 16,802,723 36,258,759 160,181,394
.......................................................................................................
Net increase in net
assets resulting
from operations 23,167,943 41,311,595 162,075,131
.......................................................................................................
Unit transactions:
Purchases 35,010,416 32,062,808 228,156,885
.......................................................................................................
Net transfers (4,195,566) 5,445,254 61,682,437
.......................................................................................................
Surrenders (6,707,112) (6,579,475) (14,135,562)
.......................................................................................................
Net annuity transactions 43,136 27,865 874,475
.......................................................................................................
Net increase in
net assets resulting
from unit transactions 24,150,874 30,956,452 276,578,235
.......................................................................................................
Total increase
in net assets 47,318,817 72,268,047 438,653,366
.......................................................................................................
Net assets:
Beginning of period 117,896,000 129,160,200 322,064,411
- ------------------------------------------------------------------------------------------------------
End of period $165,214,817 $201,428,247 $760,717,777
- ------------------------------------------------------------------------------------------------------
*From inception, May 1, 1995 to December 31, 1995.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO --
ITT Hartford LIFE AND ANNUITY INSURANCE COMPANY
Notes to Financial Statements:
December 31, 1996
1. ORGANIZATION:
Putnam Capital Manager Trust Separate Account 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. 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.
Dividends 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 December 31, 1996.
C) Federal Income Taxes -- The operations of the Account form a part of,
and are taxed with, the total operations of the Company, which is taxed
as an insurance company under the Internal Revenue Code. Under current
law, no federal income taxes are payable with respect to the operations
of the Account.
D) Use of Estimates -- The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
A) Mortality and Expense Undertakings -- The Company, as issuer of
variable annuity contracts, provides the mortality and expense
undertakings and, with respect to the Account, receives a maximum annual
fee of 1.25% of the Account's average daily net assets. The Company also
provides administrative services and receives an annual fee of 0.15% of
the Account's average daily net assets.
B) Deduction of Annual Maintenance Fees -- Annual maintenance fees are
deducted through termination of units of interest from applicable
contract owners' accounts, in accordance with the terms of the
contracts.
Report of Independent Public Accountants
To ITT Hartford Life and Annuity Insurance Company Putnam Capital
Manager Trust Separate Account Five and to the Owners of Units
of Interest therein:
We have audited the accompanying statement of assets and liabilities of
ITT Hartford Life and Annuity Insurance Company Putnam Capital Manager
Trust Separate Account Five (the Account) as of December 31, 1996, and
the related statement of operations for the year then ended and
statements of changes in net assets for the year ended December 31, 1996
and the period from inception, January 10, 1995, to December 31, 1995.
These financial statements are the responsibility of the Account's
management. Our responsibility is to express an opinion on these
financial statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit
to obtain reasonable assurance about whether the financial statements
are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the
financial statements. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe
that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present
fairly, in all material respects, the financial position of ITT Hartford
Life and Annuity Insurance Company Putnam Capital Manager Trust Separate
Account Five as of December 31, 1996, the results of its operations for
the year then ended and the changes in its net assets for the year ended
December 31, 1996 and the period from inception, January 10, 1995, to
December 31, 1995, in conformity with generally accepted accounting
principles.
ARTHUR ANDERSEN LLP
Hartford, Connecticut
February 14, 1997
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- ITT HARTFORD LIFE AND ANNUITY INSURANCE
<CAPTION>
Statement of Assets and Liabilities
- ------------------------------------------------------------------------------------------------------------------------
December 31, 1996 Asia Pacific Diversified Global Asset Global Growth High Yield
Growth Income Allocation Growth and Income Fund
Fund Fund Fund Fund Fund Sub-Account
Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Assets
Investments:
........................................................................................................................
Putnam VT Asia Pacific Growth Fund
Shares 31,639
Cost $332,220
........................................................................................................................
Market Value: $ 348,343 $ -- $ -- $ -- $ -- $ --
........................................................................................................................
Putnam VT Diversified Income Fund
Shares 149,440
Cost $1,613,208
........................................................................................................................
Market Value: -- 1,684,193 -- -- -- --
........................................................................................................................
Putnam VT Global Asset
Allocation Fund
Shares 92,300
Cost $1,460,811
........................................................................................................................
Market Value: -- -- 1,592,181 -- -- --
........................................................................................................................
Putnam VT Global Growth Fund
Shares 204,225
Cost $3,179,877
........................................................................................................................
Market Value: -- -- -- 3,447,322 -- --
........................................................................................................................
Putnam VT Growth and
Income Fund
Shares 527,388
Cost $11,566,786
........................................................................................................................
Market Value: -- -- -- -- 12,952,638 --
........................................................................................................................
Putnam VT High Yield Fund
Shares 130,539
Cost $1,606,653
........................................................................................................................
Market Value: -- -- -- -- -- 1,691,788
........................................................................................................................
Putnam VT Money Market Fund
Shares 6,925,394
Cost $6,925,394
........................................................................................................................
Market Value: -- -- -- -- -- --
........................................................................................................................
Putnam VT New Opportunities Fund
Shares 397,542
Cost $6,614,167
........................................................................................................................
Market Value: -- -- -- -- -- --
........................................................................................................................
Putnam VT U.S. Government and
High Quality Bond Fund
Shares 45,265
Cost $593,129
........................................................................................................................
Market Value: -- -- -- -- -- --
........................................................................................................................
Putnam VT Utilities Growth and
Income Fund
Shares 71,722
Cost $940,712
........................................................................................................................
Market Value: -- -- -- -- -- --
........................................................................................................................
Putnam VT Voyager Fund
Shares 224,785
Cost $6,990,309
........................................................................................................................
Market Value: -- -- -- -- -- --
........................................................................................................................
Due from ITT Hartford
Life and Annuity
Insurance Company 1 27,205 10,853 32,656 26,852 10
- ------------------------------------------------------------------------------------------------------------------------
Total Assets 348,344 1,711,398 1,603,034 3,479,978 12,979,490 1,691,798
- ------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to ITT Hartford Life
and Annuity Insurance
Company -- -- -- -- -- --
........................................................................................................................
Payable for fund
shares purchased -- 27,226 10,890 32,671 27,226 --
........................................................................................................................
Total Liabilities -- 27,226 10,890 32,671 27,226 --
- ------------------------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities)... $348,344 $1,684,172 $1,592,144 $3,447,307 $12,952,264 $1,691,798
- ------------------------------------------------------------------------------------------------------------------------
Units Outstanding 31,210 129,261 110,336 252,023 782,291 126,752
- ------------------------------------------------------------------------------------------------------------------------
Accumulation Unit Value
at end of period 11.161102 13.029218 14.429914 13.678537 16.556836 13.347317
- ------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liabilities
- -----------------------------------------------------------------------------------------------------
December 31, 1996 Money New U.S. Govt. Utilities Voyager
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 Asia Pacific Growth Fund
Shares 31,639
Cost $332,220
.....................................................................................................
Market Value: $ -- $ -- $ -- $ -- $ --
.....................................................................................................
Putnam VT Diversified Income Fund
Shares 149,440
Cost $1,613,208
.....................................................................................................
Market Value: -- -- -- -- --
.....................................................................................................
Putnam VT Global Asset
Allocation Fund
Shares 92,300
Cost $1,460,811
.....................................................................................................
Market Value: -- -- -- -- --
.....................................................................................................
Putnam VT Global Growth Fund
Shares 204,225
Cost $3,179,877
.....................................................................................................
Market Value: -- -- -- -- --
.....................................................................................................
Putnam VT Growth and
Income Fund
Shares 527,388
Cost $11,566,786
.....................................................................................................
Market Value: -- -- -- -- --
.....................................................................................................
Putnam VT High Yield Fund
Shares 130,539
Cost $1,606,653
.....................................................................................................
Market Value: -- -- -- -- --
.....................................................................................................
Putnam VT Money Market Fund
Shares 6,925,394
Cost $6,925,394
.....................................................................................................
Market Value: 6,925,394 -- -- -- --
.....................................................................................................
Putnam VT New Opportunities Fund
Shares 397,542
Cost $6,614,167
.....................................................................................................
Market Value: -- 6,845,668 -- -- --
.....................................................................................................
Putnam VT U.S. Government and
High Quality Bond Fund
Shares 45,265
Cost $593,129
.....................................................................................................
Market Value: -- -- 597,955 -- --
.....................................................................................................
Putnam VT Utilities Growth and
Income Fund
Shares 71,722
Cost $940,712
.....................................................................................................
Market Value: -- -- -- 1,061,489 --
.....................................................................................................
Putnam VT Voyager Fund
Shares 224,785
Cost $6,990,309
.....................................................................................................
Market Value: -- -- -- -- 7,312,263
.....................................................................................................
Due from ITT Hartford
Life and Annuity
Insurance Company 253,270 11,470 -- 93 307
- -----------------------------------------------------------------------------------------------------
Total Assets 7,178,664 6,857,138 597,955 1,061,582 7,312,570
- -----------------------------------------------------------------------------------------------------
Liabilities
Due to ITT Hartford Life
and Annuity Insurance
Company -- -- 2 -- --
.....................................................................................................
Payable for fund
shares purchased 253,247 10,890 -- -- --
.....................................................................................................
Total Liabilities 253,247 10,890 2 -- --
- -----------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $6,925,417 $6,846,248 $ 597,953 $1,061,582 $7,312,570
- -----------------------------------------------------------------------------------------------------
Units Outstanding 6,252,357 426,940 48,435 69,940 457,231
- -----------------------------------------------------------------------------------------------------
Accumulation Unit Value
at end of period 1.107649 16.035615 12.345439 15.178606 15.993147
- -----------------------------------------------------------------------------------------------------
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 Operations
- -------------------------------------------------------------------------------------------------------------------------
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>
Investment income:
Dividends $ 2,103 $21,970 $ 16,598 $ 23,213
.........................................................................................................................
Capital gains income -- -- 10,892 33,815
.........................................................................................................................
Net realized and
unrealized gain
(loss) on
investments:
.........................................................................................................................
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 gain (loss) on
investments 15,254 76,967 117,135 243,027
- -------------------------------------------------------------------------------------------------------------------------
Net increase
in net assets
resulting from
operations $17,357 $98,937 $144,625 $300,055
- -------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (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>
Investment income:
Dividends $ 190,521 $ 58,411 $208,905 $ --
...........................................................................................................................
Capital gains income 86,385 -- -- --
...........................................................................................................................
Net realized and
unrealized gain
(loss) on
investments:
...........................................................................................................................
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 gain (loss) on
investments 1,193,188 89,372 -- 72,345
- ---------------------------------------------------------------------------------------------------------------------------
Net increase
in net assets
resulting from
operations $1,470,094 $147,783 $208,905 $72,345
- ---------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (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>
Investment income:
Dividends $23,073 $ 20,790 $ 48,841
.....................................................................................................
Capital gains income -- -- 94,981
.....................................................................................................
Net realized and
unrealized gain
(loss) on
investments:
.....................................................................................................
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 gain (loss) on
investments (6,726) 97,870 191,058
- -----------------------------------------------------------------------------------------------------
Net increase
in net assets
resulting from
operations $16,347 $118,660 $334,880
- -----------------------------------------------------------------------------------------------------
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>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- ITT HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- -------------------------------------------------------------------------------------------------------------------------
For the period Asia Paciific Diversified Global Asset Global
from inception Growth Income Allocation Growth
January 10, 1995 to Fund Fund Fund Fund
December 31, 1995 Sub-Account* Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income $ -- $ 521 $ 192 $ 91
.........................................................................................................................
Capital gains income -- -- -- 170
.........................................................................................................................
Net realized gain (loss)
on security transactions (36) 679 134 31
.........................................................................................................................
Net unrealized
appreciation
of investments
during the period 1,006 5,068 14,176 24,935
.........................................................................................................................
Net increase in net
assets resulting
from operations 970 6,268 14,502 25,227
.........................................................................................................................
Unit transactions:
Purchases -- -- -- --
.........................................................................................................................
Net transfers 52,584 112,303 215,112 527,767
.........................................................................................................................
Surrenders (10,314) (12,286) (13,604) (14,119)
.........................................................................................................................
Loan withdrawals -- -- -- --
.........................................................................................................................
Cost of insurance (37) (204) (516) (849)
.........................................................................................................................
Net increase in
net assets resulting
from unit transactions 42,233 99,813 200,992 512,799
.........................................................................................................................
Total increase
in net assets 43,203 106,081 215,494 538,026
.........................................................................................................................
Net assets:
Beginning of period -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------
End of period $43,203 $106,081 $215,494 $538,026
- -------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- ---------------------------------------------------------------------------------------------------------------------------
For the period Growth High Yield Money New
from inception and Income Fund Market Opportunities
January 10, 1995 to Fund Sub-Account Fund Fund
December 31, 1995 Sub-Account Sub-Account Sub-Account
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income $ 387 $ 916 $ 44,306 $ 1
...........................................................................................................................
Capital gains income 100 -- -- 31
...........................................................................................................................
Net realized gain (loss)
on security transactions 18 83 -- (213)
...........................................................................................................................
Net unrealized
appreciation
of investments
during the period 192,416 8,329 -- 150,716
...........................................................................................................................
Net increase in net
assets resulting
from operations 192,921 9,328 44,306 150,535
...........................................................................................................................
Unit transactions:
Purchases -- -- 10,030,006 --
...........................................................................................................................
Net transfers 2,340,814 268,388 (6,734,538) 1,436,274
...........................................................................................................................
Surrenders (23,281) (12,554) (30,724) (21,087)
...........................................................................................................................
Loan withdrawals -- -- (457,482) --
...........................................................................................................................
Cost of insurance (4,246) (334) (10,286) (2,506)
...........................................................................................................................
Net increase in
net assets resulting
from unit transactions 2,313,287 255,500 2,796,976 1,412,681
...........................................................................................................................
Total increase
in net assets 2,506,208 264,828 2,841,282 1,563,216
...........................................................................................................................
Net assets:
Beginning of period -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------
End of period $2,506,208 $264,828 $2,841,282 $1,563,216
- ---------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- -----------------------------------------------------------------------------------------------------
For the period U.S. Govt. Utilities Voyager
from inception and High Growth Fund
January 10, 1995 to Quality Bond and Income Sub-Account
December 31, 1995 Fund Fund
Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment
income $ 696 $ 543 $ 30
.....................................................................................................
Capital gains income -- -- 224
.....................................................................................................
Net realized gain (loss)
on security transactions 99 516 379
.....................................................................................................
Net unrealized
appreciation
of investments
during the period 11,545 25,411 129,891
.....................................................................................................
Net increase in net
assets resulting
from operations 12,340 26,470 130,524
.....................................................................................................
Unit transactions:
Purchases -- -- --
.....................................................................................................
Net transfers 238,607 287,063 1,365,625
.....................................................................................................
Surrenders (13,066) (14,542) (21,100)
.....................................................................................................
Loan withdrawals -- -- --
.....................................................................................................
Cost of insurance (443) (654) (2,654)
.....................................................................................................
Net increase in
net assets resulting
from unit transactions 225,098 271,867 1,341,871
.....................................................................................................
Total increase
in net assets 237,438 298,337 1,472,395
.....................................................................................................
Net assets:
Beginning of period -- -- --
- -----------------------------------------------------------------------------------------------------
End of period $237,438 $298,337 $1,472,395
- -----------------------------------------------------------------------------------------------------
*From inception May 1, 1995 to December 31, 1995.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE --
ITT HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
Notes to Financial Statements
December 31, 1996
1. ORGANIZATION:
Putnam Capital Manager Trust Separate Account Five (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. 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.
Dividends 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 December 31, 1996.
C) Federal Income Taxes -- The operations of the Account form a part of,
and are taxed with, the total operations of the Company, which is taxed
as an insurance company under the Internal Revenue Code. Under current
law, no federal income taxes are payable with respect to the operations
of the Account.
D) Use of Estimates -- The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
In accordance with the terms of the contracts, the Company makes
deductions for mortality and expense undertakings, cost of insurance,
administrative fees, and state premium taxes. These charges are deducted
through termination of units of interest from applicable contract
owners' accounts, in accordance with the terms of the contracts.
Report of Independent Public Accountants
To ITT Hartford Life and Annuity Insurance Company Putnam Capital
Manager Trust Separate Account Variable Life One and to the
Owners of Units of Interest therein:
We have audited the accompanying statement of assets and liabilities of
Diversified Income Fund Sub-Account, Global Asset Allocation Fund Sub-
Account, Global Growth Fund Sub-Account, Growth and Income Fund Sub-
Account, High Yield Fund Sub-Account, New Opportunities Fund Sub-
Account, Money Market Fund Sub-Account, U.S. Government and High Quality
Bond Fund Sub-Account, Utilities Growth and Income Fund Sub-Account and
Voyager Fund Sub-Account (ITT Hartford Life and Annuity Insurance
Company Putnam Capital Manager Trust Separate Account Variable Life One)
(the Account) as of December 31, 1996, and the related statements of
operations and changes in net assets for the period from inception,
October 3, 1996, to December 31, 1996. These financial statements are
the responsibility of the Account's management. Our responsibility is
to express an opinion on these financial statements based on our audit.
We conducted our audit in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit
to obtain reasonable assurance about whether the financial statements
are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the
financial statements. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe
that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present
fairly, in all material respects, the financial position of Diversified
Income Fund Sub-Account, Global Asset Allocation Fund Sub-Account,
Global Growth Fund Sub-Account, Growth and Income Fund Sub-Account, High
Yield Fund Sub-Account, New Opportunities Fund Sub-Account, Money Market
Fund Sub-Account, U.S. Government and High Quality Bond Fund Sub-
Account, Utilities Growth and Income Fund Sub-Account and Voyager Fund
Sub-Account (constituting ITT Hartford Life and Annuity Insurance
Company Putnam Capital Manager Trust Separate Account Variable Life One)
as of December 31, 1996, the results of its operations and the changes
in its net assets for the period from inception, October 3, 1996, to
December 31, 1996, in conformity with generally accepted accounting
principles.
ARTHUR ANDERSEN LLP
Hartford, Connecticut
February 14, 1997
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- ITT HARTFORD LIFE AND ANNUITY INSURANCE
<CAPTION>
Statement of Assets & Liabilities
- -----------------------------------------------------------------------------------------------------
December 31, 1996 Diversified Global Asset Global Growth High Yield
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 91
Cost $1,000
.....................................................................................................
Market Value: $1,030 $ -- $ -- $ -- $ --
.....................................................................................................
Putnam VT Global Asset
Allocation Fund
Shares 63
Cost $1,046
.....................................................................................................
Market Value: -- 1,094 -- -- --
.....................................................................................................
Putnam VT Global Growth Fund
Shares 96
Cost $1,562
.....................................................................................................
Market Value: -- -- 1,615 -- --
.....................................................................................................
Putnam VT Growth and Income Fund
Shares 184
Cost $4,486
.....................................................................................................
Market Value: -- -- -- 4,520 --
.....................................................................................................
Putnam VT High Yield Fund
Shares 79
Cost $1,000
.....................................................................................................
Market Value: -- -- -- -- 1,025
.....................................................................................................
Putnam VT Money Market Fund
Shares 1,012
Cost $1,012
.....................................................................................................
Market Value: -- -- -- -- --
.....................................................................................................
Putnam VT New Opportunities Fund
Shares 58
Cost $1,057
.....................................................................................................
Market Value: -- -- -- -- --
.....................................................................................................
Putnam VT U.S. Government and
High Quality Bond Fund
Shares 328
Cost $4,320
.....................................................................................................
Market Value: -- -- -- -- --
.....................................................................................................
Putnam VT Utilities Growth and
Income Fund
Shares 73
Cost $1,000
.....................................................................................................
Market Value: -- -- -- -- --
.....................................................................................................
Putnam VT Voyager Fund
Shares 72
Cost $2,375
.....................................................................................................
Market Value: -- -- -- -- --
.....................................................................................................
Due from ITT Hartford Life
and Annuity Insurance
Company
- -----------------------------------------------------------------------------------------------------
Total Assets 1,030 1,094 1,615 4,520 1,025
- -----------------------------------------------------------------------------------------------------
Liabilities
Payable for fund shares
purchased -- -- -- -- --
.....................................................................................................
Total Liabilities -- -- -- -- --
- -----------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $1,030 $1,094 $1,615 $4,520 $1,025
- -----------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liabilities
- -----------------------------------------------------------------------------------------------------
December 31, 1996 Money New U.S. Govt. Utilities Voyager
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 Diversified Income Fund
Shares 91
Cost $1,000
.....................................................................................................
Market Value: $ -- $ -- $ -- $ -- $ --
.....................................................................................................
Putnam VT Global Asset
Allocation Fund
Shares 63
Cost $1,046
.....................................................................................................
Market Value: -- -- -- -- --
.....................................................................................................
Putnam VT Global Growth Fund
Shares 96
Cost $1,562
.....................................................................................................
Market Value: -- -- -- -- --
.....................................................................................................
Putnam VT Growth and Income Fund
Shares 184
Cost $4,486
.....................................................................................................
Market Value: -- -- -- -- --
.....................................................................................................
Putnam VT High Yield Fund
Shares 79
Cost $1,000
.....................................................................................................
Market Value: -- -- -- -- --
.....................................................................................................
Putnam VT Money Market Fund
Shares 1,012
Cost $1,012
.....................................................................................................
Market Value: 1,012 -- -- -- --
.....................................................................................................
Putnam VT New Opportunities Fund
Shares 58
Cost $1,057
.....................................................................................................
Market Value: -- 995 -- -- --
.....................................................................................................
Putnam VT U.S. Government and
High Quality Bond Fund
Shares 328
Cost $4,320
.....................................................................................................
Market Value: -- -- 4,331 -- --
.....................................................................................................
Putnam VT Utilities Growth and
Income Fund
Shares 73
Cost $1,000
.....................................................................................................
Market Value: -- -- -- 1,073 --
.....................................................................................................
Putnam VT Voyager Fund
Shares 72
Cost $2,375
.....................................................................................................
Market Value: -- -- -- -- 2,347
.....................................................................................................
Due from ITT Hartford Life
and Annuity Insurance
Company
- -----------------------------------------------------------------------------------------------------
Total Assets 1,012 995 4,331 1,073 2,347
- -----------------------------------------------------------------------------------------------------
Liabilities
Payable for fund shares
purchased -- -- -- -- --
.....................................................................................................
Total Liabilities -- -- -- -- --
- -----------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $1,012 $995 $4,331 $1,073 $2,347
- -----------------------------------------------------------------------------------------------------
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 Assets & Liablilites (continued)
- -----------------------------------------------------------------------------------------------------------------
December 31, 1996 Units Unit Contract
Owned by Price Liability
Participants
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Deferred annuity contracts in the accumulation period:
Group Sub-Accounts:
.................................................................................................................
Diversified Income Fund Sub-Account 85 $12.064581 $1,030
.................................................................................................................
Global Asset Allocation Fund Sub-Account 71 15.301933 1,094
.................................................................................................................
Global Growth Fund Sub-Account 102 15.897325 1,615
.................................................................................................................
Growth and Income Fund Sub-Account 254 17.812315 4,520
.................................................................................................................
High Yield Fund Sub-Account 71 14.470063 1,025
.................................................................................................................
Money Market Fund Sub-Account 865 1.170296 1,012
.................................................................................................................
New Opportunities Fund Sub-Account 67 14.831271 995
.................................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 346 12.504679 4,331
.................................................................................................................
Utilities Growth and Income Fund Sub-Account 72 14.812870 1,073
.................................................................................................................
Voyager Fund Sub-Account 128 18.327403 2,347
- -----------------------------------------------------------------------------------------------------------------
Grand Total $19,042
- -----------------------------------------------------------------------------------------------------------------
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 Operations
- -------------------------------------------------------------------------------------------------------------------------
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>
Investment Income:
Dividends $-- $-- $-- $--
.........................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
.........................................................................................................................
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
- -------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (Continued)
- --------------------------------------------------------------------------------------------------------------------------
For the period from inception High Yield Money New U.S. Govt.
October 3, 1996 to 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>
Investment Income:
Dividends $-- $12 $-- $--
..........................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
. .........................................................................................................................
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
- --------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (Continued)
- ---------------------------------------------------------------------------------
For the period from inception Utilities Voyager
October 3, 1996 to December 31, 1996 Growth Fund
and Income Sub-Account
Fund
Sub-Account
- ---------------------------------------------------------------------------------
<S> <C> <C>
Investment Income:
Dividends $-- $--
.................................................................................
Net realized and
unrealized gain (loss)
on investments:
.................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 73 (28)
- ---------------------------------------------------------------------------------
Net increase
(decrease) in net
assets resulting
from operations $73 $(28)
- ---------------------------------------------------------------------------------
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 AND ANNUITY INSURANCE COMPANY
Notes to Financial Statements
December 31, 1996
1. ORGANIZATION:
Separate Account Variable Life One (the Account) is a separate
investment account with 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 sub-
accounts. These financial statements include ten sub-accounts which
invest solely in the Putnam Variable Trust Funds (the Funds). The other
twelve sub-accounts, which invest in Hartford Mutual Funds 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 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.
Dividends 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 December 31, 1996.
C) Federal Income Taxes -- The operations of the Account form a part of,
and are taxed with, the total operations of the Company, which is taxed
as an insurance company under the Internal Revenue Code. Under current
law, no federal income taxes are payable with respect to the operations
of the Account.
D) Use of Estimates -- The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
In accordance with the terms of the contracts, the Company makes
deductions for mortality and expense undertakings, cost of insurance,
administrative fees, and state premium taxes. These charges are deducted
through termination of units of interest from applicable contract
owners' accounts, in accordance with the terms of the contracts.
Report of Independent Public Accountants
To ITT Hartford Life and Annuity Insurance Company Putnam Capital
Manager Trust Separate Account Variable Life Two and to the
Owners of Units of Interest therein:
We have audited the accompanying statement of assets and liabilities of
Diversified Income Fund Sub-Account, Global Asset Allocation Fund Sub-
Account, Global Growth Fund Sub-Account, Growth and Income Fund Sub-
Account, High Yield Fund Sub-Account, Money Market Fund Sub-Account, New
Opportunities Fund Sub-Account, U.S. Government and High Quality Bond
Fund Sub-Account, Utilities Growth and Income Fund Sub-Account and
Voyager Fund Sub-Account (constituting ITT Hartford Life and Annuity
Insurance Company Putnam Capital Manager Trust Separate Account Variable
Life Two) (the Account) as of December 31, 1996, and the related
statements of operations and changes in net assets for the period from
inception, October 3, 1996, to December 31, 1996. These financial
statements are the responsibility of the Account's management. Our
responsibility is to express an opinion on these financial statements
based on our audit.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit
to obtain reasonable assurance about whether the financial statements
are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the
financial statements. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe
that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present
fairly, in all material respects, the financial position of Diversified
Income Fund Sub-Account, Global Asset Allocation Fund Sub-Account,
Global Growth Fund Sub-Account, Growth and Income Fund Sub-Account, High
Yield Fund Sub-Account, Money Market Fund Sub-Account, New Opportunities
Fund Sub-Account, U.S. Government and High Quality Bond Fund Sub-
Account, Utilities Growth and Income Fund Sub-Account and Voyager Fund
Sub-Account (constituting ITT Hartford Life and Annuity Insurance
Company Putnam Capital Manager Trust Separate Account Variable Life Two)
as of December 31, 1996, the results of its operations and the changes
in its net assets for the period from inception, October 3, 1996, to
December 31, 1996, in conformity with generally accepted accounting
principles.
ARTHUR ANDERSEN LLP
Hartford, Connecticut
February 14, 1997
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- ITT HARTFORD LIFE AND ANNUITY INSURANCE
<CAPTION>
Statement of Assets and Liabilities
- -----------------------------------------------------------------------------------------------------
December 31, 1996 Diversified Global Asset Global Growth High
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 91
Cost $1,000
.....................................................................................................
Market Value: $1,030 $ -- $ -- $ -- $ --
.....................................................................................................
Putnam VT Global Asset
Allocation Fund
Shares 61
Cost $1,000
.....................................................................................................
Market Value: -- 1,047 -- -- --
.....................................................................................................
Putnam VT Global Growth Fund
Shares 62
Cost $1,000
.....................................................................................................
Market Value: -- -- 1,046 -- --
.....................................................................................................
Putnam VT Growth and Income Fund
Shares 1,078
Cost $26,473
.....................................................................................................
Market Value: -- -- -- 26,487 --
.....................................................................................................
Putnam VT High Yield Fund
Shares 79
Cost $1,000
.....................................................................................................
Market Value: -- -- -- -- 1,025
.....................................................................................................
Putnam VT Money Market Fund
Shares 1,011
Cost $1,011
.....................................................................................................
Market Value: -- -- -- -- --
.....................................................................................................
Putnam VT New Opportunities Fund
Shares 54
Cost $1,000
.....................................................................................................
Market Value: -- -- -- -- --
.....................................................................................................
Putnam VT U.S. Government and
High Quality Bond Fund
Shares 78
Cost $1,000
.....................................................................................................
Market Value: -- -- -- -- --
.....................................................................................................
Putnam VT Utilities Growth and
Income Fund
Shares 73
Cost $1,000
.....................................................................................................
Market Value: -- -- -- -- --
.....................................................................................................
Putnam VT Voyager Fund
Shares 30
Cost $1,000
.....................................................................................................
Market Value: -- -- -- -- --
.....................................................................................................
Receivable from fund
shares sold
.....................................................................................................
Total Assets 1,030 1,047 1,046 26,487 1,025
- -----------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $1,030 $1,047 $1,046 $26,487 $1,025
- -----------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liabilities (Continued)
- -----------------------------------------------------------------------------------------------------
December 31, 1996 Money New U.S. Govt. Utilities Voyager
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 Diversified Income Fund
Shares 91
Cost $1,000
.....................................................................................................
Market Value: $ -- $ -- $ -- $ -- $ --
.....................................................................................................
Putnam VT Global Asset
Allocation Fund
Shares 61
Cost $1,000
.....................................................................................................
Market Value: -- -- -- -- --
.....................................................................................................
Putnam VT Global Growth Fund
Shares 62
Cost $1,000
.....................................................................................................
Market Value: -- -- -- -- --
.....................................................................................................
Putnam VT Growth and Income Fund
Shares 1,078
Cost $26,473
.....................................................................................................
Market Value: -- -- -- -- --
.....................................................................................................
Putnam VT High Yield Fund
Shares 79
Cost $1,000
.....................................................................................................
Market Value: -- -- -- -- --
.....................................................................................................
Putnam VT Money Market Fund
Shares 1,011
Cost $1,011
.....................................................................................................
Market Value: 1,011 -- -- -- --
.....................................................................................................
Putnam VT New Opportunities Fund
Shares 54
Cost $1,000
.....................................................................................................
Market Value: -- 937 -- -- --
.....................................................................................................
Putnam VT U.S. Government and
High Quality Bond Fund
Shares 78
Cost $1,000
.....................................................................................................
Market Value: -- -- 1,029 -- --
.....................................................................................................
Putnam VT Utilities Growth and
Income Fund
Shares 73
Cost $1,000
.....................................................................................................
Market Value: -- -- -- 1,073 --
.....................................................................................................
Putnam VT Voyager Fund
Shares 30
Cost $1,000
.....................................................................................................
Market Value: -- -- -- -- 977
.....................................................................................................
Receivable from fund
shares sold 1 -- -- -- --
.....................................................................................................
Total Assets 1,012 937 1,029 1,073 977
- -----------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $1,012 $937 $1,029 $1,073 $977
- -----------------------------------------------------------------------------------------------------
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 Assets & Liablilites (continued)
- --------------------------------------------------------------------------------------------------------------------
December 31, 1996 Units Unit Contract
Owned by Price Liability
Participants
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Deferred annuity contracts in the accumulation period:
Group Sub-Accounts:
....................................................................................................................
Diversified Income Fund Sub-Account 85 $12.064581 $ 1,030
....................................................................................................................
Global Asset Allocation Fund Sub-Account 68 15.301933 1,047
....................................................................................................................
Global Growth Fund Sub-Account 66 15.897325 1,046
....................................................................................................................
Growth and Income Fund Sub-Account 1,487 17.812315 26,487
....................................................................................................................
High Yield Fund Sub-Account 71 14.470063 1,025
....................................................................................................................
Money Market Fund Sub-Account 865 1.170296 1,012
....................................................................................................................
New Opportunities Fund Sub-Account 63 14.831271 937
....................................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 82 12.504679 1,029
....................................................................................................................
Utilities Growth and Income Fund Sub-Account 72 14.812870 1,073
....................................................................................................................
Voyager Fund Sub-Account 53 18.327403 977
- --------------------------------------------------------------------------------------------------------------------
Grand Total $35,663
- --------------------------------------------------------------------------------------------------------------------
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 Operations
- -------------------------------------------------------------------------------------------------------------------------
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>
Investment income:
Dividends $-- $-- $-- $--
.........................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
.........................................................................................................................
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
- -------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (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>
Investment income:
Dividends $-- $12 $ -- $--
..........................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
..........................................................................................................................
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
- --------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (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>
Investment income:
Dividends $-- $ --
.................................................................................
Net realized and
unrealized gain (loss)
on investments:
.................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 73 (23)
- ---------------------------------------------------------------------------------
Net increase
(decrease) in net
assets resulting
from operations $73 $(23)
- ---------------------------------------------------------------------------------
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 AND ANNUITY INSURANCE COMPANY
Notes to Financial Statements
December 31, 1996
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 sub-
accounts. These financial statements include ten sub-accounts which
invest solely in the Putnam Variable Trust Funds (the Funds). The other
twelve sub-accounts, which invest in Hartford Mutual Funds 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 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.
Dividends 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 Hartford, and
Fidelity mutual funds are valued at the closing net asset value per
share as determined by the appropriate Fund as of December 31, 1996.
C) Federal Income Taxes -- The operations of the Account form a part of,
and are taxed with, the total operations of the Company, which is taxed
as an insurance company under the Internal Revenue Code. Under current
law, no federal income taxes are payable with respect to the operations
of the Account.
D) Use of Estimates -- The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
In accordance with the terms of the contracts, the Company makes
deductions for mortality and expense undertakings, cost of insurance,
administrative fees, and state premium taxes. These charges are deducted
through termination of units of interest from applicable contract
owners' accounts, in accordance with the terms of the contracts.
Report of Independent Accountants
To the Trustees and Shareholders of
Putnam Variable Trust
In our opinion, the accompanying statements of assets and
liabilities, including the portfolios of investments owned, and the
related statements of operations and of changes in net assets and
the financial highlights present fairly, in all material respects,
the financial position of each of the eleven funds constituting
Putnam Variable Trust (the "Trust"), formerly Putnam Capital Manager
Trust, at December 31, 1996, and the results of each of their
operations, the changes in each of their net assets and the
financial highlights for the periods indicated, in conformity with
generally accepted accounting principles. These financial
statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Trust's
management; our responsibility is to express an opinion on these
financial statements based on our audits. We conducted our audits
of these financial statements in accordance with generally accepted
auditing standards which require that we plan and perform the audit
to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting
principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe
that our audits, which included confirmation of investments owned at
December 31, 1996 by correspondence with the custodian and brokers
and the application of alternative auditing procedures where
confirmations from brokers were not received, provide a reasonable
basis for the opinion expressed above.
Price Waterhouse LLP
Boston, Massachusetts
February 11, 1997
<TABLE>
<CAPTION>
Putnam VT Asia Pacific Growth Fund
Portfolio of investments owned
December 31, 1996
COMMON STOCKS (92.7%) *
- ------------------------------------------------------------------------------
Number of Shares Value
..............................................................................
<S> <C> <C> <C> <C>
Australia (8.0%)
..............................................................................
116,900 Commonwealth Bank of Australia $1,118,240
..............................................................................
30,600 Commonwealth Bank of Australia
(Installment Shares) 190,361
..............................................................................
76,000 CRA Ltd. 1,192,545
..............................................................................
245,000 CSL Ltd. 1,158,182
..............................................................................
2,010,000 Goodman Fielder Ltd. 2,491,234
..............................................................................
40,000 News Corp. Ltd. ADR 835,000
..............................................................................
196,000 QBE Insurance Group Ltd. 1,032,435
..............................................................................
420,400 Westpac Banking Corp. 2,391,496
- ------------------------------------------------------------------------------
10,409,493
- ------------------------------------------------------------------------------
Hong Kong (20.8%)
..............................................................................
1,000,000 Amoy Properties Ltd. 1,441,686
..............................................................................
219,000 Cheung Kong Holdings Ltd. 1,946,761
..............................................................................
354,000 Citic Pacific Ltd. 2,055,159
..............................................................................
300,000 Dao Heng Bank Group Ltd. 1,439,100
..............................................................................
937,525 First Pacific Co., Ltd. 1,218,273
..............................................................................
328,000 Guoco Group Ltd. 1,836,359
..............................................................................
770,000 HKR International Ltd. 1,299,263
..............................................................................
700,000 Hong Kong and China Gas Co. Ltd. 1,353,116
..............................................................................
187,000 Hong Kong Electric Holdings Ltd. 621,399
..............................................................................
520,000 Hong Kong Land Holdings Ltd. 1,445,600
..............................................................................
129,894 HSBC Holdings PLC 2,779,604
..............................................................................
220,000 Hutchison Whampoa, Ltd. 1,728,084
..............................................................................
1,077,000 Oriental Press Group 483,912
..............................................................................
620,000 South China Morning Post Ltd. 513,059
..............................................................................
156,000 Sun Hung Kai Properties Ltd. 1,911,171
..............................................................................
194,000 Swire Pacific Ltd. Class A 1,849,948
..............................................................................
625,000 Varitronix International Ltd. 1,131,368
..............................................................................
420,000 Wharf (Holdings) Ltd 2,096,199
- ------------------------------------------------------------------------------
27,150,061
- ------------------------------------------------------------------------------
Indonesia (2.3%)
..............................................................................
50,000 Astra International 137,654
..............................................................................
240,000 Bank Bali 599,747
..............................................................................
326,500 Daya Guna Samudera + 380,295
..............................................................................
172,000 Kalbe Farma 196,697
..............................................................................
326,936 PT Mulia Industrindo 339,261
..............................................................................
325,000 PT Ramayana Lestari Sentosa + 702,034
..............................................................................
117,000 PT Tigaraksa Satria 163,533
..............................................................................
100,000 Sampoerna Industries 533,673
- ------------------------------------------------------------------------------
3,052,894
- ------------------------------------------------------------------------------
Japan (31.5%)
..............................................................................
108,000 Bridgestone Corp. 2,048,276
..............................................................................
94,000 Canon, Inc. 2,074,483
..............................................................................
49,000 Chuo Trust & Banking Co., Ltd. 417,767
..............................................................................
100,000 Cosmo Oil Co. Ltd. 480,172
..............................................................................
80,000 Dai Nippon Printing Co., Ltd. 1,400,000
..............................................................................
42,000 Daikin Industries Ltd. 372,931
..............................................................................
160 East Japan Railway Co. 718,621
..............................................................................
40,250 Hirose Electric Co. Ltd. 2,328,254
..............................................................................
33,000 Hokuriku Electric Power Co. 640,086
..............................................................................
22,000 Ito-Yokado Co. Ltd. 955,862
..............................................................................
130,000 KAO Corp. 1,512,931
..............................................................................
12,000 Keyence Corp 1,479,310
..............................................................................
55,300 Kurita Water Industries Ltd. 1,115,535
..............................................................................
90,000 Marui Co., Ltd. 1,621,552
..............................................................................
20,000 Mimasu Semiconductor Industry 293,103
..............................................................................
247,000 Mitsubishi Heavy Industries, Ltd. 1,958,966
..............................................................................
130,000 Mitsui Fudoscan Co. Ltd. 1,053,448
..............................................................................
214,000 NEC Corp. 2,582,759
..............................................................................
125 Nippon Telegraph and Telephone 946,121
..............................................................................
137,000 Obayashi Corp. 923,569
..............................................................................
33,000 Omron Corp. 620,172
..............................................................................
67,000 Onward Kashiyama Co., Ltd. 941,466
..............................................................................
30,000 Ryosan Co. 667,241
..............................................................................
47,000 Sankyo Co., Ltd. 1,328,966
..............................................................................
70,300 Santen Pharmaceutical 1,454,483
..............................................................................
80,000 Sharp Corp. 1,137,931
..............................................................................
86,000 Shin-Etsu Chemical Co. 1,564,310
..............................................................................
150,000 Taiyo Yuden Co., Ltd. 2,094,828
..............................................................................
41,000 TDK Corp. 2,668,535
..............................................................................
91,000 Toyota Motor Corp. 2,612,328
..............................................................................
55,000 Yamanouchi Pharmaceutical Co. Ltd. 1,128,448
- ------------------------------------------------------------------------------
41,142,454
- ------------------------------------------------------------------------------
Malaysia (14.2%)
..............................................................................
242,000 AMMB Holdings Berhad 2,031,842
..............................................................................
120,000 Cement Industries of Malaysia Berhad 361,188
..............................................................................
160,000 Edaran Otomobil Nasional Berhad 1,600,000
..............................................................................
350,000 Gamuda Berhad 1,483,168
..............................................................................
212,000 Hong Leong Credit Berhad 1,334,970
..............................................................................
180,000 Malayan Banking Berhad 1,996,040
..............................................................................
244,375 Malaysian Assurance Alliance 1,190,421
..............................................................................
100,000 Maruichi Malaysia Steel Tube 358,416
..............................................................................
650,000 Multi-Purpose Holdings Berhad 1,261,386
..............................................................................
220,000 Perusahaan Otomobil Nasional Berhad 1,394,059
..............................................................................
600,000 Sungei Way Holdings Berhad 1,782,178
..............................................................................
60,000 Sungei Way Holdings Berhad Rights
expiration date 2/3/97+ 66,535
..............................................................................
140,000 Telekom Malaysia Berhad 1,247,525
..............................................................................
275,000 UMW Holdings Berhad 1,285,149
..............................................................................
224,000 YTL Corp. Berhad 1,206,495
- ------------------------------------------------------------------------------
18,599,372
- ------------------------------------------------------------------------------
New Zealand (0.9%)
..............................................................................
240,000 Telecom Corp. of New Zealand Ltd. 1,223,010
- ------------------------------------------------------------------------------
Philippines (1.9%)
..............................................................................
1,000,000 Bankard, Inc. + 357,959
..............................................................................
33,126 Metropolitan Bank & Trust Co. 819,950
..............................................................................
1,568,200 Filinvest Development Corp. 465,802
..............................................................................
60,000 Philippine Commercial International 788,271
- ------------------------------------------------------------------------------
2,431,982
- ------------------------------------------------------------------------------
Singapore (9.3%)
..............................................................................
140,000 City Developments Ltd. 1,260,901
..............................................................................
384,000 Clipsal Industries (Holdings) Ltd. 1,397,760
..............................................................................
400,000 Courts Ltd. 497,498
..............................................................................
110,000 Cycle & Carriage Ltd. 1,344,532
..............................................................................
100,000 Development & Commercial Bank 1,350,965
..............................................................................
159,000 Far East Levingston Shipbuilding Ltd. 829,664
..............................................................................
80,000 GP Batteries International Ltd. 265,600
..............................................................................
336,000 Overseas Union Bank Ltd. 2,593,853
..............................................................................
100,000 Singapore Airlines Ltd. 907,791
..............................................................................
660,500 Venture Manufacturing Ltd. 1,642,988
- ------------------------------------------------------------------------------
12,091,552
- ------------------------------------------------------------------------------
South Korea (0.8%)
..............................................................................
25,000 Samsung Electronics 1,012,500
- ------------------------------------------------------------------------------
Thailand (0.9%)
..............................................................................
447,000 Industrial Finance Corp. 1,193,789
- ------------------------------------------------------------------------------
United States (2.1%)
..............................................................................
62,750 AFLAC Inc. 2,682,563
- ------------------------------------------------------------------------------
Total Common Stocks
(cost $112,948,789) $120,989,670
- ------------------------------------------------------------------------------
INVESTMENT COMPANIES (3.2%) *
- ------------------------------------------------------------------------------
Number of Shares Value
..............................................................................
Taiwan (2.4%)
..............................................................................
110,000 ROC Taiwan Fund $1,127,500
..............................................................................
86,600 Taiwan Fund, Inc. 1,926,850
- ------------------------------------------------------------------------------
3,054,350
- ------------------------------------------------------------------------------
Thailand (0.2%)
..............................................................................
700,000 Ruam Pattana Fund 286,560
- ------------------------------------------------------------------------------
United Kingdom (0.6%)
..............................................................................
47,000 JF Philippine Fund 804,875
- ------------------------------------------------------------------------------
Total Investment Companies
(cost $4,510,723) $4,145,785
- ------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (1.3%) * (cost $1,977,026)
- ------------------------------------------------------------------------------
Principal Amount Value
..............................................................................
$1,800,000 Bangkok Bank Public Co. 144A cv. sub.
3 1/4s, 2004 (Thailand) $1,755,000
- ------------------------------------------------------------------------------
WARRANTS (--%) *+ (cost $--)
- ------------------------------------------------------------------------------
Number of
Warrants Value
..............................................................................
75,000 Gamuda Berhad Rights
expiration date 12/31/25 (Malaysia) $3
- ------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (3.3%) * (cost $4,296,806)
- ------------------------------------------------------------------------------
Principal Amount Value
..............................................................................
$4,296,000 Interest in $624,569,000 joint repurchase
agreement dated December 31, 1996
with SBC Warburg, Inc. due January 2, 1997
with respect to various U.S. Treasury
obligations -- maturity value of
$4,297,611 for an effective yield
of 6.75% $4,296,806
- ------------------------------------------------------------------------------
Total Investments
(cost $123,733,344) *** $131,187,264
- ------------------------------------------------------------------------------
<CAPTION>
Forward Currency Contracts to Sell at December 31, 1996
(aggregate face value $13,078,407)
- ------------------------------------------------------------------------------
Market Aggregate Delivery Unrealized
Value Face Value Date Appreciation
..............................................................................
<S> <C> <C> <C> <C>
Japanese Yen $12,255,386 $13,078,407 1/6/97 $823,021
- ------------------------------------------------------------------------------
See page 76 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS
</TABLE>
<TABLE>
<CAPTION>
Putnam VT Diversified Income Fund
Portfolio of investments owned
December 31, 1996
CORPORATE BONDS AND NOTES (36.5%)
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
<S> <C> <C> <C> <C>
Advertising (0.2%)
........................................................................................
$75,000 Adams Outdoor Advertising, Ltd. sr. notes
10 3/4s, 2006 $79,781
........................................................................................
350,000 Lamar Advertising Co. sr. sub. notes
9 5/8s, 2006 360,500
........................................................................................
75,000 Outdoor Systems, In. sr. sub. notes
9 3/8s, 2006 77,250
........................................................................................
460,000 Universal Outdoor, In. sr. sub. notes
9 3/4s, 2006 474,950
........................................................................................
992,481
- ----------------------------------------------------------------------------------------
Aerospace and Defense (0.5%)
........................................................................................
700,000 Alliant Techsystems, In. sr. sub. notes
11 3/4s, 2003 785,750
........................................................................................
1,000,000 BE Aerospace sr. notes 9 3/4s, 2003 1,045,000
........................................................................................
400,000 Sequa Corp. sr. sub. notes 9 3/8s, 2003 408,000
........................................................................................
200,000 UNC, Inc. sr. notes 9/1/8s, 20003 203,000
........................................................................................
150,000 UNC, Inc. sr. sub. notes 11s, 2006 160,500
........................................................................................
2,602,250
- ----------------------------------------------------------------------------------------
Agriculture (0.4%)
........................................................................................
1,750,000 PMI Holdings Corp. sub. disc. deb.
stepped-coupon Ser. B, zero %
(11 1/2s, 9/1/00), 2005 ++ 1,141,875
........................................................................................
831,563 Premium Standard Farms, Inc. sr. secd.
notes 11s, 2003 +++++ 879,378
- ----------------------------------------------------------------------------------------
2,021,253
- ----------------------------------------------------------------------------------------
Airlines (0.2%)
........................................................................................
835,000 Greenwich Air Services, Inc. sr. notes
10 1/2s, 2006 889,275
- ----------------------------------------------------------------------------------------
Automotive (0.2%)
........................................................................................
315,000 CSK Auto, Inc. 144A sr. sub. notes
11s, 2006 330,750
........................................................................................
130,000 Hawk Corp. 144A sr. notes 10 1/4s, 2003 132,600
........................................................................................
590,000 Lear Corp. sub. notes 9 1/2s, 2006 637,200
........................................................................................
70,000 Safelite Glass Corp. 144A sr. sub. notes
9 7/8s, 2006 72,100
- ----------------------------------------------------------------------------------------
1,172,650
- ----------------------------------------------------------------------------------------
Automotive Parts (0.5%)
........................................................................................
350,000 A.P.S. Inc. company guaranty
11 7/8s, 2006 381,500
........................................................................................
1,000,000 Aftermarket Technology Corp. sr. sub.
notes 12s, 2004 1,117,500
........................................................................................
500,000 Exide Corp. sr. notes 10s, 2005 518,750
........................................................................................
450,000 Key Plastics Corp. sr. notes 14s, 1999 468,000
- ----------------------------------------------------------------------------------------
2,485,750
- ----------------------------------------------------------------------------------------
Banks (0.4%)
........................................................................................
250,000 Bancomext bank guaranteed
11.25s, 2006 (Mexico) 271,875
........................................................................................
695,000 Chevy Chase Savings Bank Inc. sub. deb.
9 1/4s, 2005 708,900
........................................................................................
250,000 First Nationwide Holdings 144A sr. sub.
notes 10 5/8s, 2003 270,000
........................................................................................
250,000 North Fork Bancorp, Inc. 144A bonds
8.7s, 2026 250,625
........................................................................................
270,000 Provident Capital Trust 144A jr. sub. notes
8.6s, 2026 273,731
........................................................................................
160,000 Riggs Capital Trust 144A bonds
8 5/8s, 2026 160,000
- ----------------------------------------------------------------------------------------
1,935,131
- ----------------------------------------------------------------------------------------
Basic Industrial Products (0.1%)
........................................................................................
95,000 Astor Corp. 144A sr. sub. notes
10 1/2s, 2006 97,138
........................................................................................
145,000 Ryder TRS Inc. 144A sr. sub. notes
10s, 2006 150,800
- ----------------------------------------------------------------------------------------
247,938
- ----------------------------------------------------------------------------------------
Broadcasting (3.1%)
........................................................................................
1,000,000 Affinity Group sr. sub. notes
11 1/2s, 2003 1,040,000
........................................................................................
1,000,000 Argyle Television Corp. sr. sub. notes
9 3/4s, 2005 1,015,000
........................................................................................
185,000 Chancellor Broadcasting Co. sr. sub. notes
9 3/8s, 2004 186,850
........................................................................................
825,000 Commodore Media, Inc. sr. sub. notes
stepped-coupon 7 1/2s, (13 1/4s, 5/1/98),
2003 ++ 870,375
........................................................................................
500,000 Echostar Satellite Broadcast Corp. sr. disc.
notes stepped-coupon zero %
(13 1/8s, 3/15/00), 2004 ++ 377,500
........................................................................................
500,000 Granite Broadcasting Corp. sr. sub. notes
9 3/8s, 2005 480,000
........................................................................................
125,000 Gray Communications Systems, Inc.
sr. sub. notes 10 5/8s, 2006 132,500
........................................................................................
1,250,000 Heritage Media Corp. sr. sub. notes
8 3/4s, 2006 1,200,000
........................................................................................
175,000 Jacor Communications, Inc. company
guaranty 9 3/4s, 2006 177,625
........................................................................................
115,000 Jacor Communications, Inc. sr. sub. notes
10 1/8s, 2006 118,450
........................................................................................
1,500,000 Lenfest Communications, Inc. sr. notes
8 3/8s, 2005 1,449,375
........................................................................................
485,000 Net Sat Servicos Ltd. 144A sr. notes
12 3/4s, 2004 (Brazil) 507,431
........................................................................................
750,000 Park Broadcasting, Inc. sr. notes Ser. B,
11 3/4s, 2004 881,250
........................................................................................
1,250,000 Paxson Communications Corp. 144A
sr. sub. notes 11 5/8s, 2002 1,303,125
........................................................................................
1,227,000 Petracom Holdings, Inc. notes
stepped-coupon zero % (17 1/2s, 8/1/98),
2003 ++ 1,055,220
........................................................................................
975,000 SFX Broadcasting, Inc. sr. sub. notes
Ser. B, 10 3/4s, 2006 1,028,625
........................................................................................
1,361,000 Telemedia Broadcasting Corp. 144A deb.
stepped-coupon 3.8s, (16s, 6/15/99),
2004 ++ 1,238,510
........................................................................................
2,060,000 Telewest Communications PLC deb.
stepped-coupon zero % (11s, 10/1/00),
2007 (United Kingdom) ++ 1,436,850
........................................................................................
1,110,000 Videotron Holdings. sr. disc. notes
stepped-coupon zero % (11s, 8/15/00),
2005 (United Kingdom) ++ 893,550
- ----------------------------------------------------------------------------------------
15,392,236
- ----------------------------------------------------------------------------------------
Building and Construction (1.2%)
........................................................................................
320,000 Atrium Companies Inc. 144A sr. sub.
notes 10 1/2s, 2006 325,600
........................................................................................
160,000 Clark Material Handling Co. 144A sr.
notes 10 3/4s, 2006 166,400
........................................................................................
940,000 Inter-City Products sr. notes 9 3/4s, 2000 954,100
........................................................................................
1,000,000 Presley Cos. sr. notes 12 1/2s, 2001 965,000
........................................................................................
1,000,000 Schuller International Corp. sr. notes
10 7/8s, 2004 1,112,500
........................................................................................
250,000 Scotsman Group, Inc. sr. secd. notes
9 1/2s, 2000 256,250
........................................................................................
1,550,000 Terex Corp. sr. notes Ser. B, 13 1/4 1,670,125
........................................................................................
500,000 Webb (DEL E.) Corp. sr. notes
10 7/8s, 2000 515,000
- ----------------------------------------------------------------------------------------
5,964,975
- ----------------------------------------------------------------------------------------
Building Products (0.5%)
........................................................................................
750,000 American Standard, Inc. deb. 9 1/4s, 2016 780,000
........................................................................................
110,000 Building Materials Corp. 144A sr. notes
8 5/8s, 2006 109,725
........................................................................................
500,000 Cemex S.A. 144A bonds 12 3/4s, 2006
(Mexico) 561,250
........................................................................................
600,000 Southdown Inc. sr. sub. notes Ser. B, 10s,
2006 633,000
........................................................................................
400,000 Waxman Industries Inc. sr. notes
stepped-coupon Ser. B, zero %
(12 3/4s, 6/1/99), 2004 ++ 293,000
- ----------------------------------------------------------------------------------------
2,376,975
- ----------------------------------------------------------------------------------------
Buses (0.2%)
........................................................................................
1,475,000 Consorcio/MCII Holdings sec. notes
stepped-coupon zero % (12s, 11/15/98),
2002 ++ 1,216,875
- ----------------------------------------------------------------------------------------
Business Services (0.2%)
........................................................................................
250,000 Corporate Express, Inc. sr. sub. notes
Ser. B, 9 1/8s, 2004 255,000
........................................................................................
260,000 Intertek Finance PLC 144A sr. sub. notes
10 1/4s, 2006 (United Kingdom) 270,400
........................................................................................
225,000 Pierce Leahy Corp. sr. sub. notes
11 1/8s, 2006 245,813
- ----------------------------------------------------------------------------------------
771,213
- ----------------------------------------------------------------------------------------
Cable Television (2.1%)
........................................................................................
50,000 Adelphia Communications Corp. notes
Ser. B, 9 7/8s, 2005 46,250
........................................................................................
800,000 Adelphia Communications Corp. sr. notes
12 1/2s, 2002 820,000
........................................................................................
1,203,970 Adelphia Communications Corp. sr. notes
9 1/2s, 2004 ++++ 1,041,434
........................................................................................
700,000 Century Communications Corp. sr. sub.
deb. 11 7/8s, 2003 742,000
........................................................................................
1,100,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(11 3/4s, 12/15/00), 2005 ++ 792,000
........................................................................................
185,000 Frontiervision Operating Partners L.P.
sr. sub. notes 11s, 2006 186,388
........................................................................................
400,000 Grupo Televisa S.A. 144A sr. notes
11 7/8s, 2006 (Mexico) 444,000
........................................................................................
800,000 Heartland Wireless Communications, Inc.
144A sr. notes 14s, 2004 830,000
........................................................................................
1,500,000 Jones Intercable, Inc. sr. sub. deb.
10 1/2s, 2008 1,620,000
........................................................................................
500,000 Marcus Cable Co. (L.P.) sr. disc. notes
stepped-coupon zero %
(14 1/4s, 6/15/00), 2005 ++ 353,125
........................................................................................
1,000,000 Marcus Cable Co. (L.P.) sr. sub. disc. notes
stepped-coupon zero %
(13 1/2s, 8/1/99), 2004 ++ 820,000
........................................................................................
500,000 Rogers Cablesystem Ltd. deb.
10 1/8s, 2012 (Canada) 518,750
........................................................................................
750,000 Tevecap S.A. 144A sr. notes
12 5/8s, 2004 (Brazil) 766,875
........................................................................................
165,000 TV Filme, Inc. 144A sr. notes
12 7/8s, 2004 (Brazil) 165,619
........................................................................................
1,390,000 UIH Australia/Pacific, Inc. sr. disc. notes
stepped-coupon Ser. B, zero %
(14s, 5/15/01), 2006 (Australia) ++ 736,700
........................................................................................
525,000 Wireless One, Inc. sr. notes 13s, 2003 509,250
- ----------------------------------------------------------------------------------------
10,392,391
- ----------------------------------------------------------------------------------------
Cellular Communications (2.4%)
........................................................................................
500,000 Call-Net Enterprises sr. disc. notes
stepped-coupon zero %
(13 1/4s, 12/1/99), 2004 ++ 410,000
........................................................................................
1,840,000 CellNet Data Systems, Inc. 144A sr. disc.
notes stepped-coupon zero %
(13s, 6/15/00), 2005 ++ 1,269,600
........................................................................................
1,700,000 Cencall Communications Corp. sr. disc.
notes stepped-coupon zero %
(10 1/8s, 1/15/99), 2004 ++ 1,162,375
........................................................................................
1,100,000 Comunicacion Cellular bonds
stepped-coupon zero %
(13 1/8s, 11/15/00), 2003 (Colombia) 731,500
........................................................................................
1,750,000 Dial Call Communications, Inc. sr. disc.
notes stepped-coupon zero %
(12 1/4s, 4/15/99), 2004 ++ 1,260,000
........................................................................................
1,500,000 Intercel, Inc. sr. disc. notes
stepped-coupon zero %
(12s, 5/1/01), 2006 ++ 930,000
........................................................................................
270,000 International Wireless Communications,
Inc. sr. disc. notes zero %, 2001 148,500
........................................................................................
900,000 Millicom International Cellular S.A. sr. disc.
notes stepped-coupon zero %
(13 1/2s, 6/1/01), 2006 (Luxembourg) 558,000
........................................................................................
1,200,000 NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero %
(11 1/2s, 9/1/98), 2003 ++ 936,000
........................................................................................
1,100,000 NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero %
(9 3/4s, 2/15/99), 2004 ++ 750,750
........................................................................................
1,000,000 Omnipoint Corp. 144A sr. notes Ser. A,
11 5/8s, 2006 1,040,000
........................................................................................
245,000 Omnipoint Corp. sr. notes 11 5/8s, 2006 252,350
........................................................................................
750,000 Pricellular Wireless Corp. 144A sr. notes
10 3/4s, 2004 780,000
........................................................................................
1,500,000 Pricellular Wireless Corp. sr. disc. notes
stepped-coupon Ser. B, zero %
(14s, 11/15/97), 2001 ++ 1,470,000
........................................................................................
300,000 Western Wireless Corp. sr. sub. notes
10 1/2s, 2007 314,625
- ----------------------------------------------------------------------------------------
12,013,700
- ----------------------------------------------------------------------------------------
Chemicals (0.8%)
........................................................................................
1,150,000 Acetex Corp. sr. notes 9 3/4s, 2003
(Canada) 1,144,250
........................................................................................
750,000 Arcadian Partner sr. notes 10 3/4s, 2005 823,125
........................................................................................
140,000 Freedom Chemicals, Inc. 144A sr. sub.
notes 10 5/8s, 2006 147,000
........................................................................................
750,000 Harris Chemical Corp. sr. secd. disc. notes
10 1/4s, 2001 779,063
........................................................................................
1,000,000 ISP Holdings, Inc. 144A sr. notes
9 3/4s, 2002 1,025,000
........................................................................................
235,000 Sterling Chemicals Holdings sr. disc. notes
stepped-coupon zero %
(13 1/2s, 8/15/01), 2008 ++ 136,300
- ----------------------------------------------------------------------------------------
4,054,738
- ----------------------------------------------------------------------------------------
Computer Equipment (0.2%)
........................................................................................
1,000,000 Computervision Corp. sr. sub. notes
11 3/8s, 1999 1,046,250
- ----------------------------------------------------------------------------------------
Computer Services (0.1%)
........................................................................................
660,000 Unisys Corp. sr. notes 11 3/4s, 2004 704,550
- ----------------------------------------------------------------------------------------
Consumer Durable Goods (0.4%)
........................................................................................
500,000 Ekco Group Inc. company guaranty
Ser. B, 9 1/4s, 2006 490,000
........................................................................................
485,000 Icon Fitness Corp. 144A sr. disc. notes
stepped-coupon zero %
(14s, 11/15/01), 2006 ++ 254,625
........................................................................................
140,000 Rayovac Corp. 144A sr. sub. notes
10 1/4s, 2006 143,500
........................................................................................
1,000,000 Remington Products Co. sr. sub. notes
Ser. B, 11s, 2006 850,000
- ----------------------------------------------------------------------------------------
1,738,125
- ----------------------------------------------------------------------------------------
Consumer Services (0.3%)
........................................................................................
1,300,000 Coinmach Corp. sr. notes Ser. B,
11 3/4s, 2005 1,407,250
- ----------------------------------------------------------------------------------------
Cosmetics (0.1%)
........................................................................................
265,000 Revlon Worldwide Corp. sr. disc. notes
Ser. B, zero %, 1998 227,900
- ----------------------------------------------------------------------------------------
Electric Utilities (2.2%)
........................................................................................
445,000 AES China Generating Co. sr. notes
10 1/8s, 2006 (China) 459,463
........................................................................................
850,000 Calpine Corp. sr. notes 10 1/2s, 2006 913,750
........................................................................................
500,000 El Paso Electric Co. 1st mtge. Ser. D,
8.9s, 2006 521,320
........................................................................................
365,000 Empresa Distribuidora Norte 144A
notes 9 3/4s, 2001 (Argentina) 377,319
........................................................................................
623,000 First PV Funding deb. 10.15s, 2016 661,938
........................................................................................
110,000 Hidroelectric Pierda Aguila 144A bonds
10 5/8s, 2001 (Argentina) 115,638
........................................................................................
1,750,000 Long Island Lighting Co. deb. 9s, 2002 1,841,875
........................................................................................
1,990,000 Midland Funding Corp. deb. Ser. A,
11 3/4s, 2005 2,203,248
........................................................................................
500,000 Midland Funding Corp. deb. Ser. B,
13 1/4s, 2006 577,665
........................................................................................
1,000,000 Niagara Mohawk Power Corp. 1st mtge.
8 3/4s, 2022 947,210
........................................................................................
1,066,024 Northeast Utilities System notes Ser. A,
8.58s, 2006 1,047,156
........................................................................................
1,000,000 Texas New Mexico Power deb.
12 1/2s, 1999 1,086,350
- ----------------------------------------------------------------------------------------
10,752,932
- ----------------------------------------------------------------------------------------
Electronic Components (0.1%)
........................................................................................
330,000 Motors and Gears Inc. 144A sr. notes
Ser. A, 10 3/4s, 2006 339,900
- ----------------------------------------------------------------------------------------
Electronics (0.9%)
........................................................................................
1,000,000 Amphenol Corp. sr. notes 10.95s, 200 1,089,110
........................................................................................
195,000 Celestica International Ltd. 144A sr. sub.
notes 10 1/2s, 2006 (India) 204,750
........................................................................................
231,370 Cirent Semiconductor sr. sub. notes
10.22s, 2002 231,370
........................................................................................
232,319 Cirent Semiconductor 144A sr. sub.
notes 10.14s, 2004 232,320
........................................................................................
3,000,000 International Semi-Tech. Corp. sr. secd.
disc. notes stepped-coupon zero %
(11 1/2s, 8/15/00), 2003 (Canada) ++ 1,935,000
........................................................................................
500,000 Moog, Inc. sr. sub. notes Ser. B, 10s, 2006 525,000
- ----------------------------------------------------------------------------------------
4,217,550
- ----------------------------------------------------------------------------------------
Entertainment (0.4%)
........................................................................................
1,250,000 Premier Parks, Inc. sr. notes Ser. A,
12s, 2003 1,365,625
........................................................................................
400,000 Trump Holdings & Funding Corp. sr. notes
15 1/2s, 2005 456,000
- ----------------------------------------------------------------------------------------
1,821,625
- ----------------------------------------------------------------------------------------
Environmental Control (0.1%)
........................................................................................
350,000 Allied Waste Industries, Inc. 144A sr. sub.
notes 10 1/4s, 2006 367,500
- ----------------------------------------------------------------------------------------
Financial Services (0.8%)
........................................................................................
415,000 Aames Financial Corp. sr. notes
9 1/8s, 2003 422,263
........................................................................................
350,000 AIM Management Group sr. secd. notes
9s, 2003 379,750
........................................................................................
340,000 Contifinancial Corp. sr. notes 8 3/8s, 2003 350,200
........................................................................................
245,000 Dollar Financial Group Inc. 144A sr. notes
10 7/8s, 2006 252,350
........................................................................................
350,000 First Federal Financial Corp. notes
11 3/4s, 2004 357,000
........................................................................................
260,000 Ocwen Federal Bank FSB sub. deb.
12s, 2005 286,000
........................................................................................
155,000 Ocwen Financial Corp. notes
11 7/8s, 2003 167,788
........................................................................................
385,000 Olympic Financial Ltd. sr. notes 13s, 2000 419,650
........................................................................................
175,000 Outsourcing Solutions Inc. 144A sr. sub.
notes 11s, 2006 183,313
........................................................................................
1,000,000 Van Kampen Merritt sr. notes
9 3/4s, 2003 1,067,500
- ----------------------------------------------------------------------------------------
3,885,814
- ----------------------------------------------------------------------------------------
Food Chains (0.5%)
........................................................................................
1,000,000 Southland Corp. 1st priority sr. sub. deb.
5s, 2003 820,000
........................................................................................
850,000 Southland Corp. deb. Ser. A, 4 1/2s, 2004 650,250
........................................................................................
1,000,000 Stater Brothers sr. notes 11s, 2001 1,085,000
- ----------------------------------------------------------------------------------------
2,555,250
- ----------------------------------------------------------------------------------------
Food and Beverages (0.5%)
........................................................................................
425,000 Canandaigua Wine Co. 144A sr. sub.
notes 8 3/4s, 2003 414,375
........................................................................................
500,000 Chiquita Brands sr. notes 9 5/8s, 2004 516,250
........................................................................................
300,000 Foodmaker, Inc. sr. sub. notes 9 3/4s, 2002 306,000
........................................................................................
850,000 Mafco, Inc. sr. sub. notes 11 7/8s, 2002 896,750
........................................................................................
500,000 Specialty Foods Corp. sr. notes Ser. B,
10 1/4s, 2001 462,500
- ----------------------------------------------------------------------------------------
2,595,875
- ----------------------------------------------------------------------------------------
Funeral/Cemetery Services (--%)
........................................................................................
155,000 Rose Hills Acquistion Corp. 144A sr. sub.
notes 9 1/2s, 2004 158,875
- ----------------------------------------------------------------------------------------
Gaming (2.2%)
........................................................................................
610,000 Alliance Gaming Corp. 12 7/8s, 2003 642,025
........................................................................................
750,000 Argosy Gaming Co. 1st mtge.
13 1/4s, 2004 699,375
........................................................................................
150,000 Arizona Charlies Corp. 1st mtge. Ser. B,
12s, 2000 105,000
........................................................................................
40,000 Capitol Queen Corp. 1st mtge. notes
Ser. B, 12s, 2000 + 30,000
........................................................................................
1,345,000 Casino America, Inc. sr. notes
12 1/2s, 2003 1,274,388
........................................................................................
270,000 Casino Magic of Louisiana Corp. 144A
1st mtge. 13s, 2003 266,625
........................................................................................
1,000,000 Coast Hotels & Casinos, Inc. company
guaranty Ser. B, 13s, 2002 1,103,750
........................................................................................
750,000 Colorado Gaming & Entertainment Co.
sr. notes 12s, 2003 +++++ 720,000
........................................................................................
200,000 Elsinore Corp. 1st mtge. 20s, 2000
(In Default) + 190,000
........................................................................................
500,000 Grand Casinos, Inc. 1st mtge.
10 1/8s, 2003 502,500
........................................................................................
600,000 Grate Bay Property Funding Corp.
1st mtge. 10 7/8s, 2004 504,000
........................................................................................
165,000 Harveys Casino Resorts sr. sub. notes
10 5/8s, 2006 176,550
........................................................................................
1,000,000 Hollywood Casino Corp. sr. notes
12 3/4s, 2003 960,000
........................................................................................
1,150,000 Lady Luck Gaming 1st mtge.
11 7/8s, 2001 1,115,500
........................................................................................
497,000 Louisiana Casino Cruises Corp. 1st mtge.
11 1/2s, 1998 501,970
........................................................................................
700,000 Mohegan Tribal Gaming sr. secd. notes,
Ser. B, 13 1/2s, 2002 908,250
........................................................................................
1,300,000 Trump A.C. 1st mtge. 11 1/4s, 2006 1,287,000
........................................................................................
108,000 Trump Castle notes 11 1/2s, 2000 109,080
- ----------------------------------------------------------------------------------------
11,096,013
- ----------------------------------------------------------------------------------------
Health Care (0.9%)
........................................................................................
830,000 Columbia/HCA Healthcare med. term
notes 7.58s, 2025 841,271
........................................................................................
140,000 Genesis Health Ventures, Inc. 144A sr. sub.
notes 9 1/4s, 2006 144,200
........................................................................................
480,000 IMED Corp. sr. sub. notes 9 3/4s, 20 488,400
........................................................................................
500,000 Integrated Health Services sr. sub. notes
9 5/8s, 2002 516,250
........................................................................................
800,000 Merit Behavioral Care sr. sub. notes
11 1/2s, 2005 856,000
........................................................................................
1,800,000 Paracelsus Healthcare sr. sub. notes
10s, 2006 1,692,000
- ----------------------------------------------------------------------------------------
4,538,121
- ----------------------------------------------------------------------------------------
Hospital Management and Medical Services (0.2%)
........................................................................................
750,000 Tenet Healthcare Corp. sr. sub. notes
10 1/8s, 2005 830,625
- ----------------------------------------------------------------------------------------
Insurance (0.5%)
........................................................................................
300,000 American Annuity Group, Inc. sr. sub.
notes 11 1/8s, 2003 324,000
........................................................................................
1,000,000 American Life Holding Co. sr. sub. notes
11 1/4s, 2004 1,145,000
........................................................................................
1,000,000 Reliance Group Holdings, Inc. sr. sub. deb.
9 3/4s, 2003 1,040,000
- ----------------------------------------------------------------------------------------
2,509,000
- ----------------------------------------------------------------------------------------
Leisure (0.2%)
........................................................................................
1,000,000 IHF Holdings, Inc. sr. disc. notes Ser. B,
stepped-coupon zero % (15s, 11/15/99),
2004 ++ 785,000
- ----------------------------------------------------------------------------------------
Lodging (0.5%)
........................................................................................
1,900,000 Host Marriott Corp. sr. notes Ser. B,
9 1/2s, 2005 1,983,125
........................................................................................
600,000 John Q Hammons Hotels, Inc. 1st mtge.
8 7/8s, 2004 592,500
- ----------------------------------------------------------------------------------------
2,575,625
- ----------------------------------------------------------------------------------------
Medical Supplies and Devices (0.3%)
........................................................................................
500,000 Dade International, Inc. sr. sub. notes
Ser. B, 11 1/8s, 2006 542,500
........................................................................................
500,000 Graphic Controls Corp. sr. sub. notes
Ser. A, 12s, 2005 553,750
........................................................................................
545,000 Wright Medical Technology, Inc. sr. secd.
notes Ser. B, 10 3/4s, 2000 550,450
- ----------------------------------------------------------------------------------------
1,646,700
- ----------------------------------------------------------------------------------------
Metals and Mining (0.4%)
........................................................................................
205,000 Maxxam Group Holdings Inc. 144A
sr. notes 12s, 2003 209,100
........................................................................................
300,000 NL Industries, Inc. sr. notes 11 3/4 318,000
........................................................................................
215,000 Renco Metals, Inc. sr. notes 11 1/2s 224,675
........................................................................................
290,000 Royal Oak Mines Inc. company guaranty
Ser. B, 11s, 2006 (Canada) 296,525
........................................................................................
480,000 WCI Steel, Inc. 144A sr. notes 10s, 489,600
........................................................................................
250,000 Weirton Steel Co. sr. notes 11 3/8s, 253,750
- ----------------------------------------------------------------------------------------
1,791,650
- ----------------------------------------------------------------------------------------
Motion Picture Distribution (0.6%)
........................................................................................
1,600,000 Act III Theatres, Inc. sr. sub. notes
11 7/8s, 2003 1,764,000
........................................................................................
800,000 Cinemark Mexico USA notes
13s, 2003 (Mexico) +++++ 760,000
........................................................................................
515,000 Cinemark USA, Inc. sr. sub. notes Ser. B
9 5/8s, 2008 515,000
- ----------------------------------------------------------------------------------------
3,039,000
- ----------------------------------------------------------------------------------------
Office Equipment (0.1%)
........................................................................................
400,000 United Stationer Supply, Inc. sr. sub. notes
12 3/4s, 2005 442,000
- ----------------------------------------------------------------------------------------
Oil and Gas (2.3%)
........................................................................................
250,000 Abraxas Petroleum Corp. 144A sr. notes
11 1/2s, 2004 268,750
........................................................................................
350,000 Benton Oil & Gas Co. sr. notes
11 5/8s, 2003 387,625
........................................................................................
1,100,000 Chesapeake Energy Corp. sr. notes
10 1/2s, 2002 1,193,500
........................................................................................
400,000 Cliffs Drilling Co. company guaranty
Ser. B, 10 1/4s, 2003 425,500
........................................................................................
85,000 Costilla Energy, Inc. sr. notes
10 1/4s, 2006 88,825
........................................................................................
320,000 Flores & Rucks, Inc. sr. notes
13 1/2s, 2004 382,400
........................................................................................
155,000 Flores & Rucks, Inc. sr. sub. notes
9 3/4s, 2006 164,300
........................................................................................
250,000 Forcenergy, Inc. sr. sub. notes 9 1/ 260,000
........................................................................................
1,000,000 Gulf Canada Resources Ltd. sr. sub. notes
9 5/8s, 2005 (Canada) 1,082,500
........................................................................................
220,000 Kelley Oil & Gas Corp. 144A sr. sub. notes
10 3/8s, 2006 229,350
........................................................................................
552,000 Maxus Energy Corp. deb. 8 1/2s, 2008 546,480
........................................................................................
200,000 Maxus Energy Corp. global notes
9 7/8s, 2002 206,000
........................................................................................
1,000,000 Maxus Energy Corp. med. term notes
10.83s, 2004 1,080,000
........................................................................................
500,000 Maxus Energy Corp. notes 9 1/2s, 200 505,000
........................................................................................
265,000 Parker Drilling Co. 144A company
guaranty 9 3/4s, 2006 279,575
........................................................................................
120,000 Texas Petrochemical Corp. sr. sub. notes
11 1/8s, 2006 129,000
........................................................................................
1,216,000 TransTexas Gas Corp. sr. disc. notes
stepped-coupon zero %
(13 1/4s, 12/16/01), 2003 ++ 668,800
........................................................................................
1,600,000 TransTexas Gas Corp. sr. secd. notes
11 1/2s, 2002 1,728,000
........................................................................................
400,000 Transamerican Refining Corp. 1st mtge.
16 1/2s, 2002 404,000
........................................................................................
826,000 Transamerican Refining Corp. var. rate
1st mtge. zero % (18 1/2s, 2/15/98),
2002 ++ 681,450
........................................................................................
500,000 Triton Energy sr. sub. disc. notes
9 3/4s, 2000 521,875
- ----------------------------------------------------------------------------------------
11,232,930
- ----------------------------------------------------------------------------------------
Packaging and Containers (1.1%)
........................................................................................
205,000 Amtrol, Inc. 144A sr. sub. notes
10 5/8s, 2006 211,150
........................................................................................
1,000,000 Four M Corp. sr. notes Ser. B, 12s, 1,040,000
........................................................................................
2,015,000 Ivex Holdings Corp. sr. disc. deb.
stepped-coupon zero %
(13 1/4s, 3/15/00), 2005 ++ 1,566,663
........................................................................................
500,000 Ivex Packaging Corp. sr. sub. notes
12 1/2s, 2002 541,250
........................................................................................
250,000 Owens Illinois, Inc. deb. 11s, 2003 278,125
........................................................................................
185,000 Printpack, Inc. 144A sr. notes 9 7/8 191,475
........................................................................................
160,000 Radnor Holdings Corp. 144A sr. notes
10s, 2003 163,200
........................................................................................
1,500,000 Riverwood International company
guaranty 10 7/8s, 2008 1,372,500
........................................................................................
250,000 US Can Corp. 144A sr. sub. notes
10 1/8s, 2006 262,813
- ----------------------------------------------------------------------------------------
5,627,176
- ----------------------------------------------------------------------------------------
Paging (0.9%)
........................................................................................
850,000 Arch Communications Group sr. disc.
notes stepped-coupon zero %
(10 7/8s, 3/15/01), 2008 ++ 484,500
........................................................................................
750,000 Metrocall, Inc. sr. sub. notes 10 3/8s, 2007 645,000
........................................................................................
1,000,000 Mobile Telecommunications Tech.
sr. notes 13 1/2s, 2002 1,000,000
........................................................................................
100,000 Pagemart, Inc. sr. disc. notes
stepped-coupon zero %
(12 1/4s, 11/1/98), 2003 ++ 78,875
........................................................................................
1,555,000 Paging Network, Inc. sr. sub. notes
10s, 2008 1,562,775
........................................................................................
500,000 Pronet, Inc. sr. sub. notes 11 7/8s, 470,000
- ----------------------------------------------------------------------------------------
4,241,150
- ----------------------------------------------------------------------------------------
Paper and Forest Products (0.8%)
........................................................................................
750,000 APP International Finance Co. notes
11 3/4s, 2005 (Netherlands) 804,375
........................................................................................
525,000 Domtar, Inc. deb. 9 1/2s, 2016 (Cana 574,219
........................................................................................
720,000 Florida Coast Paper LLC 1st mtge.
Ser. B, 12 3/4s, 2003 777,600
........................................................................................
1,150,000 Gaylord Container Corp. sr. sub. disc.
deb. stepped-coupon 12 3/4s,
(12 3/4s, 5/15/96), 2005 ++ 1,270,750
........................................................................................
375,000 Stone Container Corp. sr. notes
11 7/8s, 2016 401,250
- ----------------------------------------------------------------------------------------
3,828,194
- ----------------------------------------------------------------------------------------
Publishing (0.1%)
........................................................................................
500,000 American Media Operation, Inc. sr. sub.
notes 11 5/8s, 2004 537,500
- ----------------------------------------------------------------------------------------
REITs (Real Estate Investment Trust) (0.2%)
........................................................................................
900,000 Tanger Properties Ltd. partnership gtd.
notes 8 3/4s, 2001 901,584
- ----------------------------------------------------------------------------------------
Real Estate (0.1%)
........................................................................................
620,000 Chelsea Piers 1st mtge. Ser. B,
12 1/2s, 2004 607,600
........................................................................................
25,000 Chelsea Piers 144A 1st mtge.
stepped-coupon Ser. B, zero %
(11s, 6/15/99), 2009 ++ 24,500
- ----------------------------------------------------------------------------------------
632,100
- ----------------------------------------------------------------------------------------
Restaurants (0.1%)
........................................................................................
130,000 AmeriKing. Inc. sr. notes 10 3/4s, 2006 133,900
........................................................................................
500,000 FRD Acquisition Co. sr. notes Ser. B,
12 1/2s, 2004 513,750
- ----------------------------------------------------------------------------------------
647,650
- ----------------------------------------------------------------------------------------
Retail (1.4%)
........................................................................................
500,000 Brylane (L.P.) sr. sub. notes 10s, 2003 515,000
........................................................................................
1,505,000 Finlay Enterprises, Inc. sr. disc. deb.
stepped-coupon zero %
(12s, 5/1/98), 2005 ++ 1,286,775
........................................................................................
50,000 Finlay Enterprises, Inc. sr. notes
10 5/8s, 2003 50,250
........................................................................................
170,000 Guitar Center Management Co. 144A
sr. notes 11s, 2006 180,200
........................................................................................
500,000 K mart Corp. deb. 8 3/8s, 2022 420,000
........................................................................................
400,000 K mart Corp. med. term notes 8s, 200 369,568
........................................................................................
1,000,000 K mart Corp. notes 8 1/8s, 2006 925,000
........................................................................................
360,000 Loehmanns, Inc. sr. notes 11 7/8s, 2 387,900
........................................................................................
600,000 Mothers Work, Inc. sr. notes
12 5/8s, 2005 636,000
........................................................................................
100,000 Parisian, Inc. sr. sub. notes 9 7/8s 101,000
........................................................................................
1,000,000 Phar-Mor, Inc. sr. notes 11.72s, 200 1,045,000
........................................................................................
250,000 Safeway, Inc. med. term notes 8.57s, 263,973
........................................................................................
250,000 Specialty Retailers, Inc. notes 10s, 260,000
........................................................................................
490,000 Specialty Retailers, Inc. sr. sub. notes
11s, 2003 504,700
- ----------------------------------------------------------------------------------------
6,945,366
- ----------------------------------------------------------------------------------------
Shipping (0.5%)
........................................................................................
180,000 Newport News Shipbuilding 144A sr.
notes 8 5/8s, 2006 184,500
........................................................................................
160,000 Newport News Shipbuilding 144A
sr. sub. notes 9 1/4s, 2006 164,000
........................................................................................
1,500,000 Transport Maritima Mexicana S.A. de CV
sr. notes 10s, 2006 (Mexico) 1,522,500
........................................................................................
410,000 Viking Star Shipping sr. secd. notes
9 5/8s, 2003 428,963
- ----------------------------------------------------------------------------------------
2,299,963
- ----------------------------------------------------------------------------------------
Specialty Consumer Products (-%)
........................................................................................
215,000 Genesco, Inc. sr. notes 10 3/8s, 200 220,375
- ----------------------------------------------------------------------------------------
Steel (0.3%)
........................................................................................
315,000 AK Steel Corp. 144A sr. notes
9 1/8s, 2006 323,269
........................................................................................
1,250,000 Ispat Mexicana, S.A. 144A deb.
10 3/8s, 2001 (Mexico) 1,268,750
- ----------------------------------------------------------------------------------------
1,592,019
- ----------------------------------------------------------------------------------------
Supermarkets (0.3%)
........................................................................................
534,065 Food 4 Less Supermarkets, Inc. sr. sub.
deb. 13 5/8s, 2007 +++++ 504,691
........................................................................................
1,000,000 Ralphs Grocery Co. sr. notes
10.45s, 2004 1,063,750
- ----------------------------------------------------------------------------------------
1,568,441
- ----------------------------------------------------------------------------------------
Telecommunications (2.1%)
........................................................................................
1,115,000 American Communications Services, Inc.
sr. disc. notes stepped-coupon zero %
(12 3/4s, 4/1/01), 2006 ++ 613,250
........................................................................................
250,000 Charter Communications International,
Inc. disc. notes stepped-coupon Ser. B,
zero % (14s, 3/15/01), 2007 ++ 147,500
........................................................................................
500,000 Charter Communications International,
Inc. sr. notes Ser. B, 11 1/4s, 2006 522,500
........................................................................................
250,000 Fonorola, Inc. sr. notes 12 1/2s, 2002
(Canada) 271,250
........................................................................................
1,160,000 GST Telecommunications,Inc. company
guaranty stepped-coupon zero %
(13 7/8s, 12/15/00), 2005 ++ 704,700
........................................................................................
750,000 Hyperion Telecommunication Corp. sr.
disc. notes stepped-coupon Ser. B, zero %
(13s, 4/15/01), 2003 ++ 421,875
........................................................................................
2,520,000 ICG Holdings, Inc. sr. disc. notes
stepped-coupon zero %
(13 1/2s, 9/15/00), 2005 ++ 1,776,600
........................................................................................
1,500,000 Intermedia Communications, Inc. sr. disc.
notes stepped-coupon zero %
(12 1/2s, 5/15/01), 2006 ++ 1,020,000
........................................................................................
400,000 Intermedia Communications, Inc. sr. notes
Ser. B, 13 1/2s, 2005 458,000
........................................................................................
2,890,000 International Cabletel, Inc. sr. notes
stepped-coupon Ser. B, zero %
(11 1/2s, 2/01/01), 2006 ++ 1,965,200
........................................................................................
730,000 Orbcomm Global Capital Corp. 144A
sr. notes 14s, 2004 739,125
........................................................................................
1,715,000 Teleport Communications Group Inc.
sr. disc. notes stepped-coupon zero %
(11 1/8s, 7/1/01), 2007 ++ 1,174,775
........................................................................................
1,200,000 Winstar Communications, Inc. 144A
sr. disc. notes stepped-coupon zero %
(14s, 10/15/00), 2005 ++ 742,500
- ----------------------------------------------------------------------------------------
10,557,275
- ----------------------------------------------------------------------------------------
Telephone Services (0.4%)
........................................................................................
730,000 Brooks Fiber Properties, Inc. 144A
sr. disc. notes stepped-coupon zero %
(11 7/8s, 11/1/01), 2006 ++ 467,200
........................................................................................
500,000 Brooks Fiber Properties, Inc. sr. disc.
notes stepped-coupon zero %
(10 7/8s, 3/1/01), 2006 ++ 335,000
........................................................................................
575,000 Globo Communicacoes 144A company
guaranty 10 1/2s, 2006 (Brazil) 575,000
........................................................................................
750,000 Nextlink Communications, Inc. sr. notes
12 1/2s, 2006 798,750
- ----------------------------------------------------------------------------------------
2,175,950
- ----------------------------------------------------------------------------------------
Textiles (0.4%)
........................................................................................
450,000 Foamex (L.P.) Capital Corp. sr. disc. notes
stepped-coupon Ser. B, zero %
(14s, 7/1/99), 2004 ++ 315,000
........................................................................................
1,000,000 Polysindo International Eka company
guaranty 13s, 2001 (Indonesia) 1,120,000
........................................................................................
450,000 Polysindo International Finance company
guaranty 11 3/8s, 2006 (Indonesia) 491,625
- ----------------------------------------------------------------------------------------
1,926,625
- ----------------------------------------------------------------------------------------
Transportation (--%)
........................................................................................
100,000 Eletson Holdings, Inc. 1st pfd. mtge. notes
9 1/4s, 2003 (Greece) 100,500
- ----------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $165,351,657) $180,637,759
- ----------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (27.3%) *
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
U.S. Government Agency
Mortgage Pass-Through Certificates (14.3%)
........................................................................................
Federal National Mortgage Association
........................................................................................
$7,874,907 8s, with due dates from
August 1, 2026 to October 1, 2026 $8,022,566
........................................................................................
8,396,875 7 1/2s, with due dates from
June 1, 2026 to July 1, 2026 8,391,588
........................................................................................
5,285,000 7 1/2s, TBA, January 16, 2027 5,281,670
........................................................................................
12,875,116 7s, with due dates from
February 1, 2024 to May 1, 2026 12,589,426
........................................................................................
Government National Mortgage Association
........................................................................................
21,502,435 7 1/2s, with due dates from
January 15, 2024 to
September 15, 2026 21,509,116
........................................................................................
15,368,222 7s, with due dates from
October 15, 2025 to July 15, 2026 15,031,982
- ----------------------------------------------------------------------------------------
70,826,348
- ----------------------------------------------------------------------------------------
U.S. Treasury Obligations (13.0%)
........................................................................................
U.S. Treasury Bonds
........................................................................................
$1,160,000 8 1/8s, August 15, 2019 $1,341,795
........................................................................................
8,935,000 7 7/8s, February 15, 2021 10,099,320
........................................................................................
11,800,000 US Treasury Interest Strips zero %,
May 15, 2004 7,415,828
........................................................................................
U.S. Treasury Notes
........................................................................................
1,300,000 9 1/8s, May 15, 1999 1,389,167
........................................................................................
13,710,000 7s, July 15, 2006 14,243,456
........................................................................................
26,518,000 6 1/2s, October 15, 2006 26,663,054
........................................................................................
3,070,000 5 3/4s, August 15, 2003 2,977,900
- ----------------------------------------------------------------------------------------
64,130,520
- ----------------------------------------------------------------------------------------
Total U.S. Government and
Agency Obligations
(cost $131,149,817) $134,956,868
- ----------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BONDS AND NOTES (25.8%) *
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
AUD 3,540,000 Australia (Government of) bonds
10s, 2006 $3,280,816
........................................................................................
AUD 4,810,000 Australia (Government of) bonds
10s, 2002 4,329,810
........................................................................................
AUD 300,000 Australia (Government of) bonds
Ser. 803, 9 1/2s, 2003 265,760
........................................................................................
USD 8,053,000 Bank of Foreign Economic Affairs of
Russia (Vnesheconombank) non
performing loan + ## 6,392,069
........................................................................................
CAD 2,880,000 Canada (Government of) deb.
8 3/4s, 2005 2,444,585
........................................................................................
CAD 4,535,000 Canada (Government of) deb. Ser. A-76,
9s, 2025 4,074,386
........................................................................................
DKK 18,500,000 Denmark (Government of) bonds
8s, 2006 3,447,599
........................................................................................
FRF 5,454,000 France (Government of) deb. 6s, 2025 940,272
........................................................................................
FRF 85,894,000 France Treasury bill 7s, 2000 18,135,661
........................................................................................
DEM 4,840,000 Germany (Federal Republic of) bonds
7 3/8s, 2005 3,481,155
........................................................................................
DEM 21,700,000 Germany (Federal Republic of) bonds
6 1/4s, 2006 14,537,098
........................................................................................
DEM 7,900,000 Germany (Federal Republic of) bonds
5 5/8s, 1998 5,312,821
........................................................................................
DEM 33,105,000 Germany (Federal Republic of) bonds
Ser. 118, 5 1/4s, 2001 22,102,235
........................................................................................
ITL 7,960,000,000 Italy (Government of) bonds
9 1/2s, 2001 5,769,332
........................................................................................
ESP 844,800,000 Spain (Government of) deb. 10.1s, 20 7,488,873
........................................................................................
SEK 34,500,000 Sweden (Government of) bonds
10 1/4s, 2000 5,818,517
........................................................................................
GBP 960,000 United Kingdom Treasury bonds
8 1/2s, 2007 1,754,967
........................................................................................
GBP 10,445,000 United Kingdom Treasury notes
7 3/4s, 2006 18,144,514
- ----------------------------------------------------------------------------------------
Total Foreign Government Bonds
and Notes (cost $135,719,192) $127,720,470
- ----------------------------------------------------------------------------------------
PREFERRED STOCKS (2.2%) *
- ----------------------------------------------------------------------------------------
Number of Shares Value
........................................................................................
17,284 Cablevision Systems Corp. Ser. M,
$11.125 dep. shs. pfd. +++++ $1,538,276
........................................................................................
10,000 California Federal Bank Ser. B,
$10.625 exch. pfd. 1,106,250
........................................................................................
6,390 Chevy Chase Capital Corp. Ser. A,
$5.188 pfd. 330,683
........................................................................................
11,360 Diva Systems Corp. Ser. C, $6.00 pfd 100,820
........................................................................................
5,421 El Paso Electric Co. $11.40 pfd. +++++ 601,731
........................................................................................
12,000 First Nationwide Bank $11.50 pfd. 1,372,500
........................................................................................
10,600 Fitzgerald Gaming Co. $3.75 pfd. 243,800
........................................................................................
475 Fresenius Medical Care Ser. D,
$9.00 trust pfd. 483,313
........................................................................................
50 Grand Union Co. 144A Ser. C,
$12.00 pfd. (acquired 11/5/93,
cost $5,775)(In Default) +++++ 1
........................................................................................
40,000 Loewen Group, Inc. Ser. A, $2.363 pf 1,060,000
........................................................................................
3,950 Pantry Pride Inc. Ser. B, $14.875 pf 397,963
........................................................................................
430 Paxson Communications Corp.
$12.50 pfd. +++++ 404,200
........................................................................................
37,000 SDW Holdings Corp. 144A $3.50 pfd. 1,085,950
........................................................................................
1,919 Time Warner Inc. Ser. M, $10.25 pfd.+++++ 2,082,115
- ----------------------------------------------------------------------------------------
Total Preferred Stocks
(cost $10,213,999) $10,807,602
- ----------------------------------------------------------------------------------------
BRADY BONDS (2.2%) *
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
$7,101,080 Argentina (Republic of) FRB 6.625s, 2005 $6,177,940
........................................................................................
5,250,000 Venezuela (Government of) FRN
6 1/2s, 2007 4,626,563
- ----------------------------------------------------------------------------------------
Total Brady Bonds
(cost $10,682,890) $10,804,503
- ----------------------------------------------------------------------------------------
UNITS (1.0%) *
- ----------------------------------------------------------------------------------------
Number of Units Value
........................................................................................
200 AmeriKing, Inc. pfd. units zero %, 2008 $220,000
........................................................................................
440 Australis Media, Ltd. units
stepped-coupon zero % (14s, 5/15/00),
2003 (Australia) ++ 246,400
........................................................................................
80 Celcaribe S.A. 144A units
stepped-coupon zero %
(13 1/2s, 3/15/98), 2004 ++ 912,000
........................................................................................
370 Colt Telecommunications Group PLC
units stepped-coupon zero %
(12s, 12/15/01), 2006
(United Kingdom) ++ 220,150
........................................................................................
515 Diva Systems Corp. 144A units
stepped-coupon zero %
(13s, 5/15/01), 2006 ++ 298,700
........................................................................................
1,000 Fitzgerald Gaming Co. units 13s, 2002 800,000
........................................................................................
750 Health O Meter Products, Inc. units
13s, 2002 825,000
........................................................................................
650 Interact Systems, Inc. 144A units
stepped-coupon zero %
(14s, 8/1/99), 2003 ++ 325,000
........................................................................................
660 Real Time Data 144A units
stepped-coupon zero %
(13 1/2s, 8/15/01), 2006 ++ 363,000
........................................................................................
410 RSL Communications, Ltd. 144A units
12 1/4s, 2006 416,150
........................................................................................
875 Wireless One Inc. units stepped-coupon
zero % (13 1/2s, 8/1/01), 2006 ++ 424,375
- ----------------------------------------------------------------------------------------
Total Units (cost $4,956,211) $5,050,775
- ----------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (0.6%) *
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
$1,034,000 Chemical Master Credit Card Trust
Ser. 95-2, Class A, 6.23s, 2003 $1,029,792
........................................................................................
1,965,000 Sears Credit Account Master Trust
Ser. 95-5, Class A, 6.05s, 2004 1,911,572
- ----------------------------------------------------------------------------------------
Total Asset-Backed Securities
(cost $3,023,331) $2,941,364
- ----------------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (0.5%) *
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
$500,000 Argosy Gaming Co. cv. sub. notes
12s, 2001 $402,500
........................................................................................
500,000 Exide Corp. 144A cv. sr. sub. notes
2.9s, 2005 296,250
........................................................................................
145,000 GST Telecommunications, Inc. cv. sr. disc.
notes stepped-coupon zero %
(13 7/8s, 12/15/00), 2005 ++ 121,075
........................................................................................
260,000 Integrated Device Technology, Inc.
cv. sub. notes 5 1/2s, 2002 229,450
........................................................................................
170,000 National Semiconductor Corp.
cv. deb. 6 1/2s, 2002 166,388
........................................................................................
677,000 Pricellular Wireless Corp. 144A
cv. sub. notes stepped-coupon zero %
(10 3/4s, 8/15/00) 2004 ++ 602,530
........................................................................................
260,000 VLSI Technology, Inc. cv. sub. notes
8 1/4s, 2005 257,400
........................................................................................
600,000 Winstar Communications. Inc.
cv sr. disc. notes zero %, 2005 459,000
- ----------------------------------------------------------------------------------------
Total Convertible Bonds and Notes
(cost $2,109,483) $2,534,593
- ----------------------------------------------------------------------------------------
COMMON STOCKS (0.4%) *
- ----------------------------------------------------------------------------------------
Number of Shares Value
........................................................................................
4,612 Chesapeake Energy Corp. + 256,543
........................................................................................
8,403 Elsinore Corp. + 756
........................................................................................
15,000 Exide Corp. 345,000
........................................................................................
41,976 Grand Union Co. + 209,880
........................................................................................
61 Premium Holdings L.P. 144A + 306
........................................................................................
52,810 PSF Holdings LLC Class A 924,175
........................................................................................
6,200 Terex Corp. Rights
expiration date 5/15/02 + 12,400
- ----------------------------------------------------------------------------------------
Total Common Stocks
(cost $4,133,031) $1,749,060
- ----------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (0.2%) *
(cost $1,193,866)
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
$1,209,743 Rural Housing Trust Ser. 87-1, Class D,
6.33s, April 1, 2026 $1,191,975
- ----------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.2%) *
- ----------------------------------------------------------------------------------------
Number of Shares Value
........................................................................................
30,000 Cablevision Systems Corp. Ser. I,
$8.50 cv. pfd. $615,000
........................................................................................
5,000 Granite Broadcasting Corp.
$7.75 cv. pfd. 282,500
- ----------------------------------------------------------------------------------------
Total Convertible Preferred Stocks
(cost $1,050,625) $897,500
- ----------------------------------------------------------------------------------------
WARRANTS (0.2%) *+
- ----------------------------------------------------------------------------------------
Number of Expiration
Warrants Date Value
........................................................................................
5,000 Becker Gaming Corp. 144A 11/15/00 $1,250
........................................................................................
2,275 Capital Gaming
International, Inc. 2/1/99 91
........................................................................................
7,360 CellNet Data Systems, Inc. 6/15/05 215,280
........................................................................................
1,100 Comunicacion Cellular 144A
(Colombia) 11/15/03 82,500
........................................................................................
100 County Seat Holdings, Inc. 10/15/98 2
........................................................................................
3,000 DeGeorge Financial Corp. 4/1/97 30
........................................................................................
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 15,000
........................................................................................
5,181 Intelcom Group 144A 9/15/05 72,534
........................................................................................
400 Intermedia Communications, Inc.
144A 6/1/00 14,000
........................................................................................
270 International Wireless
Communications Holdings 8/15/01 3
........................................................................................
678 Louisiana Casino Cruises, Inc.
144A 12/1/98 11,526
........................................................................................
1,500 NEXTEL Communications Inc. 1/1/99 15
........................................................................................
460 Pagemart, Inc. 144A 12/31/03 3,680
........................................................................................
2,000 Petracom Holdings, Inc. 8/1/05 14,250
........................................................................................
4,194 President Riverboat
Casinos, Inc. 9/30/99 2,307
........................................................................................
3,700 SDW Holdings Corp.
Ser. B 144A 4/1/04 48,100
........................................................................................
235 Sterling Chemicals Holdings 8/15/08 8,225
........................................................................................
18 Telemedia Broadcasting Corp. 4/1/04 13,221
........................................................................................
100,000 Transamerican Refining Corp. 2/15/02 200,000
........................................................................................
2,880 UCC Investor Holding, Inc. 10/31/99 41,760
- ----------------------------------------------------------------------------------------
Total Warrants (cost $677,526) $746,069
- ----------------------------------------------------------------------------------------
PURCHASED OPTIONS OUTSTANDING (--%) * (cost $118,766)
- ----------------------------------------------------------------------------------------
Number of Expiration Date/
Contracts Strike Price Value
........................................................................................
JPY 5,300,000,000 Japanese Government
Bond Futures
Contracts (Call) Jan.-97/128.25 $457
- ----------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (3.2%) *
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
MXP 11,102,550 Mexican Treasury Bill zero %,
April, 30, 1997 $1,335,412
........................................................................................
MXP 47,047,130 Mexican Treasury Bill zero %,
November 6,1997 4,908,696
........................................................................................
$9,484,000 Interest in $378,760,000 joint repurchase
agreement dated December 31, 1996
with Morgan (J.P.) & Co., Inc. due
January 2, 1997 with respect to various
U.S. Treasury obligations -- maturity
value of $9,487,424 for an effective
yield of 6.5% 9,485,712
- ----------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $15,771,215) $15,729,820
- ----------------------------------------------------------------------------------------
Total Investments
(cost $486,151,609) *** $495,768,815
- ----------------------------------------------------------------------------------------
<CAPTION>
Forward Currency Contracts to Buy at December 31, 1996
(aggregate face value $78,658,904)
- ----------------------------------------------------------------------------------------
Unrealized
Aggregate Delivery Appreciation/
Market Value Face Value Date (Depreciation)
........................................................................................
<S> <C> <C> <C> <C>
British Pounds $7,437,319 $7,267,370 3/19/97 $169,949
........................................................................................
Canadian Dollars 12,130,875 12,272,948 3/19/97 (142,073)
........................................................................................
Danish Krona 398,518 395,750 3/19/97 2,768
........................................................................................
Deutschemarks 25,950,974 25,612,861 3/19/97 338,113
........................................................................................
French Francs 5,169,861 5,084,539 3/19/97 85,322
........................................................................................
Italian Lira 12,151,769 12,038,363 3/19/97 113,406
........................................................................................
Japanese Yen 15,193,013 15,673,068 3/19/97 (480,055)
........................................................................................
Swiss Francs 308,185 314,005 3/19/97 (5,820)
- ----------------------------------------------------------------------------------------
$81,610
- ----------------------------------------------------------------------------------------
<CAPTION>
Forward Currency Contracts to Sell at December 31, 1996
(aggregate face value $114,063,110)
- ----------------------------------------------------------------------------------------
Unrealized
Aggregate Delivery Appreciation/
Market Value Face Value Date (Depreciation)
........................................................................................
<S> <C> <C> <C> <C>
Australian Dollars $5,286,185 $5,445,277 3/19/97 $159,092
........................................................................................
British Pounds 6,541,126 6,286,555 3/19/97 (254,571)
........................................................................................
Canadian Dollars 5,206,393 5,315,120 3/19/97 108,727
........................................................................................
Deutschemarks 64,429,840 64,010,032 3/19/97 (419,808)
........................................................................................
French Francs 7,260,584 7,121,212 3/19/97 (139,372)
........................................................................................
Italian Lira 6,775,328 6,717,192 3/19/97 (58,136)
........................................................................................
Japanese Yen 2,141,294 2,179,041 3/19/97 37,747
........................................................................................
Spanish Peset 1,312,709 1,295,268 3/19/97 (17,441)
........................................................................................
Swedish Krona 1,687,505 1,693,031 3/19/97 5,526
........................................................................................
Swiss Francs 13,856,030 14,000,382 3/19/97 144,352
- ----------------------------------------------------------------------------------------
($433,884)
- ----------------------------------------------------------------------------------------
See page 76 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
Putnam VT Global Asset Allocation Fund
Portfolio of investments owned
December 31, 1996
COMMON STOCKS (58.5%) *
- ----------------------------------------------------------------------------------------
Number of Shares Value
........................................................................................
<S> <C> <C> <C>
Advertising (0.1%)
5,800 Lamar Advertising Co. + 140,650
........................................................................................
5,200 Outdoor Systems, Inc. + 146,250
........................................................................................
4,700 Universal Outdoor Holdings, Inc. + 110,450
- ----------------------------------------------------------------------------------------
397,350
- ----------------------------------------------------------------------------------------
Aerospace and Defense (1.0%)
........................................................................................
31,800 Boeing Co. 3,382,725
........................................................................................
21,690 Northrop Grumman Corp. 1,794,848
........................................................................................
21,400 Textron, Inc. 2,016,950
- ----------------------------------------------------------------------------------------
7,194,523
- ----------------------------------------------------------------------------------------
Automotive (1.7%)
........................................................................................
8,600 Autoliv AB (Sweden) 375,963
........................................................................................
1,800 Bayerische Motoren Werke (BMW)
AG (Germany) 1,253,749
........................................................................................
50,000 Bridgestone Corp. (Japan) 948,276
........................................................................................
32,656 Chrysler Corp. 1,077,648
........................................................................................
51,100 Echlin, Inc. 1,616,038
........................................................................................
61,330 Ford Motor Co. 1,954,894
........................................................................................
52,880 General Motors Corp. 2,948,060
........................................................................................
16,040 Goodyear Tire & Rubber Co. (The) 824,055
........................................................................................
7,800 Magna International, Inc. Class A
(Canada) 434,850
........................................................................................
17,210 Michelin Corp. Class B (France) 929,078
........................................................................................
4,500 Peugeot Citroen S.A. (France) 506,505
........................................................................................
3,900 United Auto Group, Inc. 100,425
- ----------------------------------------------------------------------------------------
12,969,541
- ----------------------------------------------------------------------------------------
Basic Industrial Products (1.3%)
........................................................................................
25,900 Case Corp. 1,411,550
........................................................................................
29,000 Daikin Industries Ltd. (Japan) 257,500
........................................................................................
28,190 General Signal Corp. 1,205,123
........................................................................................
32,800 Minnesota Mining & Manufacturing Co. 2,718,300
........................................................................................
69,000 Mitsui Fudoscan Co. Ltd. (Japan) 559,138
........................................................................................
99,500 New Holland N.V. (Netherlands) + 2,077,063
........................................................................................
1,040 Rieter Holding AG (Switzerland) 286,950
........................................................................................
31,680 Sandvik AB Class B (Sweden) 856,905
........................................................................................
12,100 Sommer Allibert (France) 361,472
- ----------------------------------------------------------------------------------------
9,734,001
- ----------------------------------------------------------------------------------------
Broadcasting (0.2%)
........................................................................................
4,100 BET Holding, Inc. Class A + 117,875
........................................................................................
2,404 Chancellor Broadcasting Corp. Class A + 57,095
........................................................................................
10,500 Evergreen Media Corp. Class A + 262,500
........................................................................................
11,500 Granite Broadcasting Corp. + 122,188
........................................................................................
6,400 Heftel Broadcasting Corp. Class A + 201,600
........................................................................................
7,568 SAGA Communications Inc. Class A 147,576
........................................................................................
4,100 SFX Broadcasting, Inc. Class A + 121,975
........................................................................................
2,410 Sinclair Broadcast Group, Inc. 62,660
........................................................................................
5,625 Young Broadcasting Corp. Class A + 164,531
- ----------------------------------------------------------------------------------------
1,258,000
........................................................................................
Building and Construction (0.9%)
........................................................................................
6,000 Apogee Enterprises, Inc. 238,500
........................................................................................
29,170 Armstrong World Industries, Inc. 2,027,315
........................................................................................
8,300 Barnett, Inc. + 226,175
........................................................................................
94,742 CRH PLC (Ireland) 977,851
........................................................................................
15,000 Lafarge Coppee (France) 899,971
........................................................................................
67,000 Obayashi Corp. (Japan) 451,672
........................................................................................
23,300 Sherwin Williams Co. 1,304,800
........................................................................................
1,400 Terex Corp. Rights
expiration date 5/15/00 + 2,800
........................................................................................
6,405 VA Technolgies AG (Austria) 1,005,663
- ----------------------------------------------------------------------------------------
7,134,747
- ----------------------------------------------------------------------------------------
Business Equipment and Services (2.2%)
........................................................................................
3,600 Alternative Resources Corp. + 62,550
........................................................................................
21,200 Computer Sciences Corp. + 1,741,050
........................................................................................
5,550 Corestaff, Inc. + 131,466
........................................................................................
11,000 CORT Business Services Corp. + 226,875
........................................................................................
42,000 Dai Nippon Printing Co., Ltd. (Japan) 735,000
........................................................................................
8,700 Data Processing Resources Corp. + 160,950
........................................................................................
5,800 F.Y.I., Inc. + 121,075
........................................................................................
45,300 First Data Corp. 1,653,450
........................................................................................
31,400 HBO & Co. 1,864,375
........................................................................................
19,800 Hewlett-Packard Co. 994,950
........................................................................................
19,530 IBM Corp. 2,949,030
........................................................................................
7,400 Lason Holdings, Inc. + 151,700
........................................................................................
4,000 Metzler Group, Inc. + 127,000
........................................................................................
7,000 NCO Group, Inc. + 118,125
........................................................................................
3,400 Pharmaceutical Product
Development, Inc. + 85,850
........................................................................................
10,900 PMT Services, Inc. + 190,750
........................................................................................
9,300 Precision Response Corp. + 326,663
........................................................................................
8,800 Rental Service Corp. + 242,000
........................................................................................
11,100 Robert Half International, Inc 381,563
........................................................................................
74,227 Securicor PLC (United Kingdom) 355,179
........................................................................................
225 Societe Generale de Surveillance
Holdings S.A. (Switzerland) 552,013
........................................................................................
5,700 StaffMark, Inc. + 71,250
........................................................................................
2,800 The Registry, Inc. + 129,150
........................................................................................
56,230 Xerox Corp. 2,959,104
- ----------------------------------------------------------------------------------------
16,331,118
- ----------------------------------------------------------------------------------------
Chemicals (2.4%)
........................................................................................
5,830 Akzo-Nobel N.V. (Netherlands) 796,319
........................................................................................
33,500 Bayer AG ADR (Germany) 1,365,661
........................................................................................
52,139 du Pont (E.I.) de Nemours & Co 4,920,618
........................................................................................
3,700 Dutch States Mines N.V. (Netherlands) 364,903
........................................................................................
29,880 Eastman Chemical Co. 1,650,870
........................................................................................
84,800 Monsanto Co. 3,296,600
........................................................................................
55,000 Praxair, Inc. 2,536,875
........................................................................................
42,000 Sekisui Chemical Co. Ltd. (Japan) 423,621
........................................................................................
110 Solvay S.A. (Belgium) 67,333
........................................................................................
77,130 Witco Chemical Corp. 2,352,465
- ----------------------------------------------------------------------------------------
17,775,265
- ----------------------------------------------------------------------------------------
Computer Services and Software (3.5%)
........................................................................................
21,800 3Com Corp. + 1,599,575
........................................................................................
7,200 Analysts International Corp. 203,400
........................................................................................
2,550 Arbor Software Corp. + 61,838
........................................................................................
4,600 Bisys Group, Inc. (The) + 170,488
........................................................................................
4,900 BTG, Inc. + 129,850
........................................................................................
4,700 CCC Information Services Group 75,200
........................................................................................
58,200 Cisco Systems, Inc. + 3,702,917
........................................................................................
5,200 Claremont Technology Group, Inc. 136,500
........................................................................................
25,400 Compaq Computer Corp. + 1,885,950
........................................................................................
57,150 Computer Associates Intl., Inc 2,843,213
........................................................................................
11,725 Computer Horizons Corp. + 451,413
........................................................................................
11,600 Computer Learning Centers, Inc 330,600
........................................................................................
5,700 Computer Task Group, Inc. 245,813
........................................................................................
12,500 Cotelligent Group, Inc. + 301,563
........................................................................................
48,000 EMC Corp. + 1,590,000
........................................................................................
7,800 Enterprise Systems, Inc. + 183,300
........................................................................................
29,872 Getronics Electric N.V. (Netherlands) 810,856
........................................................................................
2,500 Inso Corp. + 99,375
........................................................................................
13,850 Keane, Inc. + 439,738
........................................................................................
8,668 McAfee Associates, Inc. + 381,392
........................................................................................
48,500 Microsoft Corp. + 4,007,313
........................................................................................
7,400 National TechTeam, Inc. + 148,000
........................................................................................
27,050 NCR Corp. + 902,794
........................................................................................
9,400 Oak Technology, Inc. + 105,750
........................................................................................
8,500 OneWave, Inc. + 66,406
........................................................................................
30,000 Parametric Technology Corp. + 1,541,250
........................................................................................
39,600 PeopleSoft, Inc. + 1,898,325
........................................................................................
2,533 Project Software & Development 107,336
........................................................................................
7,900 Raptor Systems, Inc. + 158,988
........................................................................................
3,700 Red Brick Systems, Inc. + 85,100
........................................................................................
5,500 Renaissance Solutions, Inc. + 246,125
........................................................................................
2,500 Scopus Technology, Inc. + 116,250
........................................................................................
10,650 Splash Technology Holdings, Inc. 228,975
........................................................................................
7,600 SPSS, Inc. + 211,850
........................................................................................
6,600 Sykes Enterprises, Inc. + 247,500
........................................................................................
14,850 Technology Solutions Co. + 616,275
........................................................................................
6,200 Vantive Corp. + 193,750
........................................................................................
2,200 Whittman-Hart, Inc. + 56,375
- ----------------------------------------------------------------------------------------
26,581,343
- ----------------------------------------------------------------------------------------
Conglomerates (1.8%)
........................................................................................
39,370 Corning, Inc. 1,820,863
........................................................................................
31,540 General Motors Corp. Class H 1,774,125
........................................................................................
67,000 Hutchison Whampoa, Ltd. (Hong Kong) 526,280
........................................................................................
55,860 ITT Industries, Inc. + 1,368,570
........................................................................................
38,000 Jardine Matheson Holdings Ltd.
(Singapore) 250,800
........................................................................................
3,000 Preussag AG (Germany) 678,676
........................................................................................
54,240 TRW, Inc. 2,684,880
........................................................................................
63,380 United Technologies Corp. 4,183,080
- ----------------------------------------------------------------------------------------
13,287,274
- ----------------------------------------------------------------------------------------
Consumer Durable Goods (0.3%)
........................................................................................
8,100 Blyth Industries, Inc. + 369,563
........................................................................................
12,930 Electrolux AB Ser. B (Sweden) 748,634
........................................................................................
31,000 Whirlpool Corp. 1,445,375
- ----------------------------------------------------------------------------------------
2,563,572
- ----------------------------------------------------------------------------------------
Consumer Non Durables (3.8%)
........................................................................................
36,590 American Brands, Inc. 1,815,779
........................................................................................
59,880 Avon Products, Inc. 3,420,645
........................................................................................
125,148 B A T Industries PLC (United Kindom) 1,038,058
........................................................................................
17,100 Clorox Co. 1,716,413
........................................................................................
12,080 Colgate-Palmolive Co. 1,114,380
........................................................................................
13,500 French Fragrances Inc. + 104,625
........................................................................................
58,500 Gillette Co. 4,548,375
........................................................................................
60,000 KAO Corp. (Japan) 698,276
........................................................................................
34,340 Kimberly-Clark Corp. 3,270,885
........................................................................................
31,100 Liz Claiborne, Inc. 1,201,238
........................................................................................
46,000 Nike, Inc. 2,748,500
........................................................................................
25,000 Onward Kashiyama Co. Ltd. (Japan) 351,293
........................................................................................
17,820 Philip Morris Cos., Inc. 2,006,978
........................................................................................
56,300 RJR Nabisco Holdings Corp. + 1,914,200
........................................................................................
15,600 St. John Knits, Inc. 678,600
........................................................................................
37,100 Svenska Cellulosa AB Class B (Sweden) 751,276
........................................................................................
4,800 Tabacalera S.A. (Spain) 206,670
........................................................................................
3,710 Unilever N.V. (Netherlands) 656,196
- ----------------------------------------------------------------------------------------
28,242,387
- ----------------------------------------------------------------------------------------
Consumer Services (1.0%)
........................................................................................
19,300 HFS, Inc. + 1,153,175
........................................................................................
2,700 Learning Tree International, Inc + 79,650
........................................................................................
32,500 Marriott International, Inc. 1,795,625
........................................................................................
5,600 Morton's Restaurant Group, Inc + 94,500
........................................................................................
6,775 On Assignment, Inc. + 199,863
........................................................................................
12,200 Penn National Gaming Inc. + 173,850
........................................................................................
4,000 PJ America Inc. + 72,000
........................................................................................
22,400 Prime Hospitality Corp. + 361,200
........................................................................................
51,400 Service Corp. International 1,439,200
........................................................................................
10,950 Stewart Enterprises, Inc. Class A 372,300
........................................................................................
7,600 Strayer Education, Inc. + 174,800
........................................................................................
20,900 Tribune Co. 1,648,488
........................................................................................
6,300 Vacation Break USA, Inc. + 127,575
- ----------------------------------------------------------------------------------------
7,692,226
- ----------------------------------------------------------------------------------------
Electronics and Electrical Equipment (4.7%)
........................................................................................
500 ABB AG (Switzerland) 620,805
........................................................................................
6,500 Acres Gaming, Inc. + 71,500
........................................................................................
9,900 Actel Corp. + 235,125
........................................................................................
15,700 Advanced Lighting Technologies, Inc. + 380,725
........................................................................................
5,200 ANADIGICS, Inc. + 204,100
........................................................................................
3,200 Benchmarq Microelectronics, Inc. + 68,400
........................................................................................
12,200 C.P. Clare Corp. + 122,000
........................................................................................
18,500 Computer Products, Inc. + 360,750
........................................................................................
12,086 Credence Systems Corp. + 243,231
........................................................................................
15,286 Delaware Global Technologies Corp. + 129,933
........................................................................................
29,770 Eaton Corp. 2,076,458
........................................................................................
11,500 Elexsys International, Inc. + 228,563
........................................................................................
6,900 Flextronics International Ltd. + 191,475
........................................................................................
45,100 General Electric Co. 4,459,263
........................................................................................
143,000 General Electric Co. PLC
(United Kingdom) 935,197
........................................................................................
4,093 Harman International Industries, Inc. 227,673
........................................................................................
9,500 Hirose Electric Co. Ltd. (Japan) 549,526
........................................................................................
71,760 Honeywell, Inc. 4,718,220
........................................................................................
31,600 Intel Corp. 4,137,625
........................................................................................
3,900 Jabil Circuit, Inc. + 156,000
........................................................................................
3,100 JPM Co. + 54,250
........................................................................................
2,600 Level One Communications, Inc. + 92,950
........................................................................................
4,000 Micrel, Inc. + 126,500
........................................................................................
16,600 Molins PLC (United Kingdom) 255,062
........................................................................................
31,500 Motorola, Inc. 1,933,313
........................................................................................
11,000 Murata Manufacturing Co. Ltd. 365,086
........................................................................................
38,000 Nippondenso Co., Ltd. (Japan) 913,966
........................................................................................
21,000 Omron Corp. (Japan) 394,655
........................................................................................
19,950 Philips Electronics N.V. (Netherlands) 808,253
........................................................................................
300 Photronics, Inc. + 8,175
........................................................................................
13,710 Rockwell International Corp. + 834,596
........................................................................................
7,050 Sanmina Corp. + 398,325
........................................................................................
9,400 SDL, Inc. + 246,750
........................................................................................
21,700 SGS-Thomson Microelectronics ADR
(France) + 1,519,000
........................................................................................
36,000 Sharp Corp. (Japan) 512,069
........................................................................................
5,600 Sierra Semiconductor Corp. + 84,000
........................................................................................
15,000 TDK Corp. (Japan) 976,293
........................................................................................
77,180 Texas Instruments, Inc. 4,920,225
........................................................................................
5,200 Transwitch Corp. + 27,300
........................................................................................
7,300 Ultrak, Inc. + 222,650
........................................................................................
8,500 Ultratech Stepper, Inc. + 201,875
- ----------------------------------------------------------------------------------------
35,011,862
- ----------------------------------------------------------------------------------------
Energy-Related (0.3%)
........................................................................................
39,000 Baker Hughes Inc. 1,345,500
........................................................................................
13,500 IHC Caland N.V. (Netherlands) 771,183
- ----------------------------------------------------------------------------------------
2,116,683
- ----------------------------------------------------------------------------------------
Entertainment (0.2%)
........................................................................................
12,000 Family Golf Centers, Inc. + 361,500
........................................................................................
6,500 Penske Motorsports, Inc. + 164,125
........................................................................................
4,425 Regal Cinemas, Inc. + 136,069
........................................................................................
18,300 Signature Resorts, Inc. + 645,075
........................................................................................
11,350 Studio Plus Hotels, Inc. + 178,763
- ----------------------------------------------------------------------------------------
1,485,532
- ----------------------------------------------------------------------------------------
Environmental Control (0.3%)
........................................................................................
8,000 Cuno, Inc. + 119,000
........................................................................................
4,700 Memtec Ltd. ADR (Australia) 154,513
........................................................................................
50,250 WMX Technologies, Inc. 1,639,406
- ----------------------------------------------------------------------------------------
1,912,919
- ----------------------------------------------------------------------------------------
Food and Beverages (1.1%)
........................................................................................
12,900 Anheuser-Busch Cos., Inc. 516,000
........................................................................................
20,800 Campbell Soup Co. 1,669,200
........................................................................................
6,600 Danisco A/S (Denmark) 400,950
........................................................................................
27,450 General Mills, Inc. 1,739,644
........................................................................................
313,500 Goodman Fielder Ltd. (Australia) 388,558
........................................................................................
140,742 Greencore Group PLC (Ireland) + 893,008
........................................................................................
18,100 Guinness PLC (United Kingdom) 141,766
........................................................................................
860 Nestle S.A. (Switzerland) 921,566
........................................................................................
9,600 Panamerican Beverages, Inc. Class A + 450,000
........................................................................................
60,680 Whitman Corp. 1,388,055
- ----------------------------------------------------------------------------------------
8,508,747
- ----------------------------------------------------------------------------------------
Funeral/Cemetery Services (--%)
........................................................................................
2,900 Carriage Services, Inc. + 64,888
........................................................................................
7,650 Equity Corporation International + 153,000
- ----------------------------------------------------------------------------------------
217,888
- ----------------------------------------------------------------------------------------
Health Care (1.5%)
........................................................................................
60,200 Abbott Laboratories 3,055,150
........................................................................................
5,900 Access Health, Inc. + 264,025
........................................................................................
12,937 American HomePatient, Inc. + 352,533
........................................................................................
30,450 Cardinal Health, Inc. 1,773,713
........................................................................................
5,150 Compdent Corp. + 181,538
........................................................................................
9,450 Genesis Health Ventures, Inc. + 294,131
........................................................................................
36,700 Healthsouth Rehabilitation Corp. + 1,417,538
........................................................................................
3,200 I-Stat Corp. + 76,000
........................................................................................
5,900 IMPATH, Inc. + 110,625
........................................................................................
9,900 IRIDEX Corp. + 74,250
........................................................................................
4,050 Lunar Corp. + 141,750
........................................................................................
5,100 NCS HealthCare, Inc. Class A + 148,538
........................................................................................
13,800 Oxford Health Plans Inc. + 808,163
........................................................................................
2,500 Pediatrix Medical Group, Inc. + 92,500
........................................................................................
4,300 Physician Support Systems, Inc. + 82,775
........................................................................................
3,600 Renal Care Group, Inc. + 113,850
........................................................................................
16,000 Santen Pharmaceutical (Japan) 331,034
........................................................................................
2,200 Superior Consultant Holdings Corp. + 54,450
........................................................................................
3,000 Target Therapeutics, Inc. + 126,000
........................................................................................
39,800 U.S. Surgical Corp. 1,567,125
........................................................................................
2,700 United Dental Care, Inc. + 82,013
- ----------------------------------------------------------------------------------------
11,147,701
- ----------------------------------------------------------------------------------------
Hospital Management and Medical Services (--%)
........................................................................................
6,750 National Surgery Centers, Inc. + 256,500
........................................................................................
1,500 Sterling House Corp. + 13,125
- ----------------------------------------------------------------------------------------
269,625
- ----------------------------------------------------------------------------------------
Insurance and Finance (9.4%)
........................................................................................
15,260 ABN AMRO Holding N.V. (Netherlands) 992,721
........................................................................................
13,070 Aegon N.V. (Netherlands) 832,855
........................................................................................
51,260 Ahmanson (H.F.) & Co. 1,665,950
........................................................................................
122,527 Allied Irish Banks PLC (Ireland) 812,677
........................................................................................
33,200 American Express Co. 1,875,800
........................................................................................
50,680 American General Corp. 2,071,545
........................................................................................
28,420 AON Corp. 1,765,593
........................................................................................
360 Baer Holdings AG (Switzerland) 376,644
........................................................................................
30,560 Banc One Corp. 1,314,080
........................................................................................
19,500 Banco Bradesco (Brazil) 141,337
........................................................................................
10,853 Banco de Bilbao Vizcaya (Spain) 585,993
........................................................................................
19,573 Banco Frances del Rio de la Plata S.A.
(Argentina) 183,044
........................................................................................
35,200 Bank of Boston Corp. 2,261,600
........................................................................................
68,550 Bank of Ireland (Ireland) + 620,530
........................................................................................
48,600 BankAmerica Corp. 4,847,850
........................................................................................
20,935 Bankers Trust New York Corp. 1,805,644
........................................................................................
58,000 Barclays Bank PLC (United Kingdom) 993,456
........................................................................................
49,900 Barnett Banks, Inc. 2,052,138
........................................................................................
17,540 Beneficial Corp. 1,111,598
........................................................................................
3,300 Cetelem Group (France) + 381,613
........................................................................................
19,000 Chase Manhattan Corp. (New) 1,695,750
........................................................................................
7,305 CIGNA Corp. 998,046
........................................................................................
44,200 Citicorp 4,552,600
........................................................................................
38,000 Commonwealth Bank of Australia
(Australia) 363,500
........................................................................................
21,800 Commonwealth Bank of Australia
(Installment Shares)(Australia) 135,616
........................................................................................
14,050 Concord EFS, Inc. + 396,913
........................................................................................
27,260 CoreStates Financial Corp. 1,414,113
........................................................................................
4,975 CRA Managed Care, Inc. + 223,875
........................................................................................
9,520 Credit Locale de France S.A. (France) 829,342
........................................................................................
47,000 Dao Heng Bank Group Ltd. (Hong Kong) 225,459
........................................................................................
4,300 Delta Financial Corp. + 77,400
........................................................................................
25,000 Development Bank of Singapore Ltd.
(Singapore) 337,741
........................................................................................
44,100 Federal National Mortgage Association 1,642,725
........................................................................................
3,500 First Commonwealth, Inc. + 69,125
........................................................................................
42,647 Fleet Financial Group, Inc. 2,127,019
........................................................................................
19,000 Franklin Resources, Inc. 1,299,125
........................................................................................
27,830 Great Western Financial Corp. 807,070
........................................................................................
93,800 Guoco Group Ltd. (Hong Kong) 525,154
........................................................................................
8,350 HCC Insurance Holdings, Inc. 200,400
........................................................................................
13,800 Household International, Inc. 1,273,050
........................................................................................
54,307 HSBC Holdings PLC (Hong Kong) 1,162,116
........................................................................................
26,072 Internationale Nederlanden Groep
(Netherlands) 938,580
........................................................................................
37,300 Keycorp 1,883,650
........................................................................................
37,000 Malayan Banking Berhad (Malaysa) 410,297
........................................................................................
60,050 MBNA Corp. 2,492,075
........................................................................................
11,850 Mellon Bank Corp. 841,350
........................................................................................
5,460 Metris Companies Inc. + 131,040
........................................................................................
34,421 Morgan (J.P.) & Co., Inc. 3,360,350
........................................................................................
13,030 NationsBank Corp. 1,273,683
........................................................................................
91,460 PNC Bank Corp. 3,441,183
........................................................................................
6,300 Reinsurance Group America, Inc 296,888
........................................................................................
25,000 Skandia Forsakrings AB (Sweden) 705,461
........................................................................................
704 Swiss Reinsurance Co. (Switzerland) 750,198
........................................................................................
36,000 Tokio Marine & Fire Insurance Co. Ltd.
(The) (Japan) 338,276
........................................................................................
63,332 Travelers Group Inc. 2,873,690
........................................................................................
31,000 United Overseas Bank Ltd. (Singapore) 345,675
........................................................................................
97,050 USF&G Corp. 2,025,919
........................................................................................
137,000 Westpac Banking Corp. (Australia) 779,341
- ----------------------------------------------------------------------------------------
69,936,463
- ----------------------------------------------------------------------------------------
Medical Supplies and Devices (0.6%)
........................................................................................
45,100 Baxter International, Inc. 1,849,100
........................................................................................
8,800 Cytyc Corp. + 237,600
........................................................................................
4,500 IDEXX Laboratories, Inc. + 162,000
........................................................................................
7,400 Igen, Inc. + 37,000
........................................................................................
24,300 Medtronic, Inc. 1,652,400
........................................................................................
5,900 Minimed, Inc. + 190,275
........................................................................................
5,000 Orthologic Corp. + 28,125
........................................................................................
5,800 Sabratek Corp. + 92,075
........................................................................................
9,800 Sola International, Inc. + 372,400
........................................................................................
3,900 Xomed Surgical Products Inc. + 78,000
- ----------------------------------------------------------------------------------------
4,698,975
- ----------------------------------------------------------------------------------------
Metals and Mining (0.4%)
........................................................................................
53,310 Freeport-McMoRan Copper &
Gold Co., Inc. Class A 1,499,344
........................................................................................
19,650 Miller Industries, Inc./Tennesssee + 393,000
........................................................................................
405 N.V. Bekaert S.A. (Belgium) 257,161
........................................................................................
51,200 RTZ Corp. PLC (United Kingdom) 820,883
- ----------------------------------------------------------------------------------------
2,970,388
- ----------------------------------------------------------------------------------------
Oil and Gas (4.0%)
........................................................................................
32,130 Amoco Corp. 2,586,465
........................................................................................
29,850 British Petroleum Co. PLC ADR
(United Kingdom) 4,220,044
........................................................................................
32,900 British Petroleum Co. PLC
(United Kingdom) 394,555
........................................................................................
42,923 Burmah Oil PLC (United Kingdom 809,061
........................................................................................
34,547 Coastal Corp. 1,688,485
........................................................................................
54,000 Cosmo Oil Co. Ltd. (Japan) 259,293
........................................................................................
42,500 Enron Corp. 1,832,813
........................................................................................
149,500 Ente Nazionale Idrocarburi SPA
(ENI) (Italy) 767,215
........................................................................................
61,000 Far East Levingston Shipbuilding Ltd.
(Singapore) 318,299
........................................................................................
27,600 Halliburton Co. 1,662,900
........................................................................................
13,420 Mobil Corp. 1,640,595
........................................................................................
71,876 Occidental Petroleum Corp. 1,680,102
........................................................................................
31,460 PanEnergy Corp. 1,415,700
........................................................................................
38,440 Phillips Petroleum Co. 1,700,970
........................................................................................
22,700 Schlumberger Ltd. 2,267,163
........................................................................................
46,900 Shell Transportation & Trading
(United Kingdom) 812,162
........................................................................................
10,605 Societe Nationale Elf Aquitaine
(France) 965,354
........................................................................................
43,300 Sonat, Inc. 2,229,950
........................................................................................
44,692 Total Corp. S.A. ADR (France) 1,798,853
........................................................................................
12,800 Total Corp. S.A. Class B (France) 1,041,072
- ----------------------------------------------------------------------------------------
30,091,051
- ----------------------------------------------------------------------------------------
Packaging and Containers (0.2%)
........................................................................................
25,420 Crown Cork & Seal Co., Inc. 1,382,213
- ----------------------------------------------------------------------------------------
Paper and Forest Products (0.6%)
........................................................................................
16,600 Mayr-Melnhof Karton AG 144A ADS
(Austria) + 199,200
........................................................................................
26,890 Rayonier, Inc. 1,031,904
........................................................................................
15,600 Temple Inland, Inc. 844,350
........................................................................................
47,180 Weyerhaeuser Co. 2,235,153
- ----------------------------------------------------------------------------------------
4,310,607
- ----------------------------------------------------------------------------------------
Pharmaceuticals (3.8%)
........................................................................................
25,050 American Home Products Corp. 1,468,556
........................................................................................
7,200 Amrion, Inc. + 162,900
........................................................................................
20,300 Astra AB (Sweden) 1,000,234
........................................................................................
12,660 Bristol-Myers Squibb Co. 1,376,775
........................................................................................
13,650 Dura Pharmaceuticals, Inc. + 651,788
........................................................................................
42,000 Johnson & Johnson 2,089,500
........................................................................................
23,900 Lilly (Eli) & Co. 1,744,700
........................................................................................
8,100 Medicis Pharmaceutical Corp. Class A + 356,400
........................................................................................
47,800 Merck & Co., Inc. 3,788,150
........................................................................................
939 Novartis AG ADR (Switzerland) 1,073,066
........................................................................................
44,000 Pfizer, Inc. 3,646,500
........................................................................................
91,382 Pharmacia & Upjohn, Inc. 3,621,012
........................................................................................
24,400 Pharmacia & Upjohn, Inc. Depository
Shares (Sweden) 997,120
........................................................................................
79,248 Warner-Lambert Co. 5,943,600
........................................................................................
18,000 Yamanouchi Pharmaceutical Co. Ltd.
(Japan) 369,310
- ----------------------------------------------------------------------------------------
28,289,611
- ----------------------------------------------------------------------------------------
Photography (1.2%)
........................................................................................
45,000 Canon, Inc. (Japan) 993,103
........................................................................................
80,340 Eastman Kodak Co. 6,447,285
........................................................................................
38,270 Polaroid Corp. 1,664,745
- ----------------------------------------------------------------------------------------
9,105,133
- ----------------------------------------------------------------------------------------
Publishing (0.6%)
........................................................................................
23,800 Gannett Co., Inc. 1,782,025
........................................................................................
33,600 Harcourt General, Inc. 1,549,800
........................................................................................
30,380 Times Mirror Co. Class A 1,511,405
- ----------------------------------------------------------------------------------------
4,843,230
- ----------------------------------------------------------------------------------------
Real Estate (0.4%)
........................................................................................
321,000 Amoy Properties Ltd. (Hong Kong) 462,781
........................................................................................
133,000 Cheung Kong Holdings Ltd. (Hong Kong) 1,182,280
........................................................................................
156,000 Hong Kong Land Holdings Ltd.
(Hong Kong) 433,680
........................................................................................
63,000 Sun Hung Kai Properties Ltd.
(Hong Kong) 771,819
- ----------------------------------------------------------------------------------------
2,850,560
- ----------------------------------------------------------------------------------------
Retail (4.0%)
........................................................................................
3,000 99 Cents Only Stores + 49,125
........................................................................................
40,300 CompUSA, Inc. + 831,188
........................................................................................
9,200 Cost Plus, Inc. + 175,950
........................................................................................
44,300 CVS Corp. 1,832,913
........................................................................................
30,000 Cycle & Carriage Ltd. (Singapore) 366,690
........................................................................................
91,810 Dayton Hudson Corp. 3,603,543
........................................................................................
42,300 Federated Department Stores + 1,443,488
........................................................................................
15,600 Finish Line, Inc. + 329,550
........................................................................................
3,900 Gadzooks, Inc. + 71,175
........................................................................................
14,000 Ito-Yokado Co., Ltd. (Japan) 608,276
........................................................................................
173,780 K mart Corp. 1,802,968
........................................................................................
8,300 Loehmann's Holdings, Inc. + 190,900
........................................................................................
19,100 Lowe's Cos., Inc. 678,050
........................................................................................
11,900 Marks Brothers Jewelers, Inc. 138,338
........................................................................................
40,000 Marui Co., Ltd. (Japan) 720,690
........................................................................................
30,800 May Department Stores Co. 1,439,900
........................................................................................
4,000 Mazel Stores Inc. + 90,000
........................................................................................
9,690 Nautica Enterprises, Inc. + 244,673
........................................................................................
32,170 Penney (J.C.) Co., Inc. 1,568,288
........................................................................................
3,100 Petco Animal Supplies, Inc. + 64,325
........................................................................................
16,000 Rexall Sundown, Inc. + 435,000
........................................................................................
46,030 Rite Aid Corp. 1,829,693
........................................................................................
33,500 Safeway, Inc. + 1,432,125
........................................................................................
96,300 Sears, Roebuck & Co. 4,441,838
........................................................................................
13,500 The Men's Wearhouse, Inc. + 330,750
........................................................................................
14,300 The North Face, Inc. + 275,275
........................................................................................
35,200 TJX Cos., Inc. (The) 1,667,600
........................................................................................
13,000 Vendex International N.V. (Netherlands) 556,025
........................................................................................
40,000 Walgreen Co. 1,600,000
........................................................................................
7,200 West Marine, Inc. + 203,400
........................................................................................
17,853 Wolverine World Wide, Inc. 517,737
- ----------------------------------------------------------------------------------------
29,539,473
- ----------------------------------------------------------------------------------------
Telecommunications (1.2%)
........................................................................................
10,100 Black Box Corp. + 416,625
........................................................................................
9 Cable & Wireless PLC (United Kingdom) 75
........................................................................................
21,100 Cascade Communications Corp. + 1,163,138
........................................................................................
11,600 Cincinnati Bell, Inc. 714,850
........................................................................................
7,300 Coherent Communications
Systems Corp. + 142,350
........................................................................................
25,800 Deutsche Telekom AG (Germany) + 543,466
........................................................................................
56,400 Deutsche Telekom AG ADR
(Germany) + 1,149,150
........................................................................................
4,600 Intermedia Communications, Inc + 118,450
........................................................................................
15,200 MIDCOM Communications, Inc. + 129,200
........................................................................................
100 Nippon Telegraph and Telephone Corp.
(Japan) 756,897
........................................................................................
28,800 Portugal Telecom S.A. (Portugal) + 820,735
........................................................................................
14,300 Royal PTT (United Kingdom) 545,416
........................................................................................
19,000 Telefonaktiebolaget LM Ericsson Class B
(Sweden) 586,154
........................................................................................
31,400 Tellabs, Inc. + 1,181,425
........................................................................................
209,521 Vodafone Group PLC (United Kingdom) 884,195
- ----------------------------------------------------------------------------------------
9,152,126
- ----------------------------------------------------------------------------------------
Transportation (1.2%)
........................................................................................
22,400 Canadian National Railway Co.
(Canada) + 851,200
........................................................................................
14,930 Delta Air Lines, Inc. 1,058,164
........................................................................................
120 East Japan Railway Co. (Japan) 538,966
........................................................................................
14,650 Expeditors International of
Washington, Inc. 336,950
........................................................................................
15,710 K.L.M.-Royal Dutch Airlines
(Netherlands) 441,895
........................................................................................
18,270 Norfolk Southern Corp. 1,598,625
........................................................................................
52,530 Ryder System, Inc. 1,477,406
........................................................................................
31,000 Singapore Airlines Ltd. (Singapore) 281,415
........................................................................................
51,000 Swire Pacific Ltd. Class A (Hong Kong) 486,327
........................................................................................
20,920 Union Pacific Corp. 1,257,815
........................................................................................
27,000 Yamato Transport Co. Ltd. (Japan) 279,310
- ----------------------------------------------------------------------------------------
8,608,073
- ----------------------------------------------------------------------------------------
Utilities (2.6%)
........................................................................................
17,300 Ameritech Corp. 1,048,813
........................................................................................
50,680 BellSouth Corp. 2,046,205
........................................................................................
16,000 Chubu Electric Power, Inc. (Japan) 317,241
........................................................................................
62,440 GTE Corp. 2,841,020
........................................................................................
46,000 Hong Kong Electric Holdings Ltd.
(Hong Kong) 152,858
........................................................................................
27,000 Kurita Water Industries Ltd. (Japan) 544,655
........................................................................................
17,000 Kyushu Electric Power Inc. (Japan) 329,741
........................................................................................
29,958 United Utilities PLC (United Kingdom) 318,499
........................................................................................
36,600 Northeast Utilities Co. 484,950
........................................................................................
50,990 Pacific Telesis Group 1,873,883
........................................................................................
144,399 Scottish Power PLC (United Kingdom) 870,183
........................................................................................
124,130 Sprint Corp. 4,949,684
........................................................................................
10,800 Telebras Co. ADR (Brazil) 826,200
........................................................................................
40,970 Union Electric Co. 1,577,345
........................................................................................
21,850 Veba (Vereinigte Elektrizitaets
Bergwerks) AG (Germany) 1,262,350
- ----------------------------------------------------------------------------------------
19,443,627
- ----------------------------------------------------------------------------------------
Total Common Stocks
(cost $357,920,058) $437,053,834
- ----------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES (15.2%) *
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
Advertising (0.3%)
........................................................................................
$825,000 Adams Outdoor Advertising, Ltd. sr. notes
10 3/4s, 2006 $877,594
........................................................................................
170,000 Lamar Advertising Co. sr. sub. notes
9 5/8s, 2006 175,100
........................................................................................
15,000 Outdoor Systems, Inc. sr. sub. notes
9 3/8s, 2006 15,450
........................................................................................
1,300,000 Universal Outdoor, Inc. sr. sub. notes
9 3/4s, 2006 1,342,250
- ----------------------------------------------------------------------------------------
2,410,394
- ----------------------------------------------------------------------------------------
Aerospace and Defense (0.4%)
........................................................................................
500,000 BE Aerospace sr. sub. notes Ser. B,
9 7/8s, 2006 525,000
........................................................................................
100,000 Howmet Corp. sr. sub. notes 10s, 2003 109,250
........................................................................................
885,000 Lockheed Martin Corp. company
guaranty 7 1/4s, 2006 900,372
........................................................................................
255,000 Northrop-Grumman Corp. notes
7s, 2006 251,723
........................................................................................
665,000 Sequa Corp. sr. sub. notes 9 3/8s, 2003 678,300
........................................................................................
350,000 UNC, Inc. sr. sub. notes 11s, 2006 374,500
- ----------------------------------------------------------------------------------------
2,839,145
- ----------------------------------------------------------------------------------------
Agriculture (0.1%)
........................................................................................
550,000 Premium Standard Farms, Inc. sr. secd.
notes 11s, 2003++++ 581,625
- ----------------------------------------------------------------------------------------
Automotive (0.2%)
........................................................................................
425,000 A.P.S. Inc. company guaranty
11 7/8s, 2006 463,250
........................................................................................
325,000 Aftermarket Technology Corp. sr. sub.
notes 12s, 2004 363,188
........................................................................................
390,000 CSK Auto, Inc. 144A sr. sub. notes
11s, 2006 409,500
........................................................................................
20,000 Daimler-Benz AG med. term notes,
company guaranty 7 3/8s, 2006
(Germany) 20,504
........................................................................................
60,000 Hawk Corp. 144A sr. notes 10 1/4s, 2003 61,200
........................................................................................
90,000 Key Plastics Corp. sr. notes 14s, 1999 93,600
........................................................................................
300,000 Lear Corp. sub. notes 9 1/2s, 2006 324,000
........................................................................................
35,000 Safelite Glass Corp. 144A sr. sub. notes
9 7/8s, 2006 36,050
- ----------------------------------------------------------------------------------------
1,771,292
- ----------------------------------------------------------------------------------------
Basic Industrial Products (--%)
........................................................................................
30,000 Astor Corp. 144A sr. sub. notes
10 1/2s, 2006 30,675
........................................................................................
175,000 Clark-Schwebel sr. notes 10 1/2s, 2006 185,500
........................................................................................
95,000 Ryder TRS Inc. 144A sr. sub. notes
10s, 2006 98,800
- ----------------------------------------------------------------------------------------
314,975
- ----------------------------------------------------------------------------------------
Broadcasting (1.6%)
........................................................................................
200,000 Allbritton Communications sr. sub. deb.
Ser. B, 9 3/4s, 2007 194,000
........................................................................................
750,000 American Radio Systems Corp. company
guaranty 9s, 2006 735,000
........................................................................................
250,000 American Telecasting, Inc. sr. disc. notes
stepped-coupon zero %
(14 1/2s, 8/15/00), 2005 ++ 87,500
........................................................................................
1,000,000 Argyle Television Corp. sr. sub. notes
9 3/4s, 2005 1,015,000
........................................................................................
350,000 Benedek Communications Corp. sr. disc.
notes stepped-coupon zero %
(13 1/4s, 5/15/01), 2006 ++ 200,375
........................................................................................
350,000 Chancellor Broadcasting Co. sr. sub.
notes 9 3/8s, 2004 353,500
........................................................................................
150,000 Comcast Corp. sr. sub. notes 9 1/2s, 2008 155,250
........................................................................................
450,000 Commodore Media, Inc. sr. sub. notes
stepped-coupon 7 1/2s, (13 1/4s, 5/1/98),
2003 ++ 474,750
........................................................................................
600,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(13 1/2s, 9/30/99), 2004
(United Kingdom) ++ 492,000
........................................................................................
500,000 Echostar Communications Corp. sr.
disc. notes stepped-coupon zero %
(12 7/8s, 6/1/99), 2004 ++ 413,750
........................................................................................
500,000 Granite Broadcasting Corp. sr. sub. deb.
12 3/4s, 2002 545,000
........................................................................................
550,000 Granite Broadcasting Corp. sr.
sub. notes 9 3/8s, 2005 528,000
........................................................................................
15,000 Gray Communications Systems, Inc.
sr. sub. notes 10 5/8s, 2006 15,900
........................................................................................
85,000 Jacor Communications, Inc. company
guaranty 9 3/4s, 2006 86,275
........................................................................................
350,000 Jacor Communications, Inc.
sr. sub. notes 10 1/8s, 2006 360,500
........................................................................................
675,000 Lenfest Communications, Inc. sr. sub.
notes 10 1/2s, 2006 708,750
........................................................................................
600,000 Paxson Communications Corp. 144A
sr. sub. notes 11 5/8s, 2002 625,500
........................................................................................
300,000 Rogers Cablesystems Ltd. notes
11s, 2015 (Canada) 324,000
........................................................................................
950,000 SFX Broadcasting, Inc. sr. sub. notes
Ser. B, 10 3/4s, 2006 1,002,250
........................................................................................
175,000 Sinclair Broadcasting Group
sr. sub. notes 10s, 2005 177,625
........................................................................................
750,000 Sullivan Broadcasting sr. sub. notes
10 1/4s, 2005 757,500
........................................................................................
1,350,000 Telewest Communications PLC deb.
stepped-coupon zero % (11s, 10/1/00),
2007 (United Kingdom) ++ 941,625
........................................................................................
1,800,000 Videotron Holdings. sr. disc. notes
stepped-coupon zero % (11s, 8/15/00),
2005 (United Kingdom) ++ 1,449,000
........................................................................................
175,000 Young Broadcasting Corp. sr. sub. notes
11 3/4s, 2004 190,750
- ----------------------------------------------------------------------------------------
11,833,800
- ----------------------------------------------------------------------------------------
Building Products (--%)
........................................................................................
325,000 Southdown Inc. sr. sub. notes Ser. B,
10s, 2006 342,875
- ----------------------------------------------------------------------------------------
Building and Construction (0.4%)
........................................................................................
800,000 American Standard, Inc. deb. 9 1/4s, 2016 832,000
........................................................................................
155,000 Atrium Companies Inc. 144A sr. sub.
notes 10 1/2s, 2006 157,713
........................................................................................
80,000 Building Materials Corp. 144A sr. notes
8 5/8s, 2006 79,800
........................................................................................
175,000 Cemex S.A. 144A bonds 12 3/4s, 2006
(Mexico) 196,438
........................................................................................
80,000 Clark Material Handling Co. 144A
sr. notes 10 3/4s, 2006 83,200
........................................................................................
380,000 Inter-City Products sr. notes 9 3/4s, 2000 385,700
........................................................................................
175,000 Presley Cos. sr. notes 12 1/2s, 2001 168,875
........................................................................................
350,000 Scotsman Group, Inc. sr. secd. notes
9 1/2s, 2000 358,750
........................................................................................
350,000 Terex Corp. sr. notes Ser. B, 13 1/4s, 2002 377,125
........................................................................................
150,000 Waxman Industries Inc. sr. notes
stepped-coupon Ser. B, zero %
(12 3/4s, 6/1/99), 2004 ++ 109,875
- ----------------------------------------------------------------------------------------
2,749,476
- ----------------------------------------------------------------------------------------
Business Equipment and Services (0.2%)
........................................................................................
75,000 Intertek Finance PLC 144A sr. sub. notes
10 1/4s, 2006 (United Kingdom) 78,000
........................................................................................
20,000 Iron Mountain, Inc. med. term notes
company guaranty 10 1/8s, 2006 21,200
........................................................................................
1,075,000 Pierce Leahy Corp. sr. sub. notes
11 1/8s, 2006 1,174,438
........................................................................................
400,000 United Stationer Supply, Inc.
sr. sub. notes 12 3/4s, 2005 442,000
- ----------------------------------------------------------------------------------------
1,715,638
- ----------------------------------------------------------------------------------------
Cable Television (0.2%)
........................................................................................
400,000 Cablevision Systems Corp. sr. sub. notes
9 1/4s, 2005 396,000
........................................................................................
35,000 Frontiervision Operating Partners L.P.
sr. sub. notes 11s, 2006 35,263
........................................................................................
380,000 Heartland Wireless Communications, Inc.
144A sr. notes 14s, 2004 394,250
........................................................................................
300,000 Tevecap S.A. 144A sr. notes 12 5/8s,
2004 (Brazil) 306,750
........................................................................................
80,000 TV Filme, Inc. 144A sr. notes 12 7/8s,
2004 (Brazil) 80,300
- ----------------------------------------------------------------------------------------
1,212,563
- ----------------------------------------------------------------------------------------
Cellular Communications (0.2%)
........................................................................................
860,000 Airtouch Communications, Inc. notes
7 1/8s, 2001 873,932
........................................................................................
100,000 Pronet, Inc. sr. sub. notes 11 94,000
- ----------------------------------------------------------------------------------------
967,932
- ----------------------------------------------------------------------------------------
Chemicals (0.4%)
........................................................................................
475,000 Arcadian Partner sr. notes 10 3/4s, 2005 521,313
........................................................................................
30,000 Freedom Chemicals, Inc. 144A sr. sub.
notes 10 5/8s, 2006 31,500
........................................................................................
300,000 Harris Chemical Corp. sr. secd. disc.
notes 10 1/4s, 2001 311,625
........................................................................................
750,000 Harris Chemical Corp. sr. sub. notes
10 3/4s, 2003 776,250
........................................................................................
325,000 ISP Holdings, Inc. 144A sr. notes
9 3/4s, 2002 333,125
........................................................................................
280,000 Sociedad Quimica Y Minera de Chile S.A.
144A bonds 7.7s, 2006 (Chile) 287,000
........................................................................................
400,000 Sterling Chemicals Holdings sr.
disc. notes stepped-coupon zero %
(13 1/2s, 8/15/01), 2008 ++ 232,000
........................................................................................
150,000 Union Carbide Global Enterprises
sr. sub. Ser. B, 12s, 2005 172,875
- ----------------------------------------------------------------------------------------
2,665,688
- ----------------------------------------------------------------------------------------
Computer Services and Software (0.1%)
........................................................................................
650,000 Computervision Corp. sr. sub. notes
11 3/8s, 1999 680,063
........................................................................................
140,000 Unisys Corp. sr. notes 11 3/4s, 2004 149,450
- ----------------------------------------------------------------------------------------
829,513
- ----------------------------------------------------------------------------------------
Conglomerates (--%)
........................................................................................
250,000 Congoleum Corp. sr. notes 9s, 245,000
- ----------------------------------------------------------------------------------------
Consumer Durable Goods (--%)
........................................................................................
140,000 Icon Fitness Corp. 144A sr. disc. notes
stepped-coupon zero %
(14s, 11/15/01), 2006 ++ 73,500
........................................................................................
40,000 Rayovac Corp. 144A sr. sub. notes
10 1/4s, 2006 41,000
........................................................................................
175,000 Remington Products Co. sr. sub. notes
Ser. B, 11s, 2006 148,750
- ----------------------------------------------------------------------------------------
263,250
- ----------------------------------------------------------------------------------------
Consumer Non Durables (0.2%)
........................................................................................
25,000 E&S Holdings Corp. 144A sr. sub. notes
10 3/8s, 2006 26,188
........................................................................................
350,000 Guess Jeans, Inc. sr. sub. notes
9 1/2s, 2003 358,750
........................................................................................
255,000 RJR Nabisco, Inc. notes 8 3/4s 256,148
........................................................................................
1,065,000 Sampoerna International Finance Co.
144A company guaranty 8 3/8s, 2006
(Indonesia) 1,082,434
- ----------------------------------------------------------------------------------------
1,723,520
- ----------------------------------------------------------------------------------------
Consumer Services (1.0%)
........................................................................................
425,000 Act III Theatres, Inc. sr. sub. notes
11 7/8s, 2003 468,563
........................................................................................
1,550,000 Adelphia Communications Corp. sr. notes
12 1/2s, 2002 1,588,750
........................................................................................
750,000 Affinity Group sr. sub. notes
11 1/2s, 2003 780,000
........................................................................................
180,000 AmeriKing, Inc. sr. notes 10 3 185,400
........................................................................................
150,000 Century Communications Corp. sr. notes
9 1/2s, 2005 153,750
........................................................................................
100,000 Century Communications Corp. sr. sub.
deb. 11 7/8s, 2003 106,000
........................................................................................
500,000 Coinmach Corp. sr. notes Ser. B,
11 3/4s, 2005 541,250
........................................................................................
125,000 FRD Acquisition Co. sr. notes Ser. B,
12 1/2s, 2004 128,438
........................................................................................
300,000 Host Marriott Corp. sr. notes Ser. B,
9 1/2s, 2005 313,125
........................................................................................
50,000 John Q Hammons Hotels, Inc. 1st mtge.
8 7/8s, 2004 49,375
........................................................................................
1,600,000 Jones Intercable, Inc. sr. sub. deb.
10 1/2s, 2008 1,728,000
........................................................................................
225,000 Marcus Cable Co. (L.P.) sr. deb.
11 7/8s, 2005 238,219
........................................................................................
150,000 Prime Hospitality Corp. 1st mtge.
9 1/4s, 2006 151,875
........................................................................................
45,000 Rose Hills Acquistion Corp. 144A sr. sub.
notes 9 1/2s, 2004 46,125
........................................................................................
900,000 Service Corp. International notes
6 3/8s, 2000 891,909
- ----------------------------------------------------------------------------------------
7,370,779
- ----------------------------------------------------------------------------------------
Electronics and Electrical Equipment (0.3%)
........................................................................................
500,000 Amphenol Corp. sr. sub. notes
12 3/4s, 2002 547,500
........................................................................................
55,000 Celestica International Ltd. 144A sr. sub.
notes 10 1/2s, 2006 (India) 57,750
........................................................................................
67,694 Cirent Semiconductor sr. sub. notes
10.22s, 2002 67,694
........................................................................................
67,972 Cirent Semiconductor 144A sr. sub.
notes 10.14s, 2004 67,972
........................................................................................
600,000 Health O Meter Products, Inc. sr. sub.
notes 13s, 2002 655,500
........................................................................................
615,000 International Semi-Tech. Corp. sr. secd.
disc. notes stepped-coupon zero %
(11 1/2s, 8/15/00), 2003 (Canada) 396,675
........................................................................................
95,000 Motors and Gears Inc. 144A sr. notes
Ser. A, 10 3/4s, 2006 97,850
- ----------------------------------------------------------------------------------------
1,890,941
- ----------------------------------------------------------------------------------------
Entertainment (1.3%)
........................................................................................
175,000 Alliance Gaming Corp. sr. notes
12 7/8s, 2003 184,188
........................................................................................
200,000 Argosy Gaming Co. 1st mtge.
13 1/4s, 2004 186,500
........................................................................................
100,000 Aztar Corp. sr. sub. notes 13 3/4, 2004 106,500
........................................................................................
350,000 Casino America, Inc. sr. notes
12 1/2s, 2003 331,625
........................................................................................
500,000 Casino Magic of Louisiana Corp. 144A
1st mtge. 13s, 2003 493,750
........................................................................................
375,000 Cinemark USA, Inc. sr. sub. notes Ser. B,
9 5/8s, 2008 375,000
........................................................................................
1,100,000 Coast Hotels & Casinos, Inc. company
guaranty Ser. B, 13s, 2002 1,214,125
........................................................................................
200,000 Cobb Theatres LLC company guaranty
10 5/8s, 2003 211,500
........................................................................................
175,000 Colorado Gaming & Entertainment Co.
sr. notes 12s, 2003 +++++ 168,000
........................................................................................
90,000 Empress River Casino sr. notes
10 3/4s, 2002 97,650
........................................................................................
175,000 Grand Casinos, Inc. 1st mtge.
10 1/8s, 2003 175,875
........................................................................................
150,000 Hollywood Casino Corp. sr. notes
12 3/4s, 2003 144,000
........................................................................................
290,000 Lady Luck Gaming 1st mtge.
11 7/8s, 2001 281,300
........................................................................................
375,000 Mohegan Tribal Gaming sr. secd. notes
Ser. B, 13 1/2s, 2002 486,563
........................................................................................
1,025,000 Players International Inc. sr. notes
10 7/8s, 2005 1,014,750
........................................................................................
500,000 Six Flags Corp. sr. sub. notes
stepped-coupon zero %
(12 1/4s, 6/15/98), 2005 ++ 470,000
........................................................................................
780,000 Time Warner Entertainment Inc.
deb. 7 1/4s, 2008 758,909
........................................................................................
365,000 Time Warner Entertainment Inc.
notes 8 7/8s, 2012 398,982
........................................................................................
250,000 Trump A.C. 1st mtge. 11 1/4s, 2006 247,500
........................................................................................
2,000,000 Viacom International, Inc.
sub. deb. 8s, 2006 1,935,000
- ----------------------------------------------------------------------------------------
9,281,717
- ----------------------------------------------------------------------------------------
Environmental Control (0.1%)
........................................................................................
215,000 Allied Waste Industries, Inc. 144A
sr. sub. notes 10 1/4s, 2006 225,750
........................................................................................
645,000 WMX Technologies Inc. notes 7. 667,227
- ----------------------------------------------------------------------------------------
892,977
- ----------------------------------------------------------------------------------------
Food and Beverages (0.2%)
........................................................................................
125,000 Canandaigua Wine Co. 144A
sr. sub. notes 8 3/4s, 2003 121,875
........................................................................................
900,000 Chiquita Brands sr. notes 9 5/8s, 2004 929,250
........................................................................................
250,000 Mafco, Inc. sr. sub. notes 11 7/8s, 2002 263,750
........................................................................................
325,000 Stater Brothers sr. notes 11s, 2001 352,625
- ----------------------------------------------------------------------------------------
1,667,500
- ----------------------------------------------------------------------------------------
Health Care (0.4%)
........................................................................................
255,000 Columbia/HCA Healthcare Corp.
notes 6.41s, 2000 254,357
........................................................................................
430,000 Genesis Health Ventures, Inc. 144A
sr. sub. notes 9 1/4s, 2006 442,900
........................................................................................
235,000 IMED Corp. sr. sub. notes 9 3/4s, 2006 239,113
........................................................................................
350,000 Integrated Health Services sr. sub. notes
9 5/8s, 2002 361,375
........................................................................................
630,000 Manor Care, Inc. sr. notes 7 1 644,383
........................................................................................
200,000 Merit Behavioral Care sr. sub. notes
11 1/2s, 2005 214,000
........................................................................................
550,000 Paracelsus Healthcare sr. sub. notes
10s, 2006 517,000
- ----------------------------------------------------------------------------------------
2,673,128
- ----------------------------------------------------------------------------------------
Hospital Management and Medical Services (--%)
........................................................................................
175,000 Abbey Healthcare Group Inc. sr. sub.
deb. 9 1/2s, 2002 182,875
- ----------------------------------------------------------------------------------------
Insurance and Finance (2.0%)
........................................................................................
375,000 Aames Financial Corp. sr. notes
9 1/8s, 2003 381,563
........................................................................................
385,000 Abbey National PLC sub. notes
7.35s, 2049 (United Kingdom) 389,431
........................................................................................
520,000 ABN AMRO Holding N.V. sub. notes
7.55s, 2006 (Netherlands) 538,392
........................................................................................
720,000 Aegon N.V. sub. notes 8s, 2006
(Netherlands) 766,966
........................................................................................
250,000 AIM Management Group sr. secd. notes
9s, 2003 271,250
........................................................................................
350,000 American Life Holding Co. sr. sub. notes
11 1/4s, 2004 400,750
........................................................................................
490,000 Bankamerica Corp. sub. notes
8 3/8s, 2002 524,952
........................................................................................
640,000 Banponce Financial Corp. med. term
notes 6 3/4s, 2001 639,930
........................................................................................
520,000 Capital One Bank sr. notes 7.35s, 2000 527,998
........................................................................................
350,000 Chevy Chase Savings Bank Inc. sub. deb.
9 1/4s, 2005 357,000
........................................................................................
480,000 Commercial Credit Co. notes
7 7/8s, 2025 520,526
........................................................................................
625,000 Conseco Inc. sr. notes 10 1/2s, 2004 737,669
........................................................................................
300,000 Contifinancial Corp. sr. notes 8 3/8s, 2003 309,000
........................................................................................
45,000 Dollar Financial Group Inc. 144A sr. notes
10 7/8s, 2006 46,350
........................................................................................
325,000 First Financial Caribbean Corp. sr. notes
7.84s, 2006 327,535
........................................................................................
1,000,000 First Nationwide Holdings sr. notes
12 1/2s, 2003 1,120,000
........................................................................................
500,000 First Nationwide Holdings 144A sr. sub.
notes 10 5/8s, 2003 540,000
........................................................................................
515,000 Ford Motor Credit Corp. sr. notes
7s, 2001 522,679
........................................................................................
770,000 Lehman Brothers Holdings, Inc.
med. term notes 6.4s, 1999 765,534
........................................................................................
545,000 Merita Bank Ltd. sub. notes 6 1/2s, 2006
(Finland) 519,216
........................................................................................
540,000 Nationsbank Corp. sub. notes
6 1/2s, 2006 518,956
........................................................................................
115,000 North Fork Bancorp, Inc. 144A bonds
8.7s, 2026 115,288
........................................................................................
55,000 Ocwen Federal Bank FSB sub. deb.
12s, 2005 60,500
........................................................................................
30,000 Ocwen Financial Corp. notes
11 7/8s, 2003 32,475
........................................................................................
40,000 Olympic Financial Ltd. sr. notes 13s, 2000 43,600
........................................................................................
50,000 Outsourcing Solutions Inc. 144A sr. sub.
notes 11s, 2006 52,375
........................................................................................
280,000 Provident Capital Trust 144A jr.
sub. notes 8.6s, 2026 283,870
........................................................................................
1,050,000 Reliance Group Holdings, Inc.
sr. sub. deb. 9 3/4s, 2003 1,092,000
........................................................................................
80,000 Riggs Capital Trust 144A bonds
8 5/8s, 2026 80,000
........................................................................................
560,000 Royal Bank of Scotland sub. notes
6 3/8s, 2011 (United Kingdom) 514,321
........................................................................................
465,000 Southern Investments Service Co.
sr. notes 6.8s, 2006 (United Kingdom) 454,096
........................................................................................
265,000 Sparbanken Sverige AB (Swedbank)
144A sub. 7 1/2s, 2006 (Sweden 265,869
........................................................................................
545,000 Travelers Group, Inc. sr. notes
7 3/4s, 2026 560,761
........................................................................................
500,000 Van Kampen Merritt sr. notes
9 3/4s, 2003 533,750
- ----------------------------------------------------------------------------------------
14,814,602
- ----------------------------------------------------------------------------------------
Medical Supplies and Devices (0.1%)
........................................................................................
175,000 Graphic Controls Corp. sr. sub. notes
Ser. A, 12s, 2005 193,813
........................................................................................
575,000 Wright Medical Technology, Inc.
sr. secd. notes Ser. B, 10 3/4 580,750
- ----------------------------------------------------------------------------------------
774,563
- ----------------------------------------------------------------------------------------
Metals and Mining (0.2%)
........................................................................................
155,000 AK Steel Corp. 144A sr. notes
9 1/8s, 2006 159,069
........................................................................................
100,000 Maxxam Group Holdings Inc. 144A
sr. notes 12s, 2003 102,000
........................................................................................
530,000 Noranda Inc. notes 7s, 2005 (Canada) 523,248
........................................................................................
300,000 Renco Metals, Inc. sr. notes 11 1/2s, 2003 313,500
........................................................................................
150,000 Royal Oak Mines Inc. company guaranty
Ser. B, 11s, 2006 (Canada) 153,375
........................................................................................
235,000 WCI Steel, Inc. 144A sr. notes 239,700
- ----------------------------------------------------------------------------------------
1,490,892
- ----------------------------------------------------------------------------------------
Oil and Gas (0.8%)
........................................................................................
75,000 Abraxas Petroleum Corp. 144A sr. notes
11 1/2s, 2004 80,625
........................................................................................
350,000 Chesapeake Energy Corp. sr. notes
9 1/8s, 2006 364,875
........................................................................................
1,000,000 Columbia Gas System, Inc. notes Ser. E,
7.32s, 2010 983,500
........................................................................................
20,000 Costilla Energy, Inc. sr. notes
10 1/4s, 2006 20,900
........................................................................................
355,000 El Paso Natural Gas Co. deb.
7 1/2s, 2026 355,238
........................................................................................
980,000 Flores & Rucks, Inc. sr. sub. notes
9 3/4s, 2006 1,038,800
........................................................................................
75,000 Forcenergy, Inc. sr. sub. note 78,000
........................................................................................
125,000 HS Resources, Inc. 144A sr. sub. notes
9 1/4s, 2006 128,438
........................................................................................
575,000 Husky Oil Ltd. deb. 7.55s, 2016 (Canada) 575,886
........................................................................................
65,000 Kelley Oil & Gas Corp. 144A
sr. sub. notes 10 3/8s, 2006 67,763
........................................................................................
400,000 Lasmo (USA) Inc. company guaranty
7 1/2s, 2006 410,564
........................................................................................
500,000 Maxus Energy Corp. med. term notes
10.83s, 2004 540,000
........................................................................................
330,000 Norcen Energy Resources Inc. deb.
7 3/8s, 2006 (Canada) 332,455
........................................................................................
80,000 Parker Drilling Co. 144A company
guaranty 9 3/4s, 2006 84,400
........................................................................................
300,000 Transamerican Refining Corp. var. rate
1st mtge. zero % (18 1/2s, 2/15/98),
2002 ++ 247,500
........................................................................................
589,000 TransTexas Gas Corp. sr. disc. notes
stepped-coupon zero%
(13 1/4s, 12/16/01), 2003 ++ 323,950
........................................................................................
325,000 TransTexas Gas Corp. sr. secd. notes
11 1/2s, 2002 351,000
- ----------------------------------------------------------------------------------------
5,983,894
- ----------------------------------------------------------------------------------------
Packaging and Containers (0.2%)
........................................................................................
40,000 Amtrol, Inc. 144A sr. sub. notes
10 5/8s, 2006 41,200
........................................................................................
205,000 Ivex Holdings Corp. sr. disc. deb.
stepped-coupon zero %
(13 1/4s, 3/15/00), 2005 ++ 159,388
........................................................................................
225,000 Ivex Packaging Corp. sr. sub. notes
12 1/2s, 2002 243,563
........................................................................................
300,000 Owens-Illinois, Inc. sr. sub. notes
10 1/2s, 2002 316,500
........................................................................................
100,000 Radnor Holdings Corp. 144A sr. notes
10s, 2003 102,000
........................................................................................
850,000 Riverwood International company
guaranty 10 7/8s, 2008 777,750
........................................................................................
30,000 US Can Corp. 144A sr. sub. notes
10 1/8s, 2006 31,538
- ----------------------------------------------------------------------------------------
1,671,939
- ----------------------------------------------------------------------------------------
Paper and Forest Products (0.5%)
........................................................................................
500,000 APP International Finance Co. notes
11 3/4s, 2005 (Netherlands) 536,250
........................................................................................
1,050,000 Florida Coast Paper LLC 1st mtge.
Ser. B, 12 3/4s, 2003 1,134,000
........................................................................................
150,000 Gaylord Container Corp. sr. notes
11 1/2s, 2001 162,000
........................................................................................
300,000 Rainy River Forest Products,
Inc. sr. notes 10 3/4s, 2001 (Canada) 3,250
........................................................................................
500,000 Repap New Brunswick sr. notes
10 5/8s, 2005 (Canada) 520,000
........................................................................................
300,000 Stone Container Corp. 144A company
guaranty 11 1/2s, 2006 315,000
........................................................................................
250,000 Stone Container Corp. 1st mtge.
10 3/4s, 2002 263,438
........................................................................................
600,000 Stone Container Corp. sr. notes
11 1/2s, 2004 630,000
- ----------------------------------------------------------------------------------------
3,883,938
- ----------------------------------------------------------------------------------------
Publishing (0.1%)
........................................................................................
1,040,000 News America Holdings, Inc. sr. notes
8 5/8s, 2003 (Australia) 1,117,022
- ----------------------------------------------------------------------------------------
Retail (0.6%)
........................................................................................
175,000 Brylane (L.P.) sr. sub. notes 10s, 2003 180,250
........................................................................................
750,000 Finlay Enterprises, Inc. sr. disc. deb.
stepped-coupon zero %
(12s, 5/1/98), 2005 ++ 641,250
........................................................................................
250,000 Finlay Enterprises, Inc. sr. notes
10 5/8s, 2003 251,250
........................................................................................
200,000 K mart Corp. med. term notes
8.19s, 2003 179,716
........................................................................................
200,000 K mart Corp. med. term notes 8s, 2001 184,784
........................................................................................
250,000 K mart Corp. med. term notes
6.88s, 1999 237,068
........................................................................................
500,000 K mart Corp. notes 8 1/8s, 2006 462,500
........................................................................................
175,000 Loehmanns, Inc. sr. notes 11 7/8s, 2003 188,563
........................................................................................
100,000 Mothers Work, Inc. sr. notes
12 5/8s, 2005 106,000
........................................................................................
175,000 Parisian, Inc. sr. sub. notes 9 7/8s, 2003 176,750
........................................................................................
300,000 Phar-Mor, Inc. sr. notes 11.72s, 2002 313,500
........................................................................................
275,000 Rite Aid Corp. notes 6.7s, 2001 278,438
........................................................................................
545,000 Sears Roebuck Acceptance Corp.
med. term notes 6.15s, 2005 538,547
........................................................................................
450,000 Southland Corp. 1st priority
sr. sub. deb. 5s, 2003 369,000
- ----------------------------------------------------------------------------------------
4,107,616
- ----------------------------------------------------------------------------------------
Specialty Consumer Products (--%)
........................................................................................
50,000 Genesco, Inc. sr. notes 10 3/8 51,250
........................................................................................
200,000 Herff Jones, Inc. sr. sub. notes 11s, 2005 214,000
- ----------------------------------------------------------------------------------------
265,250
- ----------------------------------------------------------------------------------------
Telecommunications (2.2%)
........................................................................................
325,000 American Communications Services, Inc.
sr. disc. notes stepped-coupon zero %
(12 3/4s, 4/1/01), 2006 ++ 178,750
........................................................................................
350,000 American Communications Services, Inc.
sr. disc. notes stepped-coupon zero %
(13s, 11/1/00), 2005 ++ 210,000
........................................................................................
500,000 Arch Communications Group sr. disc.
notes stepped-coupon zero %
(10 7/8s, 3/15/01), 2008 ++ 285,000
........................................................................................
825,000 Brooks Fiber Properties, Inc.
sr. disc. notes stepped-coupon zero %
(10 7/8s, 3/1/01), 2006 ++ 552,750
........................................................................................
350,000 Celcaribe S.A. sr. notes stepped-coupon
zero % (13 1/2s, 3/15/98), 200 308,000
........................................................................................
800,000 Cencall Communications Corp. sr. disc.
notes stepped-coupon zero %
(10 1/8s, 1/15/99), 2004 ++ 547,000
........................................................................................
500,000 Centennial Cellular Corp. sr. notes
8 7/8s, 2001 482,500
........................................................................................
920,000 Compania Telecom Chile notes 7 5/8s,
2006 (Chile) 943,276
........................................................................................
280,000 Globo Communicacoes 144A company
guaranty 10 1/2s, 2006 (Brazil) 280,000
........................................................................................
1,250,000 GST Telecommunications, Inc. company
guaranty stepped-coupon zero %
(13 7/8s, 12/15/00), 2005 ++ 759,375
........................................................................................
425,000 Hyperion Telecommunication Corp.
sr. disc. notes stepped-coupon Ser. B,
zero % (13s, 4/15/01), 2003 ++ 239,063
........................................................................................
500,000 ICG Holdings, Inc. sr. disc. notes
stepped-coupon zero %
(13 1/2s, 9/15/00), 2005 ++ 352,500
........................................................................................
300,000 Intelcom Group (USA), Inc. company
guaranty stepped-coupon zero %
(12 1/2s, 5/1/01), 2006 ++ 194,250
........................................................................................
525,000 Intermedia Communications, Inc. sr. disc.
notes stepped-coupon zero %
(12 1/2s, 5/15/01), 2006 ++ 357,000
........................................................................................
600,000 International Cabletel, Inc. sr. notes
stepped-coupon Ser. B, zero %
(11 1/2s, 2/01/01), 2006 ++ 408,000
........................................................................................
550,000 Metrocall, Inc. sr. sub. notes 473,000
........................................................................................
2,800,000 MFS Communications sr. disc. notes
stepped-coupon zero %
(9 3/8s, 1/15/99), 2004 ++ 2,429,000
........................................................................................
1,500,000 Millicom International Cellular S.A.
sr. disc. notes stepped-coupon zero %
(13 1/2s, 6/1/01), 2006 (Luxembourg) ++ 930,000
........................................................................................
250,000 Mobile Telecommunications Tech. sr. notes
13 1/2s, 2002 250,000
........................................................................................
800,000 NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero %
(9 3/4s, 2/15/99), 2004 ++ 546,000
........................................................................................
2,500,000 NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero %
(11 1/2s, 9/1/98), 2003 ++ 1,950,000
........................................................................................
160,000 Nextlink Communications, Inc. sr. notes
12 1/2s, 2006 170,400
........................................................................................
300,000 Omnipoint Corp. sr. notes 11 5/8s, 2006 309,000
........................................................................................
200,000 Omnipoint Corp. 144A sr.notes
Ser.A, 115/8s,2006 309,000
........................................................................................
525,000 Pagemart Nationwide, Inc. sr. disc. notes
stepped-coupon zero %
(15s, 2/1/00), 2005 ++ 359,625
........................................................................................
810,000 Paging Network, Inc. 144A sr. sub. notes
10s, 2008 823,163
........................................................................................
350,000 Pricellular Wireless Corp. sr. disc. notes
stepped-coupon Ser. B, zero %
(14s, 11/15/97), 2001 ++ 343,000
........................................................................................
30,000 Sygnet Wireless, Inc. sr. notes
11 1/2s, 2006 30,750
........................................................................................
1,400,000 Teleport Communications Group Inc.
sr. disc. notes stepped-coupon zero %
(11 1/8s, 7/1/01), 2007 ++ 959,000
........................................................................................
300,000 Wireless One, Inc. sr. notes 13s, 2003 291,000
- ----------------------------------------------------------------------------------------
16,169,402
- ----------------------------------------------------------------------------------------
Textiles (--%)
........................................................................................
260,000 Polysindo International Finance company
guaranty 11 3/8s, 2006 (Indonesia) 284,050
- ----------------------------------------------------------------------------------------
Transportation (0.1%)
........................................................................................
60,000 Blue Bird Body Co. 144A sr. sub. notes
10 3/4s, 2006 62,700
........................................................................................
400,000 Consorcio/MCII Holdings sec. notes
stepped-coupon zero %
(12s, 11/15/98), 2002 ++ 330,000
........................................................................................
115,000 Newport News Shipbuilding 144A
sr. notes 8 5/8s, 2006 117,875
........................................................................................
100,000 Newport News Shipbuilding 144A
sr. sub. notes 9 1/4s, 2006 102,500
........................................................................................
300,000 Transport Maritima Mexicana S.A. de CV
sr. notes 10s, 2006 (Mexico) 304,500
........................................................................................
150,000 Viking Star Shipping sr. secd. notes
9 5/8s, 2003 156,938
- ----------------------------------------------------------------------------------------
1,074,513
- ----------------------------------------------------------------------------------------
Utilities (0.8%)
........................................................................................
95,000 AES China Generating Co. sr. notes
10 1/8s, 2006 (China) 98,088
........................................................................................
600,000 Cleveland Electric Illuminating Co.
1st mtge. Ser. B, 9 1/2s, 2005 632,628
........................................................................................
800,000 Cleveland Electric Illuminating Co.
1st mtge. Ser. E, 9s, 2023 802,144
........................................................................................
435,000 Connecticut Light & Power Co.
1st mtge. Ser. A, 7 7/8s, 2001 444,309
........................................................................................
145,000 Edison Mission Energy 144A company
guaranty 7.33s, 2008 145,609
........................................................................................
350,000 El Paso Electric Co. 1st mtge. Ser. E,
9.4s, 2011 371,000
........................................................................................
175,000 Empresa Distribuidora Norte 144A
notes 9 3/4s, 2001 (Argentina) 180,906
........................................................................................
20,000 Hidroelectric Pierda Aguila 144A bonds
10 5/8s, 2001 (Argentina) 21,025
........................................................................................
275,000 Jersey Central Power & Light Co.
1st mtge. med. term note 6.85s, 2006 274,271
........................................................................................
400,000 Long Island Lighting Co. deb. 9s, 2022 421,000
........................................................................................
100,000 Long Island Lighting Co. deb. 8.9s, 2019 102,025
........................................................................................
500,000 Midland Funding Corp. deb. Ser. A,
11 3/4s, 2005 553,580
........................................................................................
450,000 Niagara Mohawk Power Corp.
med. term notes 9.95s, 2000 416,250
........................................................................................
650,000 Niagara Mohawk Power Corp. 1st mtge.
5 7/8s, 2002 575,114
........................................................................................
33,313 Northeast Utilities System notes Ser. A,
8.58s, 2006 32,724
........................................................................................
215,000 Ras Laffan Natural Gas 144A sec. notes
8.294s, 2014 (Qatar) 216,881
........................................................................................
430,000 Ras Laffan Natural Gas 144A sec. notes
7.628s, 2006 (Qatar) 431,613
- ----------------------------------------------------------------------------------------
5,719,167
- ----------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $120,107,561) $113,783,451
- ----------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (8.3%) *
- ----------------------------------------------------------------------------------------
Principal Amount Value
- ----------------------------------------------------------------------------------------
U.S. Government Agency Mortgage Obligations (5.7%)
........................................................................................
$980,000 Federal Home Loan Mortgage
Corp. 8s, TBA, January 16, 2027 $998,983
........................................................................................
Federal National Mortgage Association
Pass-Through Certificates 2,111,313
........................................................................................
2,008,994 9 1/2s, Dwarf, May 1, 2007 3,764,494
........................................................................................
3,753,798 7 1/2s, with due dates from
July 1, 2007 to June 1, 2026 1,401,098
........................................................................................
1,385,939 7.4s, May 1, 2026 3,750,392
........................................................................................
3,835,497 7s, with due dates from
October 1, 2025 to May 1, 2026 3,561,593
........................................................................................
3,734,301 6 1/2s, with due dates from
December 1, 2025 to April 1, 2026 4,744,081
........................................................................................
4,833,202 6 1/2s, Dwarf, with due dates from
May 1, 2011 to June 1, 2011 5,276,674
........................................................................................
Federal National Mortgage Association
........................................................................................
5,280,000 7 1/2s, TBA, January 16, 2027 5,276,674
........................................................................................
2,050,000 7s, TBA, January 16, 2027 2,004,511
........................................................................................
1,260,000 6 1/2s, TBA, January 16, 2027 1,201,725
- ----------------------------------------------------------------------------------------
3,075,000 6 1/2s, TBA, January 16, 2004 3,048,094
- ----------------------------------------------------------------------------------------
Government National Mortgage
Association Pass-Through Certificates
........................................................................................
165,969 11s, December 15, 2015 187,464
........................................................................................
1,481,121 9s, Midget, November 15, 2006 1,567,211
........................................................................................
4,330,854 7 1/2s, with due dates from
January 15, 2024 to June 15, 2026 4,332,496
........................................................................................
4,629,816 7s, with due dates from
September 15, 2025 to June 15, 2026 4,528,525
- ----------------------------------------------------------------------------------------
42,478,654
- ----------------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS (2.3%)
- ----------------------------------------------------------------------------------------
........................................................................................
U.S. Treasury Bonds
........................................................................................
4,570,000 8 1/8s, August 15, 2019 5,286,210
........................................................................................
110,000 6 1/2s, November 15, 2026 107,955
........................................................................................
U.S. Treasury Notes
........................................................................................
470,000 6 5/8s, July 31, 2001 479,189
........................................................................................
320,000 6 1/2s, August 15, 2005 322,048
........................................................................................
5,730,000 5 7/8s, October 31, 1998 # 5,729,083
........................................................................................
5,235,000 5 5/8s, November 30, 1998 # 5,211,285
- ----------------------------------------------------------------------------------------
17,135,770
- ----------------------------------------------------------------------------------------
AGENCY OBLIGATIONS (0.3%)
- ----------------------------------------------------------------------------------------
........................................................................................
2,500,000 Financing Corp. interest
strip deb. zero %,
May 11, 2006 1,338,100
........................................................................................
2,500,000 Financing Corp. interest
strip deb. zero %,
April 6, 2006 1,345,825
- ----------------------------------------------------------------------------------------
2,683,925
- ----------------------------------------------------------------------------------------
Total U.S. Government and
Agency Obligations
(cost $61,348,549) $62,298,349
- ----------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BONDS AND NOTES (8.2%) *
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
AUD 2,545,000 Australia (Government of) bonds
10s, 2006 $2,358,666
........................................................................................
AUD 2,050,000 Australia (Government of) bonds
10s, 2002 1,845,345
........................................................................................
MXP 175,000 Banco Nacional Comercio Exterior
sovereign eurobond 11 1/4s, 2006
(Mexico) 190,313
........................................................................................
CAD 1,545,000 Canada (Government of) deb.
8 3/4s, 2005 1,311,418
........................................................................................
CAD 2,430,000 Canada (Government of) deb. Ser. A-76,
9s, 2025 2,183,188
........................................................................................
DKK 6,630,000 Denmark (Government of) bonds
8s, 2006 1,235,545
........................................................................................
FRF 2,834,000 France (Government of) OAT bonds
6s, 2025 488,583
........................................................................................
FRF 33,660,000 France Treasury bill 7s, 2000 7,106,973
........................................................................................
FRF 23,270,000 France Treasury bill 4 1/2s, 1998 4,563,405
........................................................................................
DEM 3,895,000 Germany (Federal Republic of) bonds
7 3/8s, 2005 2,801,467
........................................................................................
DEM 805,000 Germany (Federal Republic of) bonds
6 7/8s, 2005 561,749
........................................................................................
DEM 10,930,000 Germany (Federal Republic of) bonds
6 1/4s, 2006 7,322,142
........................................................................................
DEM 8,100,000 Germany (Federal Republic of) bonds
Ser. 118, 5 1/4s, 2001 5,407,887
........................................................................................
ITL 4,105,000,000 Italy (Government of) bonds
9 1/2s, 2001 2,975,265
........................................................................................
USD 690,000 Quebec (Province of) deb. Ser. NN,
7 1/8s, 2024 662,635
........................................................................................
USD 858,000 Bank of Foreign Economic Affairs of
Russia (Vnesheconombank)
non-performing loan + 681,038
........................................................................................
ESP 313,700,000 Spain (Government of) deb. 10.1s, 2001 2,780,847
........................................................................................
SEK 18,300,000 Sweden (Government of) bonds
10 1/4s, 2000 3,086,344
........................................................................................
GBP 540,000 United Kingdom Conversion stock
9s, 2000 973,015
........................................................................................
GBP 670,000 United Kingdom Treasury bonds
8 1/2s, 2007 1,224,821
........................................................................................
GBP 5,130,000 United Kingdom Treasury notes
7 3/4s, 2006 8,911,576
- ----------------------------------------------------------------------------------------
Total Foreign Government Bonds
and Notes (cost $53,812,290) $61,503,485
- ----------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (1.8%) *
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
$1,035,935 Chase Mortgage Finance Corp. 144A
Ser. 94-1, Class B2, 6.612s, 2025 $951,766
........................................................................................
1,855,000 Citicorp Mortgage Securities, Inc.
Ser. 94-9, Class A3, 5 3/4s, 2009 1,799,930
........................................................................................
607,592 CMB Funding Corp. Ser. 96-1, Class A1,
7.55s, 2013 615,377
........................................................................................
2,946,482 Collateralized Mortgage Obligation Trust
Ser. 64, Class Z, 9s, 2020 3,204,299
........................................................................................
1,925,000 FDIC Remic Trust Ser. 96-C1, Class 1A,
6.75s, 2026 1,915,977
........................................................................................
1,922,262 Federal National Mortgage Association
Ser. 94-63A, 7s, 2023 1,787,705
........................................................................................
1,100,000 GE Capital Mortgage Services Inc.
Ser. 94-8A2, 6s, 2024 1,085,219
........................................................................................
905,738 GE Capital Mortgage Services, Inc.
Ser. 96-12, Class A4, 7 1/4s, 2011 911,399
........................................................................................
1,250,000 Residential Funding Mortgage Securities I
Ser. 93-S36, Class A3, 5.065s, 2008 1,207,813
- ----------------------------------------------------------------------------------------
Total Collateralized Mortgage Obligations
(cost $13,267,096) $13,479,485
- ----------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (0.7%) *
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
$635,000 Associates Manufactured Housing
Ser. 96-1, Class A3, 7s, 2027 $644,723
........................................................................................
420,000 Capital Equipment Receivables Trust
Ser. 96-1, Class A4, 6.28s, 2000 420,000
........................................................................................
575,657 Fifth Third Auto Grantor Trust Ser. 96-B,
Class A, 6.45s, 2002 577,994
........................................................................................
765,000 Premier Auto Trust Ser. 96-4, Class A4,
6.4s, 2001 768,825
........................................................................................
530,000 Sears Credit Account Master Trust
Ser. 96-4, Class A, 6.45s, 2006 528,839
........................................................................................
970,000 Standard Credit Card Master Trust
Ser. 91-3A, 8 7/8s, 1999 1,008,800
........................................................................................
1,010,000 Standard Credit Card Master Trust
Ser. 95-6, Class A, 6 3/4s, 2000 1,020,100
- ----------------------------------------------------------------------------------------
Total Asset-Backed Securities
(cost $4,952,864) $4,969,281
- ----------------------------------------------------------------------------------------
PREFERRED STOCKS (0.5%) *
- ----------------------------------------------------------------------------------------
Number of Shares Value
........................................................................................
4,840 Cablevision Systems Corp. Ser. M,
$11.125 dep. shs. pfd. +++++ 430,760
........................................................................................
5,540 Chevy Chase Capital Corp. Ser. A,
$5.188 pfd. 286,695
........................................................................................
230 Fresenius Medical Care Ser. D,
$9.00 trust pfd. 234,025
........................................................................................
5,000 K-III Communications Ser. B,
$11.625 pfd. +++++ 505,000
........................................................................................
5,000 K-III Communications Ser. D, $10.00 pfd. 499,375
........................................................................................
200 Paxson Communications Corp.
$12.50 pfd. +++++ 188,000
........................................................................................
2,600 Petroleo Brasileiro S.A. BRC 5.352 pfd.
(Brazil) 414,188
........................................................................................
1,133 Time Warner Inc. Ser. M, $10.25 pfd. +++++ 1,229,305
- ----------------------------------------------------------------------------------------
Total Preferred Stocks
(cost $3,682,633) $3,787,348
- ----------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.2%) * (cost $908,275)
- ----------------------------------------------------------------------------------------
Number of Shares Value
........................................................................................
8,795 Case Corp. $4.50 cv. pfd. $1,164,238
- ----------------------------------------------------------------------------------------
BRADY BONDS (0.1%) *
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
$768,320 Argentina (Republic of) FRB 6 5/8s, 2005 $668,438
........................................................................................
500,000 Venezuela (Government of) FRN
6 1/2s, 2007 440,625
- ----------------------------------------------------------------------------------------
Total Brady Bonds (cost $1,088,113) $1,109,063
- ----------------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (0.1%) *
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
$200,000 Argosy Gaming Co. cv. sub. notes
12s, 2001 $161,000
........................................................................................
325,000 Exide Corp. 144A cv. sr. sub. notes
2.9s, 2005 192,563
........................................................................................
50,000 Integrated Device Technology, Inc.
cv. sub. notes 5 1/2s, 2002 44,125
........................................................................................
30,000 National Semiconductor Corp.
cv. deb. 6 1/2s, 2002 29,363
........................................................................................
50,000 VLSI Technology, Inc. cv. sub. notes
8 1/4s, 2005 49,500
........................................................................................
375,000 Winstar Communications, Inc. cv sr. disc.
notes zero %, 2005 286,875
- ----------------------------------------------------------------------------------------
Total Convertible Bonds and Notes
(cost $723,313) $763,426
- ----------------------------------------------------------------------------------------
UNITS (0.1%) *
- ----------------------------------------------------------------------------------------
Number of Units Value
........................................................................................
130 AmeriKing, Inc. pfd. units zero %, 2008 $143,000
........................................................................................
180 Colt Telecommunications Group PLC
units stepped-coupon zero %
(12s, 12/15/01), 2006
(United Kingdom) ++ 107,100
........................................................................................
60 Intercel, Inc. unit stepped-coupon zero %
(12s, 2/1/01), 2006 ++ 396,000
........................................................................................
95 Real Time Data 144A units
stepped-coupon zero %
(13 1/2s, 8/15/01), 2006 ++ 52,250
- ----------------------------------------------------------------------------------------
Total Units (cost $655,149) $698,350
- ----------------------------------------------------------------------------------------
WARRANTS (--%) *+
- ----------------------------------------------------------------------------------------
Number of Expiration
Warrants Date Value
........................................................................................
425 Hyperion Telecommunications
144A 4/15/01 $8,500
........................................................................................
1,040 Rieter Holding AG
(Switzerland) 2/28/97 1,357
- ----------------------------------------------------------------------------------------
Total Warrants (cost $4,250) $9,857
- ----------------------------------------------------------------------------------------
PURCHASED OPTIONS OUTSTANDING (--%) * (cost $60,503)
- ----------------------------------------------------------------------------------------
Number of Expiration/
Contracts Strike Price Value
........................................................................................
JPY 2,700,000,000 Japanese Government
Bond Futures
Contracts (Call) Nov.-97/128.25 JPY $233
- ----------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (7.1%) *
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
MXP 3,570,250 Mexican Treasury Bill zero %,
April 30, 1997 $416,678
........................................................................................
MXP 2,964,850 Mexican Treasury Bill zero %,
November 6, 1997 307,227
........................................................................................
$52,657,000 Interest in $716,873,000 joint repurchase
agreement dated December 31, 1996
with UBS Securities due January 2, 1997
with respect to various U.S. Treasury
obligations -- maturity value of
$52,676,746 for an effective yield
of 6.75% 52,666,873
- ----------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $53,373,178) $53,390,778
- ----------------------------------------------------------------------------------------
Total Investments
(cost $671,903,832) *** $754,011,178
- ----------------------------------------------------------------------------------------
<CAPTION>
Futures Contracts Outstanding at December 31, 1996
- ----------------------------------------------------------------------------------------
Unrealized
Aggregate Expiration Appreciation/
Total Value Face Value Date (Depreciation)
........................................................................................
<S> <C> <C> <C> <C>
Dax Index (long) $81,638,981 $81,712,496 Mar-97 $(73,515)
........................................................................................
FT-SE 100 Index (long) 76,780,652 75,981,780 Mar-97 798,872
........................................................................................
Japanese Government
Bonds (short) 10,699,138 10,836,207 Mar-97 137,069
........................................................................................
S&P 500 Index (short) 55,837,500 56,741,942 Mar-97 904,442
........................................................................................
UK Treasury Bonds
(short) 9,598,863 9,713,462 Mar-97 114,599
........................................................................................
US Treasury Bonds
(short) 16,628,625 16,810,876 Mar-97 182,251
........................................................................................
US Treasury Bonds
(short) 43,213,500 43,905,375 Mar-97 691,875
- ----------------------------------------------------------------------------------------
$2,755,593
- ----------------------------------------------------------------------------------------
<CAPTION>
Forward Currency Contracts to Buy at December 31, 1996
(aggregate face value $33,359,610)
- ----------------------------------------------------------------------------------------
Unrealized
Aggregate Delivery Appreciation/
Market Value Face Value Date (Depreciation)
........................................................................................
<S> <C> <C> <C> <C>
British Pounds $4,187,817 $4,092,122 3/19/97 $95,695
........................................................................................
Canadian Dollars 6,235,427 6,310,691 3/19/97 (75,264)
........................................................................................
Danish Krone 312,783 310,610 3/19/97 2,173
........................................................................................
Deutschemarks 6,284,363 6,193,400 3/19/97 90,963
........................................................................................
Italian Lira 4,065,913 4,029,035 3/19/97 36,878
........................................................................................
Japanese Yen 12,050,903 12,423,752 3/19/97 (372,849)
- ----------------------------------------------------------------------------------------
$(222,404)
- ----------------------------------------------------------------------------------------
<CAPTION>
Forward Currency Contracts to Sell at December 31, 1996
(aggregate face value $62,734,968)
- ----------------------------------------------------------------------------------------
Unrealized
Aggregate Delivery Appreciation/
Market Value Face Value Date (Depreciation)
........................................................................................
<S> <C> <C> <C> <C>
Australian Dollars $3,137,223 $3,231,640 3/19/97 $94,417
........................................................................................
British Pounds 5,408,175 5,197,696 3/19/97 (210,479)
........................................................................................
Canadian Dollars 2,510,448 2,562,874 3/19/97 (52,426)
........................................................................................
Deutschemarks 2,475,074 2,536,657 3/19/97 61,583
........................................................................................
Deutschemarks 22,488,746 22,310,980 3/19/97 (177,766)
........................................................................................
Dutch Guilders 3,479,845 3,525,150 3/19/97 45,305
........................................................................................
French Francs 5,510,800 5,539,430 3/19/97 28,630
........................................................................................
French Francs 4,264,146 4,183,379 3/19/97 (80,767)
........................................................................................
Japanese Yen 1,735,348 1,765,938 3/19/97 30,590
........................................................................................
Japanese Yen 3,022,880 3,242,218 3/19/97 219,338
........................................................................................
Spanish Peseta 364,130 359,290 3/19/97 (4,840)
........................................................................................
Swedish Krona 1,424,931 1,429,597 3/19/97 4,666
........................................................................................
Swiss Francs 6,669,146 6,850,119 3/19/97 180,973
- ----------------------------------------------------------------------------------------
$244,076
- ----------------------------------------------------------------------------------------
<CAPTION>
TBA Sale Commitments Outstanding at December 31, 1996
(proceeds receivable $4,749,065)
- ----------------------------------------------------------------------------------------
Principal Delivery Coupon Market
Amount Month Rate Value
........................................................................................
<S> <C> <C> <C> <C>
FNMA $4,833,000 Jan. 6.5% $4,743,879
- ----------------------------------------------------------------------------------------
<CAPTION>
Diversification by Country
- ----------------------------------------------------------------------------------------
Distribution of investments by country of issue at December 31, 1996:
(as percentage of market value)
- ----------------------------------------------------------------------------------------
<S> <C>
Argentina 0.10%
........................................................................................
Australia 0.9
........................................................................................
Austria 0.1
........................................................................................
Belgium --
........................................................................................
Brazil 0.3
........................................................................................
Canada 1.1
........................................................................................
Chile 0.2
........................................................................................
China --
........................................................................................
Denmark 0.2
........................................................................................
Finland 0.1
........................................................................................
France 2.8
........................................................................................
Germany 3.4
........................................................................................
Hong Kong 0.8
........................................................................................
India --
........................................................................................
Indonesia 0.2
........................................................................................
Ireland 0.4
........................................................................................
Italy 0.5
........................................................................................
Japan 2.0
........................................................................................
Luxembourg 0.1
........................................................................................
Malaysia 0.1
........................................................................................
Mexico 0.2
........................................................................................
Netherlands 1.6
........................................................................................
Portugal 0.1
........................................................................................
Qatar 0.1
........................................................................................
Russia 0.1
........................................................................................
Singapore 0.3
........................................................................................
Spain 0.5
........................................................................................
Sweden 1.2
........................................................................................
Switzerland 0.6
........................................................................................
United Kingd 3.8
........................................................................................
United State 78.1
........................................................................................
Venezuela 0.1
- ----------------------------------------------------------------------------------------
Total 100.0%
- ----------------------------------------------------------------------------------------
See page 76 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
Putnam VT Global Growth Fund
Portfolio of investments owned
December 31, 1996
COMMON STOCKS (94.6%) *
- ----------------------------------------------------------------------------------------------
Number of Shares Value
..............................................................................................
<S> <C> <C> <C> <C>
Aerospace and Defense (0.7%)
..............................................................................................
57,300 Boeing Co. $6,095,288
..............................................................................................
40,100 Textron, Inc. 3,779,425
- ----------------------------------------------------------------------------------------------
9,874,713
- ----------------------------------------------------------------------------------------------
Automotive (3.2%)
..............................................................................................
20,000 Bayerische Motoren Werke (BMW)
AG (Germany) 13,930,542
..............................................................................................
462,000 Bridgestone Corp. (Japan) 8,762,069
..............................................................................................
63,000 Magna International, Inc. Class A
(Canada) 3,512,250
..............................................................................................
200,465 Michelin Corp. Class B (France) 10,822,058
..............................................................................................
54,950 Peugeot Citroen S. A. (France) 6,184,986
- ----------------------------------------------------------------------------------------------
43,211,905
- ----------------------------------------------------------------------------------------------
Basic Industrial Products (2.0%)
..............................................................................................
37,900 Case Corp. 2,065,550
..............................................................................................
335,000 Chen Hsong Holdings. (Hong Kong) 203,582
..............................................................................................
952,500 International Container Terminal
Services, Inc. (Philippines) 498,739
..............................................................................................
750,000 Mitsui Fudoscan Co. Ltd. (Japan) 6,077,586
..............................................................................................
9,360 Rieter Holding AG (Switzerland) 2,582,550
..............................................................................................
368,070 Sandvik AB Class B (Sweden) 9,955,838
..............................................................................................
194,230 Sommer Allibert (France) 5,802,380
..............................................................................................
113,000 Varitronix International Ltd. (Hong Kong) 204,551
- ----------------------------------------------------------------------------------------------
27,390,776
- ----------------------------------------------------------------------------------------------
Broadcasting (0.1%)
..............................................................................................
54,000 Jacor Communications, Inc. + 1,478,250
- ----------------------------------------------------------------------------------------------
Building and Construction (3.6%)
..............................................................................................
72,000 Apasco S.A. (Mexico) 493,088
..............................................................................................
100,000 Cemex S.A. de C.V. (Mexico) 355,105
..............................................................................................
164,000 Cheung Kong Infrastructure Holdings
(Hong Kong) + 434,704
..............................................................................................
1,227,184 CRH PLC (Ireland) 12,666,012
..............................................................................................
19,400 Grupo Imsa S.A. ADR (Mexico) + 368,600
..............................................................................................
337,000 HI Cement Corp. (Philippines) + 111,649
..............................................................................................
44,000 IJM Corp. Berhad (Malaysia) 103,683
..............................................................................................
33,700 India Cements Ltd. 144A GDR (India) + 80,038
..............................................................................................
148,700 Lafarge Coppee (France) 8,921,713
..............................................................................................
135,600 New World Infrastructure Ltd.
(Hong Kong) + 396,245
..............................................................................................
440,000 Obayashi Corp. (Japan) 2,966,207
..............................................................................................
63,700 Sherwin Williams Co. 3,567,200
..............................................................................................
300,000 Shimizu Corp. (Japan) 2,237,069
..............................................................................................
114,000 Sungei Way Holdings Berhad (Malaysia) 338,614
..............................................................................................
11,400 Sungei Way Holdings Berhad Rights
expiration date 2/3/97 (Malaysia) + 12,642
..............................................................................................
190,000 Tostem Corp. (Japan) 5,241,380
..............................................................................................
16,000 United Engineers Ltd. (Malaysia) 144,475
..............................................................................................
63,000 VA Technolgies AG (Austria) 9,891,769
..............................................................................................
59,250 YTL Corp. Berhad (Malaysia) 319,129
- ----------------------------------------------------------------------------------------------
48,649,322
- ----------------------------------------------------------------------------------------------
Business Equipment and Services (3.8%)
..............................................................................................
42,000 Computer Sciences Corp. + 3,449,250
..............................................................................................
450,000 Dai Nippon Printing Co., Ltd. (Japan) 7,875,000
..............................................................................................
125,886 First Data Corp. 4,594,839
..............................................................................................
60,500 HBO & Co. 3,592,188
..............................................................................................
68,600 Omnicom Group, Inc. 3,138,450
..............................................................................................
810,000 Reuters Holdings PLC ADR
(United Kingdom) 10,407,334
..............................................................................................
107,500 Service Corp. International 3,010,000
..............................................................................................
2,700 Societe Generale de Surveillance
Holdings S.A. (Switzerland) 6,624,161
..............................................................................................
1,141,526 Securicor PLC (United Kingdom) 5,462,248
..............................................................................................
75,000 Symbol Technologies, Inc. + 3,318,750
- ----------------------------------------------------------------------------------------------
51,472,220
- ----------------------------------------------------------------------------------------------
Cable Television (--%)
..............................................................................................
27,800 Multicanal Participacoes S.A. ADR
(Brazil) + 356,188
- ----------------------------------------------------------------------------------------------
Chemicals (3.5%)
..............................................................................................
71,600 Akzo-Nobel N.V. (Netherlands) 9,779,836
..............................................................................................
462,100 Bayer AG ADR (Germany) 18,837,962
..............................................................................................
16,400 Indian Petrochemicals Corp. Ltd. 144A
ADR (India) 184,500
..............................................................................................
160,600 Monsanto Co. 6,243,325
..............................................................................................
121,700 Praxair, Inc. 5,613,413
..............................................................................................
473,000 Sekisui Chemical Co. Ltd. (Japan) 4,770,776
..............................................................................................
2,450 Solvay S.A. (Belgium) 1,499,693
- ----------------------------------------------------------------------------------------------
46,929,505
- ----------------------------------------------------------------------------------------------
Computer Services and Software (4.8%)
..............................................................................................
53,800 3Com Corp. + 3,947,575
..............................................................................................
270,000 Baan Co., N.V. (Netherlands) + 9,501,100
..............................................................................................
93,400 Cisco Systems, Inc. + 5,942,575
..............................................................................................
40,400 Compaq Computer Corp. + 2,999,700
..............................................................................................
110,400 Computer Associates Intl., Inc. 5,492,400
..............................................................................................
101,200 EMC Corp. + 3,352,250
..............................................................................................
316,828 Getronics Electric N.V. (Netherlands) 8,600,089
..............................................................................................
96,700 Microsoft Corp. + 7,989,820
..............................................................................................
801,000 NEC Corp. (Japan) 9,667,242
..............................................................................................
61,900 Parametric Technology Corp. + 3,180,113
..............................................................................................
72,700 PeopleSoft, Inc. + 3,485,056
- ----------------------------------------------------------------------------------------------
64,157,920
- ----------------------------------------------------------------------------------------------
Conglomerates (2.0%)
..............................................................................................
36,200 Barlow Ltd. (South Africa) 321,279
..............................................................................................
6,820 Benpres Holdings Corp. 144A GDR
(Luxembourg) + 49,445
..............................................................................................
74,000 Citic Pacific Ltd. (Hong Kong) 429,610
..............................................................................................
670,000 Hutchison Whampoa, Ltd. (Hong Kong) 5,262,801
..............................................................................................
74,000 Industrial Finance Corp. (Thailand) 197,630
..............................................................................................
916,400 Jardine Matheson Holdings Ltd.
(Singapore) 6,048,240
..............................................................................................
44,450 Preussag AG (Germany) 10,055,712
..............................................................................................
70,100 United Technologies Corp. 4,626,600
- ----------------------------------------------------------------------------------------------
26,991,317
- ----------------------------------------------------------------------------------------------
Consumer Durable Goods (0.2%)
..............................................................................................
49,350 Electrolux AB Ser. B (Sweden) 2,857,314
- ----------------------------------------------------------------------------------------------
Consumer Non Durables (3.2%)
..............................................................................................
82,600 Avon Products, Inc. 4,718,525
..............................................................................................
75,400 Estee Lauder Cos. Class A 3,835,975
..............................................................................................
659,000 KAO Corp. (Japan) 7,669,397
..............................................................................................
47,200 Liz Claiborne, Inc. 1,823,100
..............................................................................................
110,300 Nike, Inc. 6,590,425
..............................................................................................
121,000 Onward Kashiyama Co. Ltd. (Japan) 1,700,259
..............................................................................................
83,300 RJR Nabisco Holdings Corp. + 2,832,200
..............................................................................................
67,000 Sampoerna Industries (Indonesia) 357,561
..............................................................................................
101,200 Siam Makro Public Co. (Thailand) + 426,122
..............................................................................................
155,040 Svenska Cellulosa AB Class B (Sweden) 3,139,563
..............................................................................................
58,100 Tabacalera S.A. (Spain) 2,501,571
..............................................................................................
45,000 Unilever N.V. (Netherlands) 7,959,255
- ----------------------------------------------------------------------------------------------
43,553,953
- ----------------------------------------------------------------------------------------------
Consumer Products (1.9%)
..............................................................................................
1,537,288 B A T Industries PLC (United Kingdom) 12,751,251
..............................................................................................
47,300 Clorox Co. 4,747,738
..............................................................................................
138,000 Daya Guna Samudera (Indonesia)+ 160,737
..............................................................................................
100,700 Gillette Co. 7,829,425
- ----------------------------------------------------------------------------------------------
25,489,151
- ----------------------------------------------------------------------------------------------
Consumer Services (1.1%)
..............................................................................................
2,000,000 Grand Hotel Group (Australia) 2,923,760
..............................................................................................
50,800 HFS, Inc. + 3,035,300
..............................................................................................
50,000 Kentucky Fried Chicken Berhad
(Malaysia) 205,941
..............................................................................................
71,400 Marriott International, Inc. 3,944,850
..............................................................................................
3,278,000 Sydney Harbor Casino (Australia) + 5,052,480
- ----------------------------------------------------------------------------------------------
15,162,331
- ----------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (9.9%)
..............................................................................................
5,600 ABB AG (Swizterland) 6,953,020
..............................................................................................
95,000 Advantest Corp. (Japan) 4,446,983
..............................................................................................
35,800 Crompton Greaves Ltd. (India) 125,300
..............................................................................................
75,000 Fanuc (Japan) 2,398,707
..............................................................................................
70,000 Futaba Corp. (Japan) 2,896,552
..............................................................................................
131,600 General Electric Co. 13,011,950
..............................................................................................
1,492,500 General Electric Co. PLC
(United Kingdom) 9,760,711
..............................................................................................
80,000 Hirose Electric Co. Ltd. (Japan) 4,627,586
..............................................................................................
75,100 Honeywell, Inc. 4,937,825
..............................................................................................
95,000 Intel Corp. 12,439,063
..............................................................................................
24,000 Keyence Corp (Japan) 2,958,621
..............................................................................................
286,300 Molins PLC (United Kingdom) 4,399,057
..............................................................................................
133,000 Murata Manufacturing Co. (Japan) 4,414,224
..............................................................................................
363,000 Nippondenso Co., Ltd. (Japan) 8,730,776
..............................................................................................
250,000 Omron Corp. (Japan) 4,698,276
..............................................................................................
29,000 Perkin-Elmer Corp. 1,707,375
..............................................................................................
259,300 Philips Electronics N.V. (Netherlands) 10,505,267
..............................................................................................
62,000 Secom Co. (Japan) 3,746,724
..............................................................................................
245,000 SGS-Thomson Microelectronics ADR
(France) + 17,150,000
..............................................................................................
140,000 TDK Corp. (Japan) 9,112,069
..............................................................................................
56,700 Texas Instruments, Inc. 3,614,625
..............................................................................................
15,888 Yageo Corporation 144A GDR
(Taiwan) + 152,922
- ----------------------------------------------------------------------------------------------
132,787,633
- ----------------------------------------------------------------------------------------------
Energy-Related (1.3%)
..............................................................................................
3,545,000 Alsons Consolidated Resources, Inc.
(Philippines) + 294,292
..............................................................................................
218,000 Baker Hughes Inc. 7,521,000
..............................................................................................
177,670 IHC Caland N.V. (Netherlands) 10,149,340
- ----------------------------------------------------------------------------------------------
17,964,632
- ----------------------------------------------------------------------------------------------
Entertainment (--%)
..............................................................................................
12,000 East India Hotel Ltd. 144A GDR
(India) + 288,000
- ----------------------------------------------------------------------------------------------
Environmental Control (0.2%)
..............................................................................................
89,600 USA Waste Services, Inc. + 2,856,000
- ----------------------------------------------------------------------------------------------
Food and Beverages (3.9%)
..............................................................................................
50,000 Campbell Soup Co. 4,012,500
..............................................................................................
113,500 Coca-Cola Enterprises, Inc. 5,504,750
..............................................................................................
66,600 Conagra, Inc. 3,313,350
..............................................................................................
80,400 Danisco A/S (Denmark) 4,884,304
..............................................................................................
115,000 Fomento Economico Mexicano, S.A.
de C.V. Class B, (Mexico) 393,786
..............................................................................................
860,000 Golden Resources Development Intl. Ltd.
(Hong Kong) 94,518
..............................................................................................
3,818,500 Goodman Fielder Ltd. (Australia) 4,732,725
..............................................................................................
1,568,654 Greencore Group PLC (Ireland) 9,953,110
..............................................................................................
192,800 Guinness PLC (United Kingdom) 1,510,087
..............................................................................................
10,600 Nestle S.A. (Switzerland) 11,358,837
..............................................................................................
129,200 Panamerican Beverages, Inc. Class A 6,056,250
..............................................................................................
16,000 Quilmes Industrial S.A. ADR
(Luxembourg) + 146,000
..............................................................................................
3,100 S.A. Brewing Holdings Ltd. ADR
(Australia) + 78,275
..............................................................................................
7,761 South African Breweries Ltd.
(South Africa) 196,681
- ----------------------------------------------------------------------------------------------
52,235,173
- ----------------------------------------------------------------------------------------------
Health Care (1.7%)
..............................................................................................
107,000 Abbott Laboratories 5,430,250
..............................................................................................
540,000 Biota Holdings Ltd. (Australia) + 1,437,251
..............................................................................................
65,050 Cardinal Health, Inc. 3,789,163
..............................................................................................
92,100 Healthsouth Rehabilitation Corp. + 3,557,363
..............................................................................................
41,200 Oxford Health Plans Inc. + 2,412,775
..............................................................................................
163,000 Santen Pharmaceutical (Japan) 3,372,414
..............................................................................................
83,800 U.S. Surgical Corp. 3,299,625
- ----------------------------------------------------------------------------------------------
23,298,841
- ----------------------------------------------------------------------------------------------
Insurance and Finance (13.8%)
..............................................................................................
188,000 ABN AMRO Holding N.V. (Netherlands) 12,230,119
..............................................................................................
166,742 Aegon N.V. (Netherlands) 10,625,243
..............................................................................................
1,519,008 Allied Irish Banks PLC (Ireland) 10,075,033
..............................................................................................
49,000 American Express Co. 2,768,500
..............................................................................................
22,000 Arab Malaysian Corp. Berhad (Malaysia) 109,782
..............................................................................................
19,400 Ashok Leyland Ltd. 144A GDR
(Luxembourg) + 174,600
..............................................................................................
4,400 Baer Holdings AG (Switzerland) 4,603,430
..............................................................................................
85,103 Banco de Bilbao Vizcaya (Spain) 4,595,024
..............................................................................................
25,444 Banco De Galicia y Buenos Aires
Class B ADR (Argentina) 617,017
..............................................................................................
87,681 Banco Frances del Rio de la Plata S.A.
(Argentina) 819,981
..............................................................................................
26,700 Banco Santander Chile ADR (Chile) + 400,500
..............................................................................................
894,708 Bank of Ireland (Ireland) 8,099,079
..............................................................................................
19,800 Banque Marocaine Du Commerce
Exterieur 144A GDR (Morocco) 304,425
..............................................................................................
380,010 Barclays Bank PLC (United Kingdom) 6,509,024
..............................................................................................
37,000 Cetelem Group (France) 4,278,693
..............................................................................................
221,170 Cho Hung Bank Co. Ltd. (South Korea) 1,732,602
..............................................................................................
33,500 Citicorp 3,450,500
..............................................................................................
35,800 Commerce Bank of Lebanon 144A
GDR (United Kingdom) 426,020
..............................................................................................
464,000 Commonwealth Bank of Australia
(Australia) 4,438,522
..............................................................................................
266,100 Commonwealth Bank of Australia
(Installment Shares) (Australia) 1,655,391
..............................................................................................
115,800 Credit Locale de France S.A. (France) 10,088,002
..............................................................................................
578,000 Dao Heng Bank Group Ltd. (Hong Kong) 2,772,666
..............................................................................................
227,000 Development Bank of Singapore Ltd.
(Singapore) 3,066,690
..............................................................................................
38,100 Franklin Resources, Inc. 2,605,088
..............................................................................................
1,210,400 Guoco Group Ltd. (Hong Kong) 6,776,612
..............................................................................................
562,959 HSBC Holdings PLC (Hong Kong) 12,046,770
..............................................................................................
35,100 Industrial Credit & Investment Corp. of
India Ltd. GDR (India) + 333,450
..............................................................................................
309,138 Internationale Nederlanden Groep
(Netherlands) 11,128,825
..............................................................................................
320,500 Malayan Banking Berhad (Malaysia) 3,554,059
..............................................................................................
70,875 Malaysian Assurance Alliance (Malaysia) 345,252
..............................................................................................
71,850 MBNA Corp. 2,981,775
..............................................................................................
37,800 MGIC Investment Corp. 2,872,800
..............................................................................................
24,796 Nedcor Ltd. GDR (South Africa) 331,647
..............................................................................................
26,000 Overseas Union Bank Ltd. (Singapore) 200,715
..............................................................................................
32,000 Philippine Commercial International
(Philippines) 420,411
..............................................................................................
747,000 QBE Insurance Group Ltd. (Australia) 3,934,849
..............................................................................................
305,000 Skandia Forsakrings AB (Sweden) 8,606,623
..............................................................................................
20,800 State Bank of India 144A GDR (India) 361,400
..............................................................................................
29,000 State Bank of India Ltd. (India) 183,734
..............................................................................................
292,000 Sumitomo Trust & Banking (Japan) 2,920,000
..............................................................................................
13,125 Sun Bancorp, Inc. 275,625
..............................................................................................
75,000 SunAmerica, Inc. 3,328,125
..............................................................................................
7,922 Swiss Reinsurance Co. (Switzerland) 8,441,863
..............................................................................................
44,000 Thai Farmers Bank Public Co. (Thailand) 274,475
..............................................................................................
91,733 Travelers Group Inc. 4,162,385
..............................................................................................
345,000 United Overseas Bank Ltd. (Singapore) 3,847,034
..............................................................................................
1,979,500 Westpac Banking Corp. (Australia) 11,260,623
- ----------------------------------------------------------------------------------------------
185,034,983
- ----------------------------------------------------------------------------------------------
Medical Supplies and Devices (0.4%)
..............................................................................................
78,000 Medtronic, Inc. 5,304,000
- ----------------------------------------------------------------------------------------------
Metals and Mining (1.5%)
..............................................................................................
6,800 Compania Siderurgica Nacional (Brazil) 193,089
..............................................................................................
31,100 Indochina Goldfields Ltd. (Canada) 365,348
..............................................................................................
79,000 Maruichi Malaysia Steel Tube (Malaysia) 283,149
..............................................................................................
5,460,000 MIM Holdings Ltd. (Australia) 7,634,827
..............................................................................................
2,690 N.V. Bekaert S.A. (Belgium) 1,708,057
..............................................................................................
565,100 RTZ Corp. PLC (United Kingdom) 9,060,180
..............................................................................................
348,596 SA Iron & Steel Industrial Corp.
(South Africa) 248,997
..............................................................................................
32,479 Sasol Ltd. (South Aftrica) 385,497
..............................................................................................
4,200 Siderar S.A. ADR (Argentina) + 95,550
..............................................................................................
147 Tung Ho Steel Enterprise GDR
(Taiwan) + 1,514
..............................................................................................
17,900 Usiminas Siderurg Minas 144A ADR
(Brazil) 182,601
- ----------------------------------------------------------------------------------------------
20,158,809
- ----------------------------------------------------------------------------------------------
Oil and Gas (5.2%)
..............................................................................................
168,160 Astra CIA Argentina de Petro (Argentina) 321,250
..............................................................................................
168,160 Astra CIA Argentina de Petro Rights
expiration date 1/13/97 (Argentina) 673
..............................................................................................
13,200 Basic Petroleum International, Ltd. + 435,600
..............................................................................................
34,300 British Petroleum Co. PLC ADR
(United Kingdom) 4,849,163
..............................................................................................
400,800 British Petroleum Co. PLC
(United Kingdom) 4,806,618
..............................................................................................
523,454 Burmah Oil PLC (United Kingdom) 9,866,647
..............................................................................................
75,636 Cia Naviera Perez Co. Class B
(Argentina) 531,827
..............................................................................................
695,000 Cosmo Oil Co. Ltd. (Japan) 3,337,198
..............................................................................................
25,700 Energy Africa Ltd. (South Africa) + 456,175
..............................................................................................
55,600 Enron Corp. 2,397,750
..............................................................................................
1,824,200 Ente Nazionale Idrocarburi SPA (ENI)
(Italy) 9,361,561
..............................................................................................
688,000 Far East Levingston Shipbuilding Ltd.
(Singapore) 3,589,993
..............................................................................................
19,400 Gazprom 144A ADR (Russia) + 339,500
..............................................................................................
13,400 Lukoil Oil Co. ADR (Russia) 618,075
..............................................................................................
27,157 Pakistan State Oil (Pakistan) 175,491
..............................................................................................
268,500 Shell Transportation & Trading
(United Kingdom) 4,649,582
..............................................................................................
118,324 Societe Nationale Elf Aquitaine (France) 10,770,825
..............................................................................................
10,300 Tatneft 144A ADR (Russia) + 494,400
..............................................................................................
155,300 Total Corp. S.A. Class B (France) 12,631,126
- ----------------------------------------------------------------------------------------------
69,633,454
..............................................................................................
- ----------------------------------------------------------------------------------------------
Paper and Forest Products (0.2%)
..............................................................................................
52,075 Mayr-Melnhof Karton AG (Austria) + 2,549,866
- ----------------------------------------------------------------------------------------------
Pharmaceuticals (6.8%)
..............................................................................................
245,150 Astra AB (Sweden) 12,079,180
..............................................................................................
10,400 Gideon Richter Ltd. GDR (Hungary) + 598,000
..............................................................................................
100,500 Johnson & Johnson 4,999,875
..............................................................................................
55,600 Lilly (Eli) & Co. 4,058,800
..............................................................................................
137,700 Merck & Co., Inc. 10,912,725
..............................................................................................
9,600 Novartis AG ADR (Switzerland) 10,974,497
..............................................................................................
114,100 Pfizer, Inc. 9,456,038
..............................................................................................
212,100 Pharmacia & Upjohn, Inc. Depository
Shares (Sweden) 8,667,585
..............................................................................................
87,670 Pharmacia & Upjohn, Inc. 3,473,924
..............................................................................................
250,000 Sankyo Co., Ltd. (Japan) 7,068,966
..............................................................................................
703,000 Smithkline Beecham PLC ADR
(United Kingdom) 9,742,624
..............................................................................................
128,000 Taisho Pharmaceutical (Japan) 3,012,414
..............................................................................................
91,150 Warner-Lambert Co. 6,836,250
- ----------------------------------------------------------------------------------------------
91,880,878
- ----------------------------------------------------------------------------------------------
Photography (1.4%)
..............................................................................................
549,000 Canon, Inc. (Japan) 12,115,863
..............................................................................................
73,700 Eastman Kodak Co. 5,914,425
- ----------------------------------------------------------------------------------------------
18,030,288
- ----------------------------------------------------------------------------------------------
Publishing (0.7%)
..............................................................................................
92,700 Belo (A.H.) Corp. 3,232,913
..............................................................................................
40,200 Gannett Co., Inc. 3,009,975
..............................................................................................
32,300 Tribune Co. 2,547,663
- ----------------------------------------------------------------------------------------------
8,790,551
- ----------------------------------------------------------------------------------------------
Real Estate (3.2%)
..............................................................................................
6,755,000 Amoy Properties Ltd. (Hong Kong) 9,738,589
..............................................................................................
2,625,000 Belle Corp. (Philippines) + 729,722
..............................................................................................
20,900 Brazil Realty S.A. GDR (Brazil) + 386,650
..............................................................................................
1,679,000 Cheung Kong Holdings Ltd. (Hong Kong) 14,925,168
..............................................................................................
418,700 Fil-Estate Land, Inc. (Philippines) 370,707
..............................................................................................
1,120,000 Filinvest Land, Inc. (Philippines) + 349,733
..............................................................................................
2,576,000 Hong Kong Land Holdings Ltd.
(Hong Kong) 7,161,280
..............................................................................................
740,000 Sun Hung Kai Properties Ltd.
(Hong Kong) 9,065,813
- ----------------------------------------------------------------------------------------------
42,727,662
- ----------------------------------------------------------------------------------------------
Recreation (--%)
..............................................................................................
13,000 Ek Chor China Motorcycle Co., Ltd.
(Hong Kong) 95,875
- ----------------------------------------------------------------------------------------------
Retail (4.2%)
..............................................................................................
320,000 Cifra S.A. Class C (Mexico) + 389,601
..............................................................................................
102,300 CompUSA, Inc. + 2,109,938
..............................................................................................
5,100 Controladora Comercial Mexicana S.A.
GDR (Mexico) + 91,163
..............................................................................................
272,000 Cycle & Carriage Ltd. (Singapore) 3,324,660
..............................................................................................
78,800 Federated Department Stores + 2,689,050
..............................................................................................
19,900 Gucci Group (Italy) 1,271,113
..............................................................................................
165,000 Ito-Yokado Co., Ltd. (Japan) 7,168,966
..............................................................................................
58,300 Jones Apparel Group, Inc. + 2,178,963
..............................................................................................
54,000 Lowe's Cos., Inc. 1,917,000
..............................................................................................
405,000 Marui Co., Ltd. (Japan) 7,296,983
..............................................................................................
96,200 Nautica Enterprises, Inc. + 2,429,050
..............................................................................................
49,800 Nine West Group, Inc. + 2,309,475
..............................................................................................
110,200 Revco D.S., Inc. + 4,077,400
..............................................................................................
15,000 Santa Isabel S.A. ADR (Chile) + 339,375
..............................................................................................
39,800 Sears Roebuck de Mexico S.A.
(Mexico) + 68,142
..............................................................................................
102,500 Sears, Roebuck & Co. 4,727,813
..............................................................................................
66,400 Starbucks Corp. + 1,900,700
..............................................................................................
79,600 TJX Cos., Inc. (The) 3,771,050
..............................................................................................
127,700 Vendex International N.V. (Netherlands) 5,461,876
..............................................................................................
76,600 Walgreen Co. 3,064,000
- ----------------------------------------------------------------------------------------------
56,586,318
- ----------------------------------------------------------------------------------------------
Telecommunications (5.9%)
..............................................................................................
6,675 Asia Satellite Telecommunications
Holdings Ltd. ADR (Hong Kong) + 156,028
..............................................................................................
63 Cable & Wireless PLC (United Kingdom) 524
..............................................................................................
45,700 Cascade Communications Corp. + 2,519,213
..............................................................................................
46,500 Cincinnati Bell, Inc. 2,865,563
..............................................................................................
12,000 Compania Anonima Nacional Telefonos
de Venezuela (CANTV) ADR
(Venezuela) + 337,500
..............................................................................................
96,100 Deutsche Telekom AG (Germany) + 2,024,307
..............................................................................................
149,700 Deutsche Telekom AG ADR (Germany)+ 3,050,138
..............................................................................................
103,600 Hong Kong Telecommunications Ltd.
(Hong Kong) 166,773
..............................................................................................
3,000 Hong Kong Telecommunications Ltd.
ADR (Hong Kong) 48,750
..............................................................................................
17,819 Korea Mobile Telecommunications ADR
(South Korea) + 229,420
..............................................................................................
51,800 LCI International, Inc. + 1,113,700
..............................................................................................
13,800 Millicom International Cellular S.A.
(Germany) + 443,325
..............................................................................................
971 Nippon Telegraph and Telephone Corp.
(Japan) 7,349,466
..............................................................................................
126,000 Oy Nokia AB Class A (Finland) 7,315,475
..............................................................................................
2,660 Pakistan Telecomm Ltd. 144A GDR
(Pakistan) + 179,550
..............................................................................................
6,300 Philippine Long Distance Telephone Co.
ADR (Philippines) 321,300
..............................................................................................
349,900 Portugal Telecom S.A. (Portugal) + 9,971,355
..............................................................................................
16,700 PT Pasifik Satelit Nusantara ADR
(Indonesia) + 200,400
..............................................................................................
11,500 PT Telekomunikasi Indonesia ADR
(Indonesia)+ 396,750
..............................................................................................
174,100 Royal PTT (United Kingdom) 6,640,346
..............................................................................................
10,200 Telecel-Comunicacaoes Pessoais, S.A.
(Portugal) + 647,700
..............................................................................................
3,958,300 Telecom Italia S.P.A. (Italy) 10,280,687
..............................................................................................
318,000 Telefonaktiebolaget LM Ericsson Class B
(Sweden) 9,810,366
..............................................................................................
17,700 Telefonica de Argentina S.A. ADR
(Argentina) 457,988
..............................................................................................
12,000 Telefonica del Peru S.A. ADR (Peru) + 226,500
..............................................................................................
6,300 Telefonos de Mexico S.A. Class L ADR
(Mexico) 207,900
..............................................................................................
60,900 Tellabs, Inc. + 2,291,363
..............................................................................................
20,700 Vimpel-Communications ADR (Russia) + 489,038
..............................................................................................
2,185,118 Vodafone Group PLC (United Kingdom) 9,221,373
- ----------------------------------------------------------------------------------------------
78,962,798
- ----------------------------------------------------------------------------------------------
Transportation (0.7%)
..............................................................................................
616,100 Swire Pacific Ltd. Class A (Hong Kong) 5,875,016
..............................................................................................
18,620 Telco 144A GDR (Tata Engineering &
Locomotive Co., Ltd.) (India) 195,510
..............................................................................................
257,000 Yamato Transport Co. Ltd. (Japan) 2,658,621
- ----------------------------------------------------------------------------------------------
8,729,147
- ----------------------------------------------------------------------------------------------
Utilities (3.5%)
..............................................................................................
13,900 AO Mosenergo 144A ADS (Russia) + 422,213
..............................................................................................
23,400 Capex S.A. 144A (Argentina) 365,742
..............................................................................................
546,504 Centrais Electricas de Santa Catarina
S.A. (Brazil) + 510,260
..............................................................................................
12,097 Comp Energetica De Minas Gerais
(Cemig) 144A ADS (Brazil) 408,274
..............................................................................................
121,000 Consolidated Electric Power Asia Ltd.
(Hong Kong) 283,960
..............................................................................................
27,644 Hubco Power GDR (Pakistan) 545,969
..............................................................................................
231,000 Kurita Water Industries Ltd. (Japan) 4,659,828
..............................................................................................
34,200 Kyushu Electric Power Inc. (Japan) 663,362
..............................................................................................
3,620 Light Participacoes, S.A. (Brazil) + 878,083
..............................................................................................
20,829 United Utilities PLC (United Kingdom) 221,444
..............................................................................................
1,667,838 Scottish Power PLC (United Kingdom) 10,050,792
..............................................................................................
139,500 Telebras Co. ADR (Brazil) 10,671,750
..............................................................................................
166,000 Tokyo Electric Power Co., Inc. (Japan) 3,634,828
..............................................................................................
224,700 Veba (Vereinigte Elektrizitaets
Bergwerks) AG (Germany) 12,981,694
- ----------------------------------------------------------------------------------------------
46,298,199
- ----------------------------------------------------------------------------------------------
Total Common Stocks
(cost $1,084,570,305) $1,271,787,972
- ----------------------------------------------------------------------------------------------
PREFERRED STOCKS (0.6%) *
- ----------------------------------------------------------------------------------------------
Number of Shares Value
..............................................................................................
291,350 Banco Bradesco ARS .20 pfd. (Brazil) $2,111,720
..............................................................................................
900 Companhia Cervejaria Brahma BRC
4.55 pfd. (Brazil) 492,059
..............................................................................................
1,510 CIA Tecidos Norte de Minas BRC 9.64
No par value (NPV) pfd. (Brazil) 481,982
..............................................................................................
10,400 CIA Vale Do Rio Doce BRC .1736
NPV pfd. (Brazil) 200,212
..............................................................................................
24,600 Petrobias Brasileiro S.A. BRC 5.352 pfd.
(Brazil) 3,918,856
..............................................................................................
618 Telecomunicacoes do Rio de Janeiro S.A.
Telerj pfd. (Brazil) + 78,216
..............................................................................................
3,831 Telecomunicacoes de Minas
Gerais -- Telemig BRC 3.807 pfd. (Brazil) 473,851
- ----------------------------------------------------------------------------------------------
Total Preferred Stocks
(cost $7,053,322) $7,756,896
- ----------------------------------------------------------------------------------------------
INVESTMENT COMPANIES (0.1%) *
- ----------------------------------------------------------------------------------------------
Number of Shares Value
..............................................................................................
34,800 Fleming Russia Securities Fund Ltd.
(Russia) + $374,100
..............................................................................................
7,300 India Magnum Fund Class A (India)
(acquired 3/22/95, cost $334,800) ++++ 292,000
..............................................................................................
11,673 Inversiones Y Represent-ADR
(Argentina) + 370,618
..............................................................................................
24,000 Taiwan Fund, Inc. (Taiwan) 534,000
- ----------------------------------------------------------------------------------------------
Total Investment Companies
(cost $1,587,302) $1,570,718
- ----------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (--%) * (cost $20,157)
- ----------------------------------------------------------------------------------------------
Number of Shares Value
..............................................................................................
5,720 Internationale Nederlanden Groep NLG
2.5 cv. pfd. (Netherlands) $30,722
- ----------------------------------------------------------------------------------------------
WARRANTS (--%) *+ (cost $--)
- ----------------------------------------------------------------------------------------------
Number of Expiration
Warrants Date Value
..............................................................................................
9,360 Rieter Holding AG
(Switzerland) 2/28/97 $12,215
- ----------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (6.2%) * (cost $82,866,959)
- ----------------------------------------------------------------------------------------------
Principal Amount Value
..............................................................................................
$82,852,000 Interest in $378,760,000 joint repurchase
agreement dated December 31, 1996 with
Morgan (J.P.) & Co., Inc. due January 2, 1997
with respect to various U.S. Treasury
obligations -- maturity value of
$82,881,919 for an effective yield
of 6.5% $82,866,959
- ---------------------------------------------------------------------------------------------
Total Investments
(cost $1,176,098,045) *** $1,364,025,482
- ---------------------------------------------------------------------------------------------
<CAPTION>
Forward Currency Contracts to Sell at December 31, 1996
(aggregate face value $180,225,279)
- ----------------------------------------------------------------------------------------------
Aggregate Delivery Unrealized
Market Value Face Value Date Appreciation
..............................................................................................
<S> <C> <C> <C> <C>
Deutschemarks $29,903,872 $30,647,921 5/12/97 $744,049
..............................................................................................
Dutch Guilders 42,248,587 42,889,224 5/12/97 640,637
..............................................................................................
French Francs 66,931,840 67,272,751 5/12/97 340,911
..............................................................................................
Japanese Yen 36,748,909 39,415,383 1/6/97 2,666,474
- ----------------------------------------------------------------------------------------------
$4,392,071
- ----------------------------------------------------------------------------------------------
<CAPTION>
Diversification by Country
- ----------------------------------------------------------------------------------------------
Distribution of investments by country of issue at December 31, 1996:
(as percentage of market value)
- ----------------------------------------------------------------------------------------------
<S> <C>
Argentina 0.30%
..............................................................................................
Australia 3.2
..............................................................................................
Austria 0.9
..............................................................................................
Belgium 0.2
..............................................................................................
Brazil 1.6
..............................................................................................
Canada 0.3
..............................................................................................
Chile 0.1
..............................................................................................
Denmark 0.4
..............................................................................................
Finland 0.5
..............................................................................................
France 6.4
..............................................................................................
Germany 4.5
..............................................................................................
Hong Kong 5.6
..............................................................................................
Hungary --
..............................................................................................
India 0.1
..............................................................................................
Indonesia 0.1
..............................................................................................
Ireland 3.0
..............................................................................................
Italy 1.5
..............................................................................................
Japan 12.5
..............................................................................................
Luxembourg --
..............................................................................................
Malaysia 0.4
..............................................................................................
Mexico 0.2
..............................................................................................
Morocco --
..............................................................................................
Netherlands 7.0
..............................................................................................
Pakistan 0.1
..............................................................................................
Peru --
..............................................................................................
Philippines 0.2
..............................................................................................
Portugal 0.8
..............................................................................................
Russia 0.2
..............................................................................................
Singapore 1.5
..............................................................................................
South Africa 0.1
..............................................................................................
South Korea 0.1
..............................................................................................
Spain 0.5
..............................................................................................
Sweden 4.0
..............................................................................................
Switzerland 3.8
..............................................................................................
Taiwan 0.1
..............................................................................................
Thailand 0.1
..............................................................................................
United Kingdom 8.8
..............................................................................................
United States 30.9
..............................................................................................
Venezuela --
- ----------------------------------------------------------------------------------------------
Total 100.0%
- ----------------------------------------------------------------------------------------------
See page 76 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
Putnam VT Growth and Income Fund
Portfolio of investments owned
December 31, 1996
COMMON STOCKS (93.5%) *
- ----------------------------------------------------------------------------------------------
Number of Shares Value
..............................................................................................
<S> <C> <C> <C>
Aerospace and Defense (1.3%)
..............................................................................................
547,820 Lockheed Martin Corp. $50,125,530
..............................................................................................
275,000 Northrop Grumman Corp. 22,756,250
- ----------------------------------------------------------------------------------------------
72,881,780
- ----------------------------------------------------------------------------------------------
Automotive (4.4%)
..............................................................................................
1,607,420 Chrysler Corp. 53,044,860
..............................................................................................
2,087,580 Ford Motor Co. 66,541,613
..............................................................................................
1,892,210 General Motors Corp. 105,490,708
..............................................................................................
525,000 Goodyear Tire & Rubber Co. (The) 26,971,875
- ----------------------------------------------------------------------------------------------
252,049,056
- ----------------------------------------------------------------------------------------------
Basic Industrial Products (4.0%)
..............................................................................................
93,000 Case Corp. 5,068,500
..............................................................................................
263,800 Caterpillar, Inc. 19,850,950
..............................................................................................
566,000 Cooper Industries, Inc. 23,842,750
..............................................................................................
1,261,411 Deere (John) & Co. 51,244,822
..............................................................................................
439,500 General Signal Corp. 18,788,625
..............................................................................................
1,280,600 Minnesota Mining & Manufacturing Co. 106,129,725
- ----------------------------------------------------------------------------------------------
224,925,372
- ----------------------------------------------------------------------------------------------
Building and Construction (0.4%)
..............................................................................................
311,150 Armstrong World Industries, Inc. 21,624,925
- ----------------------------------------------------------------------------------------------
Business Equipment and Services (4.0%)
..............................................................................................
250,000 Dun & Bradstreet Corp. 5,937,500
..............................................................................................
932,310 Hewlett-Packard Co. 46,848,578
..............................................................................................
699,990 IBM Corp. 105,698,490
..............................................................................................
1,344,340 Xerox Corp. 70,745,893
- ----------------------------------------------------------------------------------------------
229,230,461
- ----------------------------------------------------------------------------------------------
Chemicals (3.6%)
..............................................................................................
1,209,910 Bayer AG ADR (Germany) 49,303,592
..............................................................................................
315,630 Dow Chemical Co. 24,737,501
..............................................................................................
601,753 du Pont (E.I.) de Nemours & Co., Ltd. 56,790,439
..............................................................................................
876,387 Eastman Chemical Co. 48,420,382
..............................................................................................
752,100 Witco Chemical Corp. 22,939,050
- ----------------------------------------------------------------------------------------------
202,190,964
- ----------------------------------------------------------------------------------------------
Computer Services and Software (0.3%)
..............................................................................................
501,240 NCR Corp. + 16,728,885
- ----------------------------------------------------------------------------------------------
Conglomerates (4.4%)
..............................................................................................
1,087,040 General Motors Corp. Class H 61,146,000
..............................................................................................
1,383,270 ITT Industries, Inc. 33,890,115
..............................................................................................
375,000 Ogden Corp. 7,031,250
..............................................................................................
333,700 Tenneco, Inc. 15,058,213
..............................................................................................
1,660,906 TRW, Inc. 82,214,847
..............................................................................................
740,760 United Technologies Corp. 48,890,160
- ----------------------------------------------------------------------------------------------
248,230,585
- ----------------------------------------------------------------------------------------------
Consumer Durable Goods (1.0%)
..............................................................................................
1,177,370 Whirlpool Corp. 54,894,876
- ----------------------------------------------------------------------------------------------
Consumer Non Durables (6.7%)
..............................................................................................
1,278,500 American Brands, Inc. 63,445,563
..............................................................................................
743,330 Avon Products, Inc. 42,462,726
..............................................................................................
430,800 Colgate-Palmolive Co. 39,741,300
..............................................................................................
1,008,070 Kimberly-Clark Corp. 96,018,668
..............................................................................................
845,485 Philip Morris Cos., Inc. 95,222,748
..............................................................................................
1,330,510 RJR Nabisco Holdings Corp. 45,237,340
- ----------------------------------------------------------------------------------------------
382,128,345
- ----------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (4.4%)
..............................................................................................
729,450 Eaton Corp. 50,879,138
..............................................................................................
285,000 General Electric Co. 28,179,375
..............................................................................................
221,700 Honeywell, Inc. 14,576,775
..............................................................................................
1,022,240 Motorola, Inc. 62,739,980
..............................................................................................
351,070 Rockwell International Corp. 21,371,386
..............................................................................................
1,140,460 Texas Instruments, Inc. 72,704,325
- ----------------------------------------------------------------------------------------------
250,450,979
- ----------------------------------------------------------------------------------------------
Environmental Control (0.9%)
..............................................................................................
1,579,420 WMX Technologies, Inc. 51,528,578
- ----------------------------------------------------------------------------------------------
Food and Beverages (1.5%)
..............................................................................................
675,000 Anheuser-Busch Cos., Inc. 27,000,000
..............................................................................................
918,450 General Mills, Inc. 58,206,769
- ----------------------------------------------------------------------------------------------
85,206,769
- ----------------------------------------------------------------------------------------------
Insurance and Finance (16.6%)
..............................................................................................
1,520,080 Ahmanson (H.F.) & Co. 49,402,600
..............................................................................................
1,708,897 American General Corp. 69,851,165
..............................................................................................
879,600 AON Corp. 54,645,150
..............................................................................................
1,245,140 Banc One Corp. 53,541,020
..............................................................................................
565,330 BankAmerica Corp. 56,391,668
..............................................................................................
657,530 Bankers Trust New York Corp. 56,711,963
..............................................................................................
768,300 Beneficial Corp. 48,691,013
..............................................................................................
385,700 CIGNA Corp. 52,696,263
..............................................................................................
282,650 CoreStates Financial Corp. 14,662,469
..............................................................................................
254,200 Federal National Mortgage Association 9,468,950
..............................................................................................
1,545,240 Fleet Financial Group, Inc. 77,068,845
..............................................................................................
935,680 Great Western Financial Corp. 27,134,720
..............................................................................................
1,097,450 Keycorp 55,421,225
..............................................................................................
181,000 Mellon Bank Corp. 12,851,000
..............................................................................................
1,195,952 Morgan (J.P.) & Co., Inc. 116,754,814
..............................................................................................
137,100 National City Corp. 6,152,363
..............................................................................................
489,920 NationsBank Corp. 47,889,680
..............................................................................................
2,222,591 PNC Bank Corp. 83,624,986
..............................................................................................
425,000 St. Paul Cos., Inc. 24,915,625
..............................................................................................
1,050,000 USF&G Corp. 21,918,750
- ----------------------------------------------------------------------------------------------
939,794,269
- ----------------------------------------------------------------------------------------------
Medical Supplies and Devices (0.9%)
..............................................................................................
1,304,860 Baxter International, Inc. 53,499,260
- ----------------------------------------------------------------------------------------------
Metals and Mining (1.2%)
..............................................................................................
1,389,910 Freeport-McMoRan Copper &
Gold Co., Inc. Class A $39,091,219
..............................................................................................
890,346 Freeport-McMoRan Copper &
Gold Co., Inc. Class B 26,599,087
- ----------------------------------------------------------------------------------------------
65,690,306
- ----------------------------------------------------------------------------------------------
Oil and Gas (9.1%)
..............................................................................................
825,460 Amoco Corp. 66,449,530
..............................................................................................
401,894 British Petroleum Co. PLC ADR
(United Kingdom) 56,817,764
..............................................................................................
790,450 Chevron, Inc. 51,379,250
..............................................................................................
825,000 Elf Aquitane ADR (France) 37,331,250
..............................................................................................
31,034 El Paso Natural Gas Co. 1,567,217
..............................................................................................
450,000 Enron Corp. 19,406,250
..............................................................................................
584,750 Exxon Corp. 57,305,500
..............................................................................................
469,440 Mobil Corp. 57,389,040
..............................................................................................
2,194,206 Occidental Petroleum Corp. 51,289,565
..............................................................................................
522,110 PanEnergy Corp. 23,494,950
..............................................................................................
484,190 Phillips Petroleum Co. 21,425,408
..............................................................................................
58,600 Royal Dutch Petroleum Co. PLC ADR
(Netherlands) 10,005,950
..............................................................................................
1,539,096 Total Corp. ADR (France) 61,948,614
- ----------------------------------------------------------------------------------------------
515,810,288
- ----------------------------------------------------------------------------------------------
Packaging and Containers (1.1%)
..............................................................................................
1,113,210 Crown Cork & Seal Co., Inc. 60,530,794
- ----------------------------------------------------------------------------------------------
Paper and Forest Products (1.7%)
..............................................................................................
151,336 Rayonier, Inc. 5,807,519
..............................................................................................
223,750 Union Camp Corp. 10,684,063
..............................................................................................
1,698,900 Weyerhaeuser Co. 80,485,388
- ----------------------------------------------------------------------------------------------
96,976,970
- ----------------------------------------------------------------------------------------------
Pharmaceuticals (5.8%)
..............................................................................................
855,600 American Home Products Corp. 50,159,550
..............................................................................................
466,300 Bristol-Myers Squibb Co. 50,710,125
..............................................................................................
3,349,127 Pharmacia & Upjohn, Inc. 132,709,157
..............................................................................................
1,314,810 Warner-Lambert Co. 98,610,750
- ----------------------------------------------------------------------------------------------
332,189,582
- ----------------------------------------------------------------------------------------------
Photography (1.3%)
..............................................................................................
940,960 Eastman Kodak Co. 75,512,040
- ----------------------------------------------------------------------------------------------
Publishing (0.4%)
..............................................................................................
500,000 Times Mirror Co. Class A 24,875,000
- ----------------------------------------------------------------------------------------------
REIT's (0.8%)
..............................................................................................
100,000 Avalon Properties, Inc. 2,875,000
..............................................................................................
440,429 Beacon Properties Corp. 16,130,700
..............................................................................................
175,000 Equity Residential Properties Trust 7,218,750
..............................................................................................
109,600 FelCor Suite Hotels, Inc. 3,877,100
..............................................................................................
50,000 LTC Properties, Inc. 925,000
..............................................................................................
135,000 Meditrust Corp. 5,400,000
..............................................................................................
160,000 Nationwide Health Properties, Inc. 3,880,000
..............................................................................................
70,900 Smith (Charles East) Residential
Realty, Inc. 2,073,825
..............................................................................................
100,000 Storage USA, Inc. 3,762,500
..............................................................................................
40,000 Tanger Factory Outlet Centers 1,085,000
- ----------------------------------------------------------------------------------------------
47,227,875
- ----------------------------------------------------------------------------------------------
Retail (5.6%)
..............................................................................................
1,600,800 Dayton Hudson Corp. 62,831,400
..............................................................................................
4,891,580 K mart Corp. 50,750,143
..............................................................................................
350,000 Lowe's Cos., Inc. 12,425,000
..............................................................................................
1,116,500 May Department Stores Co. 52,196,375
..............................................................................................
1,030,975 Penney (J.C.) Co., Inc. 50,260,031
..............................................................................................
1,334,870 Rite Aid Corp. 53,061,083
..............................................................................................
825,150 Sears, Roebuck & Co. 38,060,044
- ----------------------------------------------------------------------------------------------
319,584,076
- ----------------------------------------------------------------------------------------------
Transportation (2.3%)
..............................................................................................
114,822 Conrail, Inc. 11,439,142
..............................................................................................
263,080 Delta Air Lines, Inc. 18,645,795
..............................................................................................
66,740 Newport News Shipbuilding Inc. + 1,001,100
..............................................................................................
637,130 Norfolk Southern Corp. 55,748,875
..............................................................................................
901,600 Ryder System, Inc. 25,357,500
..............................................................................................
317,700 Union Pacific Corp. 19,101,713
- ----------------------------------------------------------------------------------------------
131,294,125
- ----------------------------------------------------------------------------------------------
Utilities (9.8%)
..............................................................................................
329,810 American Telephone & Telegraph Co. 14,346,735
..............................................................................................
475,000 Bell Atlantic Corp. 30,756,250
..............................................................................................
793,680 BellSouth Corp. 32,044,830
..............................................................................................
121,200 Carolina Power & Light Co. 4,423,800
..............................................................................................
384,401 Cinergy Corp. 12,829,383
..............................................................................................
92,800 Deutsche Telekom AG ADR
(Germany) + 1,890,800
..............................................................................................
1,550,550 GTE Corp. 70,550,025
..............................................................................................
264,700 Houston Industries, Inc. 5,988,838
..............................................................................................
600,800 Long Island Lighting Co. 13,292,700
..............................................................................................
1,156,850 Northeast Utilities Co. 15,328,263
..............................................................................................
818,740 NYNEX Corp. 39,401,863
..............................................................................................
475,000 Pacific Enterprises 14,428,125
..............................................................................................
575,000 Pacific Gas & Electric Co. 12,075,000
..............................................................................................
1,906,250 Pacific Telesis Group 70,054,688
..............................................................................................
825,000 Potomac Electric Power Co. 21,243,750
..............................................................................................
142,900 Public Service Co. 5,555,238
..............................................................................................
776,600 Public Service Enterprise Group, Inc. 21,162,350
..............................................................................................
557,930 SBC Communications, Inc. 28,872,878
..............................................................................................
2,251,720 Sprint Corp. 89,787,335
..............................................................................................
169,393 Union Electric Co. 6,521,631
..............................................................................................
1,410,780 US West, Inc. 45,497,655
- ----------------------------------------------------------------------------------------------
556,052,137
- ----------------------------------------------------------------------------------------------
Total Common Stocks
(cost $4,343,006,804) $5,311,108,297
- ----------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (2.5%) *
- ----------------------------------------------------------------------------------------------
Principal Amount Value
..............................................................................................
U.S. Treasury Bonds
..............................................................................................
$25,000,000 8 1/8s, August 15, 2019 $28,918,000
..............................................................................................
90,825,000 8s, November 15, 2021 104,136,312
..............................................................................................
11,805,000 6 1/4s, August 15, 2023 11,067,188
- ----------------------------------------------------------------------------------------------
Total U.S. Government and
Agency Obligations
(cost $138,471,650) $144,121,500
- ----------------------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (0.8%) *
- ----------------------------------------------------------------------------------------------
Principal Amount Value
..............................................................................................
$3,719,000 Banamex (Nassau Branch) 144A cv. jr.
sub. notes 11s, 2003 (Mexico) $3,793,380
..............................................................................................
1,031,000 Banco Nacional De Mexico S.A. cv.
bonds 7s, 1999 (Mexico) 976,873
..............................................................................................
GBP 5,250,000 British Airport Authority PLC cv. bonds
5 3/4s, 2006 (United Kingdom) 9,032,940
..............................................................................................
$13,500,000 Home Depot, Inc. cv. sub. notes
3 1/4s, 2001 13,162,500
..............................................................................................
5,400,000 Italy (Government of) cv. notes
5s, 2001 (Italy) 5,346,000
..............................................................................................
26,000,000 Roche Holdings, Inc. cv. unsub. Liquid
Yield Option Note (LYON) zero %,
2010 (Switzerland) 11,732,500
- ----------------------------------------------------------------------------------------------
Total Convertible Bonds and Notes
(cost $42,586,551) $44,044,193
- ----------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.2%) *
- ----------------------------------------------------------------------------------------------
Number of Shares Value
..............................................................................................
90,000 Freeport-McMoRan Copper Co., Inc.
$1.75 cv. pfd. $2,497,500
..............................................................................................
150,000 K mart Financing I $3.875 cv. pfd. 7,312,500
- ----------------------------------------------------------------------------------------------
Total Convertible Preferred Stocks
(cost $9,919,558) $9,810,000
- ----------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES (0.1%) * (cost $4,921,500)
- ----------------------------------------------------------------------------------------------
Principal Amount Value
..............................................................................................
$3,750,000 Siemens Capital Corp. company guaranty
8s, 2002 (Germany) $4,818,750
- ----------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (2.9%) *
- ----------------------------------------------------------------------------------------------
Principal Amount Value
..............................................................................................
$25,000,000 Corporate Receivables Corp. effective
yield of 5.42%, January 6, 1997 $24,981,181
..............................................................................................
25,000,000 Federal Home Loan Mortgage Corp.
effective yield of 5.23%,
February 21, 1997 25,055,354
..............................................................................................
25,000,000 Federal National Mortgage Association
Discount Notes effective yield of 5.24%,
January 17, 1997 25,228,889
..............................................................................................
25,000,000 Merrill Lynch & Co. Inc. effective yield of
5.40%, January 31, 1997 24,887,500
..............................................................................................
25,000,000 Sheffield Receivables Corp. effective yield
of 5.40%, January 21, 1997 24,925,000
..............................................................................................
41,408,000 Interest in $716,873,00 joint repurchase
agreement dated December 31, 1996
with UBS Securities due January 2, 1997
with respect to various U.S. Treasury
obligations -- maturity value of
$41,423,528 for an effective yield
of 6.75% 41,415,764
- ----------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $165,965,993) $166,493,688
- ----------------------------------------------------------------------------------------------
Total Investments
(cost $4,704,872,056) *** $5,680,396,428
- ----------------------------------------------------------------------------------------------
See page 76 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
Putnam VT High Yield Fund
Portfolio of investments owned
December 31, 1996
CORPORATE BONDS AND NOTES (83.6%) *
- ----------------------------------------------------------------------------------------------
Principal Amount Value
..............................................................................................
<S> <C> <C> <C>
Advertising (0.6%)
..............................................................................................
$250,000 Adams Outdoor Advertising, Ltd. sr. notes
10 3/4s, 2006 $265,938
..............................................................................................
1,295,000 Lamar Advertising Co. sr. sub. notes
9 5/8s, 2006 1,333,850
..............................................................................................
310,000 Outdoor Systems, Inc. sr. sub. notes
9 3/8s, 2006 319,300
..............................................................................................
2,470,000 Universal Outdoor, Inc. sr. sub. notes
9 3/4s, 2006 2,550,275
- ----------------------------------------------------------------------------------------------
4,469,363
- ----------------------------------------------------------------------------------------------
Aerospace and Defense (1.1%)
..............................................................................................
3,175,000 BE Aerospace sr. sub. notes Ser. B,
9 7/8s, 2006 3,333,750
..............................................................................................
660,000 BE Aerospace sr. notes 9 3/4s, 2003 689,700
..............................................................................................
1,075,000 Sequa Corp. sr. notes 9 5/8s, 1999 1,107,250
..............................................................................................
1,750,000 Sequa Corp. sr. sub. notes 9 3/8s, 2003 1,785,000
..............................................................................................
620,000 UNC, Inc. 144A sr. sub. notes 11s, 2006 663,400
..............................................................................................
1,250,000 UNC, Inc. sr. notes 9 1/8s, 2003 1,268,750
- ----------------------------------------------------------------------------------------------
8,847,850
- ----------------------------------------------------------------------------------------------
Agriculture (0.4%)
..............................................................................................
2,159,000 PMI Holdings Corp. sub. disc. deb.
stepped-coupon Ser. B, zero %
(11 1/2s, 9/1/00), 2005 ++ 1,408,748
..............................................................................................
1,738,318 Premium Standard Farms, Inc. sr. secd.
notes 11s, 2003 +++++ 1,838,271
- ----------------------------------------------------------------------------------------------
3,247,019
- ----------------------------------------------------------------------------------------------
Airlines (0.3%)
..............................................................................................
2,450,000 Greenwich Air Services, Inc. sr. notes
10 1/2s, 2006 2,609,250
- ----------------------------------------------------------------------------------------------
Apparel (0.5%)
..............................................................................................
2,557,000 Guess Jeans, Inc. sr. sub. notes
9 1/2s, 2003 2,620,925
..............................................................................................
1,185,000 William Carter Co. 144A sr. sub. notes
10 3/8s, 2006 1,226,475
- ----------------------------------------------------------------------------------------------
3,847,400
- ----------------------------------------------------------------------------------------------
Automotive (0.5%)
..............................................................................................
1,215,000 CSK Auto, Inc. 144A sr. sub. notes
11s, 2006 1,275,750
..............................................................................................
2,380,000 Lear Corp. sub. notes 9 1/2s, 2006 2,570,400
..............................................................................................
275,000 Safelite Glass Corp. 144A sr. sub. notes
9 7/8s, 2006 283,250
- ----------------------------------------------------------------------------------------------
4,129,400
- ----------------------------------------------------------------------------------------------
Automotive Parts (1.9%)
..............................................................................................
3,800,000 A.P.S. Inc. company guaranty
11 7/8s, 2006 4,142,000
..............................................................................................
2,800,000 Aftermarket Technology Corp. sr. sub.
notes Ser. D, 12s, 2004 3,129,000
..............................................................................................
575,000 Aftermarket Technology Corp. sr. sub.
notes 12s, 2004 642,563
..............................................................................................
1,500,000 Harvard Industries Inc. sr. notes
11 1/8s, 2005 1,245,000
..............................................................................................
470,000 Hawk Corp. 144A sr. notes 10 1/4s, 2003 479,400
..............................................................................................
3,150,000 Key Plastics Corp. sr. notes 14s, 1999 3,276,000
..............................................................................................
1,775,000 Speedy Muffler King, Inc. company
guaranty 10 7/8s, 2006 (Canada) 1,892,594
- ----------------------------------------------------------------------------------------------
14,806,557
- ----------------------------------------------------------------------------------------------
Banks (1.1%)
..............................................................................................
1,907,000 Chevy Chase Savings Bank Inc. sub. deb.
9 1/4s, 2005 1,945,140
..............................................................................................
100,000 First Nationwide Holdings 144A sr. sub.
notes 10 5/8s, 2003 108,000
..............................................................................................
3,650,000 First Nationwide Holdings sr. sub. notes
9 1/8s, 2003 3,723,000
..............................................................................................
895,000 North Fork Bancorp, Inc. 144A bonds
8.7s, 2026 897,238
..............................................................................................
1,000,000 Provident Capital Trust 144A jr. sub. notes
8.6s, 2026 1,013,820
..............................................................................................
610,000 Riggs Capital Trust 144A bonds
8 5/8s, 2026 610,000
- ----------------------------------------------------------------------------------------------
8,297,198
- ----------------------------------------------------------------------------------------------
Basic Industrial Products (0.6%)
..............................................................................................
630,000 Astor Corp. 144A sr. sub. notes
10 1/2s, 2006 644,175
..............................................................................................
3,000,000 Clark-Schwebel sr. notes 10 1/2s, 2006 3,180,000
..............................................................................................
530,000 Ryder TRS Inc. 144A sr. sub. notes
10s, 2006 551,200
- ----------------------------------------------------------------------------------------------
4,375,375
- ----------------------------------------------------------------------------------------------
Broadcasting (6.5%)
..............................................................................................
1,400,000 Allbritton Communications sr. sub. deb.
Ser. B, 9 3/4s, 2007 1,358,000
..............................................................................................
1,375,000 Argyle Television Corp. sr. sub. notes
9 3/4s, 2005 1,395,625
..............................................................................................
2,000,000 Benedek Communications Corp. sr. disc.
notes stepped-coupon zero %
(13 1/4s, 5/15/01), 2006 ++ 1,145,000
..............................................................................................
1,500,000 Chancellor Broadcasting Co. sr. sub. notes
9 3/8s, 2004 1,515,000
..............................................................................................
2,400,000 Comcast UK Cable, Ltd. deb.
stepped-coupon zero %
(11.2s, 11/15/00), 2007 (Bermuda) ++ 1,668,000
..............................................................................................
4,000,000 Commodore Media, Inc. sr. sub. notes
stepped-coupon 7 1/2s,
(13 1/4s, 5/1/98), 2003 ++ 4,220,000
..............................................................................................
500,000 Granite Broadcasting Corp. sr. sub. notes
10 3/8s, 2005 512,500
..............................................................................................
315,000 Gray Communications Systems, Inc.
sr. sub. notes 10 5/8s, 2006 333,900
..............................................................................................
1,325,000 Heritage Media Corp. sr. sub. notes
8 3/4s, 2006 1,272,000
..............................................................................................
1,325,000 Jacor Communications, Inc. sr. sub. notes
10 1/8s, 2006 1,364,750
..............................................................................................
675,000 Jacor Communications, Inc. company
guaranty 9 3/4s, 2006 685,125
..............................................................................................
2,000,000 Lenfest Communications, Inc. sr. sub.
notes 10 1/2s, 2006 2,100,000
..............................................................................................
2,160,000 Paxson Communications Corp. 144A
sr. sub. notes 11 5/8s, 2002 2,251,800
..............................................................................................
4,602,000 Petracom Holdings, Inc. notes
stepped-coupon zero %
(17 1/2s, 8/1/98), 2003 ++ 3,957,720
..............................................................................................
6,925,000 SFX Broadcasting, Inc. sr. sub. notes
Ser. B, 10 3/4s, 2006 7,305,875
..............................................................................................
4,525,000 Sinclair Broadcasting Group sr. sub. notes
10s, 2005 4,592,875
..............................................................................................
5,363,000 Telemedia Broadcasting Corp. 144A deb.
stepped-coupon 3.8s,
(16s, 6/15/99), 2004 ++ 4,880,330
..............................................................................................
9,230,000 Telewest Communications PLC deb.
stepped-coupon zero % (11s, 10/1/00),
2007 (United Kingdom) ++ 6,437,925
..............................................................................................
4,065,000 Videotron Holdings. sr. disc. notes
stepped-coupon zero % (11s, 8/15/00),
2005 (United Kingdom) ++ 3,272,325
- ----------------------------------------------------------------------------------------------
50,268,750
- ----------------------------------------------------------------------------------------------
Building and Construction (2.9%)
..............................................................................................
1,880,000 Atrium Companies Inc. 144A sr. sub.
notes 10 1/2s, 2006 1,912,900
..............................................................................................
1,585,000 Clark Material Handling Co. 144A sr.
notes 10 3/4s, 2006 1,648,400
..............................................................................................
4,945,000 Inter-City Products sr. notes 9 3/4s, 2000 5,019,175
..............................................................................................
1,610,000 Presley Cos. sr. notes 12 1/2s, 2001 1,553,650
..............................................................................................
3,650,000 Scotsman Group, Inc. sr. secd. notes
9 1/2s, 2000 3,741,250
..............................................................................................
7,710,000 Terex Corp. sr. notes Ser. B, 13 1/4s, 2002 8,307,525
- ----------------------------------------------------------------------------------------------
22,182,900
- ----------------------------------------------------------------------------------------------
Building Products (0.8%)
..............................................................................................
410,000 Building Materials Corp. 144A sr. notes
8 5/8s, 2006 408,975
..............................................................................................
2,800,000 Cemex S.A. 144A bonds 12 3/4s, 2006
(Mexico) 3,143,000
..............................................................................................
1,825,000 Overhead Door Corp. sr. notes
12 1/4s, 2000 1,952,750
..............................................................................................
1,070,000 Waxman Industries Inc. sr. notes
stepped-coupon Ser. B, zero %
(12 3/4s, 6/1/99), 2004 ++ 783,775
- ----------------------------------------------------------------------------------------------
6,288,500
- ----------------------------------------------------------------------------------------------
Buses (0.7%)
..............................................................................................
1,360,000 Blue Bird Body Co. 144A sr. sub. notes
10 3/4s, 2006 1,421,200
..............................................................................................
4,985,000 Consorcio/MCII Holdings secd. notes
stepped-coupon zero %
(12s, 11/15/98), 2002 ++ 4,112,625
- ----------------------------------------------------------------------------------------------
5,533,825
- ----------------------------------------------------------------------------------------------
Business Services (0.3%)
..............................................................................................
1,005,000 Intertek Finance PLC 144A sr. sub. notes
10 1/4s, 2006 (United Kingdom) 1,045,200
..............................................................................................
905,000 Pierce Leahy Corp. sr. sub. notes
11 1/8s, 2006 988,713
- ----------------------------------------------------------------------------------------------
2,033,913
- ----------------------------------------------------------------------------------------------
Cable Television (8.3%)
..............................................................................................
1,475,000 Adelphia Communications Corp. sr. notes
12 1/2s, 2002 1,511,875
..............................................................................................
2,750,000 Adelphia Communications Corp. sr. deb.
11 7/8s, 2004 2,763,750
..............................................................................................
1,000,000 Adelphia Communications Corp. notes
Ser. B, 9 7/8s, 2005 925,000
..............................................................................................
5,650,000 American Telecasting, Inc. sr. disc. notes
stepped-coupon zero %
(14 1/2s, 8/15/00), 2005 ++ 1,977,500
..............................................................................................
3,000,000 Cablevision Systems Corp. sr. sub. deb.
10 1/2s, 2016 3,097,500
..............................................................................................
700,000 Century Communications Corp. sr. sub.
deb. 11 7/8s, 2003 742,000
..............................................................................................
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) 3,613,400
..............................................................................................
1,800,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(13 1/2s, 9/30/99), 2004
(United Kingdom) ++ 1,476,000
..............................................................................................
5,220,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(11 3/4s, 12/15/00), 2005
(United Kingdom)++ 3,758,400
..............................................................................................
6,336,555 Falcon Holdings Group, Inc. sr. sub. notes
11s, 2003 +++++ 5,671,217
..............................................................................................
4,505,000 Frontiervision Operating Partners L.P.
sr. sub. notes 11s, 2006 4,538,788
..............................................................................................
3,425,000 Grupo Televisa S.A. 144A sr. notes
11 7/8s, 2006 (Mexico) 3,801,750
..............................................................................................
5,770,000 Grupo Televisa S.A. sr. disc. notes
stepped-coupon zero %
(13 1/4s, 5/15/01), 2008 (Mexico) ++ 3,837,050
..............................................................................................
800,000 Heartland Wireless Communications, Inc.
144A sr. notes 14s, 2004 830,000
..............................................................................................
2,140,000 Heartland Wireless Communications, Inc.
sr. notes 13s, 2003 2,217,575
..............................................................................................
2,500,000 Jones Intercable, Inc. sr. sub. deb.
10 1/2s, 2008 2,700,000
..............................................................................................
6,975,000 Marcus Cable Co. (L.P.) sr. disc. notes
stepped-coupon zero %
(14 1/4s, 6/15/00), 2005 ++ 4,926,094
..............................................................................................
1,500,000 Marcus Cable Co. (L.P.) sr. sub. disc. notes
stepped-coupon zero %
(13 1/2s, 8/1/99), 2004 ++ 1,230,000
..............................................................................................
4,000,000 Rogers Cablesystem Ltd. deb.
10 1/8s, 2012 (Canada) 4,150,000
..............................................................................................
500,000 Rogers Communications, Inc. sr. deb.
10 7/8s, 2004 (Canada) 525,000
..............................................................................................
1,025,000 Tevecap S.A. 144A sr. notes
12 5/8s, 2004 (Brazil) 1,048,063
..............................................................................................
630,000 TV Filme, Inc. 144A sr. notes
12 7/8s, 2004 (Brazil) 632,363
..............................................................................................
6,950,000 UIH Australia/Pacific, Inc. sr. disc. notes
stepped-coupon Ser. B, zero %
(14s, 5/15/01), 2006 (Australia) ++ 3,683,500
..............................................................................................
550,000 Wireless One, Inc. sr. notes 13s, 2003 533,500
- ----------------------------------------------------------------------------------------------
64,044,325
- ----------------------------------------------------------------------------------------------
Cellular Communications (5.0%)
..............................................................................................
6,000,000 Call-Net Enterprises sr. disc. notes
stepped-coupon zero %
(13 1/4s, 12/1/99), 2004 ++ 4,920,000
..............................................................................................
6,335,000 CellNet Data Systems, Inc. 144A sr. disc.
notes stepped-coupon zero %
(13s, 6/15/00), 2005 ++ 4,371,150
..............................................................................................
1,415,000 Cencall Communications Corp. sr. disc.
notes stepped-coupon zero %
(10 1/8s, 1/15/99), 2004 ++ 967,506
..............................................................................................
5,500,000 Dial Call Communications, Inc. sr. disc.
notes stepped-coupon Ser. B, zero %
(10 1/4s, 12/15/98), 2005 ++ 3,767,500
..............................................................................................
1,000,000 Intercel, Inc. sr. disc. notes stepped-coupon
zero % (12s, 5/1/01), 2006 ++ 620,000
..............................................................................................
1,360,000 International Wireless Communications, Inc.
sr. disc. notes zero %, 2001 748,000
..............................................................................................
9,870,000 Millicom International Cellular S.A. sr. disc.
notes stepped-coupon zero %
(13 1/2s, 6/1/01), 2006 (Luxembourg) ++ 6,119,400
..............................................................................................
6,775,000 NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero %
(11 1/2s, 9/1/98), 2003 ++ 5,284,500
..............................................................................................
5,000,000 NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero %
(9 3/4s, 2/15/99), 2004 ++ 3,412,500
..............................................................................................
2,105,000 Omnipoint Corp. sr. notes 11 5/8s, 2006 2,168,150
..............................................................................................
1,240,000 Pricellular Wireless Corp. 144A sr. notes
10 3/4s, 2004 1,289,600
..............................................................................................
4,525,000 Pricellular Wireless Corp. sr. disc. notes
stepped-coupon Ser. B, zero %
(14s, 11/15/97), 2001 ++ 4,434,500
..............................................................................................
600,000 Western Wireless Corp. sr. sub. notes
10 1/2s, 2007 629,250
- ----------------------------------------------------------------------------------------------
38,732,056
- ----------------------------------------------------------------------------------------------
Chemicals (1.3%)
..............................................................................................
2,300,000 Acetex Corp. sr. notes 9 3/4s, 2003
(Canada) 2,288,500
..............................................................................................
1,260,000 Freedom Chemicals, Inc. 144A sr. sub.
notes 10 5/8s, 2006 1,323,000
..............................................................................................
3,250,000 Harris Chemical Corp. sr. sub. notes
10 3/4s, 2003 3,363,750
..............................................................................................
1,660,000 Sterling Chemicals Holdings sr. disc. notes
stepped-coupon zero %
(13 1/2s, 8/15/01), 2008 ++ 962,800
..............................................................................................
1,670,000 Union Carbide Global Enterprises sr. sub.
Ser. B, 12s, 2005 1,924,675
- ----------------------------------------------------------------------------------------------
9,862,725
- ----------------------------------------------------------------------------------------------
Computer Equipment (0.5%)
..............................................................................................
3,450,000 Computervision Corp. sr. sub. notes
11 3/8s, 1999 3,609,563
- ----------------------------------------------------------------------------------------------
Computer Services (0.5%)
..............................................................................................
3,485,000 Unisys Corp. sr. notes 11 3/4s, 2004 3,720,238
- ----------------------------------------------------------------------------------------------
Conglomerates (0.2%)
..............................................................................................
1,425,000 Axia, Inc. sr. sub. notes Ser. B, 11s, 2001 1,453,500
- ----------------------------------------------------------------------------------------------
Consumer Durable Goods (0.7%)
..............................................................................................
1,860,000 Icon Fitness Corp. 144A sr. disc. notes
stepped-coupon zero %
(14s, 11/15/01), 2006 ++ 976,500
..............................................................................................
550,000 Rayovac Corp. 144A sr. sub. notes
10 1/4s, 2006 563,750
..............................................................................................
4,185,000 Remington Products Co. sr. sub. notes
Ser. B, 11s, 2006 3,557,250
- ----------------------------------------------------------------------------------------------
5,097,500
- ----------------------------------------------------------------------------------------------
Consumer Non Durables (0.1%)
..............................................................................................
540,000 E&S Holdings Corp. 144A sr. sub. notes
10 3/8s, 2006 565,650
- ----------------------------------------------------------------------------------------------
Consumer Services (0.2%)
..............................................................................................
1,476,000 Coinmach Corp. sr. notes Ser. B,
11 3/4s, 2005 1,597,770
- ----------------------------------------------------------------------------------------------
Electric Utilities (4.6%)
..............................................................................................
3,250,000 AES China Generating Co. sr. notes
10 1/8s, 2006 (China) 3,355,625
..............................................................................................
1,350,000 Calpine Corp. sr. notes 10 1/2s, 2006 1,451,250
..............................................................................................
1,875,000 Cleveland Electric Illuminating Co.
1st mtge. Ser. B, 9 1/2s, 2005 1,976,963
..............................................................................................
1,875,000 El Paso Electric Co. 1st mtge. Ser. E,
9.4s, 2011 1,987,500
..............................................................................................
1,340,000 Empresa Distribuidora Norte 144A
notes 9 3/4s, 2001 (Argentina) 1,385,225
..............................................................................................
19,000 First PV Funding deb. Ser. 86A,
10.3s, 2014 20,235
..............................................................................................
2,365,000 First PV Funding deb. 10.15s, 2016 2,512,813
..............................................................................................
455,000 Hidroelectric Pierda Aguila 144A bonds
10 5/8s, 2001 (Argentina) 478,319
..............................................................................................
1,460,000 Long Island Lighting Co. refunding mtge.
notes 9 5/8s, 2024 1,552,725
..............................................................................................
1,900,000 Long Island Lighting Co. deb. 8.9s, 2019 1,938,475
..............................................................................................
2,480,000 Midland Funding Corp. deb. Ser. B,
13 1/4s, 2006 2,865,218
..............................................................................................
7,600,000 Midland Funding Corp. deb. Ser. A,
11 3/4s, 2005 8,414,416
..............................................................................................
5,000,000 Niagara Mohawk Power Corp. 1st mtge.
6 7/8s, 2003 4,575,900
..............................................................................................
1,250,000 Niagara Mohawk Power Corp. 1st mtge.
6 7/8s, 2001 1,183,425
..............................................................................................
1,860,783 Northeast Utilities System notes Ser. A,
8.58s, 2006 1,827,847
- ----------------------------------------------------------------------------------------------
35,525,936
- ----------------------------------------------------------------------------------------------
Electronic Components (0.4%)
..............................................................................................
3,225,000 Motors and Gears Inc. 144A sr. notes
Ser. A, 10 3/4s, 2006 3,321,750
- ----------------------------------------------------------------------------------------------
Electronics (2.0%)
..............................................................................................
2,750,000 Amphenol Corp. sr. sub. notes
12 3/4s, 2002 3,011,250
..............................................................................................
4,000,000 Amphenol Corp. sr. notes 10.45s, 2001 4,356,440
..............................................................................................
2,000,000 Celestica International Ltd. 144A sr. sub.
notes 10 1/2s, 2006 (India) 2,100,000
..............................................................................................
897,075 Cirent Semiconductor sr. sub. notes
10.22s, 2002 897,075
..............................................................................................
900,756 Cirent Semiconductor 144A sr. sub.
notes 10.14s, 2004 900,757
..............................................................................................
4,685,000 International Semi-Tech. Corp. sr. secd.
disc. notes stepped-coupon zero %
(11 1/2s, 8/15/00), 2003 (Canada) ++ 3,021,825
..............................................................................................
770,000 Moog, Inc. sr. sub. notes Ser. B, 10s, 2006 808,500
- ----------------------------------------------------------------------------------------------
15,095,847
- ----------------------------------------------------------------------------------------------
Entertainment (1.9%)
..............................................................................................
885,000 Cobblestone Holdings Inc. sr. notes Ser. B,
zero %, 2004 371,700
..............................................................................................
3,935,000 Premier Parks, Inc. sr. notes Ser. A,
12s, 2003 4,298,988
..............................................................................................
5,000,000 Six Flags Corp. sr. sub. notes
stepped-coupon zero %
(12 1/4s, 6/15/98), 2005 ++ 4,700,000
..............................................................................................
4,500,000 Trump Holdings & Funding Corp. sr. notes
15 1/2s, 2005 5,130,000
- ----------------------------------------------------------------------------------------------
14,500,688
- ----------------------------------------------------------------------------------------------
Environmental Control (0.2%)
..............................................................................................
1,295,000 Allied Waste Industries, Inc. 144A sr. sub.
notes 10 1/4s, 2006 1,359,750
- ----------------------------------------------------------------------------------------------
Financial Services (2.5%)
..............................................................................................
850,000 Aames Financial Corp. sr. notes
9 1/8s, 2003 864,875
..............................................................................................
3,700,000 AIM Management Group sr. secd. notes
9s, 2003 4,014,500
..............................................................................................
1,370,000 Contifinancial Corp. sr. notes 8 3/8s, 2003 1,411,100
..............................................................................................
1,405,000 Dollar Financial Group Inc. 144A sr. notes
10 7/8s, 2006 1,447,150
..............................................................................................
1,725,000 First Federal Financial Corp. notes
11 3/4s, 2004 1,759,500
..............................................................................................
1,080,000 Ocwen Federal Bank FSB sub. deb.
12s, 2005 1,188,000
..............................................................................................
1,650,000 Ocwen Financial Corp. notes
11 7/8s, 2003 1,786,125
..............................................................................................
1,765,000 Olympic Financial Ltd. sr. notes 13s, 2000 1,923,850
..............................................................................................
2,750,000 Outsourcing Solutions Inc. 144A sr. sub.
notes 11s, 2006 2,880,625
..............................................................................................
2,250,000 SRI Receivables Purchase 144A notes
12 1/2s, 2000 2,362,500
- ----------------------------------------------------------------------------------------------
19,638,225
- ----------------------------------------------------------------------------------------------
Food Chains (0.4%)
..............................................................................................
2,850,000 Stater Brothers sr. notes 11s, 2001 3,092,250
- ----------------------------------------------------------------------------------------------
Food and Beverages (0.4%)
..............................................................................................
820,000 Canandaigua Wine Co. 144A sr. sub. notes
8 3/4s, 2003 799,500
..............................................................................................
509,000 Del Monte Corp. notes 12 1/4s, 2002 +++++ 516,635
..............................................................................................
2,000,000 Mafco, Inc. sr. sub. notes 11 7/8s, 2002 2,110,000
- ----------------------------------------------------------------------------------------------
3,426,135
- ----------------------------------------------------------------------------------------------
Gaming (4.0%)
..............................................................................................
3,065,000 Alliance Gaming Corp. 12 7/8s, 2003 3,225,913
..............................................................................................
1,170,000 Argosy Gaming Co. 1st mtge.
13 1/4s, 2004 1,091,025
..............................................................................................
3,300,000 Casino America, Inc. sr. notes
12 1/2s, 2003 3,126,750
..............................................................................................
1,095,000 Casino Magic of Louisiana Corp. 144A
1st mtge. 13s, 2003 1,081,313
..............................................................................................
4,545,000 Coast Hotels & Casinos, Inc. company
guaranty Ser. B, 13s, 2002 5,016,544
..............................................................................................
4,250,000 Colorado Gaming & Entertainment Co.
sr. notes 12s, 2003 ++++ 4,080,000
..............................................................................................
685,000 Harveys Casino Resorts sr. sub. notes
10 5/8s, 2006 732,950
..............................................................................................
5,150,000 Lady Luck Gaming 1st mtge.
11 7/8s, 2001 4,995,500
..............................................................................................
5,100,000 Mohegan Tribal Gaming sr. secd. notes,
Ser. B, 13 1/2s, 2002 6,617,250
..............................................................................................
1,188,000 Trump Castle notes 11 1/2s, 2000 1,199,880
- ----------------------------------------------------------------------------------------------
31,167,125
- ----------------------------------------------------------------------------------------------
Health Care (1.5%)
..............................................................................................
565,000 Genesis Health Ventures, Inc. 144A sr. sub.
notes 9 1/4s, 2006 581,950
..............................................................................................
2,770,000 IMED Corp. sr. sub. notes 9 3/4s, 2006 2,818,475
..............................................................................................
4,000,000 Merit Behavioral Care sr. sub. notes
11 1/2s, 2005 4,280,000
..............................................................................................
3,960,000 Paracelsus Healthcare sr. sub. notes
10s, 2006 3,722,400
- ----------------------------------------------------------------------------------------------
11,402,825
- ----------------------------------------------------------------------------------------------
Insurance (0.7%)
..............................................................................................
3,550,000 American Life Holding Co. sr. sub. notes
11 1/4s, 2004 4,064,750
..............................................................................................
1,000,000 Reliance Group Holdings, Inc. sr. sub. deb.
9 3/4s, 2003 1,040,000
- ----------------------------------------------------------------------------------------------
5,104,750
- ----------------------------------------------------------------------------------------------
Lodging (1.1%)
..............................................................................................
4,925,000 Host Marriott Corp. sr. notes Ser. B,
9 1/2s, 2005 5,140,469
..............................................................................................
1,400,000 John Q Hammons Hotels, Inc. 1st mtge.
9 3/4s, 2005 1,424,500
..............................................................................................
2,000,000 John Q Hammons Hotels, Inc. 1st mtge.
8 7/8s, 2004 1,975,000
- ----------------------------------------------------------------------------------------------
8,539,969
- ----------------------------------------------------------------------------------------------
Media (0.9%)
..............................................................................................
7,000,000 Viacom International, Inc. sub. deb.
8s, 2006 6,772,500
- ----------------------------------------------------------------------------------------------
Medical Supplies and Devices (1.0%)
..............................................................................................
2,650,000 Dade International, Inc. sr. sub. notes
Ser. B, 11 1/8s, 2006 2,875,250
..............................................................................................
2,748,000 Graphic Controls Corp. sr. sub. notes
Ser. A, 12s, 2005 3,043,410
..............................................................................................
1,440,000 Wright Medical Technology, Inc. sr. secd.
notes Ser. B, 10 3/4s, 2000 1,454,400
- ----------------------------------------------------------------------------------------------
7,373,060
- ----------------------------------------------------------------------------------------------
Metals and Mining (0.6%)
..............................................................................................
795,000 Maxxam Group Holdings Inc. 144A
sr. notes 12s, 2003 810,900
..............................................................................................
900,000 Renco Metals, Inc. sr. notes 11 1/2s, 2003 940,500
..............................................................................................
2,665,000 Royal Oak Mines Inc. company guaranty
Ser. B, 11s, 2006 (Canada) 2,724,963
- ----------------------------------------------------------------------------------------------
4,476,363
- ----------------------------------------------------------------------------------------------
Motion Picture Distribution (0.8%)
..............................................................................................
2,075,000 Act III Theatres, Inc. sr. sub. notes
11 7/8s, 2003 2,287,671
..............................................................................................
1,833,400 Cinemark Mexico USA notes Ser. B,
13s, 2003 (Mexico) +++++ 1,741,730
..............................................................................................
50,400 Cinemark Mexico USA notes Ser. D,
13s, 2003 (Mexico) +++++ 47,880
..............................................................................................
2,110,000 Cinemark USA, Inc. sr. sub. notes Ser. B,
9 5/8s, 2008 2,110,000
- ----------------------------------------------------------------------------------------------
6,187,281
- ----------------------------------------------------------------------------------------------
Office Equipment (0.2%)
..............................................................................................
1,650,000 United Stationer Supply, Inc. sr. sub. notes
12 3/4s, 2005 1,823,250
- ----------------------------------------------------------------------------------------------
Oil and Gas (3.2%)
..............................................................................................
5,670,000 Abraxas Petroleum Corp. 144A sr. notes
11 1/2s, 2004 6,095,250
..............................................................................................
1,100,000 Chesapeake Energy Corp. sr. notes
9 1/8s, 2006 1,146,750
..............................................................................................
620,000 Cliffs Drilling Co. company guaranty
Ser. B, 10 1/4s, 2003 659,525
..............................................................................................
2,595,000 Costilla Energy, Inc. sr. notes
10 1/4s, 2006 2,711,775
..............................................................................................
635,000 Flores & Rucks, Inc. sr. sub. notes
9 3/4s, 2006 673,100
..............................................................................................
1,350,000 Kelley Oil & Gas Corp. 144A sr. sub.
notes 10 3/8s, 2006 1,407,375
..............................................................................................
375,000 Maxus Energy Corp. global notes
9 7/8s, 2002 386,250
..............................................................................................
1,185,000 Texas Petrochemical Corp. sr. sub. notes
11 1/8s, 2006 1,273,875
..............................................................................................
5,701,000 TransTexas Gas Corp. sr. disc. notes
stepped-coupon zero %
(13 1/4s, 12/16/01), 2003 ++ 3,135,550
..............................................................................................
6,850,000 TransTexas Gas Corp. sr. secd. notes
11 1/2s, 2002 7,398,000
- ----------------------------------------------------------------------------------------------
24,887,450
- ----------------------------------------------------------------------------------------------
Packaging and Containers (2.3%)
- ----------------------------------------------------------------------------------------------
2,750,000 Amtrol, Inc. 144A sr. sub. notes
10 5/8s, 2006 2,832,500
..............................................................................................
630,000 Ivex Holdings Corp. sr. disc. deb.
stepped-coupon zero %
(13 1/4s, 3/15/00), 2005 ++ 489,825
..............................................................................................
4,850,000 Ivex Packaging Corp. sr. sub. notes
12 1/2s, 2002 5,250,125
..............................................................................................
375,000 Printpack, Inc. 144A sr. sub. notes
10 5/8s, 2006 390,000
..............................................................................................
750,000 Printpack, Inc. 144A sr. notes
9 7/8s, 2004 776,250
..............................................................................................
590,000 Radnor Holdings Corp. 144A sr. notes
10s, 2003 601,800
..............................................................................................
4,500,000 Riverwood International company
guaranty 10 7/8s, 2008 4,117,500
..............................................................................................
2,500,000 Riverwood International company
guaranty 10 1/4s, 2006 2,443,750
..............................................................................................
625,000 US Can Corp. 144A sr. sub. notes
10 1/8s, 2006 657,031
- ----------------------------------------------------------------------------------------------
17,558,781
- ----------------------------------------------------------------------------------------------
Paging (1.5%)
..............................................................................................
3,900,000 Arch Communications Group sr. disc.
notes stepped-coupon zero %
(10 7/8s, 3/15/01), 2008 ++ 2,223,000
..............................................................................................
3,400,000 Mobile Telecommunications Tech.
sr. notes 13 1/2s, 2002 3,400,000
..............................................................................................
4,100,000 Pagemart, Inc. sr. disc. notes
stepped-coupon zero %
(15s, 2/1/00), 2005 ++ 2,808,500
..............................................................................................
1,550,000 Pagemart Nationwide, Inc. sr. disc. notes
stepped-coupon zero %
(12 1/4s, 11/1/98), 2003 ++ 1,222,563
..............................................................................................
2,250,000 Paging Network, Inc. sr. sub. notes
10s, 2008 2,261,250
- ----------------------------------------------------------------------------------------------
11,915,313
Paper and Forest Products (3.8%)
..............................................................................................
5,225,000 APP International Finance Co. notes
11 3/4s, 2005 (Netherlands) 5,603,813
..............................................................................................
2,250,000 Domtar, Inc. deb. 9 1/2s, 2016 (Canada) 2,460,938
..............................................................................................
6,525,000 Florida Coast Paper LLC 1st mtge. Ser. B,
12 3/4s, 2003 7,047,000
..............................................................................................
4,375,000 Gaylord Container Corp. sr. notes
11 1/2s, 2001 4,725,000
..............................................................................................
5,375,000 Repap New Brunswick sr. notes
10 5/8s, 2005 (Canada) 5,590,000
..............................................................................................
2,650,000 Stone Container Corp. sr. notes
11 7/8s, 2016 2,835,500
..............................................................................................
1,000,000 Stone Container Corp. sr. notes
11 1/2s, 2004 1,050,000
- ----------------------------------------------------------------------------------------------
29,312,251
- ----------------------------------------------------------------------------------------------
Publishing (0.7%)
..............................................................................................
4,750,000 American Media Operation, Inc. sr. sub.
notes 11 5/8s, 2004 5,106,250
- ----------------------------------------------------------------------------------------------
Real Estate (0.3%)
..............................................................................................
2,500,000 Chelsea Piers 1st mtge.
Ser. B, 12 1/2s, 2004 2,450,000
..............................................................................................
85,000 Chelsea Piers 144A 1st mtge.
stepped-coupon Ser. B, zero%,
(11s, 6/15/99), 2009 ++ 83,300
- ----------------------------------------------------------------------------------------------
2,533,300
- ----------------------------------------------------------------------------------------------
Recreation (1.9%)
..............................................................................................
1,750,000 Arizona Charlies Corp. 1st mtge. Ser. B,
12s, 2000 1,225,000
..............................................................................................
320,000 Capitol Queen Corp. 1st mtge. notes
Ser. B, 12s, 2000 + 240,000
..............................................................................................
1,615,000 Grand Casinos, Inc. 1st mtge.
10 1/8s, 2003 1,623,075
..............................................................................................
1,570,000 Hollywood Casino Corp. sr. notes
12 3/4s, 2003 1,507,200
..............................................................................................
3,451,000 Louisiana Casino Cruises Corp. 1st mtge.
11 1/2s, 1998 3,485,510
..............................................................................................
4,525,000 PRT Funding Corp. sr. notes
11 5/8s, 2004 3,371,125
..............................................................................................
2,895,000 Trump A.C. 1st mtge. 11 1/4s, 2006 2,866,050
- ----------------------------------------------------------------------------------------------
14,317,960
- ----------------------------------------------------------------------------------------------
Restaurants (0.5%)
..............................................................................................
470,000 AmeriKing. Inc. sr. notes 10 3/4s, 2006 484,100
..............................................................................................
3,000,000 FRD Acquisition Co. sr. notes Ser. B,
12 1/2s, 2004 3,082,500
- ----------------------------------------------------------------------------------------------
3,566,600
- ----------------------------------------------------------------------------------------------
Retail (2.3%)
..............................................................................................
4,250,000 Brylane (L.P.) sr. sub. notes 10s, 2003 4,377,500
..............................................................................................
3,355,000 Finlay Enterprises, Inc. sr. notes
10 5/8s, 2003 3,371,775
..............................................................................................
2,000,000 Finlay Enterprises, Inc. sr. disc. deb.
stepped-coupon zero % (12s, 5/1/98),
2005 ++ 1,710,000
..............................................................................................
710,000 Guitar Center Management Co. 144A
sr. notes 11s, 2006 752,600
..............................................................................................
1,495,000 Loehmanns, Inc. sr. notes 11 7/8s, 2003 1,610,863
..............................................................................................
2,035,000 Mothers Work, Inc. sr. notes
12 5/8s, 2005 2,157,100
..............................................................................................
1,770,000 Phar-Mor, Inc. sr. notes 11.72s, 2002 1,849,650
..............................................................................................
1,750,000 Waban, Inc. sr. sub. notes 11s, 2004 1,942,500
- ----------------------------------------------------------------------------------------------
17,771,988
- ----------------------------------------------------------------------------------------------
Shipping (0.3%)
..............................................................................................
2,190,000 Newport News Shipbuilding 144A
sr. sub. notes 9 1/4s, 2006 2,244,750
- ----------------------------------------------------------------------------------------------
Specialty Consumer Products (0.2%)
..............................................................................................
1,550,000 Herff Jones, Inc. sr. sub. notes 11s, 2005 1,658,500
- ----------------------------------------------------------------------------------------------
Steel (0.2%)
..............................................................................................
1,215,000 AK Steel Corp. 144A sr. notes
9 1/8s, 2006 1,246,894
- ----------------------------------------------------------------------------------------------
Supermarkets (0.2%)
..............................................................................................
600,000 Ralphs Grocery Co. sr. sub. notes
11s, 2005 630,000
..............................................................................................
600,000 Ralphs Grocery Co. sr. notes
10.45s, 2004 638,250
- ----------------------------------------------------------------------------------------------
1,268,250
- ----------------------------------------------------------------------------------------------
Telecommunications (7.1%)
..............................................................................................
5,665,000 American Communications Services, Inc.
sr. disc. notes stepped-coupon zero %
(12 3/4s, 4/1/01), 2006 ++ 3,115,750
..............................................................................................
10,000,000 Brooks Fiber Properties, Inc. sr. disc. notes
stepped-coupon zero %
(10 7/8s, 3/1/01), 2006 ++ 6,700,000
..............................................................................................
1,750,000 Charter Communications International,
Inc. sr. notes Ser. B, 11 1/4s, 2006 1,828,750
..............................................................................................
2,200,000 Charter Communications International,
Inc. disc. notes stepped-coupon Ser. B,
zero % (14s, 3/15/01), 2007 ++ 1,298,000
..............................................................................................
2,215,000 Globo Communicacoes 144A company
guaranty 10 1/2s, 2006 (Brazil) 2,215,000
..............................................................................................
6,266,000 GST Telecommunications,Inc. company
guaranty stepped-coupon zero %
(13 7/8s, 12/15/00), 2005 ++ 3,806,595
..............................................................................................
4,735,000 Hyperion Telecommunication Corp.
sr. disc. notes stepped-coupon Ser. B,
zero % (13s, 4/15/01), 2003 ++ 2,663,438
..............................................................................................
9,250,000 ICG Holdings, Inc. sr. disc. notes
stepped-coupon zero %
(13 1/2s, 9/15/00), 2005 ++ 6,521,250
..............................................................................................
9,000,000 Intelcom Group (USA), Inc. company
guaranty stepped-coupon zero %
(12 1/2s, 5/1/01), 2006 ++ 5,827,500
..............................................................................................
3,240,000 Intermedia Communications, Inc. sr. notes
Ser. B, 13 1/2s, 2005 3,709,800
..............................................................................................
4,800,000 Intermedia Communications, Inc. sr. disc.
notes stepped-coupon zero %
(12 1/2s, 5/15/01), 2006 ++ 3,264,000
..............................................................................................
3,450,000 MFS Communications sr. disc. notes
stepped-coupon zero %
(9 3/8s, 1/15/99), 2004 ++ 2,992,875
..............................................................................................
4,725,000 Nextlink Communications, Inc. sr. notes
12 1/2s, 2006 5,032,125
..............................................................................................
8,370,000 Teleport Communications Group Inc. sr.
disc. notes stepped-coupon zero %
(11 1/8s, 7/1/01), 2007 ++ 5,733,450
- ----------------------------------------------------------------------------------------------
54,708,533
- ----------------------------------------------------------------------------------------------
Textiles (0.9%)
..............................................................................................
4,180,000 Polysindo International Finance company
guaranty 11 3/8s, 2006 (Indonesia) 4,566,650
..............................................................................................
2,000,000 Tultex Corp. sr. notes 10 5/8s, 2005 2,180,000
- ----------------------------------------------------------------------------------------------
6,746,650
- ----------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $620,487,604) $643,271,801
- ----------------------------------------------------------------------------------------------
PREFERRED STOCKS (4.2%) *
- ----------------------------------------------------------------------------------------------
Number of Shares Value
..............................................................................................
10,375 Alliance Gaming Corp. Ser. B,
$15.00 pfd. +++++ $985,625
..............................................................................................
33,749 Cablevision Systems Corp. Ser. H,
$11.75 pfd. +++++ 3,155,532
..............................................................................................
42,997 Cablevision Systems Corp. Ser. M,
$11.125 dep. shs. pfd. +++++ 3,826,733
..............................................................................................
41,820 Chevy Chase Capital Corp. Ser. A,
$5.188 pfd. 2,164,185
..............................................................................................
20,000 Chevy Chase Savings Bank $3.25 pfd. 645,000
..............................................................................................
45,835 Diva Systems Corp. Ser. C, $6.00 pfd. 406,786
..............................................................................................
21,685 El Paso Electric Co. $11.40 pfd +++++ 2,407,035
..............................................................................................
1,755 Fresenius Medical Care Ser. D,
$9.00 trust pfd. 1,785,713
..............................................................................................
21,794 K-III Communications Ser. B,
$11.625 pfd. +++++ 2,201,194
..............................................................................................
18,750 K-III Communications Ser. D, $10.00 pfd. 1,872,656
..............................................................................................
1,580 Paxson Communications Corp.
$12.50 pfd. +++++ 1,485,200
..............................................................................................
76,200 SD Warren Co. Ser. B, $3.50 pfd. 2,743,200
..............................................................................................
71,500 SDW Holdings Corp. 144A $3.50 pfd. 2,098,525
..............................................................................................
6,047 Time Warner Inc. Ser. M, $10.25 pfd. +++++ 6,560,995
- ----------------------------------------------------------------------------------------------
Total Preferred Stocks
(cost $31,173,565) $32,338,379
- ----------------------------------------------------------------------------------------------
UNITS (2.3%) *
- ----------------------------------------------------------------------------------------------
Number of Units Value
..............................................................................................
750 AmeriKing, Inc. pfd. units zero %, 2008 $825,000
..............................................................................................
273 Celcaribe S.A. 144A units
stepped-coupon zero %
(13 1/2s, 3/15/98), 2004 ++ 3,112,200
..............................................................................................
5,410 Colt Telecommunications Group PLC
units stepped-coupon zero %
(12s, 12/15/01), 2006
(United Kingdom) ++ 3,218,950
..............................................................................................
2,145 Diva Systems Corp. 144A units
stepped-coupon zero %
(13s, 5/15/01), 2006 ++ 1,244,100
..............................................................................................
3,000 Fitzgerald Gaming Co. units 13s, 2002 2,400,000
..............................................................................................
2,590 Interact Systems, Inc. 144A units
stepped-coupon zero %
(14s, 8/1/99), 2003 ++ 1,295,000
..............................................................................................
465 Intercel, Inc. unit stepped-coupon zero %
(12s, 2/1/01), 2006 ++ 3,069,000
..............................................................................................
1,000 RSL Communications, Ltd. 144A units
12 1/4s, 2006 1,015,000
..............................................................................................
3,520 Wireless One Inc. units zero %
(13 1/2s, 8/1/01), 2006 ++ 1,707,200
- ----------------------------------------------------------------------------------------------
Total Units (cost $18,001,853) $17,886,450
- ----------------------------------------------------------------------------------------------
BRADY BONDS (2.0%) *
- ----------------------------------------------------------------------------------------------
Principal Amount Value
..............................................................................................
$4,425,000 Argentina (Republic of) FRN Ser. U-D,
6 3/8s, 2003 $3,407,250
..............................................................................................
4,323,979 Brazil (Republic of) FRB 8s, 2014 +++ 3,183,530
..............................................................................................
1,740,000 Brazil (Republic of) FRB 6 1/2s, 2024 1,339,800
..............................................................................................
300,000 Bulgaria (Republic of) IAB FRB
6.688s, 2011 153,000
..............................................................................................
5,485,000 United Mexican States deb. Ser. B,
6 1/4s, 2019 4,017,763
..............................................................................................
3,750,000 Venezuela (Government of) FRN
6 1/2s, 2007 3,304,688
- ----------------------------------------------------------------------------------------------
Total Brady Bonds (cost $15,219,241) $15,406,031
- ----------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BONDS AND NOTES (1.8%) *
- ----------------------------------------------------------------------------------------------
Principal Amount Value
..............................................................................................
$325,000 Morocco (Government of) FRN
3.318s, 2009 $266,906
..............................................................................................
22,480,000 Bank of Foreign Economic Affairs of
Russia (Vnesheconombank) principal
loan 144A 8s, 2020 +##+++ 13,150,800
..............................................................................................
730,000 United Mexican States bonds
11 1/2s, 2026 771,063
- ----------------------------------------------------------------------------------------------
Total Foreign Government Bonds
and Notes (cost $13,304,789) $14,188,769
- ----------------------------------------------------------------------------------------------
COMMON STOCKS (1.4%) *
- ----------------------------------------------------------------------------------------------
Number of Shares Value
..............................................................................................
1,520 Applause Enterprises, Inc. + $4,560
..............................................................................................
4,275 Axia Holding Corp. 144A + 214,819
..............................................................................................
885 Cobblestone Holdings Inc. + 13,275
..............................................................................................
47,844 Computervision Corp. + 442,557
..............................................................................................
31,372 Conseco Inc. 1,999,965
..............................................................................................
60,000 Exide Corp. 1,380,000
..............................................................................................
65,930 Gaylord Container Corp. + 403,821
..............................................................................................
157,742 Grand Union Co. (acquired various
dates from 7/15/92 to 12/1/94,
cost $4,751,408) +++ 788,710
..............................................................................................
192,000 NEXTEL Communications, Inc. Class A + 2,508,000
..............................................................................................
726 PMI Holdings Corp. 144A + 159,720
..............................................................................................
665 Premium Holdings L.P. 144A + 3,323
..............................................................................................
157,853 PSF Holdings LLC Class A 2,762,428
..............................................................................................
5,000 Southdown, Inc. 155,625
..............................................................................................
171 Southland Corp. + 508
..............................................................................................
15,000 Specialty Foods Corp. + 3,750
..............................................................................................
6,840 Terex Corp. Rights
expiration date 5/15/00 + 13,680
- ----------------------------------------------------------------------------------------------
Total Common Stocks
(cost $17,657,640) $10,854,741
- ----------------------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (1.2%) *
- ----------------------------------------------------------------------------------------------
$3,250,000 Exide Corp. 144A cv. sr. sub. notes
2.9s, 2005 $1,925,625
..............................................................................................
652,000 GST Telecommunications, Inc. cv. sr. disc.
notes stepped-coupon zero %
(13 7/8s, 12/15/00), 2005 ++ 544,420
..............................................................................................
1,030,000 Integrated Device Technology, Inc. cv. sub.
notes 5 1/2s, 2002 908,975
..............................................................................................
700,000 National Semiconductor Corp. cv. deb.
6 1/2s, 2002 685,125
..............................................................................................
3,556,000 Pricellular Wireless Corp. 144A cv. sub.
notes stepped-coupon zero %
(10 3/4s, 8/15/00) ++ 3,164,840
..............................................................................................
2,000,000 Protection One, Inc. cv. sr. sub. notes
6 3/4s, 2003 1,830,000
- ----------------------------------------------------------------------------------------------
Total Convertible Bonds and Notes
(cost $8,287,636) $9,058,985
- ----------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.4%) * (cost $2,150,000)
- ----------------------------------------------------------------------------------------------
Number of Shares Value
..............................................................................................
50,000 Granite Broadcasting Corp. $7.75
cv. pfd. $2,825,000
- ----------------------------------------------------------------------------------------------
WARRANTS (0.3%) *+
- ----------------------------------------------------------------------------------------------
Number of Expiration
Warrants Date Value
..............................................................................................
40,000 Becker Gaming Corp. 144A 11/15/00 $10,000
..............................................................................................
25,340 CellNet Data Systems, Inc. 6/15/05 741,195
..............................................................................................
2,725 County Seat Holdings, Inc. 10/15/98 55
..............................................................................................
1,399 Grand Union Co. (acquired
6/16/93, cost $560) ++ 6/16/00 364
..............................................................................................
2,799 Grand Union Co. (acquired
7/13/93, cost $280) ++ 6/16/00 112
..............................................................................................
12,840 Heartland Wireless
Communications 144A 4/15/00 64,200
..............................................................................................
4,735 Hyperion Telecommunications
144A 4/15/01 94,700
..............................................................................................
120,000 Insight Communications Co.
144A 3/31/98 300,000
..............................................................................................
24,750 Intelcom Group 144A 6/1/00 346,500
..............................................................................................
3,240 Intermedia Communications,
Inc. 144A 6/1/05 113,400
..............................................................................................
1,360 International Wireless
Communications Holdings 8/15/01 14
..............................................................................................
6,789 Louisiana Casino Cruises, Inc.
144A 12/1/98 115,413
..............................................................................................
3,086 NEXTEL Communications Inc. 12/15/98 31
..............................................................................................
7,130 Pagemart, Inc. 144A 12/31/03 57,040
..............................................................................................
5,801 Petracom Holdings, Inc. 2/1/03 41,332
..............................................................................................
7,150 SDW Holdings Corp. Ser. B
144A 12/15/06 92,950
..............................................................................................
960 Sterling Chemicals Holdings 8/15/08 33,600
..............................................................................................
91 Telemedia Broadcasting Corp. 4/1/04 68,558
..............................................................................................
13,160 UCC Investor Holding, Inc. 10/30/99 190,820
..............................................................................................
1,650 Wireless One, Inc. 10/19/00 1,650
..............................................................................................
305 Wright Medical Technology, Inc.
144A 6/30/03 39,611
- ----------------------------------------------------------------------------------------------
Total Warrants (cost $1,942,587) $2,311,545
- ----------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (3.2%) *
- ----------------------------------------------------------------------------------------------
Principal Amount Value
..............................................................................................
MXP 4,968,480 Mexican Treasury Bill zero %, June 5, 1997 $568,474
..............................................................................................
$23,817,000 Interest in $378,760,000 joint repurchase
agreement dated December 31, 1996
with Morgan (J.P.) & Co., Inc. due
January 2, 1997 with respect to various
U.S. Treasury obligations -- maturity
value of $23,825,601 for an effective
yield of 6.5% 23,821,300
- ----------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $24,391,888) $24,389,774
- ----------------------------------------------------------------------------------------------
Total Investments
(cost $752,616,803) *** $772,531,475
- ----------------------------------------------------------------------------------------------
See page 76 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
Putnam VT Money Market Fund
Portfolio of investments owned
December 31, 1996
COMMERCIAL PAPER (78.8%) *
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Principal Amount Maturity Date Value
..............................................................................................
Domestic (52.8%)
..............................................................................................
$5,000,000 AES Barbers Point (Bank
of America (LOC)) 5.8s 1/10/97 $4,991,944
..............................................................................................
7,460,000 AT&T Capital Corp. 5.4s 3/11/97 7,382,789
..............................................................................................
5,000,000 Bank of Boston 5.78s 3/12/97 5,000,000
..............................................................................................
5,000,000 Bank One Corp. 5.39s 1/27/97 4,979,789
..............................................................................................
10,000,000 Chase Manhattan
Bank Corp. 5.59s 3/5/97 9,900,622
..............................................................................................
5,000,000 Ciesco L.P. 5 3/4s 1/15/97 4,988,021
..............................................................................................
10,000,000 Corp Asset Funding Co. Inc. 5.3s 2/12/97 9,936,694
..............................................................................................
10,000,000 Corporate Receivables
Corp. 5.4s 1/29/97 9,956,500
..............................................................................................
5,000,000 Corporate Receivables
Corp. 5.33s 1/24/97 4,982,233
..............................................................................................
2,502,000 Delaware Funding Corp. 7s 1/2/97 2,501,514
..............................................................................................
10,000,000 Delaware Funding Corp. 5.37s 2/21/97 9,922,433
..............................................................................................
10,000,000 Falcon Asset Securitization
Corp. 5.45s 1/22/97 9,966,695
..............................................................................................
5,000,000 Falcon Asset Securitization
Corp. 5.45s 1/7/97 4,994,701
..............................................................................................
10,000,000 First National Bank
of Boston 5.44s 1/30/97 10,000,000
..............................................................................................
10,000,000 Ford Motor Credit Corp. 5.31s 1/15/97 9,977,875
..............................................................................................
5,000,000 General Electric
Capital Services 5.4s 1/9/97 4,993,250
..............................................................................................
5,000,000 General Electric
Capital Services 5.34s 4/30/97 4,911,000
..............................................................................................
13,000,000 General Motors
Acceptance Corp. 7.35s 1/2/97 12,997,346
..............................................................................................
5,000,000 Household Finance Corp. 5.34s 1/7/97 4,994,808
..............................................................................................
10,000,000 IBM Credit Corp. 5.31s 1/15/97 9,977,875
..............................................................................................
10,000,000 Morgan (J.P.) & Co. Inc. 5.4s 3/18/97 9,884,500
..............................................................................................
5,000,000 Merrill Lynch & Co. Inc. 5.34s 1/30/97 4,977,750
..............................................................................................
10,000,000 National Rural Utilities
Cooperative 5.3 1/16/97 9,976,445
..............................................................................................
10,000,000 Nationsbank Corp. 5.32s 1/31/97 9,954,189
..............................................................................................
7,000,000 Preferred Receivables
Funding Corp. 5.45s 1/16/97 6,983,045
..............................................................................................
5,750,000 Preferred Receivables
Funding Corp. 5.35s 2/3/97 5,720,947
..............................................................................................
10,000,000 Sears Roebuck
Acceptance Corp. 5.32s 1/28/97 9,958,622
..............................................................................................
2,600,000 Sheffield Receivables Corp. 5.68s 1/31/97 2,587,283
..............................................................................................
4,500,000 Sheffield Receivables Corp. 5.48s 1/17/97 4,488,355
..............................................................................................
9,000,000 Sheffield Receivables Corp. 5.35s 2/4/97 8,953,188
..............................................................................................
10,000,000 Sherwood Medical
Company 5.6s 2/11/97 9,934,667
- ----------------------------------------------------------------------------------------------
$230,775,080
- ----------------------------------------------------------------------------------------------
Foreign (26.0%)
..............................................................................................
$5,000,000 Abbey National PLC 5.31s
(United Kingdom) 3/3/97 $4,954,275
..............................................................................................
5,000,000 ABN AMRO North America
Finance 5.35s (Netherlands) 4/15/97 4,921,979
..............................................................................................
10,000,000 Bank of Montreal 5.31s
(Canada) 1/10/97 9,985,250
..............................................................................................
5,000,000 Commerzbank U.S. Finance
Inc. 5.64s (Germany) 3/6/97 4,949,083
..............................................................................................
5,000,000 Commonwealth Bank of
Australia 5.35s (Australia) 3/13/97 4,946,500
..............................................................................................
5,000,000 Commonwealth Bank of
Australia 5.27s (Australia) 5/19/97 4,898,260
..............................................................................................
5,000,000 Den Danske Bank 5.33s
(Denmark) 4/11/97 4,925,232
..............................................................................................
10,000,000 Den Danske Bank 5.32s
(Denmark) 1/29/97 9,957,001
..............................................................................................
5,000,000 National Australia Funding Inc.
5.35s (Australia) 1/6/97 4,995,542
..............................................................................................
14,885,000 Oyster Creek Fuel Corp.
(UBS (LOC)) 5.82s (Switzerland) 1/6/97 14,870,562
..............................................................................................
4,750,000 Rabobank USA Financial Corp.
5.4s (Netherlands) 1/9/97 4,743,588
..............................................................................................
15,000,000 Royal Bank of Canada 5.33s
(Canada) 4/29/97 14,735,721
..............................................................................................
5,000,000 Svenska Handelsbanken 5.33s
(Sweden) 3/5/97 4,952,622
..............................................................................................
10,000,000 Svenska Handelsbanken 5.32s
(Sweden) 1/22/97 9,967,489
..............................................................................................
10,000,000 Toronto Dominion Holdings
USA Inc. 5.4s (Canada) 1/8/97 9,988,000
- ----------------------------------------------------------------------------------------------
$113,791,104
- ----------------------------------------------------------------------------------------------
Total Commercial Paper
(cost $344,566,184) $344,566,184
- ----------------------------------------------------------------------------------------------
U.S. GOVERNMENT & AGENCY OBLIGATIONS (3.4%)*
(cost $14,767,683)
- ----------------------------------------------------------------------------------------------
Principal Amount Value
..............................................................................................
$15,000,000 Federal National Mortgage
Association Discount
Notes 5.26s 4/16/97 $14,767,683
- ----------------------------------------------------------------------------------------------
Certificates of Deposit (11.4%) *
- ----------------------------------------------------------------------------------------------
Principal Amount Maturity Date Value
..............................................................................................
$10,000,000 Bank of Nova Scotia 5.83s
(Canada) 3/10/97 $10,000,376
..............................................................................................
10,000,000 Barclays Bank PLC 5.54s
(United Kingdom) 1/27/97 10,000,364
..............................................................................................
10,000,000 Bayerische Vereinsbank AG
5 3/4s (Germany) 3/4/97 10,000,000
..............................................................................................
5,000,000 Bayerische Vereinsbank AG
5.48s (Germany) 4/7/97 5,000,000
..............................................................................................
5,000,000 Societe Generale 5.62s (France) 4/1/97 4,999,947
..............................................................................................
5,000,000 Societe Generale 5.48s (France) 4/8/97 4,999,733
..............................................................................................
5,000,000 Societe Generale 5.45s (France) 2/7/97 5,000,118
- ----------------------------------------------------------------------------------------------
Total Certificates of Deposit
(cost $50,000,538) $50,000,538
- ----------------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS (5.3%)* (cost $23,083,327)
- ----------------------------------------------------------------------------------------------
Principal Amount Value
..............................................................................................
$23,079,000 Interest in $716,873,000 joint repurchase
agreement dated December 31, 1996
with UBS Securities due January 2, 1997
with respect to various U.S. Treasury
obligations -- maturity value of
$23,087,654 for an effective yield
of 6.75% $23,083,327
- ----------------------------------------------------------------------------------------------
Total Investments
(cost $432,417,732) *** $432,417,732
- ----------------------------------------------------------------------------------------------
See page 76 for Notes to the Portfolios.
The fund had the following foreign country concentration greater than 10% at December 31, 1996
as a percentage of market value:
Canada 10.3%
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
Putnam VT New Opportunities Fund
Portfolio of investments owned
December 31, 1996
COMMON STOCKS (96.4%) *
- ----------------------------------------------------------------------------------------------
Number of Shares Value
..............................................................................................
<S> <C> <C> <C>
Advertising (0.7%)
..............................................................................................
145,800 Lamar Advertising Co. + $3,535,650
..............................................................................................
219,000 Outdoor Systems, Inc. + 6,159,375
..............................................................................................
100,000 Universal Outdoor Holdings, Inc. + 2,350,000
- ----------------------------------------------------------------------------------------------
12,045,025
- ----------------------------------------------------------------------------------------------
Aerospace and Defense (0.6%)
..............................................................................................
90,400 Boeing Co. 9,616,300
- ----------------------------------------------------------------------------------------------
Apparel (1.2%)
..............................................................................................
59,800 Nautica Enterprises, Inc. + 1,509,950
..............................................................................................
90,400 Nike, Inc. 5,401,400
..............................................................................................
106,500 Tommy Hilfiger Corp. + 5,112,000
..............................................................................................
263,900 Wolverine World Wide, Inc. 7,653,100
- ----------------------------------------------------------------------------------------------
19,676,450
- ----------------------------------------------------------------------------------------------
Broadcasting (3.6%)
..............................................................................................
121,300 Chancellor Broadcasting Corp. Class A + 2,880,875
..............................................................................................
457,700 Clear Channel Communications, Inc. + 16,534,390
..............................................................................................
21,200 Cox Radio, Inc. Class A + 371,000
..............................................................................................
150,000 Emmis Broadcasting Corp. Class A + 4,912,500
..............................................................................................
130,000 Evergreen Media Corp. Class A + 3,250,000
..............................................................................................
85,300 Heartland Wireless Communications, Inc. + 1,119,564
..............................................................................................
162,700 Infinity Broadcasting Corp. Class A + 5,470,788
..............................................................................................
136,300 Jacor Communications, Inc. + 3,731,213
..............................................................................................
115,900 LIN Television Corp. + 4,896,775
..............................................................................................
73,000 SFX Broadcasting, Inc. Class A + 2,171,750
..............................................................................................
143,900 Sinclair Broadcast Group, Inc. Class A + 3,741,400
..............................................................................................
111,919 Univision Communications, Inc. Class A + 4,141,003
..............................................................................................
199,000 Westwood One, Inc. + 3,308,375
..............................................................................................
136,900 Young Broadcasting Corp. Class A + 4,004,325
- ----------------------------------------------------------------------------------------------
60,533,958
- ----------------------------------------------------------------------------------------------
Building Products (0.2%)
..............................................................................................
138,600 Barnett, Inc. + 3,776,850
- ----------------------------------------------------------------------------------------------
Business Services (6.1%)
..............................................................................................
157,500 Affiliated Computer Services, Inc. Class A + 4,685,625
..............................................................................................
409,600 Airgas, Inc. + 9,011,200
..............................................................................................
74,100 APAC Teleservices, Inc. + 2,843,588
..............................................................................................
222,000 Corestaff, Inc. + 5,258,625
..............................................................................................
460,400 Corporate Express, Inc. + 13,553,025
..............................................................................................
181,900 Employee Solutions, Inc. + 3,728,950
..............................................................................................
455,000 First Data Corp. 16,607,500
..............................................................................................
111,600 Interim Services Inc. + 3,961,800
..............................................................................................
88,050 Labor Ready, Inc. + 1,188,675
..............................................................................................
65,300 NOVA Corp./Georgia + 1,444,763
..............................................................................................
205,600 Paychex, Inc. 10,575,550
..............................................................................................
142,400 PMT Services, Inc. + 2,492,000
..............................................................................................
3,100 Precision Response Corp. + 108,888
..............................................................................................
1,950,000 Rentokil Group PLC (United Kingdom) 14,655,576
..............................................................................................
247,800 Robert Half International, Inc. + 8,518,125
..............................................................................................
75,409 Select Appointments Holdings PLC
ADR (United Kingdom) + 867,204
..............................................................................................
13,700 Snyder Communications, Inc. + 369,900
..............................................................................................
110,000 TeleTech Holdings Inc. + 2,860,000
- ----------------------------------------------------------------------------------------------
102,730,994
- ----------------------------------------------------------------------------------------------
Cable Television (--%)
..............................................................................................
91,900 Century Communications Corp. Class A + 522,681
- ----------------------------------------------------------------------------------------------
Chemicals (0.8%)
..............................................................................................
286,300 Praxair, Inc. 13,205,588
- ----------------------------------------------------------------------------------------------
Computers Peripherals (1.3%)
..............................................................................................
659,200 EMC Corp. + 21,836,000
- ----------------------------------------------------------------------------------------------
Computer Services (3.0%)
..............................................................................................
434,200 America Online, Inc. + 14,437,150
..............................................................................................
234,800 Cambridge Technology Partners, Inc. + 7,880,475
..............................................................................................
137,300 CBT Group PLC ADR (Ireland) + 7,448,525
..............................................................................................
201,000 Computer Horizons Corp. + 7,738,500
..............................................................................................
95,400 National TechTeam, Inc. + 1,908,000
..............................................................................................
25,900 Renaissance Solutions, Inc. + 1,159,025
..............................................................................................
41,700 Sykes Enterprises, Inc. + 1,563,750
..............................................................................................
256,900 Vanstar Corp. + 6,294,050
..............................................................................................
48,500 Whittman-Hart, Inc. + 1,242,813
..............................................................................................
34,000 XLConnect Solutions, Inc. + 977,500
- ----------------------------------------------------------------------------------------------
50,649,788
- ----------------------------------------------------------------------------------------------
Computer Software (10.8%)
..............................................................................................
276,000 Baan Co., N.V. (Netherlands) + 9,591,000
..............................................................................................
111,793 CCC Information Services Group + 1,788,688
..............................................................................................
87,900 Clarify, Inc. + 4,219,200
..............................................................................................
550,700 Computer Associates Intl., Inc. 27,397,325
..............................................................................................
50,700 Documentum, Inc. + 1,711,125
..............................................................................................
276,200 Electronic Arts, Inc. + 8,268,738
..............................................................................................
68,000 Forte Software, Inc. + 2,227,000
..............................................................................................
169,900 Inso Corp. + 6,753,525
..............................................................................................
120,000 Legato Systems, Inc. + 3,915,000
..............................................................................................
243,600 McAfee Associates, Inc. + 10,718,400
..............................................................................................
261,900 Microsoft Corp. + 21,639,488
..............................................................................................
395,100 Parametric Technology Corp. + 20,298,263
..............................................................................................
217,400 PeopleSoft, Inc. + 10,421,613
..............................................................................................
98,400 Project Software & Development, Inc. + 4,169,700
..............................................................................................
160,000 Rational Software Corp. + 6,330,000
..............................................................................................
67,000 Remedy Corp. + 3,601,250
..............................................................................................
51,000 Sapient Corp. + 2,148,375
..............................................................................................
89,300 Saville Systems Ireland PLC ADR
(Ireland) + 3,627,813
..............................................................................................
234,200 Security Dynamics Technologies, Inc. + 7,377,300
..............................................................................................
293,500 Synopsys, Inc. + 13,574,375
..............................................................................................
172,400 The Learning Co., Inc. + 2,478,250
..............................................................................................
178,800 Vantive Corp. + 5,587,500
..............................................................................................
74,800 Viasoft, Inc. + 3,534,300
- ----------------------------------------------------------------------------------------------
181,378,228
- ----------------------------------------------------------------------------------------------
Consumer Products (2.5%)
..............................................................................................
73,000 Clorox Co. 7,327,375
..............................................................................................
168,800 Gillette Co. 13,124,200
..............................................................................................
134,300 Kimberly-Clark Corp. 12,792,075
..............................................................................................
75,300 Procter & Gamble Co. 8,094,750
- ----------------------------------------------------------------------------------------------
41,338,400
- ----------------------------------------------------------------------------------------------
Cosmetics (0.5%)
..............................................................................................
120,500 Avon Products, Inc. 6,883,563
..............................................................................................
82,600 Thermolase Corp. + 1,300,950
- ----------------------------------------------------------------------------------------------
8,184,513
- ----------------------------------------------------------------------------------------------
Data Communications (0.8%)
..............................................................................................
237,801 MFS Communications, Inc. + 12,920,915
- ----------------------------------------------------------------------------------------------
Education Services (0.5%)
..............................................................................................
134,300 Apollo Group, Inc. Class A + 4,490,656
..............................................................................................
155,315 Learning Tree International, Inc. + 4,581,793
- ----------------------------------------------------------------------------------------------
9,072,449
- ----------------------------------------------------------------------------------------------
Electric Utilities (0.5%)
..............................................................................................
248,000 Calenergy, Inc. + 8,339,000
- ----------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (1.1%)
..............................................................................................
136,000 Cognex Corp. + 2,516,000
..............................................................................................
165,700 General Electric Co. 16,383,588
- ----------------------------------------------------------------------------------------------
18,899,588
- ----------------------------------------------------------------------------------------------
Energy-Related (0.3%)
..............................................................................................
139,000 Thermo Electron Corp. + 5,733,750
- ----------------------------------------------------------------------------------------------
Environmental Control (0.3%)
..............................................................................................
178,700 U.S. Filter Corp. + 5,673,725
- ----------------------------------------------------------------------------------------------
Finance (1.5%)
..............................................................................................
180,800 American Express Co. 10,215,200
..............................................................................................
241,100 Federal National Mortgage Association 8,980,975
..............................................................................................
137,135 TCF Financial Corp. 5,965,373
- ----------------------------------------------------------------------------------------------
25,161,548
- ----------------------------------------------------------------------------------------------
Financial Services (1.9%)
..............................................................................................
158,400 Aames Financial Corp. 5,682,600
..............................................................................................
130,000 Finova Group, Inc. 8,352,500
..............................................................................................
99,400 First USA Paymentech, Inc. + 3,367,175
..............................................................................................
277,000 MBNA Corp. 11,495,500
..............................................................................................
134,500 RAC Financial Group, Inc. + 2,841,313
- ----------------------------------------------------------------------------------------------
31,739,088
- ----------------------------------------------------------------------------------------------
Food and Beverages (1.7%)
..............................................................................................
135,600 Campbell Soup Co. 10,881,900
..............................................................................................
263,700 Coca-Cola Enterprises, Inc. 12,789,450
..............................................................................................
75,300 Pioneer Hi-Bred International, Inc. 5,271,000
- ----------------------------------------------------------------------------------------------
28,942,350
- ----------------------------------------------------------------------------------------------
Funeral/Cemetery Services (1.8%)
..............................................................................................
162,400 Loewen Group, Inc. 6,353,900
..............................................................................................
355,000 Service Corp. International 9,940,000
..............................................................................................
389,600 Stewart Enterprises, Inc. Class A 13,246,400
- ----------------------------------------------------------------------------------------------
29,540,300
- ----------------------------------------------------------------------------------------------
HMO's (0.2%)
..............................................................................................
89,300 Compdent Corp. + 3,147,825
- ----------------------------------------------------------------------------------------------
Health Care Information Systems (1.7%)
..............................................................................................
375,000 HBO & Co. 22,265,625
..............................................................................................
141,500 Medic Computer Systems, Inc. + 5,704,219
- ----------------------------------------------------------------------------------------------
27,969,844
- ----------------------------------------------------------------------------------------------
Health Care Services (5.6%)
..............................................................................................
112,900 ABR Information Services, Inc. + 4,445,438
..............................................................................................
64,200 Access Health, Inc. + 2,872,950
..............................................................................................
166,600 American Medical Response + 5,414,500
..............................................................................................
261,850 Cardinal Health, Inc. 15,252,763
..............................................................................................
101,900 Carematrix Corp. + 1,337,438
..............................................................................................
109,300 Emcare Holdings, Inc. + 2,541,225
..............................................................................................
283,600 Genesis Health Ventures, Inc. + 8,827,050
..............................................................................................
678,900 Healthsouth Rehabilitation Corp. + 26,222,513
..............................................................................................
184,000 Renal Treatment Centers, Inc. + 4,692,000
..............................................................................................
119,500 Rotech Medical Corp. + 2,509,500
..............................................................................................
147,100 Sunrise Assisted Living, Inc. + 4,100,413
..............................................................................................
98,000 Total Renal Care Holdings, Inc. + 3,552,500
..............................................................................................
69,200 Vencor, Inc. + 2,188,450
..............................................................................................
337,800 Vivra, Inc. + 9,331,725
- ----------------------------------------------------------------------------------------------
93,288,465
- ----------------------------------------------------------------------------------------------
Hosiptal Management (1.0%)
..............................................................................................
741,500 Health Management Assoc., Inc. + 16,683,750
- ----------------------------------------------------------------------------------------------
Insurance (1.7%)
..............................................................................................
84,400 American International Group, Inc. 9,136,300
..............................................................................................
86,000 CRA Managed Care, Inc. + 3,870,000
..............................................................................................
235,000 HCC Insurance Holdings, Inc. 5,640,000
..............................................................................................
203,266 Travelers Group Inc. 9,223,195
- ----------------------------------------------------------------------------------------------
27,869,495
- ----------------------------------------------------------------------------------------------
Leisure (0.2%)
..............................................................................................
87,000 Signature Resorts, Inc. + 3,066,750
- ----------------------------------------------------------------------------------------------
Lodging (4.4%)
..............................................................................................
240,600 Doubletree Corp. + 10,827,000
..............................................................................................
333,800 Extended Stay America, Inc. + 6,717,725
..............................................................................................
514,000 HFS, Inc. + 30,711,500
..............................................................................................
195,900 Marriott International, Inc. 10,823,475
..............................................................................................
309,000 Prime Hospitality Corp. + 4,982,625
..............................................................................................
218,400 Promus Hotel Corp. + 6,470,100
..............................................................................................
48,900 Renaissance Hotel Group N.V.
(Hong Kong) + 1,149,150
..............................................................................................
105,850 Studio Plus Hotels, Inc. + 1,667,138
- ----------------------------------------------------------------------------------------------
73,348,713
- ----------------------------------------------------------------------------------------------
Medical Management Services (1.5%)
..............................................................................................
35,000 NCS HealthCare, Inc. Class A + 1,019,375
..............................................................................................
151,300 OccuSystems, Inc. + 4,085,100
..............................................................................................
141,700 Pediatrix Medical Group, Inc. + 5,242,900
..............................................................................................
261,800 Phycor, Inc. + 7,428,575
..............................................................................................
126,400 Phymatrix, Inc. + 1,801,200
..............................................................................................
248,000 Physician Reliance Network, Inc. + 1,922,000
..............................................................................................
162,200 Physicians Resource Group, Inc. + 2,879,050
- ----------------------------------------------------------------------------------------------
24,378,200
- ----------------------------------------------------------------------------------------------
Medical Supplies and Devices (3.6%)
..............................................................................................
375,593 Boston Scientific Corp. + 22,535,580
..............................................................................................
49,500 Endosonics Corp. + 754,875
..............................................................................................
140,800 I-Stat Corp. + 3,344,000
..............................................................................................
130,000 Medtronic, Inc. 8,840,000
..............................................................................................
100,300 Neuromedical Systems, Inc. + 1,328,975
..............................................................................................
345,300 Omnicare, Inc. 11,092,763
..............................................................................................
294,300 Physician Sales & Service, Inc. + 4,230,563
..............................................................................................
90,000 Spine-Tech, Inc. + 2,250,000
..............................................................................................
172,800 Thermo Cardiosystems, Inc. + 5,184,000
- ----------------------------------------------------------------------------------------------
59,560,756
- ----------------------------------------------------------------------------------------------
Networking and Communications Equipment (5.8%)
..............................................................................................
149,000 Ascend Communications, Inc. + 9,256,625
..............................................................................................
134,300 Bay Networks Inc. + 2,803,513
..............................................................................................
35,600 Black Box Corp. + 1,468,500
..............................................................................................
461,600 Cabletron Systems, Inc. + 15,348,200
..............................................................................................
384,000 Cascade Communications Corp. + 21,168,000
..............................................................................................
135,000 3Com Corp. + 9,905,625
..............................................................................................
500,900 Cisco Systems, Inc. + 31,869,763
..............................................................................................
170,400 Shiva Corp. + 5,942,700
- ----------------------------------------------------------------------------------------------
97,762,926
- ----------------------------------------------------------------------------------------------
Nursing Homes (0.5%)
..............................................................................................
321,000 Health Care & Retirement Corp. + 9,188,625
- ----------------------------------------------------------------------------------------------
Office Equipment (0.8%)
..............................................................................................
208,000 BT Office Products International, Inc. + 1,846,000
..............................................................................................
418,000 Viking Office Products, Inc. + 11,155,375
- ----------------------------------------------------------------------------------------------
13,001,375
- ----------------------------------------------------------------------------------------------
Oil and Gas (0.6%)
..............................................................................................
105,500 Schlumberger Ltd. 10,536,813
- ----------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (6.4%)
..............................................................................................
271,200 Abbott Laboratories 13,763,400
..............................................................................................
178,900 Biochem Pharmaceutical, Inc. + 8,989,725
..............................................................................................
137,200 Dura Pharmaceuticals, Inc. + 6,551,300
..............................................................................................
539,800 Elan Corp. PLC ADR (Ireland) + 17,948,350
..............................................................................................
221,600 Gilead Sciences, Inc. + 5,540,000
..............................................................................................
229,400 IDEXX Laboratories, Inc. + 8,258,400
..............................................................................................
73,400 Martek Biosciences Corp. + 1,468,000
..............................................................................................
256,100 Merck & Co., Inc. 20,295,925
..............................................................................................
26,900 Neurogen Corp. + 517,825
..............................................................................................
46,000 Parexel International Corp. + 2,374,750
..............................................................................................
241,100 Pfizer, Inc. 19,981,163
..............................................................................................
24,400 Quintiles Transnational Corp. + 1,616,500
- ----------------------------------------------------------------------------------------------
107,305,338
- ----------------------------------------------------------------------------------------------
Photography (0.6%)
..............................................................................................
128,000 Eastman Kodak Co. 10,272,000
- ----------------------------------------------------------------------------------------------
Publishing (1.1%)
..............................................................................................
120,500 Gannett Co., Inc. 9,022,438
..............................................................................................
23,600 Mecklermedia Corp. + 466,100
..............................................................................................
120,500 Tribune Co. 9,504,438
- ----------------------------------------------------------------------------------------------
18,992,976
- ----------------------------------------------------------------------------------------------
Restaurants (2.3%)
..............................................................................................
200,500 Applebee's International, Inc. 5,513,750
..............................................................................................
400,000 Boston Chicken, Inc. + 14,350,000
..............................................................................................
266,910 J.D. Wetherspoon PLC (United Kingdom) 5,346,314
..............................................................................................
206,300 Landry's Seafood Restaurants, Inc. + 4,409,663
..............................................................................................
173,475 Papa Johns International, Inc. + 5,854,781
..............................................................................................
131,400 Rainforest Cafe, Inc. + 3,087,900
- ----------------------------------------------------------------------------------------------
38,562,408
- ----------------------------------------------------------------------------------------------
Retail (5.8%)
..............................................................................................
498,400 Bed Bath & Beyond, Inc. + 12,086,200
..............................................................................................
106,400 Boise Cascade Office Products + 2,234,400
..............................................................................................
16,500 Borders Group, Inc. + 591,938
..............................................................................................
400,000 CompUSA, Inc. + 8,250,000
..............................................................................................
165,700 CVS Corp. 6,855,838
..............................................................................................
414,400 Dixons Group PLC (United Kingdom) 3,848,781
..............................................................................................
271,200 Federated Department Stores + 9,254,700
..............................................................................................
188,300 Global DirectMail Corp. + 8,214,588
..............................................................................................
651,200 Officemax, Inc. + 6,919,000
..............................................................................................
269,800 Revco D.S., Inc. + 9,982,600
..............................................................................................
195,900 Sears, Roebuck & Co. 9,035,888
..............................................................................................
420,000 Staples, Inc. + 7,586,250
..............................................................................................
250,900 TJX Cos., Inc. (The) 11,886,388
- ----------------------------------------------------------------------------------------------
96,746,571
- ----------------------------------------------------------------------------------------------
Satellite Services (0.4%)
..............................................................................................
261,705 PanAmSat Corp. + 7,327,740
- ----------------------------------------------------------------------------------------------
Semiconductors (3.8%)
..............................................................................................
235,050 Analog Devices, Inc. + 7,962,319
..............................................................................................
153,200 Credence Systems Corp. + 3,083,150
..............................................................................................
135,600 Intel Corp. 17,755,125
..............................................................................................
204,000 Linear Technology Corp. 8,950,500
..............................................................................................
207,700 Maxim Integrated Products Inc. + 8,983,025
..............................................................................................
52,000 Microchip Technology, Inc. + 2,645,500
..............................................................................................
105,500 Texas Instruments, Inc. 6,725,625
..............................................................................................
181,500 Xilinx, Inc. + 6,681,469
- ----------------------------------------------------------------------------------------------
62,786,713
- ----------------------------------------------------------------------------------------------
Specialty Consumer Products (0.2%)
..............................................................................................
71,100 Central Garden and Pet Co. + 1,497,544
..............................................................................................
61,100 West Marine, Inc. + 1,726,075
- ----------------------------------------------------------------------------------------------
3,223,619
- ----------------------------------------------------------------------------------------------
Telecommunication Equipment (2.3%)
..............................................................................................
145,700 Brooks Fiber Properties, Inc. + 3,715,350
..............................................................................................
42,210 Diana Corp. + 1,160,775
..............................................................................................
374,400 Pairgain Technologies, Inc. + 11,395,800
..............................................................................................
99,000 Premisys Communications, Inc. + 3,341,250
..............................................................................................
488,900 Tellabs, Inc. + 18,394,863
- ----------------------------------------------------------------------------------------------
38,008,038
- ----------------------------------------------------------------------------------------------
Telephone Services (2.8%)
..............................................................................................
127,000 Intermedia Communications, Inc. + 3,270,250
..............................................................................................
160,200 IXC Communications, Inc. + 4,926,150
..............................................................................................
98,400 LCI International, Inc. + 2,115,600
..............................................................................................
215,400 McLeod, Inc. Class A + 5,492,700
..............................................................................................
256,100 Sprint Corp. 10,211,988
..............................................................................................
288,000 Tel-Save Holdings, Inc. + 8,352,000
..............................................................................................
494,339 WorldCom, Inc. + 12,883,710
- ----------------------------------------------------------------------------------------------
47,252,398
- ----------------------------------------------------------------------------------------------
Wireless Communications (1.4%)
..............................................................................................
200,000 Clearnet Communications, Inc. Class A
(Canada) + 2,200,000
..............................................................................................
94,700 ICG Communications, Inc. + 1,669,088
..............................................................................................
517,600 NEXTEL Communications, Inc. Class A + 6,761,150
..............................................................................................
114,500 Omnipoint Corp. + 2,204,125
..............................................................................................
617,000 Paging Network, Inc. + 9,409,250
..............................................................................................
56,600 Preferred Networks, Inc. + 367,900
..............................................................................................
12,900 Western Wireless Corp. Class A + 178,988
- ----------------------------------------------------------------------------------------------
22,790,501
- ----------------------------------------------------------------------------------------------
Total Common Stocks
(cost $1,449,168,806) $1,614,589,327
- ----------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (--%) * (cost $450,000)
- ----------------------------------------------------------------------------------------------
Number of Shares Value
..............................................................................................
9,000 Vanstar Corp. 144A $3.375 cv. pfd. $45,750
- ----------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (4.6%)* (cost $76,859,408)
- ----------------------------------------------------------------------------------------------
Principal Amount Value
..............................................................................................
$76,845,000 Interest in $716,873,000 joint repurchase
agreement dated December 31, 1996
with UBS Securities due January 2, 1997
with respect to various U.S. Treasury
obligations -- maturity value of
$76,873,817 for an effective yield
of 6.75% $76,859,408
- ----------------------------------------------------------------------------------------------
Total Investments
(cost $1,526,478,214) *** $1,691,914,485
- ----------------------------------------------------------------------------------------------
See page 76 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
Putnam VT U.S. Government and High Quality Bond Fund
Portfolio of investments owned
December 31, 1996
U.S. Government and Agency Obligations (51.5%) *
- ----------------------------------------------------------------------------------------------
Principal Amount Value
..............................................................................................
<S> <C> <C> <C>
U.S. Government Agency Mortgage
Pass-Through Certificates (26.1%)
..............................................................................................
Federal National Mortgage Association
Pass-Through Certificates
..............................................................................................
$4,968,432 7s, with due dates from July 1, 2023
to February 1, 2025 $4,858,189
..............................................................................................
15,820,381 6s, Dwarf, with due dates from
January 1, 2009 to October 1, 2009 15,207,350
..............................................................................................
Federal National Mortgage Association
..............................................................................................
28,500,000 7s, TBA, January 16, 2027 27,867,585
..............................................................................................
6,580,000 6s, Dwarf, TBA, January 16, 2012 6,325,025
..............................................................................................
9,220,000 5.94s, December 12, 2005 8,772,000
..............................................................................................
Government National Mortgage
Association Pass-Through Certificates
..............................................................................................
29,723,086 7 1/2s, with due dates from
January 15, 2023 to
12/15/23 29,914,243
..............................................................................................
47,981,442 7s, with due dates from April 15, 2023
to June 15, 2026 46,931,638
..............................................................................................
32,247,812 6 1/2s, with due dates from
October 15, 2023 to
9/15/25 30,748,536
..............................................................................................
7,542,172 6 1/2s, Midget, with due dates from
June 15, 2008 to May 15, 2009 7,440,821
..............................................................................................
7,814,676 6s, Midget, with due dates from
August 15, 2008 to May 15, 2009 7,543,598
..............................................................................................
Government National Mortgage
Association
..............................................................................................
11,145,000 7 1/2s, TBA, January 16, 2027 11,148,455
..............................................................................................
6,820,000 7s, TBA, January 16, 2027 6,670,775
- ----------------------------------------------------------------------------------------------
203,428,215
- ----------------------------------------------------------------------------------------------
U.S. Treasury Obligations (25.4%)
..............................................................................................
U.S. Treasury Bonds
..............................................................................................
16,689,000 11 7/8s, November 15, 2003 # 21,771,301
..............................................................................................
17,735,000 11 5/8s, November 15, 2004 23,415,698
..............................................................................................
24,430,000 10 3/4s, August 15, 2005 31,342,957
..............................................................................................
U.S. Treasury Notes
..............................................................................................
16,975,000 8s, May 15, 2001 18,139,315
..............................................................................................
40,385,000 7 1/2s, May 15, 2002 42,700,676
..............................................................................................
920,000 7 1/4s, August 15, 2004 968,300
..............................................................................................
305,000 6 5/8s, July 31, 2001 309,862
..............................................................................................
47,875,000 6 3/8s, August 15, 2002 48,189,060
..............................................................................................
10,650,000 6 1/4s, June 30, 1998 10,721,568
- ----------------------------------------------------------------------------------------------
197,558,737
- ----------------------------------------------------------------------------------------------
Total U.S. Government and
Agency Obligations
(cost $398,665,069) $400,986,952
- ----------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES (28.0%) *
- ----------------------------------------------------------------------------------------------
Principal Amount Value
..............................................................................................
Automotive (0.2%)
..............................................................................................
$1,290,000 Daimler-Benz AG med. term notes,
company guaranty 7 3/8s, 2006
(Germany) $1,322,508
- ----------------------------------------------------------------------------------------------
Banks (7.0%)
..............................................................................................
8,500,000 Abbey National First Capital sub. notes
8.2s, 2004 (United Kingdom) 9,116,845
..............................................................................................
2,585,000 Abbey National PLC sub. notes 7.35s,
2049 (United Kingdom) 2,614,753
..............................................................................................
2,850,000 ABN AMRO Holding N.V. sub. notes
7.55s, 2006 (Netherlands) 2,950,805
..............................................................................................
4,000,000 Bangkok Bank Public Co. 144A sub. notes
8 1/4s, 2016 (Thailand) 4,059,840
..............................................................................................
3,790,000 Firstar Capital Trust I 144A bonds
8.32s, 2026 3,806,600
..............................................................................................
9,000,000 MBNA American Bank, N.A. med. term
notes 7.3s, 1999 9,201,420
..............................................................................................
4,200,000 Merita Bank Ltd. sub. notes 6 1/2s, 2006
(Finland) 4,001,298
..............................................................................................
1,055,000 NationsBank Corp. sub. notes
7 1/4s, 2025 1,013,918
..............................................................................................
2,000,000 Northern Trust Corp. med. term notes
9.2s, 2001 2,189,920
..............................................................................................
3,850,000 Peoples Bank- Bridgeport sub. notes
7.2s, 2006 3,763,991
..............................................................................................
7,000,000 Scotland International Finance 144A
sub. notes 8.85s, 2006 (Netherlands) 7,842,800
..............................................................................................
1,740,000 Sparbanken Sverige AB (Swedbank)
144A sub. 7 1/2s, 2006 (Sweden) 1,745,707
..............................................................................................
2,070,000 State Street Boston Corp. 144A company
guaranty 7.94s, 2026 2,098,773
- ----------------------------------------------------------------------------------------------
54,406,670
- ----------------------------------------------------------------------------------------------
Broadcasting (0.7%)
..............................................................................................
5,000,000 Paramount Communications Inc.
sr. notes 7 1/2s, 2002 4,995,850
..............................................................................................
600,000 Viacom International, Inc. sub. deb.
Ser. A, 7s, 2003 566,556
- ----------------------------------------------------------------------------------------------
5,562,406
- ----------------------------------------------------------------------------------------------
Chemicals (0.2%)
..............................................................................................
1,645,000 Sociedad Quimica Y Minera de Chile S.A.
144A bonds 7.7s, 2006 (Chile) 1,686,125
- ----------------------------------------------------------------------------------------------
Conglomerates (1.9%)
..............................................................................................
3,000,000 Allied Signal Inc. notes 9.2s, 2003 3,311,490
..............................................................................................
9,760,000 Canadian Pacific Ltd. deb. 9.45s, 2021
(Canada) 11,516,800
- ----------------------------------------------------------------------------------------------
14,828,290
- ----------------------------------------------------------------------------------------------
Entertainment (0.3%)
..............................................................................................
2,140,000 Time Warner Entertainment Inc. notes
8 7/8s, 2012 2,339,234
- ----------------------------------------------------------------------------------------------
Finance (1.5%)
..............................................................................................
4,000,000 International Lease Finance Corp. notes
6 1/2s, 1999 3,991,160
..............................................................................................
7,200,000 Rodamco NV notes 7 3/4s, 2015
(Netherlands) 7,378,632
- ----------------------------------------------------------------------------------------------
11,369,792
- ----------------------------------------------------------------------------------------------
Financial Services (2.3%)
..............................................................................................
1,890,000 First Financial Caribbean Corp. sr. notes
7.84s, 2006 1,904,742
..............................................................................................
6,730,000 Ford Motor Credit Corp. notes 8.2s, 2 7,144,703
..............................................................................................
6,075,000 Lehman Brothers Holdings, Inc. med. term
notes 6.4s, 1999 6,039,765
..............................................................................................
3,090,000 Southern Investments Service Co.
sr. notes 6.8s, 2006 (United Kingdom) 3,017,540
- ----------------------------------------------------------------------------------------------
18,106,750
- ----------------------------------------------------------------------------------------------
Insurance (2.1%)
..............................................................................................
8,000,000 AMBAC Indemnity Corp. deb. 9 3/8s, 20 9,598,880
..............................................................................................
2,000,000 Fletcher Challenge Finance USA Ltd.
gtd. notes 9s, 1999 (New Zealand) 2,106,000
..............................................................................................
4,655,000 Phoenix Home Life Mutual Insurance Co.
144A notes 6.95s, 2006 4,553,056
- ----------------------------------------------------------------------------------------------
16,257,936
- ----------------------------------------------------------------------------------------------
Oil and Gas (4.5%)
..............................................................................................
5,505,000 Anadarko Petroleum Corp. deb.
7 1/4s, 2025 5,704,997
..............................................................................................
2,375,000 El Paso Natural Gas Co. deb. 7 1/2s, 2026 2,376,591
..............................................................................................
3,860,000 Husky Oil Ltd. deb. 7.55s, 2016 (Canada) 3,865,944
..............................................................................................
2,000,000 Imperial Oil Ltd. deb. 8 3/4s,
2019 (Canada) 2,163,500
..............................................................................................
10,000,000 Norsk Hydro AS deb. 7.15s, 2025
(Norway) 9,707,900
..............................................................................................
460,000 Petroliam Nasional Berhad 144A notes
7 5/8s, 2026 (Malaysia) 463,712
..............................................................................................
5,515,000 Petroliam Nasional Berhad 144A notes
7 1/8s, 2005 (Malaysia) 5,547,097
..............................................................................................
5,000,000 Trans-Canada PipeLines Ltd. deb.
8 5/8s, 2012 (Canada) 5,537,450
- ----------------------------------------------------------------------------------------------
35,367,191
- ----------------------------------------------------------------------------------------------
Telephone Utilities (0.9%)
..............................................................................................
6,993,000 Telekom Malaysia Berhad 144A deb.
7 7/8s, 2025 (Malaysia) 7,259,363
- ----------------------------------------------------------------------------------------------
Tobacco (0.8%)
..............................................................................................
1,630,000 RJR Nabisco, Inc. notes 8 3/4s, 2005 1,637,335
..............................................................................................
4,395,000 Sampoerna International Finance Co.
144A company guaranty 8 3/8s, 2006
(Indonesia) 4,466,946
- ----------------------------------------------------------------------------------------------
6,104,281
- ----------------------------------------------------------------------------------------------
Utilities (5.6%)
..............................................................................................
2,610,000 Arizona Public Service Co. sr. notes
6 3/4s, 2006 2,556,156
..............................................................................................
2,360,000 Connecticut Light & Power Co. 1st mtge.
Ser. A, 7 7/8s, 2001 2,410,504
..............................................................................................
1,095,000 Edison Mission Energy 144A company
guaranty 7.33s, 2008 1,099,599
..............................................................................................
2,680,000 Enersis S.A. ADR notes 7.4s, 2016 (Chile) 2,600,243
..............................................................................................
2,835,000 Enersis S.A. ADR notes 6.6s, 2026 (Chile) 2,781,815
..............................................................................................
3,550,000 Israel Electric Corp., Ltd. 144A sr. notes
7 1/4s, 2006 (Israel) 3,530,475
..............................................................................................
3,000,000 Monongahela Power Co. 1st mtge.
8 5/8s, 2021 3,188,520
..............................................................................................
7,750,000 Ohio Edison Co. med. term notes
7 3/8s, 2023 7,554,778
..............................................................................................
3,000,000 Pacificorp secd. med. term notes
8.95s, 2011 3,465,510
..............................................................................................
1,650,000 Ras Laffan Natural Gas 144A sec. notes
8.294s, 2014 (Qatar) 1,664,438
..............................................................................................
3,250,000 Ras Laffan Natural Gas 144A sec. notes
7.628s, 2006 (Qatar) 3,262,188
..............................................................................................
4,000,000 Southwestern Public Service Co.
1st mtge. 8.2s, 2022 4,202,880
..............................................................................................
5,000,000 West Penn. Power Co. 1st mtge.
7 7/8s, 2022 5,031,150
- ----------------------------------------------------------------------------------------------
43,348,256
- ----------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $213,131,371) $217,958,802
- ----------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (8.5%) *
- ----------------------------------------------------------------------------------------------
Principal Amount Value
..............................................................................................
4,242,299 Chase Mortgage Finance Corp. 144A
Ser. 94-1, Class B3, 6.612s, 2025 3,873,749
..............................................................................................
3,304,922 Chase Mortgage Finance Corp. 144A
Ser. 94-1, Class B2, 6.612s, 2025 3,036,397
..............................................................................................
5,194,835 Chase Mortgage Finance Corp. 144A
Ser. 94-1, Class B4, 6.612s, 2025 4,701,326
..............................................................................................
447,462 Morgan Stanley Mortgage Trust Ser. W,
Class 5, 9.05s, 2018 464,802
..............................................................................................
2,751,457 Paine Webber Mortgage Acceptance
Corp. Ser. 94-3, Class M1, 6 1/2s, 2024 2,548,537
..............................................................................................
4,976,092 Prudential Home Mortgage Securities Co.
144A Ser. 93-31, Class B1, 6s, 2000 4,773,939
..............................................................................................
4,866,348 Prudential Home Mortgage Securities Co.
144A Ser. 94-28, Class B1, 6.767s, 2001 4,729,482
..............................................................................................
9,000,000 Prudential Home Mortgage Securities Co.
144A Ser. 94-A, Class 1B3, 6.803s, 2024 8,437,500
..............................................................................................
3,200,000 Prudential Home Mortgage Securities Co.
144A Ser. 94-A, Class 3B3, 6.803s, 2024 2,946,000
..............................................................................................
7,348,891 Prudential Home Mortgage Securities Co.
144A Ser. 95-C, Class 2B, 7.628s, 2001 7,279,995
..............................................................................................
10,376,027 Residential Funding Mortgage Securities
Ser. 93-MZ3, Class A1, 6.97s, 2023 10,165,265
..............................................................................................
14,128,701 Securitized Asset Sales, Inc. Ser. 93-J,
Class 1B1, 6.808s, 2023 13,298,640
..............................................................................................
529,004 Travelers Mortgage Securities Corp.
coll. oblig. Ser. 1, Class Z2, 12s, 2014 606,703
- ----------------------------------------------------------------------------------------------
Total Collateralized Mortgage Obligations
(cost $61,637,602) $66,862,335
- ----------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BONDS AND NOTES (5.6%) *
- ----------------------------------------------------------------------------------------------
Principal Amount Value
..............................................................................................
AUD 13,285,000 Australia (Government of) bonds
10s, 2006 $12,312,329
..............................................................................................
CAD 12,685,000 Canada (Government of) deb. Ser. A-76,
9s, 2025 11,396,600
..............................................................................................
DEM 17,740,000 Germany (Federal Republic of) bonds
6 1/4s, 2006 11,884,245
..............................................................................................
USD 8,115,000 Quebec (Province of) deb. Ser. NN,
7 1/8s, 2024 7,793,159
- ----------------------------------------------------------------------------------------------
Total Foreign Government Bonds
and Notes (cost $48,264,990) $43,386,333
- ----------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (4.7%) *
- ----------------------------------------------------------------------------------------------
Principal Amount Value
..............................................................................................
$25,000,000 American Express Credit Account
Master Trust Ser. 96-1, Class A,
6.8s, 2003 $25,359,250
..............................................................................................
10,000,000 Green Tree Financial Corp. Ser. 93-3,
Class A5, 5 3/4s, 2018 9,771,800
..............................................................................................
31,520 Homeowners Federal Savings & Loan
Assn. Corp. Mfg. Hsg. contract Ser. 88-A,
Class A, 10.15s, 2008 31,599
..............................................................................................
1,492,066 Merrill Lynch Mortgage Investors, Inc.
Ser. 94-G, Class A1, 6.3s, 2014 1,490,201
- ----------------------------------------------------------------------------------------------
Total Asset-Backed Securities
(cost $35,480,960) $36,652,850
- ----------------------------------------------------------------------------------------------
PURCHASED OPTIONS OUTSTANDING (--%)* (cost $101,527)
- ----------------------------------------------------------------------------------------------
Number of Expiration/
Contracts Strike Price Value
..............................................................................................
JPY 14,401,000,000 Japanese Government
Bond Futures
Contracts (Call) Jan 97/114.25 JPY $224,656
- ----------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (7.2%) * (cost $55,752,452)
- ----------------------------------------------------------------------------------------------
Principal Amount Value
..............................................................................................
$55,742,000 Interest in $716,873,000 joint repurchase
agreement dated December 31, 1996
with UBS Securities, Inc. due January 2, 1997
with respect to various U.S. Treasury
obligations -- maturity value of
$55,762,903 for an effective yield
of 6.75% $55,752,452
- ----------------------------------------------------------------------------------------------
Total Investments
(cost $813,033,971) *** $821,824,380
- ----------------------------------------------------------------------------------------------
<CAPTION>
Forward Currency Contracts to Buy at December 31, 1996
(aggregate face value $5,473,453)
- ----------------------------------------------------------------------------------------------
Market Aggregate Delivery Unrealized
Value Face Value Date Appreciation
..............................................................................................
<S> <C> <C> <C> <C>
British Pounds $5,602,212 $5,473,453 3/19/97 $128,759
- ----------------------------------------------------------------------------------------------
<CAPTION>
Forward Currency Contracts to Sell at December 31, 1996
(aggregate face value $36,639,088)
- ----------------------------------------------------------------------------------------------
Market Aggregate Delivery Unrealized
Value Face Value Date Appreciation/
(Depreciation)
..............................................................................................
<S> <C> <C> <C> <C>
Australian Dollars $12,596,819 $12,975,929 3/19/97 $379,110
..............................................................................................
Canadian Dollars 5,785,967 5,924,979 3/19/97 139,012
..............................................................................................
Deutschemarks 17,962,684 17,738,180 3/19/97 (224,504)
- ----------------------------------------------------------------------------------------------
$293,618
- ----------------------------------------------------------------------------------------------
<CAPTION>
Futures Contracts Outstanding at December 31, 1996
- ----------------------------------------------------------------------------------------------
Market Aggregate Delivery Unrealized
Value Face Value Date Depreciation
..............................................................................................
<S> <C> <C> <C> <C>
US Treasury Bonds
(Long) $15,429,625 $15,797,813 Mar-97 $(368,188)
- ----------------------------------------------------------------------------------------------
See page 76 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
Putnam VT Utilities Growth and Income Fund
Portfolio of investments owned
December 31, 1996
COMMON STOCKS (78.7%) *
- ----------------------------------------------------------------------------------------------
Number of Shares Value
..............................................................................................
<S> <C> <C> <C>
Aerospace and Defense (0.2%)
..............................................................................................
5,000 Coltec Holdings Inc. + $94,375
..............................................................................................
26,500 Gulfstream Aerospace Corp. + 642,625
..............................................................................................
10,000 Northrop Grumman Corp. 827,500
- ----------------------------------------------------------------------------------------------
1,564,500
- ----------------------------------------------------------------------------------------------
Apparel (0.1%)
..............................................................................................
2,159 Footstar, Inc. + 53,705
..............................................................................................
12,500 Warnaco Group, Inc. 370,313
- ----------------------------------------------------------------------------------------------
424,018
- ----------------------------------------------------------------------------------------------
Appliances (0.1%)
..............................................................................................
16,200 Leggett & Platt, Inc. 560,925
- ----------------------------------------------------------------------------------------------
Automotive (0.1%)
..............................................................................................
9,800 Magna International, Inc. Class A (Canada)
..............................................................................................
14,100 Mark IV Industries, Inc. 319,013
- ----------------------------------------------------------------------------------------------
865,363
- ----------------------------------------------------------------------------------------------
Banks (0.7%)
..............................................................................................
25,000 Bankers Trust New York Corp. 2,156,250
..............................................................................................
25,000 Dime Bancorp, Inc. + 368,750
..............................................................................................
9,800 FirstMerit Corp. 347,900
..............................................................................................
9,000 Great Western Financial Corp. 261,000
..............................................................................................
11,200 Marshall & Ilsley Corp. 387,800
..............................................................................................
22,500 Washington Mutual, Inc. 974,531
- ----------------------------------------------------------------------------------------------
4,496,231
- ----------------------------------------------------------------------------------------------
Basic Industrial Products (0.3%)
..............................................................................................
20,000 AGCO Corp. 572,500
..............................................................................................
19,600 Cincinnati Milacron, Inc. 428,750
..............................................................................................
16,200 General Signal Corp. 692,550
- ----------------------------------------------------------------------------------------------
1,693,800
- ----------------------------------------------------------------------------------------------
Building Products (--%)
..............................................................................................
4,700 Armstrong World Industries, Inc. 326,650
- ----------------------------------------------------------------------------------------------
Building and Construction (0.3%)
..............................................................................................
220,000 Willbros Group, Inc. + 2,145,000
- ----------------------------------------------------------------------------------------------
Business Equipment (--%)
..............................................................................................
4,000 GTECH Holdings Corp. + 128,000
- ----------------------------------------------------------------------------------------------
Business Services (0.1%)
..............................................................................................
10,600 Wallace Computer Services, Inc. 365,700
- ----------------------------------------------------------------------------------------------
Chemicals (0.4%)
..............................................................................................
17,800 Crompton & Knowles Corp. 342,650
..............................................................................................
8,000 Georgia Gulf Corp. 215,000
..............................................................................................
13,050 Hanna (M.A.) Co. 285,469
..............................................................................................
12,500 Olin Corp. 470,313
..............................................................................................
15,000 Rohm & Haas Co. 1,224,375
- ----------------------------------------------------------------------------------------------
2,537,807
- ----------------------------------------------------------------------------------------------
Computer Equipment (0.1%)
..............................................................................................
21,200 Comdisco, Inc. 673,100
- ----------------------------------------------------------------------------------------------
Conglomerates (0.2%)
..............................................................................................
9,000 Lancaster Colony Corp. 414,000
..............................................................................................
8,700 National Service Industries, Inc. 325,163
..............................................................................................
25,000 Ogden Corp. 468,750
- ----------------------------------------------------------------------------------------------
1,207,913
- ----------------------------------------------------------------------------------------------
Consumer Non Durables (0.1%)
..............................................................................................
40,000 Dial Corp. 590,000
- ----------------------------------------------------------------------------------------------
Containers (--%)
..............................................................................................
9,300 Bemis Inc. 342,938
- ----------------------------------------------------------------------------------------------
Electric Utilities (23.8%)
..............................................................................................
60,000 Boston Edison Co. 1,612,500
..............................................................................................
113,200 Carolina Power & Light Co. 4,131,800
..............................................................................................
205,800 Central & South West Corp. 5,273,625
..............................................................................................
46,200 Central Maine Power Co. 537,075
..............................................................................................
5,000 Chilectra S.A. 144A ADR (Chile) 265,000
..............................................................................................
7,300 CILCORP, Inc. 267,363
..............................................................................................
154,300 Cinergy Corp. 5,149,763
..............................................................................................
89,000 CMS Energy Corp. Class G 1,635,375
..............................................................................................
140,000 Delmarva Power & Light Co. 2,852,500
..............................................................................................
51,400 DPL, Inc. 1,259,300
..............................................................................................
102,900 DQE, Inc. 2,984,100
..............................................................................................
50,000 DTE Energy Co. 1,618,750
..............................................................................................
128,744 East Midlands Electricity PLC
(United Kingdom) + 1,466,827
..............................................................................................
250,000 Edison International 4,968,750
..............................................................................................
50,000 Enova Corp. 1,137,500
..............................................................................................
129,000 Florida Progress Corp. 4,160,250
..............................................................................................
118,300 FPL Group, Inc. 5,441,800
..............................................................................................
200,000 Hong Kong Electric Holdings Ltd.
(Hong Kong) 664,598
..............................................................................................
141,600 Huaneng Power International, Inc. ADR
(China) + 3,186,000
..............................................................................................
250,000 Iberdrola S.A.(Spain) 3,543,095
..............................................................................................
25,000 Illinova Corp. 687,500
..............................................................................................
422,100 Long Island Lighting Co. 9,338,963
..............................................................................................
225,000 New York State Electric & Gas Corp. 4,865,625
..............................................................................................
100,000 National Grid Group PLC
(United Kingdom) + 334,696
..............................................................................................
125,000 New England Electric Systems Inc. 4,359,375
..............................................................................................
154,300 Niagara Mohawk Power Corp. + 1,523,713
..............................................................................................
146,700 NIPSCO Industries, Inc. 5,812,988
..............................................................................................
263,500 Northeast Utilities Co. 3,491,375
..............................................................................................
102,900 Ohio Edison Co. 2,340,975
..............................................................................................
97,700 Oklahoma Gas & Electric Co. 4,078,975
..............................................................................................
100,000 Pacific Gas & Electric Co. 2,100,000
..............................................................................................
51,400 P P & L Resources, Inc. 1,182,200
..............................................................................................
149,400 Peco Energy Co. 3,772,350
..............................................................................................
205,800 Pinnacle West Capital Corp. 6,534,150
..............................................................................................
143,400 Potomac Electric Power Co. 3,692,550
..............................................................................................
68,600 PowerGen PLC ADR (United Kingdom) 2,709,700
..............................................................................................
234,800 Public Service Co. of Colorado 9,127,850
..............................................................................................
75,000 Public Service Enterprise Group, Inc. 2,043,750
..............................................................................................
185,200 Scana Corp. 4,954,100
..............................................................................................
274,398 Scottish Power PLC (United Kingdom) 1,653,588
..............................................................................................
272,600 Sierra Pacific Resources 7,837,250
..............................................................................................
125,000 Texas Utilities Co. 5,093,750
..............................................................................................
237,500 TNP Enterprises, Inc. 6,501,563
..............................................................................................
231,500 Tuscon Electric Power Co. + 3,848,688
..............................................................................................
95,000 United Illuminating Co. 2,980,625
..............................................................................................
77,200 Utilicorp United, Inc. 2,084,400
..............................................................................................
72,000 Washington Water Power Co. 1,341,000
- ----------------------------------------------------------------------------------------------
156,447,670
- ----------------------------------------------------------------------------------------------
Electrical Equipment (0.1%)
..............................................................................................
37,000 Vishay Intertechnology, Inc. 864,875
- ----------------------------------------------------------------------------------------------
Electronics (0.1%)
..............................................................................................
6,600 Pittway Corp. Class A 353,100
..............................................................................................
14,000 UCAR International, Inc. + 526,750
- ----------------------------------------------------------------------------------------------
879,850
- ----------------------------------------------------------------------------------------------
Farm Equipment (0.1%)
..............................................................................................
18,600 New Holland N.V. (Netherlands) + 388,275
- ----------------------------------------------------------------------------------------------
Finance (0.1%)
..............................................................................................
7,000 Beneficial Corp. 443,625
- ----------------------------------------------------------------------------------------------
Food (0.2%)
..............................................................................................
15,000 Dole Food Co. 508,125
..............................................................................................
10,000 Flowers Industries, Inc. 215,000
..............................................................................................
14,300 Hormel Foods Corp. 386,100
- ----------------------------------------------------------------------------------------------
1,109,225
- ----------------------------------------------------------------------------------------------
Food and Beverages (0.1%)
..............................................................................................
30,000 Whitman Corp. 686,250
- ----------------------------------------------------------------------------------------------
Gas Pipelines (4.0%)
..............................................................................................
130,900 Coastal Corp. 6,397,738
..............................................................................................
90,700 El Paso Natural Gas Co. 4,580,350
..............................................................................................
17,500 Equitable Resources, Inc. 520,625
..............................................................................................
243,400 PanEnergy Corp. 10,953,000
..............................................................................................
85,000 TransCanada Pipelines Ltd. (Canada) 1,487,500
..............................................................................................
207,500 Transportadora de Gas del S.A. ADR
(Argentina) 2,541,875
- ----------------------------------------------------------------------------------------------
26,481,088
- ----------------------------------------------------------------------------------------------
Gas Utilities (21.4%)
..............................................................................................
200,600 AGL Resources, Inc. 4,237,675
..............................................................................................
101,000 Atmos Energy Corp. 2,411,375
..............................................................................................
117,600 Bay State Gas Co. 3,322,200
..............................................................................................
144,000 Brooklyn Union Gas Co. 4,338,000
..............................................................................................
110,000 Cascade Natural Gas Corp. 1,870,000
..............................................................................................
168,700 Columbia Gas System, Inc. 10,733,538
..............................................................................................
78,200 Connecticut Energy Corp. 1,661,750
..............................................................................................
125,000 Eastern Enterprises 4,421,875
..............................................................................................
128,600 Energen Corp. 3,890,150
..............................................................................................
36,000 Indiana Energy, Inc. 877,500
..............................................................................................
155,700 K N Energy, Inc. 6,111,225
..............................................................................................
61,700 Laclede Gas Co. 1,488,513
..............................................................................................
261,300 MCN Corp. 7,545,038
..............................................................................................
175,000 National Fuel Gas Co. 7,218,750
..............................................................................................
50,000 New Jersey Resources Corp. 1,462,500
..............................................................................................
159,500 NICOR Inc. 5,702,125
..............................................................................................
384,700 Noram Energy Corp. 5,914,763
..............................................................................................
20,000 North Carolina Natural Gas Corp. 577,500
..............................................................................................
236,100 Northwest Natural Gas Co. 5,666,400
..............................................................................................
97,700 NUI Corp. 2,210,463
..............................................................................................
138,900 ONEOK, Inc. 4,167,000
..............................................................................................
339,500 Pacific Enterprises 10,312,313
..............................................................................................
134,500 Peoples Energy Corp. 4,556,188
..............................................................................................
97,400 Piedmont Natural Gas Co., Inc. 2,276,725
..............................................................................................
102,900 Public Service Co. of North Carolina, Inc. 1,877,925
..............................................................................................
216,800 Questar Corp. 7,967,400
..............................................................................................
30,000 South Jersey Industries, Inc. 731,250
..............................................................................................
68,529 Southern Union Co. + 1,507,638
..............................................................................................
102,900 Southwest Gas Corp. 1,980,825
..............................................................................................
223,800 UGI Corp. 5,007,525
..............................................................................................
135,000 United Cities Gas Co. 3,037,500
..............................................................................................
12,700 Washington Energy Co. 261,938
..............................................................................................
81,100 Washington Gas Light Co. 1,834,888
..............................................................................................
345,500 Westcoast Energy, Inc. 5,787,125
..............................................................................................
75,400 WICOR, Inc. 2,704,975
..............................................................................................
102,900 Wisconsin Energy Corp. 2,765,438
..............................................................................................
100,000 Yankee Energy System, Inc. 2,137,500
- ----------------------------------------------------------------------------------------------
140,575,493
- ----------------------------------------------------------------------------------------------
HMOs (0.2%)
..............................................................................................
5,000 Pacificare Health Systems, Inc. Class B 426,250
..............................................................................................
25,000 Sierra Health Services + 615,625
- ----------------------------------------------------------------------------------------------
1,041,875
- ----------------------------------------------------------------------------------------------
Hospital Management (0.1%)
..............................................................................................
15,000 Quorum Health Group, Inc. + 446,250
- ----------------------------------------------------------------------------------------------
Household Products (0.2%)
..............................................................................................
14,300 First Brands Corp. 405,763
..............................................................................................
29,100 Premark International, Inc. 647,475
- ----------------------------------------------------------------------------------------------
1,053,238
- ----------------------------------------------------------------------------------------------
Insurance (0.9%)
..............................................................................................
11,400 Allmerica Financial Corp. 381,900
..............................................................................................
12,400 Everest Re Holdings, Inc. 356,500
..............................................................................................
97,600 GCR Holdings, Ltd. 2,171,600
..............................................................................................
5,400 Jefferson Pilot Corp. 305,775
..............................................................................................
138,500 USF&G Corp. 2,891,188
- ----------------------------------------------------------------------------------------------
6,106,963
- ----------------------------------------------------------------------------------------------
Leisure (--%)
..............................................................................................
7,800 Hasbro, Inc. 303,225
- ----------------------------------------------------------------------------------------------
Machinery (0.1%)
..............................................................................................
27,200 Keystone International, Inc. 547,400
- ----------------------------------------------------------------------------------------------
Medical Supplies and Devices (0.2%)
..............................................................................................
15,000 Bard (C.R.), Inc. $420,000
..............................................................................................
17,000 Bausch & Lomb, Inc. 595,000
..............................................................................................
7,400 Dentsply International, Inc. 351,500
..............................................................................................
12,400 Nellcor Puritan Bennett, Inc. + 271,250
- ----------------------------------------------------------------------------------------------
1,637,750
- ----------------------------------------------------------------------------------------------
Metals and Mining (0.1%)
..............................................................................................
16,600 Alumax, Inc. + 554,025
..............................................................................................
10,000 RWE AG (Germany) 423,239
- ----------------------------------------------------------------------------------------------
977,264
- ----------------------------------------------------------------------------------------------
Networking Equipment (--%)
..............................................................................................
10,000 Bay Networks Inc. + 208,750
- ----------------------------------------------------------------------------------------------
Oil and Gas (2.6%)
..............................................................................................
6,200 Diamond Offshore Drilling, Inc. + 353,400
..............................................................................................
15,000 Mitchell Energy & Development Corp.
Class B 331,875
..............................................................................................
221,100 NGC Corp. 5,140,575
..............................................................................................
19,600 Reading & Bates Corp. + 519,400
..............................................................................................
165,000 Tejas Gas Corp. + 7,858,125
..............................................................................................
15,800 Weatherford Enterra, Inc. + 474,000
..............................................................................................
118,200 Western Gas Resources, Inc. 2,275,350
- ----------------------------------------------------------------------------------------------
16,952,725
- ----------------------------------------------------------------------------------------------
Paper and Forest Products (0.1%)
..............................................................................................
7,300 Boise Cascade Corp. 231,775
..............................................................................................
8,700 Rayonier, Inc. 333,863
..............................................................................................
5,000 Temple Inland, Inc. 270,625
- ----------------------------------------------------------------------------------------------
836,263
- ----------------------------------------------------------------------------------------------
Pharmaceuticals (0.1%)
..............................................................................................
9,373 Block Drug, Inc. Class A 431,158
- ----------------------------------------------------------------------------------------------
Photography (0.1%)
..............................................................................................
14,500 Polaroid Corp. 630,750
- ----------------------------------------------------------------------------------------------
Publishing (0.4%)
..............................................................................................
6,900 Belo (A.H.) Corp. 240,638
..............................................................................................
10,000 Central Newspapers, Inc. Class A 440,000
..............................................................................................
13,400 Deluxe Corp. 438,850
..............................................................................................
25,000 Times Mirror Co. Class A 1,243,750
- ----------------------------------------------------------------------------------------------
2,363,238
- ----------------------------------------------------------------------------------------------
REIT's (2.8%)
..............................................................................................
68,500 Avalon Properties, Inc. 1,969,375
..............................................................................................
206,800 Beacon Properties Corp. 7,574,050
..............................................................................................
85,500 Equity Residential Properties Trust 3,526,875
..............................................................................................
40,700 LTC Properties, Inc. 752,950
..............................................................................................
36,200 Macerich Co. 945,725
..............................................................................................
81,400 Nationwide Health Properties, Inc. 1,973,950
..............................................................................................
50,000 Public Storage, Inc. 1,550,000
- ----------------------------------------------------------------------------------------------
18,292,925
- ----------------------------------------------------------------------------------------------
Real Estate (--%)
..............................................................................................
8,600 Echelon International Corp., Inc. + 134,375
- ----------------------------------------------------------------------------------------------
Retail (1.7%)
..............................................................................................
7,500 CVS Corp. 310,313
..............................................................................................
20,000 Dillard Department Stores, Inc. Class A 617,500
..............................................................................................
20,200 Family Dollar Stores, Inc. 411,575
..............................................................................................
847,300 K mart Corp. 8,790,738
..............................................................................................
12,000 Payless Shoesource, Inc. + 450,000
..............................................................................................
23,000 Rite Aid Corp. 914,250
- ----------------------------------------------------------------------------------------------
11,494,376
- ----------------------------------------------------------------------------------------------
Savings and Loans (0.1%)
..............................................................................................
8,500 Ahmanson (H.F.) & Co. 276,250
..............................................................................................
9,135 Charter One Financial, Inc. 383,670
- ----------------------------------------------------------------------------------------------
659,920
- ----------------------------------------------------------------------------------------------
Semiconductors (0.1%)
..............................................................................................
22,100 National Semiconductor Corp. + 538,688
- ----------------------------------------------------------------------------------------------
Supermarkets (--%)
..............................................................................................
9,000 Weis Markets, Inc. 286,875
- ----------------------------------------------------------------------------------------------
Telecommunications (0.2%)
..............................................................................................
30,000 Royal PTT Nederland N.V. ADR
(Netherlands) 1,136,250
- ----------------------------------------------------------------------------------------------
Telephone Utilities (15.1%)
..............................................................................................
50,000 American Telephone & Telegraph Co. 2,175,000
..............................................................................................
166,500 Ameritech Corp. 10,094,063
..............................................................................................
50,000 Bell Atlantic Corp. 3,237,500
..............................................................................................
225,000 BellSouth Corp. 9,084,375
..............................................................................................
211,000 Deutsche Telekom AG ADR (Germany) + 4,299,125
..............................................................................................
162,800 GTE Corp. 7,407,400
..............................................................................................
175,000 MCI Communications Corp. 5,720,313
..............................................................................................
164,600 NYNEX Corp. 7,921,375
..............................................................................................
500,000 Pacific Telesis Group 18,375,000
..............................................................................................
45,000 Portugal Telecom S.A. (Portugal) + 1,271,250
..............................................................................................
226,300 SBC Communications, Inc. 11,711,025
..............................................................................................
289,000 Sprint Corp. 11,523,875
..............................................................................................
10,000 Telecom Argentina S.A. ADR (Argentina) + 403,750
..............................................................................................
10,000 Telefonica de Argentina S.A. ADR
(Argentina) 258,750
..............................................................................................
100,000 Telefonica del Peru S.A. ADR (Peru) + 1,887,500
..............................................................................................
1,000,000 Telecom Italia S.P.A. (Italy) 2,597,232
..............................................................................................
50,000 US West, Inc. 1,612,500
- ----------------------------------------------------------------------------------------------
99,580,033
- ----------------------------------------------------------------------------------------------
Textiles (0.1%)
..............................................................................................
6,800 Springs Industries, Inc. Class A 292,400
..............................................................................................
15,000 Unifi, Inc. 481,875
- ----------------------------------------------------------------------------------------------
774,275
- ----------------------------------------------------------------------------------------------
Tobacco (0.2%)
..............................................................................................
32,000 Dimon Inc. 740,000
..............................................................................................
12,400 Universal Corp. 398,350
- ----------------------------------------------------------------------------------------------
1,138,350
- ----------------------------------------------------------------------------------------------
Water Utilities (0.2%)
..............................................................................................
50,000 American Water Works, Inc. 1,031,250
- ----------------------------------------------------------------------------------------------
Wireless Communications (0.5%)
..............................................................................................
25,700 Airtouch Communications, Inc. + $648,925
..............................................................................................
100,000 360 Communications Co. + 2,312,500
- ----------------------------------------------------------------------------------------------
2,961,425
- ----------------------------------------------------------------------------------------------
Total Common Stocks
(cost $435,640,590) $517,363,887
- ----------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES (12.3%) *
- ----------------------------------------------------------------------------------------------
Principal Amount Value
..............................................................................................
Electric Utilities (9.0%)
..............................................................................................
$1,000,000 Allegheny Generating Co. deb.
6 7/8s, 2023 $917,170
..............................................................................................
768,000 Arkansas Electric Corp. bonds 7.33s, 2008 780,365
..............................................................................................
1,000,000 Australian Gas & Light Co.144A sr. notes
6 3/8s, 2003 (Australia) 974,130
..............................................................................................
1,500,000 Chilgener S.A. notes 6 1/2s, 2006 (Chile) 1,428,090
..............................................................................................
1,000,000 Chugach Electric Co. 1st mtge. Ser. A,
9.14s, 2022 1,126,530
..............................................................................................
1,489,000 Citizens Utilities Co. bonds 7.68s, 2034 1,652,537
..............................................................................................
1,000,000 Cleveland Electric Co. med. term notes
8.33s, 1998 1,020,200
..............................................................................................
1,000,000 Commonwealth Edison Co. 1st mtge.
Ser. 83, 8s, 2008 1,055,480
..............................................................................................
1,005,000 Connecticut Light & Power Co. 1st mtge.
Ser. A, 5 1/2s, 1999 972,549
..............................................................................................
1,000,000 Connecticut Light & Power Co. 1st mtge.
Ser. D, 7 7/8s, 2024 1,029,290
..............................................................................................
2,500,000 Consumers Power Co. 1st mtge.
8 3/4s, 1998 2,560,325
..............................................................................................
1,500,000 Duquesne Light Co. deb. 8.7s, 2016 1,572,090
..............................................................................................
1,000,000 Edison Mission Energy 144A company
guaranty 7.33s, 2008 1,004,200
..............................................................................................
2,000,000 Empresa National Electric company
guaranty 7.2s, 2006 (Chile) 1,995,420
..............................................................................................
1,000,000 Georgia Power Co. 1st mtge. 7s, 2000 999,250
..............................................................................................
2,000,000 Hydro Quebec (Government of)
guaranty 8.4s, 2022 (Canada) 2,184,300
..............................................................................................
1,000,000 Iberdrola S.A. notes 7 1/2s, 2002 (Spain) 1,037,930
..............................................................................................
1,469,099 Indiana-Michigan Power Co. deb.
9.82s, 2022 1,748,742
..............................................................................................
2,000,000 Israel Electric Corp., Ltd. 144A sr. notes
7 1/4s, 2006 (Israel) 1,989,000
..............................................................................................
2,000,000 Kansas City Power & Light Co.
med. term notes 5 3/4s, 1998 1,992,960
..............................................................................................
1,000,000 Kansas Gas & Electric deb. 8.29s, 2016 1,009,270
..............................................................................................
1,000,000 Kentucky Utilities Co. 1st mtge. Ser. R,
7.55s, 2025 893,438
..............................................................................................
1,500,000 Midwest Power Systems mtge.
6 3/4s, 2000 1,493,490
..............................................................................................
1,500,000 Ohio Edison Co. 1st mtge. 8 1/4s, 2002 1,579,350
..............................................................................................
1,170,000 Otter Tail Power Co. 1st mtge.
7 1/4s, 2002 1,191,715
..............................................................................................
2,000,000 Pacific Gas & Electric Co. sr. notes
7.1s, 2005 2,010,840
..............................................................................................
1,000,000 Philadelphia Electric Co. 1st mtge.
8 5/8s, 2022 1,043,180
..............................................................................................
2,000,000 Potomac Electric Power Co. 1st mtge.
8 1/2s, 2027 2,088,820
..............................................................................................
2,000,000 Public Service Co. of Colorado coll. trust
6 3/8s, 2005 1,923,320
..............................................................................................
2,000,000 Public Service Electric & Gas mtge. notes
9 1/4s, 2021 2,364,420
..............................................................................................
2,500,000 San Diego Gas & Electric Co. 1st mtge.
Ser. JJ, 9 5/8s, 2020 2,783,850
..............................................................................................
1,500,000 Sierra Pacific Power Co. med. term notes
Ser. C, 6.82s, 2006 1,477,470
..............................................................................................
3,000,000 South Carolina Electric & Gas Co.
1st mtge. 7 5/8s, 2005 3,152,880
..............................................................................................
1,000,000 Southwestern Public Service Co.
1st mtge. 8.2s, 2022 1,050,720
..............................................................................................
3,000,000 System Energy Resources, Inc. deb.
7.38s, 2000 2,991,150
..............................................................................................
1,000,000 Texas Utilities Co. secd. lease fac. bonds
7.46s, 2015 1,001,310
..............................................................................................
2,000,000 Utilicorp United, Inc. sr. notes 8.2s, 2007 2,123,120
..............................................................................................
1,000,000 West Penn. Power Co. 1st mtge.
7 7/8s, 2022 1,006,230
- ----------------------------------------------------------------------------------------------
59,225,131
- ----------------------------------------------------------------------------------------------
Financial Services (0.3%)
..............................................................................................
825,000 Salton Sea Funding Corp. company
guaranty Ser. E, 8.3s, 2011 855,657
..............................................................................................
1,500,000 Southern Investments Service Co.
sr. notes 6.8s, 2006 (United Kingdom) 1,464,825
- ----------------------------------------------------------------------------------------------
2,320,482
- ----------------------------------------------------------------------------------------------
Gas Utilities (1.3%)
..............................................................................................
1,500,000 Columbia Gas System, Inc. notes Ser. E,
7.32s, 2010 1,475,250
..............................................................................................
1,000,000 Michigan Consolidated Gas 1st mtge.
8 1/4s, 2014 1,091,010
..............................................................................................
2,000,000 ONEOK Inc. deb. 9.7s, 2019 2,194,900
..............................................................................................
2,000,000 Southern Union Gas sr. notes 7.6s, 2024 1,955,660
..............................................................................................
1,500,000 Southwest Gas Corp. deb. 7 1/2s, 2006 1,537,695
- ----------------------------------------------------------------------------------------------
8,254,515
- ----------------------------------------------------------------------------------------------
Oil and Gas (0.5%)
..............................................................................................
1,500,000 Petroliam Nasional Berhad 144A notes
6 7/8s, 2003 (Malaysia) 1,502,145
..............................................................................................
2,000,000 Transcontinental Gas Pipeline Corp.
deb. 7 1/4s, 2026 1,980,000
- ----------------------------------------------------------------------------------------------
3,482,145
- ----------------------------------------------------------------------------------------------
Telephone Utilities (1.0%)
..............................................................................................
2,000,000 BellSouth Telecommunication deb.
6 3/4s, 2033 1,823,820
..............................................................................................
1,500,000 GTE Northwest, Inc. deb. 7 7/8s, 2026 1,513,920
..............................................................................................
1,000,000 Pacific Bell Co. ded. 7 3/4s, 2032 988,710
..............................................................................................
2,000,000 Telstra Corp. notes 6 1/2s, 2005 (Australia) 1,950,800
- ----------------------------------------------------------------------------------------------
6,277,250
- ----------------------------------------------------------------------------------------------
Water Utilities (0.2%)
..............................................................................................
1,500,000 Pennsylvania American Water Co. 144A
1st mtge. 7.8s, 2026 1,591,874
- ----------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $80,729,469) $81,151,397
- ----------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (2.1%) *
- ----------------------------------------------------------------------------------------------
Principal Amount Value
..............................................................................................
$2,060,000 U.S. Treasury Bonds 7 1/2s,
November 15, 2024 $2,253,124
..............................................................................................
U.S. Treasury Notes
..............................................................................................
6,215,000 7 1/2s, Feburary 15, 2005 6,647,129
..............................................................................................
4,485,000 7 1/4s, August 15,2004 4,720,463
- ----------------------------------------------------------------------------------------------
Total U.S. Government and
Agency Obligations
(cost $13,941,670) $13,620,716
- ----------------------------------------------------------------------------------------------
PREFERRED STOCKS (0.4%) * (cost $2,750,000)
- ----------------------------------------------------------------------------------------------
Number of Shares Value
..............................................................................................
110,000 Bankers Trust New York Corp. Ser. Q,
$1.436 ,adjustable rate preferred $2,488,750
- ----------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.1%) * (cost $775,000)
- ----------------------------------------------------------------------------------------------
Number of Shares Value
..............................................................................................
15,500 Philippine Long Distance Telephone Co.
Ser. III, $3.50 cv. pfd. (Philippines) $790,500
- ----------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (5.7%) * (cost $37,713,070)
- ----------------------------------------------------------------------------------------------
Principal Amount Value
..............................................................................................
$37,706,000 Interest in $624,569,000 joint repurchase
agreement dated December 31, 1996
with SBC Warburg Inc. due January 2, 1997
with respect to various U.S. Treasury
obligations -- maturity value of
$37,720,140 for an effective yield
of 6.75% $37,713,070
- ----------------------------------------------------------------------------------------------
Total Investments
(cost $571,549,799) *** $653,128,320
- ----------------------------------------------------------------------------------------------
See page 76 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
Putnam VT Voyager Fund
Portfolio of investments owned
December 31, 1996
COMMON STOCKS (95.2%) *
- ----------------------------------------------------------------------------------------------
Number of Shares Value
..............................................................................................
<S> <C> <C> <C>
Advertising (0.8%)
..............................................................................................
170,702 Lamar Advertising Co. + $4,139,524
..............................................................................................
262,846 Omnicom Group, Inc. 12,025,205
..............................................................................................
206,181 Outdoor Systems, Inc. + 5,798,841
..............................................................................................
119,617 TMP Worldwide Inc. + 1,525,117
..............................................................................................
161,928 Universal Outdoor Holdings, Inc. + 3,805,308
- ----------------------------------------------------------------------------------------------
27,293,995
- ----------------------------------------------------------------------------------------------
Aerospace and Defense (0.8%)
..............................................................................................
109,188 Boeing Co. 11,614,874
..............................................................................................
56,100 Lockheed Martin Corp. 5,133,150
..............................................................................................
102,800 Northrop Grumman Corp. 8,506,700
- ----------------------------------------------------------------------------------------------
25,254,724
- ----------------------------------------------------------------------------------------------
Alcoholic Beverages (0.9%)
..............................................................................................
276,216 Anheuser-Busch Cos., Inc. 11,048,640
..............................................................................................
455,379 Seagram Co., Ltd. 17,645,936
- ----------------------------------------------------------------------------------------------
28,694,576
- ----------------------------------------------------------------------------------------------
Apparel (1.4%)
..............................................................................................
529,848 Gucci Group (Italy) 33,844,041
..............................................................................................
62,500 Loehmann's Holdings, Inc. + 1,437,500
..............................................................................................
175,574 Nautica Enterprises, Inc. + 4,433,244
..............................................................................................
109,603 The Men's Wearhouse, Inc. + 2,685,274
..............................................................................................
84,469 Wolverine World Wide, Inc. 2,449,601
- ----------------------------------------------------------------------------------------------
44,849,660
- ----------------------------------------------------------------------------------------------
Automotive (0.8%)
..............................................................................................
390,109 Echlin, Inc. 12,337,197
..............................................................................................
379,920 Snap-On, Inc. 13,534,650
- ----------------------------------------------------------------------------------------------
25,871,847
- ----------------------------------------------------------------------------------------------
Banks (2.9%)
..............................................................................................
134,544 Bank of Boston Corp. 8,644,452
..............................................................................................
262,110 BankAmerica Corp. 26,145,473
..............................................................................................
40,000 Barnett Banks, Inc. 1,645,000
..............................................................................................
309,600 Citicorp 31,888,800
..............................................................................................
264,057 NationsBank Corp. 25,811,572
- ----------------------------------------------------------------------------------------------
94,135,297
- ----------------------------------------------------------------------------------------------
Basic Industrial Products (0.4%)
..............................................................................................
272,973 General Signal Corp. 11,669,596
- ----------------------------------------------------------------------------------------------
Broadcasting (2.0%)
..............................................................................................
140,815 Chancellor Broadcasting Corp. Class A + 3,344,356
..............................................................................................
535,781 Clear Channel Communications, Inc. + 19,355,089
..............................................................................................
20,500 Cox Radio, Inc. Class A + 358,750
..............................................................................................
422,800 Evergreen Media Corp. Class A + 10,570,000
..............................................................................................
97,500 Heartland Wireless Communications, Inc. + 1,279,688
..............................................................................................
177,732 Infinity Broadcasting Corp. Class A + 5,976,239
..............................................................................................
130,353 Jacor Communications, Inc. + 3,568,413
..............................................................................................
102,396 LIN Television Corp. + 4,326,231
..............................................................................................
39,027 SFX Broadcasting, Inc. Class A + 1,161,053
..............................................................................................
131,819 Sinclair Broadcast Group, Inc. Class A + 3,427,294
..............................................................................................
69,474 TCI Satellite Entertainment, Inc. Class A + 686,056
..............................................................................................
115,400 Univision Communications, Inc. Class A + 4,269,800
..............................................................................................
417,183 Westwood One, Inc. + 6,935,667
..............................................................................................
50,900 Young Broadcasting Corp. Class A + 1,488,825
- ----------------------------------------------------------------------------------------------
66,747,461
- ----------------------------------------------------------------------------------------------
Building Products (0.3%)
..............................................................................................
272,975 Masco Corp. 9,827,100
- ----------------------------------------------------------------------------------------------
Business Services (5.2%)
..............................................................................................
75,855 Abacus Direct Corp. + 1,422,281
..............................................................................................
157,201 Affiliated Computer Services, Inc. Class A + 4,676,730
..............................................................................................
555,909 Airgas, Inc. + 12,229,998
..............................................................................................
85,751 APAC Teleservices, Inc. + 3,290,695
..............................................................................................
295,631 Corestaff, Inc. + 7,002,759
..............................................................................................
728,693 Corporate Express, Inc. + 21,450,900
..............................................................................................
531,562 First Data Corp. 19,402,013
..............................................................................................
270,867 Gartner Group, Inc. Class A + 10,546,884
..............................................................................................
165,062 Interim Services Inc. + 5,859,701
..............................................................................................
195,484 Interpublic Group Cos. Inc. 9,285,490
..............................................................................................
358,800 Metromedia International Group, Inc. + 3,543,150
..............................................................................................
23,846 National Data Corp. 1,037,301
..............................................................................................
7,500 NOVA Corp./Georgia + 165,938
..............................................................................................
192,155 Paychex, Inc. 9,883,973
..............................................................................................
77,829 Pharmaceutical Product
Development, Inc. + 1,965,182
..............................................................................................
38,850 PMT Services, Inc. + 679,875
..............................................................................................
2,832,700 Rentokil Group PLC (United Kingdom) 21,289,667
..............................................................................................
99,748 Reuters Holdings PLC ADR
(United Kingdom) 7,630,722
..............................................................................................
568,964 Robert Half International, Inc. + 19,558,138
..............................................................................................
174,800 Select Appointments Holdings PLC ADR
(United Kingdom) + 2,010,200
..............................................................................................
254,138 Serco Group PLC (United Kingdom) 2,932,468
..............................................................................................
18,500 Snyder Communications, Inc. + 499,500
..............................................................................................
196,952 TeleTech Holdings Inc. + 5,120,752
- ----------------------------------------------------------------------------------------------
171,484,317
- ----------------------------------------------------------------------------------------------
Cable Television (0.4%)
..............................................................................................
178,230 Tele-Comm Liberty Media Group, Inc.
Class A + 5,090,694
..............................................................................................
694,737 Tele-Communications, Inc. Class A + 9,075,002
- ----------------------------------------------------------------------------------------------
14,165,696
- ----------------------------------------------------------------------------------------------
Chemicals (1.8%)
..............................................................................................
163,700 Air Products & Chemicals, Inc. 11,315,763
..............................................................................................
67,325 Betz Laboratories, Inc. 3,938,513
..............................................................................................
139,929 Great Lakes Chemical Corp. 6,541,681
..............................................................................................
259,814 Praxair, Inc. 11,983,921
..............................................................................................
256,650 Raychem Corp. 20,564,081
..............................................................................................
140,000 Witco Chemical Corp. 4,270,000
- ----------------------------------------------------------------------------------------------
58,613,959
- ----------------------------------------------------------------------------------------------
Computer Services (3.1%)
..............................................................................................
584,278 America Online, Inc. + 19,427,244
..............................................................................................
90,200 CBT Group PLC ADR (Ireland) + 4,893,350
..............................................................................................
108,600 Electronic Data Systems Corp. 4,696,950
..............................................................................................
1,253,647 EMC Corp. + 41,527,028
..............................................................................................
180,607 IDT Corp. + 1,986,677
..............................................................................................
225,083 Keane, Inc. + 7,146,385
..............................................................................................
20,200 National TechTeam, Inc. + 404,000
..............................................................................................
230,474 Sterling Commerce, Inc. + 8,124,209
..............................................................................................
48,000 Transaction Systems Architects, Inc.
Class A + 1,596,000
..............................................................................................
432,117 Vanstar Corp. + 10,586,867
..............................................................................................
30,807 Whittman-Hart, Inc. + 789,429
..............................................................................................
24,544 XLConnect Solutions, Inc. + 705,640
- ----------------------------------------------------------------------------------------------
101,883,779
- ----------------------------------------------------------------------------------------------
Computer Software (9.3%)
..............................................................................................
54,783 Arbor Software Corp. + 1,328,488
..............................................................................................
721,677 Baan Co., N.V. (Netherlands) + 25,078,276
..............................................................................................
435,289 BMC Software, Inc. 18,010,082
..............................................................................................
84,500 CCC Information Services Group + 1,352,000
..............................................................................................
61,700 Citrix Systems, Inc. + 2,410,156
..............................................................................................
103,600 Clarify, Inc. + 4,972,800
..............................................................................................
123,169 Cognex Corp. + 2,278,627
..............................................................................................
974,483 Computer Associates Intl., Inc. 48,480,529
..............................................................................................
74,004 Documentum, Inc. + 2,497,635
..............................................................................................
576,227 Electronic Arts, Inc. + 17,250,796
..............................................................................................
290,614 Electronics for Imaging, Inc. + 23,903,002
..............................................................................................
67,788 Forte Software, Inc. + 2,220,057
..............................................................................................
161,897 Geoworks + 3,966,477
..............................................................................................
6,300 I2 Technologies, Inc. + 240,975
..............................................................................................
177,228 Informix Corp. + 3,611,021
..............................................................................................
119,800 Legato Systems, Inc. + 3,908,475
..............................................................................................
176,550 McAfee Associates, Inc. + 7,768,200
..............................................................................................
113,598 Medic Computer Systems, Inc. + 4,579,419
..............................................................................................
228,114 Microsoft Corp. + 18,847,919
..............................................................................................
983,676 Parametric Technology Corp. + 50,536,355
..............................................................................................
349,728 PeopleSoft, Inc. + 16,765,086
..............................................................................................
13,700 Project Software & Development, Inc. + 580,538
..............................................................................................
72,936 Raptor Systems, Inc. + 1,467,837
..............................................................................................
330,600 Rational Software Corp. + 13,079,363
..............................................................................................
89,168 Scopus Technology, Inc. + 4,146,312
..............................................................................................
127,440 Security Dynamics Technologies, Inc. + 4,014,360
..............................................................................................
201,453 Synopsys, Inc. + 9,317,201
..............................................................................................
155,051 The Learning Co., Inc. + 2,228,858
..............................................................................................
197,200 Vantive Corp. + 6,162,500
..............................................................................................
85,800 Viasoft, Inc. + 4,054,050
- ----------------------------------------------------------------------------------------------
305,057,394
- ----------------------------------------------------------------------------------------------
Consumer Non Durables (0.1%)
..............................................................................................
43,025 Luxottica Group S.P.A. ADR (Italy) 2,237,300
- ----------------------------------------------------------------------------------------------
Consumer Products (0.8%)
..............................................................................................
287,050 Kimberly-Clark Corp. 27,341,513
- ----------------------------------------------------------------------------------------------
Consumer Services (0.1%)
..............................................................................................
83,900 Sabre Group Holdings, Inc. + 2,338,713
- ----------------------------------------------------------------------------------------------
Cosmetics (0.2%)
..............................................................................................
99,180 Douglas Holding AG (Germany) $3,895,093
..............................................................................................
129,358 Thermolase Corp. + 2,037,389
- ----------------------------------------------------------------------------------------------
5,932,482
- ----------------------------------------------------------------------------------------------
Data Communications (0.5%)
..............................................................................................
228,900 MFS Communications, Inc. + 12,475,050
..............................................................................................
148,112 Omnipoint Corp. + 2,851,156
- ----------------------------------------------------------------------------------------------
15,326,206
- ----------------------------------------------------------------------------------------------
Education Services (0.3%)
..............................................................................................
53,200 Apollo Group, Inc. Class A + 1,778,875
..............................................................................................
110,336 DeVRY, Inc. + 2,592,896
..............................................................................................
99,900 Learning Tree International, Inc. + 2,947,050
..............................................................................................
60,000 Sylvan Learning Systems, Inc. + 1,710,000
- ----------------------------------------------------------------------------------------------
9,028,821
- ----------------------------------------------------------------------------------------------
Electric Utilities (0.3%)
..............................................................................................
310,046 Calenergy, Inc. + 10,425,297
- ----------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (1.9%)
..............................................................................................
467,700 ADT Ltd. + 10,698,638
..............................................................................................
481,035 Applied Materials, Inc. + 17,287,195
..............................................................................................
141,834 CHS Electronics, Inc. + 2,428,907
..............................................................................................
111,100 General Electric Co. 10,985,013
..............................................................................................
120,364 Hewlett-Packard Co. 6,048,291
..............................................................................................
154,700 Lernout & Hauspie Speech Products N.V.
(Belgium) + 2,591,225
..............................................................................................
112,100 Sipex Corp. + 3,615,225
..............................................................................................
275,488 Thermo Instrument Systems, Inc. + 9,125,540
- ----------------------------------------------------------------------------------------------
62,780,034
- ----------------------------------------------------------------------------------------------
Energy-Related (1.3%)
..............................................................................................
1,022,609 Thermo Electron Corp. + 42,182,621
- ----------------------------------------------------------------------------------------------
Entertainment (0.5%)
..............................................................................................
229,593 Disney (Walt) Productions, Inc. 15,985,413
- ----------------------------------------------------------------------------------------------
Environmental Control (0.8%)
..............................................................................................
123,600 Memtec Ltd. ADR (Australia) 4,063,350
..............................................................................................
233,692 Pall Corp. 5,959,146
..............................................................................................
138,752 Republic Industries, Inc. + 4,327,328
..............................................................................................
191,998 U.S. Filter Corp. + 6,095,937
..............................................................................................
174,558 WMX Technologies, Inc. 5,694,955
- ----------------------------------------------------------------------------------------------
26,140,716
- ----------------------------------------------------------------------------------------------
Finance (4.1%)
..............................................................................................
719,101 American Express Co. 40,629,207
..............................................................................................
295,209 Federal Home Loan Mortgage Corp. 32,509,891
..............................................................................................
941,607 Federal National Mortgage Association 35,074,861
..............................................................................................
157,812 Household International, Inc. 14,558,157
..............................................................................................
76,306 Morgan (J.P.) & Co., Inc. 7,449,373
..............................................................................................
46,184 Student Loan Marketing Assn. 4,300,885
- ----------------------------------------------------------------------------------------------
134,522,374
- ----------------------------------------------------------------------------------------------
Financial Services (2.5%)
..............................................................................................
56,180 Aames Financial Corp. 2,015,458
..............................................................................................
180,000 Associates First Capital Corp. 7,942,500
..............................................................................................
113,733 Concord EFS, Inc. + 3,212,957
..............................................................................................
198,969 Countrywide Credit Industries, Inc. 5,695,488
..............................................................................................
74,891 First USA Paymentech, Inc. + 2,536,933
..............................................................................................
1.055,198 MBNA Corp. 43,790,717
..............................................................................................
75,054 RAC Financial Group, Inc. + 1,585,516
..............................................................................................
61,585 Southern Pacific Funding Corp. + 1,916,833
..............................................................................................
290,438 TCF Financial Corp. 12,634,053
- ----------------------------------------------------------------------------------------------
81,330,455
- ----------------------------------------------------------------------------------------------
Food and Beverages (1.2%)
..............................................................................................
619,760 Archer Daniels Midland Co. 13,634,720
..............................................................................................
291,146 PepsiCo, Inc. 8,516,021
..............................................................................................
294,842 Sara Lee Corp. 10,982,865
..............................................................................................
209,928 Whitman Corp. 4,802,103
- ----------------------------------------------------------------------------------------------
37,935,709
- ----------------------------------------------------------------------------------------------
Funeral/Cemetery Services (0.1%)
..............................................................................................
96,700 Loewen Group, Inc. 3,783,388
- ----------------------------------------------------------------------------------------------
Gas Pipelines (0.9%)
..............................................................................................
65,775 El Paso Natural Gas Co. 3,321,638
..............................................................................................
393,125 Enron Corp. 16,953,516
..............................................................................................
160,860 Sonat, Inc. 8,284,290
- ----------------------------------------------------------------------------------------------
28,559,444
- ----------------------------------------------------------------------------------------------
Gas Utilities (0.6%)
..............................................................................................
327,575 Columbia Gas System, Inc. 20,841,959
- ----------------------------------------------------------------------------------------------
Health Care Information Systems (0.5%)
..............................................................................................
258,240 HBO & Co. 15,333,000
- ----------------------------------------------------------------------------------------------
Health Care Services (1.8%)
..............................................................................................
81,650 ABR Information Services, Inc. + 3,214,969
..............................................................................................
55,000 Access Health, Inc. + 2,461,250
..............................................................................................
73,600 American Medical Response + 2,392,000
..............................................................................................
228,170 Cardinal Health, Inc. 13,290,873
..............................................................................................
52,200 Carematrix Corp. + 685,125
..............................................................................................
522,550 Healthsouth Rehabilitation Corp. + 20,183,494
..............................................................................................
161,200 Renal Treatment Centers, Inc. + 4,110,600
..............................................................................................
150,258 Rotech Medical Corp. + 3,155,418
..............................................................................................
123,800 Total Renal Care Holdings, Inc. + 4,487,750
..............................................................................................
28,194 Vencor, Inc. + 891,635
..............................................................................................
176,337 Vivra, Inc. + 4,871,310
- ----------------------------------------------------------------------------------------------
59,744,424
- ----------------------------------------------------------------------------------------------
Home Building (--%)
..............................................................................................
83,906 Clayton Homes, Inc. 1,132,734
- ----------------------------------------------------------------------------------------------
Hospital Management (0.4%)
..............................................................................................
584,864 Health Management Assoc., Inc. + 13,159,440
..............................................................................................
150,000 Physician Reliance Network, Inc. + 1,162,500
- ----------------------------------------------------------------------------------------------
14,321,940
- ----------------------------------------------------------------------------------------------
Household Products (0.9%)
..............................................................................................
258,050 Blyth Industries, Inc. + 11,773,531
..............................................................................................
349,471 Tupperware Corp. 18,740,382
- ----------------------------------------------------------------------------------------------
30,513,913
- ----------------------------------------------------------------------------------------------
Insurance (1.2%)
..............................................................................................
136,091 Aetna, Inc. $10,887,280
..............................................................................................
316,680 American General Corp. 12,944,295
..............................................................................................
83,959 American International Group, Inc. 9,088,562
..............................................................................................
130,000 HCC Insurance Holdings, Inc. 3,120,000
..............................................................................................
222,196 USF&G Corp. 4,638,342
- ----------------------------------------------------------------------------------------------
40,678,479
- ----------------------------------------------------------------------------------------------
Leisure (0.1%)
..............................................................................................
119,600 Family Golf Centers, Inc. + 3,602,950
- ----------------------------------------------------------------------------------------------
Lodging (1.7%)
..............................................................................................
158,300 Doubletree Corp. + 7,123,500
..............................................................................................
232,866 Extended Stay America, Inc. + 4,686,428
..............................................................................................
511,052 HFS, Inc. + 30,535,357
..............................................................................................
329,700 Prime Hospitality Corp. + 5,316,413
..............................................................................................
133,100 Promus Hotel Corp. + 3,943,088
..............................................................................................
103,822 Renaissance Hotel Group N.V.
(Hong Kong) + 2,439,817
..............................................................................................
28,100 Studio Plus Hotels, Inc. + 442,575
- ----------------------------------------------------------------------------------------------
54,487,178
- ----------------------------------------------------------------------------------------------
Medical Management Services (0.8%)
..............................................................................................
25,800 NCS HealthCare, Inc. Class A + 751,425
..............................................................................................
88,700 OccuSystems, Inc. + 2,394,900
..............................................................................................
637,420 Phycor, Inc. + 18,086,793
..............................................................................................
96,500 Phymatrix, Inc. + 1,375,125
..............................................................................................
19,700 Physicians Resource Group, Inc. + 349,675
..............................................................................................
80,135 Sunrise Assisted Living, Inc. + 2,233,763
- ----------------------------------------------------------------------------------------------
25,191,681
- ----------------------------------------------------------------------------------------------
Medical Supplies and Devices (5.2%)
..............................................................................................
28,650 American HomePatient, Inc. + 780,713
..............................................................................................
75,300 Bard (C.R.), Inc. 2,108,400
..............................................................................................
342,879 Boston Scientific Corp. + 20,572,740
..............................................................................................
54,500 Endosonics Corp. + 831,125
..............................................................................................
415,781 Johnson & Johnson 20,685,105
..............................................................................................
125,600 Lifecore Biomedical, Inc. + 2,260,800
..............................................................................................
44,800 Mallinckrodt, Inc. 1,976,800
..............................................................................................
211,900 Medtronic, Inc. 14,409,200
..............................................................................................
42,240 Minimed, Inc. + 1,362,240
..............................................................................................
53,800 Neuromedical Systems, Inc. + 712,850
..............................................................................................
199,673 Omnicare, Inc. 6,414,495
..............................................................................................
136,263 Physician Sales & Service, Inc. + 1,958,781
..............................................................................................
239,566 Shared Medical Systems Corp. 11,798,626
..............................................................................................
221,700 Sola International, Inc. + 8,424,600
..............................................................................................
84,655 Spine-Tech, Inc. + 2,116,375
..............................................................................................
481,371 St. Jude Medical, Inc. + 20,518,439
..............................................................................................
1,043,142 Stryker Corp. + 31,163,867
..............................................................................................
382,168 Thermo Cardiosystems, Inc. + 11,465,040
..............................................................................................
84,000 Thermotrex Corp. + 2,299,500
..............................................................................................
6,570 Trex Medical Corp. + 85,410
..............................................................................................
218,465 U.S. Surgical Corp. 8,602,059
- ----------------------------------------------------------------------------------------------
170,547,165
- ----------------------------------------------------------------------------------------------
Metals and Mining (0.4%)
..............................................................................................
299,549 Freeport-McMoRan Copper &
Gold Co., Inc. Class A 8,424,816
..............................................................................................
197,850 Miller Industries, Inc./Tennessee + 3,957,000
- ----------------------------------------------------------------------------------------------
12,381,816
- ----------------------------------------------------------------------------------------------
Networking Equipment (4.3%)
..............................................................................................
329,340 Ascend Communications, Inc. + 20,460,248
..............................................................................................
640,889 Bay Networks Inc. + 13,378,558
..............................................................................................
9,000 Black Box Corp. + 371,250
..............................................................................................
1,203,694 Cabletron Systems, Inc. + 40,022,826
..............................................................................................
354,926 Cascade Communications Corp. + 19,565,296
..............................................................................................
567,176 Cisco Systems, Inc. + 36,086,573
..............................................................................................
185,862 Shiva Corp. + 6,481,937
..............................................................................................
58,784 U.S. Robotics Corp. + 4,232,448
- ----------------------------------------------------------------------------------------------
140,599,136
- ----------------------------------------------------------------------------------------------
Nursing Homes (0.3%)
..............................................................................................
309,600 Health Care & Retirement Corp. + 8,862,300
- ----------------------------------------------------------------------------------------------
Office Equipment (1.3%)
..............................................................................................
170,433 Alco Standard Corp. 7,158,186
..............................................................................................
156,900 BT Office Products International, Inc. + 1,392,488
..............................................................................................
867,849 Viking Office Products, Inc. + 23,160,720
..............................................................................................
207,493 Xerox Corp. 10,919,319
- ----------------------------------------------------------------------------------------------
42,630,713
- ----------------------------------------------------------------------------------------------
Oil and Gas (3.0%)
..............................................................................................
88,098 British Petroleum Co. PLC ADR
(United Kingdom) 12,454,855
..............................................................................................
54,534 Exxon Corp. 5,344,332
..............................................................................................
223,886 Halliburton Co. 13,489,132
..............................................................................................
240,213 Mobil Corp. 29,366,039
..............................................................................................
104,881 Production Operators Corp. 4,876,967
..............................................................................................
125,454 Schlumberger Ltd. 12,529,718
..............................................................................................
535,224 Total Corp. ADR (France) 21,542,766
- ----------------------------------------------------------------------------------------------
99,603,809
- ----------------------------------------------------------------------------------------------
Paper and Forest Products (0.5%)
..............................................................................................
147,212 Fort Howard Corp. + 4,075,932
..............................................................................................
50,067 Unisource Worldwide, Inc. + 1,013,847
..............................................................................................
53,910 Temple Inland, Inc. 2,917,879
..............................................................................................
195,125 Weyerhaeuser Co. 9,244,047
- ----------------------------------------------------------------------------------------------
17,251,705
- ----------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (4.2%)
..............................................................................................
141,804 Astra AB (Sweden) 6,987,053
..............................................................................................
185,767 Biochem Pharmaceutical, Inc. + 9,334,792
..............................................................................................
125,662 Dura Pharmaceuticals, Inc. + 6,000,361
..............................................................................................
238,522 Elan Corp. PLC ADR (Ireland) + 7,930,857
..............................................................................................
236,200 Gilead Sciences, Inc. + 5,905,000
..............................................................................................
182,033 IDEXX Laboratories, Inc. + 6,553,188
..............................................................................................
183,600 Lilly (Eli) & Co. 13,402,800
..............................................................................................
82,000 Martek Biosciences Corp. + 1,640,000
..............................................................................................
130,173 Merck & Co., Inc. 10,316,210
..............................................................................................
39,120 Neurogen Corp. + 753,060
..............................................................................................
77,823 Parexel International Corp. + 4,017,612
..............................................................................................
336,528 Pfizer, Inc. 27,889,758
..............................................................................................
613,459 Pharmacia & Upjohn, Inc. 24,308,313
..............................................................................................
166,955 Smithkline Beecham PLC ADR
(United Kingdom) 11,352,940
..............................................................................................
3,200 Transkaryotic Therapies, Inc. (Malaysia) 59,200
..............................................................................................
37,500 Warner-Lambert Co. 2,812,500
- ----------------------------------------------------------------------------------------------
139,263,644
- ----------------------------------------------------------------------------------------------
Photography (1.4%)
..............................................................................................
305,800 Eastman Kodak Co. 24,540,450
..............................................................................................
495,100 Polaroid Corp. 21,536,850
- ----------------------------------------------------------------------------------------------
46,077,300
- ----------------------------------------------------------------------------------------------
Publishing (2.5%)
..............................................................................................
578,805 Deluxe Corp. 18,955,864
..............................................................................................
50,000 Gannett Co., Inc. 3,743,750
..............................................................................................
212,795 Harcourt General, Inc. 9,815,169
..............................................................................................
111,400 McGraw-Hill, Inc. 5,138,325
..............................................................................................
111,350 Tribune Co. 8,782,731
..............................................................................................
262,345 Wolters Kluwer N.V. (Netherlands) 34,846,728
- ----------------------------------------------------------------------------------------------
81,282,567
- ----------------------------------------------------------------------------------------------
Railroads (0.7%)
..............................................................................................
128,844 Burlington Northern Santa Fe Corp. 11,128,901
..............................................................................................
288,225 Wisconsin Central Transportation Corp. + 11,420,916
- ----------------------------------------------------------------------------------------------
22,549,817
- ----------------------------------------------------------------------------------------------
Restaurants (0.9%)
..............................................................................................
324,604 Applebee's International, Inc. 8,926,610
..............................................................................................
226,996 Boston Chicken, Inc. + 8,143,482
..............................................................................................
449,066 J.D. Wetherspoon PLC (United Kingdom) 8,994,963
..............................................................................................
176,000 Landry's Seafood Restaurants, Inc. + 3,762,000
..............................................................................................
30,900 PizzaExpress PLC (United Kingdom) 279,052
- ----------------------------------------------------------------------------------------------
30,106,107
- ----------------------------------------------------------------------------------------------
Retail (6.9%)
..............................................................................................
369,803 Bed Bath & Beyond, Inc. + 8,967,723
..............................................................................................
181,463 Boise Cascade Office Products + 3,810,723
..............................................................................................
863,198 CompUSA, Inc. + 17,803,459
..............................................................................................
390,601 Dayton Hudson Corp. 15,331,089
..............................................................................................
1,312,345 Dixons Group PLC (United Kingdom) 12,188,535
..............................................................................................
334,757 Federated Department Stores + 11,423,583
..............................................................................................
87,900 Global DirectMail Corp. + 3,834,638
..............................................................................................
231,948 Kohls Corp. + 9,103,959
..............................................................................................
541,225 Lowe's Cos., Inc. 19,213,488
..............................................................................................
1,320,518 Officemax, Inc. + 14,030,504
..............................................................................................
240,208 Payless Shoesource, Inc. + 9,007,800
..............................................................................................
203,527 Petco Animal Supplies, Inc. + 4,223,185
..............................................................................................
1,233,824 Price/Costco, Inc. + 30,999,828
..............................................................................................
460,250 Revco D.S., Inc. + 17,029,250
..............................................................................................
262,037 Rite Aid Corp. 10,415,971
..............................................................................................
173,291 Saks Holdings, Inc. + 4,678,857
..............................................................................................
495,611 Staples, Inc. + 8,951,974
..............................................................................................
937,505 Starbucks Corp. + 26,836,081
- ----------------------------------------------------------------------------------------------
227,850,647
- ----------------------------------------------------------------------------------------------
Satellite Services (0.3%)
..............................................................................................
414,085 PanAmSat Corp. + 11,594,380
- ----------------------------------------------------------------------------------------------
Semiconductors (3.2%)
..............................................................................................
56,700 Actel Corp. + 1,346,625
..............................................................................................
378,777 Analog Devices, Inc. + 12,831,071
..............................................................................................
95,733 Lattice Semiconductor Corp. 4,403,718
..............................................................................................
458,020 Linear Technology Corp. 20,095,628
..............................................................................................
606,657 Maxim Integrated Products Inc. + 26,237,915
..............................................................................................
35,000 Microchip Technology, Inc. + 1,780,625
..............................................................................................
507,631 National Semiconductor Corp. + 12,373,506
..............................................................................................
168,544 SGS-Thomson Microelectronics ADR
(France) + 11,798,080
..............................................................................................
125,000 Texas Instruments, Inc. 7,968,750
..............................................................................................
196,551 Xilinx, Inc. + 7,235,534
- ----------------------------------------------------------------------------------------------
106,071,452
- ----------------------------------------------------------------------------------------------
Specialty Consumer Products (0.4%)
..............................................................................................
73,498 Central Garden and Pet Co. + 1,548,052
..............................................................................................
269,012 Fastenal Co. 12,307,299
- ----------------------------------------------------------------------------------------------
13,855,351
- ----------------------------------------------------------------------------------------------
Steel (0.1%)
..............................................................................................
53,688 Nucor Corp. 2,738,088
- ----------------------------------------------------------------------------------------------
Supermarkets (0.4%)
..............................................................................................
20,700 Carrefour Supermarche (France) 13,468,864
- ----------------------------------------------------------------------------------------------
Telecommunication Equipment (1.4%)
..............................................................................................
35,600 Andrew Corp. + 1,889,025
..............................................................................................
84,407 Brooks Fiber Properties, Inc. + 2,152,379
..............................................................................................
281,600 Pairgain Technologies, Inc. + 8,571,200
..............................................................................................
385,561 Picturetel Corp. + 10,024,586
..............................................................................................
585,759 Tellabs, Inc. + 22,039,182
..............................................................................................
19,700 West TeleServices Corp. + 448,175
- ----------------------------------------------------------------------------------------------
45,124,547
- ----------------------------------------------------------------------------------------------
Telephone Services (2.2%)
..............................................................................................
18,200 Deutsche Telekom AG ADR (Germany) + 370,825
..............................................................................................
267,320 GTE Corp. 12,163,060
..............................................................................................
57,000 Intermedia Communications, Inc. + 1,467,750
..............................................................................................
95,856 IXC Communications, Inc. + 2,947,572
..............................................................................................
162,619 LCI International, Inc. + 3,496,309
..............................................................................................
406,771 MCI Communications Corp. 13,296,327
..............................................................................................
308,600 McLeod, Inc. Class A + 7,869,300
..............................................................................................
24,800 Pacific Gateway Exchange, Inc. + 905,200
..............................................................................................
371,290 Sprint Corp. 14,805,189
..............................................................................................
117,376 Tel-Save Holdings, Inc. + 3,403,904
..............................................................................................
413,313 WorldCom, Inc. + 10,771,970
- ----------------------------------------------------------------------------------------------
71,497,406
- ----------------------------------------------------------------------------------------------
Textiles (0.2%)
..............................................................................................
172,000 St. John Knits, Inc. 7,482,000
- ----------------------------------------------------------------------------------------------
Tobacco (0.3%)
..............................................................................................
326,284 UST, Inc. 10,563,445
- ----------------------------------------------------------------------------------------------
Trucking (0.2%)
..............................................................................................
288,900 Ryder System, Inc. 8,125,313
- ----------------------------------------------------------------------------------------------
Wireless Communications (1.2%)
..............................................................................................
285,061 Airtouch Communications, Inc. + 7,197,790
..............................................................................................
110,566 CellNet Data Systems, Inc. + 1,617,028
..............................................................................................
131,791 Clearnet Communications, Inc. Class A
(Canada) + 1,449,701
..............................................................................................
103,402 ICG Communications, Inc. + 1,822,460
..............................................................................................
1,355,810 NEXTEL Communications, Inc. Class A + 17,710,268
..............................................................................................
485,996 Paging Network, Inc. + 7,411,439
..............................................................................................
159,600 Preferred Networks, Inc. + 1,037,400
..............................................................................................
26,100 Western Wireless Corp. Class A + 362,138
- ----------------------------------------------------------------------------------------------
38,608,224
- ----------------------------------------------------------------------------------------------
Total Common Stocks
(cost $2,502,257,773) $3,125,383,941
- ----------------------------------------------------------------------------------------------
PREFERRED STOCKS (0.2%)* (cost $7,244,696)
- ----------------------------------------------------------------------------------------------
Number of Shares Value
..............................................................................................
39,380 Fresenius AG pfd. (Germany) + $8,129,075
- ----------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (--%)* (cost $335,000)
- ----------------------------------------------------------------------------------------------
Number of Shares Value
..............................................................................................
6,700 Vanstar Corp. 144A $3.375 cv. pfd. $346,725
- ----------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (5.7%) *
- ----------------------------------------------------------------------------------------------
Principal Amount Value
..............................................................................................
$30,000,000 Corporate Asset Funding Corp. effective
yield of 5.3%, January 22, 1997 $29,907,243
..............................................................................................
25,000,000 Federal Home Loan Mortgage Corp.
effective yield of 5.21%, February 12, 1997 24,848,042
..............................................................................................
25,000,000 Federal National Mortgage Association
effective yield of 5.24%, January 29, 1997 24,898,111
..............................................................................................
22,000,000 H.J. Heinz Company effective yield of
5.42%, January 21, 1997 21,933,756
..............................................................................................
25,000,000 Merrill Lynch & Co. Inc. effective yield of
5.35%, January 31, 1997 24,888,542
..............................................................................................
60,886,000 Interest in $716,873,000 joint repurchase
agreement dated December 31, 1996
with UBS Securities due January 2, 1997
with respect to various U.S. Treasury
obligations -- maturity value of
$60,908,832 for an effective yield
of 6.75% 60,897,416
- ----------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $187,373,110) $187,373,110
- ----------------------------------------------------------------------------------------------
Total Investments
(cost $2,697,210,579) *** $3,321,232,851
- ----------------------------------------------------------------------------------------------
See page 76 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
PUTNAM VARIABLE TRUST
Notes to the Portfolios
December 31, 1996
* Percentages indicated are based on net assets.
+ Non-income-producing security.
++ The interest rate and date shown parenthetically represents
the new interest rate to be paid and the date the fund will
begin receiving interest income at this rate.
+++ A portion of the income will be received in additional
securities.
++++ Restricted, excluding 144A securities, as to public resale.
The total market value of restricted securities by fund did
not exceed 1% of each fund's net assets.
+++++ Income may be received in cash or additional securities at the
discretion of the issuer.
# A portion of these securities was pledged and segregated with
the custodian to cover margin requirements for futures
contracts at December 31, 1996.
## When-issued securities or forward commitments (Note 1).
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).
The rates shown on Floating Rate Bonds (FRB) and Floating Rate
Notes (FRN) are the current interest rates at December 31,
1996, which are subject to change based on the terms of the
security.
*** On December 31, 1996, the composition of unrealized
appreciation and (depreciation) of investment securities based
on the aggregate cost of investments on a tax basis was as
follows:
<TABLE>
<CAPTION>
Federal Tax
Appreciation (Depreciation) Net Cost
------------ -------------- ------------ ------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund $ 11,807,946 $ (4,960,979) $ 6,846,967 $ 124,340,297
Putnam VT Diversified Income Fund 13,734,534 (5,770,960) 7,963,574 487,805,241
Putnam VT Global Asset Allocation Fund 86,809,118 (7,374,437) 79,434,681 674,576,497
Putnam VT Global Growth Fund 214,028,182 (30,056,780) 183,971,402 1,180,054,080
Putnam VT Growth and Income Fund 1,018,431,305 (52,252,333) 966,178,972 4,714,217,456
Putnam VT High Yield Fund 52,260,828 (32,723,681) 19,537,147 752,994,328
Putnam VT Money Market Fund -- -- -- --
Putnam VT New Opportunities Fund 249,205,026 (85,098,061) 164,106,965 1,527,807,520
Putnam VT U.S. Government and
High Quality Bond Fund 17,605,084 (8,823,516) 8,781,568 813,042,812
Putnam VT Utilities Growth
and Income Fund 92,497,302 (11,138,630) 81,358,672 571,769,648
Putnam VT Voyager Fund 730,383,028 (120,515,544) 609,867,484 2,711,365,367
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FIANACIAL STATEMENTS.
</TABLE>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<TABLE>
<CAPITON>
PUTNAM VARIABLE TRUST
Statement of Assets and Liabilities
- ------------------------------------------------------------------------------------------------------------------------------
December 31, 1996
Putnam VT Putnam VT Putnam VT Putnam VT Putnam VT
Asia Pacific Diversified Global Asset Global Growth Growth and
Growth Fund Income Fund Allocation Fund Fund Income Fund
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Assets
Investments in securities,
at value (Note 1) $131,187,264 $495,768,815 $754,011,178 $1,364,025,482 $5,680,396,428
Cash 765,041 1,622,695 3,464,706 10,455,293 15,972,910
Foreign currency, at value -- -- 2,763,339 245,618 --
Dividends, interest, and other receivables 128,604 9,245,457 5,436,655 1,556,887 15,889,054
Receivable for shares of the fund sold 189,070 6,715 203,273 1,834,027 3,279,416
Receivable for securities sold 1,260,603 1,297,235 8,227,562 14,829,273 5,192,129
Receivable for variation margin -- -- 3,889,109 -- --
Receivable for open forward
currency contracts 823,021 1,215,215 999,524 4,860,721 --
Receivable for closed forward
currency contracts 181,300 466,810 591,886 3,894,849 --
Foreign tax reclaim 20,313 -- 91,353 861,906 22,069
..............................................................................................................................
Total assets 134,555,216 509,622,942 779,678,585 1,402,564,056 5,720,752,006
..............................................................................................................................
Liabilities
Payable to subcustodian (Note 2) -- -- -- -- --
Payable for variation margin -- -- -- -- --
Payable for securities purchased 3,676,841 9,966,968 24,562,908 54,493,402 34,208,360
Payable for shares of the fund repurcha -- 2,032,054 -- -- 381,195
Payable for compensation of Manager (Note 2) 243,404 828,036 1,199,897 1,915,522 6,453,559
Payable for investor servicing
and custodian fees
(Note 2) 28,866 44,736 96,391 218,624 174,928
Payable for compensation of Trustees (Note 2) 1,075 7,339 11,635 17,516 11,740
Payable for administrative services (Note 2) 2,015 2,109 3,070 5,741 10,319
Payable for open forward currency contracts -- 1,567,489 977,852 468,650 --
Payable for closed forward currency contracts -- 265,906 195,640 322,828 --
TBA sale commitments, at value
(proceeds receivable $4,749,065) -- -- 4,743,879 -- --
Other accrued expenses 55,431 96,990 153,054 234,941 412,303
.............................................................................................................................
Total liabilities 4,007,632 14,811,627 31,944,326 57,677,224 41,652,404
..............................................................................................................................
Net assets $130,547,584 $494,811,315 $747,734,259 $1,344,886,832 $5,679,099,602
..............................................................................................................................
Represented by:
Paid-in capital (Notes 1 and 4) $122,862,310 $455,103,573 $596,185,416 $1,088,676,803 $4,284,231,442
Undistributed net investment
income (loss) (Note 1) 1,775,888 27,720,672 24,025,712 29,235,076 123,367,843
Accumulated net realized gain (loss)
on investments
and foreign currency transactions (Note 1) (2,367,199) 2,741,650 42,665,272 34,625,518 295,968,021
Net unrealized appreciation of
investments and assets and liabilities in
foreign currencies 8,276,585 9,245,420 84,857,859 192,349,435 975,532,296
..............................................................................................................................
Total--Representing net assets
applicable tocapital shares
outstanding $130,547,584 $494,811,315 $747,734,259 $1,344,886,832 $5,679,099,602
..............................................................................................................................
Computation of net asset value
Number of shares outstanding 11,855,445 43,893,169 43,350,143 79,683,919 231,214,083
Net asset value, offering price
and redemption price per share
(net assets divided by number
of shares outstanding) $11.01 $11.27 $17.25 $16.88 $24.56
..............................................................................................................................
Cost of investments (Note 1) $123,733,344 $486,151,609 $671,903,832 $1,176,098,045 $4,704,872,056
Cost of foreign currency (Note 1) -- -- 2,812,005 242,558 --
- -----------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FIANACIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
Statement of Assets and Liabilities
- --------------------------------------------------------------------------------------------------------------------------------
December 31, 1996 Putnam VT U.S. Putnam VT
Putnam VT Putnam VT Putnam VT New Government Utilities Putnam VT
High Yield Money Opportunities and High Quality Growth and Voyager
Growth Fund Market Fund Fund Bond Fund Income Fund Fund
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Assets
Investments in securities,
at value (Note 1) $ 772,531,475 $ 432,417,732 $ 1,691,914,485 $ 821,824,380 $ 653,128,320 $ 3,321,232,851
Cash 2,108,842 557 1,648,088 322,802 -- 1,589,835
Foreign currency, at value -- -- -- -- -- --
Dividends, interest,
and other receivables 11,516,021 1,142,224 632,279 10,252,374 3,464,121 1,909,439
Receivable for shares
of the fund sold 4,644 4,138,677 3,869,777 52 1,764,046 1,077,473
Receivable for securities
sold -- -- 5,042,718 -- 335,556 14,653,288
Receivable for variation
margin -- -- -- -- -- --
Receivable for open forward
currency contracts -- -- -- 646,881 -- --
Receivable for closed
forward currency contracts -- -- -- 78,233 -- --
Foreign tax reclaim -- -- 2,459 -- 13,283 48,384
................................................................................................................................
Total assets 786,160,982 437,699,190 1,703,109,806 833,124,722 658,705,326 3,340,511,270
................................................................................................................................
Liabilities
Payable to subcustodian
(Note 2) -- -- -- -- 29,755 --
Payable for variation
margin -- -- -- 171,250 -- --
Payable for securities
purchased 14,295,680 -- 25,986,822 52,416,176 -- 53,050,334
Payable for shares of
the fund repurchased 614,115 2,115 117,750 29,235 38,233 954,307
Payable for compensation
of Manager (Note 2) 1,198,042 484,282 2,453,878 1,200,412 1,078,069 4,455,133
Payable for investor
servicing and custodian
fees (Note 2) 7,070 40,685 96,695 42,284 35,168 155,197
Payable for compensation
of Trustees (Note 2) 11,174 5,358 12,002 13,289 3,545 26,175
Payable for administrative
services (Note 2) 3,151 1,793 5,776 3,012 3,128 9,654
Payable for open forward
currency contracts -- -- -- 224,504 -- --
Payable for closed forward
currency contracts -- -- -- -- -- --
TBA sales commitments,
at value (proceeds
receivable $4,749,065) -- -- -- -- -- --
Other accrued expenses 113,951 32,656 240,186 100,997 88,394 370,438
................................................................................................................................
Total liabilities 16,243,183 566,889 28,913,109 54,201,159 1,276,292 59,021,238
................................................................................................................................
Net assets $769,917,799 $437,132,301 $1,674,196,697 $778,923,563 $657,429,034 $3,281,490,032
................................................................................................................................
Represented by:
Paid-in capital (Notes
1 and 4) $ 692,005,379 $ 437,132,301 $ 1,541,518,630 $ 727,124,545 $ 518,717,290 $ 2,511,810,128
Undistributed net
investment income
(loss) (Note 1) 57,863,338 -- (3,300) 48,438,520 24,041,912 6,892,836
Accumulated net realized
gain (loss) on investments
and foreign currency
transactions (Note 1) 134,410 -- (32,755,137) (5,471,694) 33,091,203 138,764,796
Net unrealized appreciation
of investments and assets
and liabilities in
foreign currencies 19,914,672 -- 165,436,504 8,832,192 81,578,629 624,022,272
................................................................................................................................
Total--Representing net
assets applicable to
capital shares outstanding $769,917,799 $437,132,301 $1,674,196,697 $778,923,563 $657,429,034 $3,281,490,032
................................................................................................................................
Computation of net asset
value
Number of shares
outstanding 59,425,005 437,132,301 97,206,802 58,983,969 44,416,497 100,874,389
Net asset value, offering
price and redemption price
per share (net assets
divided by number of
shares outstanding) $ 12.96 $ 1.00 $ 17.22 $ 13.21 $ 14.80 $ 32.53
................................................................................................................................
Cost of investments
(Note 1) $ 752,616,803 $ 432,417,732 $ 1,526,478,214 $ 813,033,971 $ 571,549,799 $ 2,697,210,579
Cost of foreign currency
(Note 1) -- -- -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
PUTNAM VARIABLE TRUST
Statement of Operations
- ------------------------------------------------------------------------------------------------------------------------------
December 31, 1996
Putnam VT Putnam VT Putnam VT Putnam VT Putnam VT
Asia Pacific Diversified Global Asset Global Growth Growth and
Growth Fund Income Fund Allocation Fund Fund Income Fund
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Investment income:
Dividends $ 1,442,437 $ 651,106 $ 7,481,576 $ 19,926,380 $ 128,572,182
Interest 409,923 32,072,470 17,087,758 2,864,752 21,956,070
Less: foreign taxes withheld (145,211) (106,341) (89,001) (1,371,189) (551,948)
................................................................................................................................
Total investment income 1,707,149 32,617,235 24,480,333 21,419,943 149,976,304
................................................................................................................................
Expenses:
Compensation of Manager (Note 2) 681,628 2,766,551 4,262,397 6,444,626 21,454,942
Investor servicing and custodian
fees (Note 2) 292,859 363,626 732,753 1,410,664 1,310,760
Compensation of Trustees (Note 2) 8,237 22,473 32,674 51,623 92,227
Administrative services (Note 2) 8,321 8,491 13,523 21,031 41,773
Reports to shareholders 9,961 19,120 26,043 67,217 124,790
Auditing 28,990 44,319 48,488 47,796 68,382
Legal 7,300 20,252 12,129 22,232 70,618
Postage 13,428 35,624 78,253 134,139 256,081
Other -- 2,619 7,557 7,630 31,236
................................................................................................................................
Total expenses 1,050,724 3,283,075 5,213,817 8,206,958 23,450,809
................................................................................................................................
Expense reduction (Note 2) (63,474) (106,206) (43,383) (195,394) (327,076)
Net expenses 987,250 3,176,869 5,170,434 8,011,564 23,123,733
................................................................................................................................
Net investment income (loss) 719,899 29,440,366 19,309,899 13,408,379 126,852,571
................................................................................................................................
Net realized gain (loss)
on investments (Notes 1 and 3) (2,086,162) 6,164,121 45,846,053 38,250,285 309,692,724
Net realized gain on futures
contracts (Note 1) -- -- 3,841,133 -- --
Net realized gain on written options
(Notes 1 and 3) -- 65,000 -- -- --
Net realized gain (loss) on foreign
currency transactions
(Note 1) 1,122,638 (2,126,989) 1,205,508 23,295,748 494
Net unrealized appreciation
(depreciation) of assets and
liabilities in foreign currencies
during the year 525,121 (148,257) (722,723) (3,182,405) 7,924
Net unrealized appreciation (depreciation)
of investments, futures, and TBA sale
commitments during the year 7,107,393 2,997,080 24,090,645 99,459,318 454,649,995
................................................................................................................................
Net gain (loss) on investments 6,668,990 6,950,955 74,260,616 157,822,946 764,351,137
................................................................................................................................
Net increase in net assets resulting
from operations $7,388,889 $36,391,321 $93,570,515 $171,231,325 $891,203,708
- --------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
December 31, 1996 Putnam VT U.S. Putnam VT
Putnam VT Putnam VT Putnam VT New Government Utilities Putnam VT
High Yield Money Opportunities and High Quality Growth and Voyager
Growth Fund Market Fund Fund Bond Fund Income Fund Fund
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Investment income:
Dividends $ 2,056,317 $ -- $ 1,875,819 $ -- $ 21,706,130 $ 19,802,422
Interest 60,524,517 20,504,430 4,586,640 53,714,946 7,236,255 6,753,911
Less: foreign taxes withheld -- -- (38,376) -- (163,831) (315,245)
................................................................................................................................
Total investment income 62,580,834 20,504,430 6,424,083 53,714,946 28,778,554 26,241,088
................................................................................................................................
Expenses:
Compensation of Manager
(Note 2) 4,142,115 1,689,370 7,144,796 4,628,688 3,753,576 15,143,788
Investor servicing and
custodian fees (Note 2) 292,826 221,141 582,144 346,024 338,515 1,063,357
Compensation of Trustees
(Note 2) 30,829 16,729 39,310 35,833 25,464 87,120
Administrative services
(Note 2) 12,630 6,865 20,964 9,464 13,785 35,922
Reports to shareholders 28,078 8,621 66,203 25,132 24,660 117,685
Auditing 46,271 26,582 44,196 36,439 35,064 56,709
Legal 31,196 17,530 24,789 12,486 14,545 47,956
Postage 47,949 16,880 144,668 49,298 53,369 229,184
Other 4,509 2,563 -- -- 4,643 19,195
................................................................................................................................
Total expenses 4,636,403 2,006,281 8,067,070 5,143,364 4,263,621 16,800,916
................................................................................................................................
Expense reduction (Note 2) (125,190) (1,748) (187,206) (66,922) (102,147) (236,551)
Net expenses 4,511,213 2,004,533 7,879,864 5,076,442 4,161,474 16,564,365
................................................................................................................................
Net investment income (loss) 58,069,621 18,499,897 (1,455,781) 48,638,504 24,617,080 9,676,723
................................................................................................................................
Net realized gain (loss)
on investments (Notes 1 and 3) 7,121,738 -- (30,518,627) 2,233,938 38,110,862 151,713,129
Net realized gain on futures
contracts (Note 1) -- -- -- 2,898,339 -- --
Net realized gain on
written options (Notes 1
and 3) -- -- -- -- -- --
Net realized gain (loss)
on foreign currency
transactions (Note 1) -- -- 225 (158,736) (1,928) --
Net unrealized appreciation
(depreciation) of assets and
liabilities in foreign
currencies during the year -- -- 253 642,839 (107) --
Net unrealized appreciation
(depreciation) of investments,
futures, and TBA sale
commitments during the year 9,330,741 -- 71,887,399 (36,047,898) 25,666,424 126,735,828
................................................................................................................................
Net gain (loss)
on investments 16,452,479 -- 41,369,250 (30,431,518) 63,775,251 278,448,957
................................................................................................................................
Net increase in net
assets resulting from
operations $74,522,100 $18,499,897 $39,913,469 $18,206,986 $88,392,331 $288,125,680
- --------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
PUTNAM VARIABLE TRUST
Statement of Changes in Net Assets
- --------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT Putnam VT
Asia Pacific Growth Fund Diversified Income Fund Global Asset Allocation Fund
- --------------------------------------------------------------------------------------------------------------------------------
Year ended Year ended Year ended Year ended Year ended Year ended
December 31 December 31 December 31 December 31 December 31 December 31
1996 1995 1996 1995 1996 1995
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Increase in net assets
Operations:
Net investment
income (loss) $ 719,899 $ 90,233 $ 29,440,366 $ 19,521,438 $ 19,309,899 $ 15,376,527
Net realized gain (loss)
on investments and
foreign currency
transactions (963,524) (151,962) 4,102,132 6,168,362 50,892,694 30,375,882
Net unrealized
appreciation
(depreciation) of
investments and
assets and liabilities
in foreign currencies 7,632,514 644,071 2,848,823 17,173,203 23,367,922 56,425,021
................................................................................................................................
Net increase in net assets
resulting from operations 7,388,889 582,342 36,391,321 42,863,003 93,570,515 102,177,430
................................................................................................................................
Distributions to
shareholders:
From net investment
income (807,399) -- (20,930,343) (11,017,722) (15,253,707) (7,825,970)
From net realized gain
on investments -- -- -- -- (28,669,963) --
In excess of net
realized gain -- -- -- -- -- --
Return of capital -- -- -- -- -- --
Increase from capital share
transactions (Note 4) 98,921,481 24,462,271 175,629,544 55,940,183 162,421,034 27,092,126
................................................................................................................................
Total increase in
net assets 105,502,971 25,044,613 191,090,522 87,785,464 212,067,879 121,443,586
................................................................................................................................
Net assets:
Beginning of period 25,044,613 -- 303,720,793 215,935,329 535,666,380 414,222,794
................................................................................................................................
End of period $130,547,584 $25,044,613 $494,811,315 $303,720,793 $747,734,259 $535,666,380
................................................................................................................................
Undistributed net
investment income (loss),
end of period $ 1,775,888 $ 260,391 $ 27,720,672 $ 19,613,479 $ 24,025,712 $ 13,978,178
- --------------------------------------------------------------------------------------------------------------------------------
*From May 1, 1995 (commencement of operations) to December 31, 1995.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT Putnam VT
Global Growth Fund Growth and Income Fund High Yield Fund
- --------------------------------------------------------------------------------------------------------------------------------
Year ended Year ended Year ended Year ended Year ended Year ended
December 31 December 31 December 31 December 31 December 31 December 31
1996 1995 1996 1995 1996 1995
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Increase in net assets
Operations:
Net investment
income (loss) $ 13,408,379 $ 10,726,278 $ 126,852,571 $ 84,127,619 $ 58,069,621 $ 39,168,582
Net realized gain
(loss) on investments
andforeign currency
transactions 61,546,033 27,182,770 309,693,218 149,378,098 7,121,738 (3,056,512)
Net unrealized
appreciation
(depreciation)
of investments
and assets and
liabilities in
foreign currencies 96,276,913 70,328,980 454,657,919 540,953,657 9,330,741 32,473,048
................................................................................................................................
Net increase in net assets
resulting from operations 171,231,325 108,238,028 891,203,708 774,459,374 74,522,100 68,585,118
................................................................................................................................
Distributions to shareholders:
From net investment income (15,171,883) (5,241,911) (86,191,810) (61,294,430) (37,899,438) (32,248,315)
From net realized gain
on investments (33,603,350) (12,181,203) (150,161,126) (34,820,960) -- --
In excess of net
realized gain -- -- -- -- -- --
Return of capital -- -- -- -- -- --
Increase from capital share
transactions (Note 4) 390,837,723 70,957,272 1,711,942,726 726,581,767 234,827,985 135,010,928
................................................................................................................................
Total increase in net assets 513,293,815 161,772,186 2,366,793,498 1,404,925,751 271,450,647 171,347,731
................................................................................................................................
Net assets:
Beginning of period 831,593,017 669,820,831 3,312,306,104 1,907,380,353 498,467,152 327,119,421
................................................................................................................................
End of period $1,344,886,832 $831,593,017 $5,679,099,602 $3,312,306,104 $769,917,799 $498,467,152
................................................................................................................................
Undistributed net
investment income
(loss), end
of period $ 29,235,076 $ 9,392,474 $ 123,367,843 $ 82,592,880 $ 57,863,338 $ 37,603,875
- --------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
PUTNAM VARIABLE TRUST
Statement of Changes in Net Assets (continued)
- --------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT Putnam VT U.S. Government
Money Market Fund New Opportunities Fund and High Quality Bond Fund
- --------------------------------------------------------------------------------------------------------------------------------
Year ended Year ended Year ended Year ended Year ended Year ended
December 31 December 31 December 31 December 31 December 31 December 31
1996 1995 1996 1995 1996 1995
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Increase in net assets
Operations:
Net investment
income (loss) $ 18,499,897 $ 12,801,231 $ (1,455,781) $ (63,494) $ 48,638,504 $ 42,109,222
Net realized gain (loss)
on investments and
foreign currency
transactions -- -- (30,518,402) (2,173,197) 4,973,541 20,343,716
Net unrealized
appreciation
(depreciation)
of investments
and assets and
liabilities in
foreign currencies -- -- 71,887,652 90,775,571 (35,405,059) 62,812,274
................................................................................................................................
Net increase in net assets
resulting from operations 18,499,897 12,801,231 39,913,469 88,538,880 18,206,986 125,265,212
................................................................................................................................
Distributions to
shareholders:
From net investment income (18,499,897) (12,801,231) -- (7,784) (45,290,232) (42,687,165)
From net realized gain
on investments -- -- -- (208,404) -- --
In excess of net
realized gain -- -- -- (63,823) -- --
Return of capital -- -- -- (73,542) -- --
Increase from capital share
transactions (Note 4) 173,919,002 19,149,356 1,119,174,604 358,331,301 58,982,695 23,988,472
................................................................................................................................
Total increase in
net assets 173,919,002 19,149,356 1,159,088,073 446,516,628 31,899,449 106,566,519
................................................................................................................................
Net assets:
Beginning of period 263,213,299 244,063,943 515,108,624 68,591,996 747,024,114 640,457,595
................................................................................................................................
End of period $437,132,301 $263,213,299 $1,674,196,697 $515,108,624 $778,923,563 $747,024,114
................................................................................................................................
Undistributed net
investment income
(loss), end
of period $ -- $ -- $ (3,300) $ -- $ 48,438,520 $ 44,995,834
- --------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
Utilities Growth and Income Fund Voyager Fund
- ------------------------------------------------------------------------------------------------------------------
Year ended Year ended Year ended Year ended
December 31 December 31 December 31 December 31
1996 1995 1996 1995
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase in net assets
Operations:
Net investment income (loss) $ 24,617,080 $ 20,963,802 $ 9,676,723 $ 7,023,583
Net realized gain (loss)
on investments and
foreign currency
transactions 38,108,934 8,862,877 151,713,129 111,497,412
Net unrealized appreciation
(depreciation)
of investments and assets and
liabilities in foreign currencies 25,666,317 90,894,818 126,735,828 371,780,860
...................................................................................................................
Net increase in net assets
resulting from operations 88,392,331 120,721,497 288,125,680 490,301,855
...................................................................................................................
Distributions to shareholders:
From net investment income (21,053,914) (20,768,768) (9,627,813) (3,305,106)
From net realized gain on investments -- -- (120,682,512) (24,368,992)
In excess of net realized gain -- -- -- --
Return of capital -- -- -- --
Increase from capital share
transactions (Note 4) 59,629,931 46,338,634 1,123,442,297 510,632,179
...................................................................................................................
Total increase in net assets 126,968,348 146,291,363 1,281,257,652 973,259,936
...................................................................................................................
Net assets:
Beginning of period 530,460,686 384,169,323 2,000,232,380 1,026,972,444
...................................................................................................................
End of period $657,429,034 $530,460,686 $3,281,490,032 $2,000,232,380
...................................................................................................................
Undistributed net
investment income,
end of period $ 24,041,912 $ 20,548,328 $ 6,892,836 $ 6,843,926
- -------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
PUTNAM VARIABLE TRUST
Financial Highlights
- -----------------------------------------------------------------------------------------------------------------------------
Investment Operations Less Distributions:
Realized and From In Excess
Unrealized From Net of Net
Net Asset Value, Net Gain (Loss) Total from Net Realized Realized Return
Beginning of Investment on Investment Investment Gain on Gain on of
Period ended Period Income Investments Operations Income Investments Investments Capital
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Putnam VT Asia Pacific
Growth Fund
December 31, 1996 $10.23 $ .05 $ .88 $ .93 $ (.15) $ -- $-- $--
December 31, 1995***** 10.00 .06(a)(b) .17 .23 -- -- -- --
.............................................................................................................................
Putnam VT Diversified
Income Fund
December 31, 1996 $11.03 $ .80(a) $ .11 $ .91 $ (.67) $ -- $-- $--
December 31, 1995 9.74 .71 1.09 1.80 (.51) -- -- --
December 31, 1994 10.23 .61 (1.04) (.43) (.06) -- -- --
December 31, 1993*** 10.00 .06 .17 .23 -- -- -- --
.............................................................................................................................
Putnam VT Global Asset
Allocation Fund
December 31, 1996 $16.15 $ .43 $1.94 $ 2.37 $ (.44) $(.83) $-- $--
December 31, 1995 13.19 .47 2.74 3.21 (.25) -- -- --
December 31, 1994 14.29 .35 (.71) (.36) (.29) (.43) (.02) --
December 31, 1993 12.92 .30 1.87 2.17 (.55) (.25) -- --
December 31, 1992 12.77 .35 .41 .76 (.42) (.19) -- --
.............................................................................................................................
Putnam VT Global
Growth Fund
December 31, 1996 $15.18 $ .17 $2.35 $ 2.52 $ (.25) $ (.57) $-- $--
December 31, 1995 13.48 .20 1.85 2.05 (.11) (.24) -- --
December 31, 1994 13.68 .13 (.26) (.13) (.05) (.02) -- --
December 31, 1993 10.48 .08 3.28 3.36 (.16 -- -- --
December 31, 1992 10.61 .10 (.14) (.04) (.09) -- -- --
.............................................................................................................................
Putnam VT Growth
and Income Fund
December 31, 1996 $21.47 $ .65(a) $3.84 $ 4.49 $ (.51) $ (.89) $-- $--
December 31, 1995 16.44 .53 5.31 5.84 (.51) (.30) -- --
December 31, 1994 17.38 .50 (.48) .02 (.38) (.58) -- --
December 31, 1993 15.93 .38 1.83 2.21 (.39) (.37) -- --
December 31, 1992 15.33 .39 1.04 1.43 (.42) (.41) -- --
.............................................................................................................................
Putnam VT High Yield Fund
December 31, 1996 $12.37 $1.18(a) $ .32 $ 1.50 $ (.91) $ -- $-- $--
December 31, 1995 11.46 .91 1.05 1.96 (1.05) -- -- --
December 31, 1994 12.53 1.05 (1.17) (.12) (.79) (.14) (.02) --
December 31, 1993 11.17 .73 1.37 2.10 (.74) -- -- --
December 31, 1992 10.12 1.26 .59 1.85 (.80) -- -- --
.............................................................................................................................
Putnam VT Money
Market Fund
December 31, 1996 $ 1.00 $.0497 $ -- $.0497 $(.0497) $ -- $-- $--
December 31, 1995 1.00 .0533 -- .0533 (.0533) -- -- --
December 31, 1994 1.00 .0377 -- .0377 (.0377) -- -- --
December 31, 1993 1.00 .0276 -- .0276 (.0276) -- -- --
December 31, 1992 1.00 .0352 -- .0352 (.0352) -- -- --
.............................................................................................................................
Putnam VT New
Opportunities Fund
December 31, 1996 $15.63 $ (.01) $1.60 $ 1.59 $ -- $ -- $-- $--
December 31, 1995 10.82 -- 4.84 4.84 -- (.02) -- (.01)
December 31, 1994**** 10.00 --(b) .82 .82 -- -- -- --
.............................................................................................................................
Putnam VT U.S. Government
and High Quality
Bond Fund
December 31, 1996 $13.74 $ .81 $ (.52) $ .29 $ (.82) $ -- $-- $--
December 31, 1995 12.22 .81 1.56 2.37 (.85) -- -- --
December 31, 1994 13.53 .81 (1.24) (.43) (.66) (.22) -- --
December 31, 1993 12.85 .63 .78 1.41 (.61) (.12) -- --
December 31, 1992 12.57 .60 .28 .88 (.54) (.06) -- --
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
PUTNAM VARIABLE TRUST
Financial Highlights (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
Investment Ratio of Ratio of
Return at Net Assets Expenses Net Income to Average
Total Net Asset Value, Net Asset End of Period to Average Average Net Portfolio commission
Distributions End of Period Value(%)(c) (in thousands) Net Assets(%)(d) Assets(%) Turnover(%) rate paid(e)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Putnam VT Asia Pacific
Growth Fund
December 31, $ (.15) $11.01 9.10 $ 130,548 1.23 .84 66.10 $.0197
December 31, 1995***** -- 10.23 2.30* 25,045 .81(b)* .72(b)* 67.72*
....................................................................................................................................
Putnam VT Diversified
Income Fund
December 31, 1996 $ (.67) $11.27 8.81 $ 494,811 .83 7.45 235.53
December 31, 1995 (.51) 11.03 19.13 303,721 .85 7.85 297.17
December 31, 1994 (.06) 9.74 (4.23) 215,935 .80 7.60 165.17
December 31, 1993*** -- 10.23 2.30* 80,449 .28* 1.45* 40.83
....................................................................................................................................
Putnam VT Global
Asset Allocation
Fund
December 31, 1996 $ (1.27) $17.25 15.62 $ 747,734 .83 3.08 165.03 $.0475
December 31, 1995 (.25) 16.15 24.71 535,666 .84 3.31 150.88
December 31, 1994 (.74) 13.19 (2.50) 414,223 .76 3.19 150.21
December 31, 1993 (.80) 14.29 17.48 297,307 .72 3.28 192.48
December 31, 1992 (.61) 12.92 6.29 134,667 .79 3.84 141.87
....................................................................................................................................
Putnam VT Global
Growth Fund
December 31, 1996 $ (.82) $16.88 17.20 $ 1,344,887 .76 1.25 79.18 $.0318
December 31, 1995 (.35) 15.18 15.67 831,593 .75 1.49 82.53
December 31, 1994 (.07) 13.48 (.96) 669,821 .77 1.21 41.55
December 31, 1993 (.16) 13.68 32.40 352,786 .75 1.38 47.00
December 31, 1992 (.09) 10.48 (.36) 86,854 .85 1.82 59.68
....................................................................................................................................
Putnam VT Growth
and Income Fund
December 31, 1996 $ (1.40) $24.56 21.92 $ 5,679,100 .54 2.90 39.57 $.0517
December 31, 1995 (.81) 21.47 36.71 3,312,306 .57 3.34 50.87
December 31, 1994 (.96) 16.44 0.35 1,907,380 .62 3.64 46.43
December 31, 1993 (.76) 17.38 14.27 1,407,382 .64 3.49 62.63
December 31, 1992 (.83) 15.93 9.75 641,508 .69 3.79 39.58
....................................................................................................................................
Putnam VT High
Yield Fund
December 31, 1996 $ (.91) $12.96 12.81 $ 769,918 .76 9.57 62.72
December 31, 1995 (1.05) 12.37 18.32 498,467 .79 9.42 69.78
December 31, 1994 (.95) 11.46 (.94) 327,119 .74 9.79 62.09
December 31, 1993 (.74) 12.53 19.57 291,737 .67 9.88 85.59
December 31, 1992 (.80) 11.17 18.98 118,804 .71 11.53 84.24
....................................................................................................................................
Putnam VT Money
Market Fund
December 31, 1996 $(.0497) $ 1.00 5.08 $ 437,132 .53 4.93 --
December 31, 1995 (.0533) 1.00 5.46 263,213 .57 5.43 --
December 31, 1994 (.0377) 1.00 3.82 244,064 .55 3.90 --
December 31, 1993 (.0276) 1.00 2.79 129,329 .42 2.77 --
December 31, 1992 (.0352) 1.00 3.57 105,694 .48 3.49 --
....................................................................................................................................
Putnam VT New
Opportunities Fund
December 31, 1996 $ -- $17.22 10.17 $ 1,674,197 .72 (.13) 57.94 $.0488
December 31, 1995 (.03) 15.63 44.87 515,109 .84 (.03) 30.87
December 31, 1994**** -- 10.82 8.20* 68,592 .47(b)* .03(b)* 32.77*
....................................................................................................................................
Putnam VT U.S.
Government and High
Quality Bond Fund
December 31, 1996 $ (.82) $13.21 2.42 $ 778,924 .69 6.48 142.49
December 31, 1995 (.85) 13.74 20.44 747,024 .70 6.22 149.18
December 31, 1994 (.88) 12.22 (3.23) 640,458 .67 6.24 118.34
December 31, 1993 (.73) 13.53 11.28 735,386 .64 6.16 94.01
December 31, 1992 (.60) 12.85 7.49 435,906 .70 6.98 45.82
- ------------------------------------------------------------------------------------------------------------------------------------
See page 88 for Notes to Financial Highlights.
</TABLE>
<TABLE>
<CAPTION>
PUTNAM VARIABLE TRUST
Financial Highlights
- -----------------------------------------------------------------------------------------------------------------------------
Investment Operations Less Distributions:
Realized and From In Excess
Unrealized From Net of Net
Net Asset Value, Net Gain (Loss) Total from Net Realized Realized Return
Beginning of Investment on Investment Investment Gain on Gain on of
Period ended Period Income Investments Operations Income Investments Investments Capital
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Putnam VT Utilities
Growth and Income
Fund
December 31, 1996 $13.28 $ .54 $1.49 $ 2.03 $ (.51) $-- $-- $--
December 31, 1995 10.68 .53 2.65 3.18 (.58) -- -- --
December 31, 1994 12.00 .60 (1.44) (.84) (.35) (.12) (.01) --
December 31, 1993 10.71 .30 1.13 1.43 (.12) (.02) -- --
December 31, 1992** 10.00 .15(b) .56 .71 -- -- -- --
....................................................................................................................................
Putnam VT Voyager Fund
December 31, 1996 $30.50 $ .09 $3.75 $ 3.84 $ (.13) $(1.68) $-- $--
December 31, 1995 22.20 .10 8.76 8.86 (.07) (.49) -- --
December 31, 1994 22.41 .07 .14 .21 (.05) (.37) -- --
December 31, 1993 19.21 .04 3.50 3.54 (.07) (.27) -- --
December 31, 1992 17.94 .07 1.72 1.79 (.08) (.44) -- --
</TABLE>
<TABLE>
<CAPTION>
PUTNAM VARIABLE TRUST
Financial Highlights (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
Investment Ratio of Ratio of
Return at Net Assets Expenses to Net Income to Average
Total Net Asset Value, Net Asset End of Period Average Net Average Net Portfolio commission
Distributions End of Period Value(%)(c) (in thousands) Assets(%)(d) Assets(%) Turnover(%) rate paid(e)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Utilities
Growth and Income
Fund
December 31, 1996 $ (.51) $14.80 15.80 $ 657,429 $ .73 4.22 61.94 $.0475
December 31, 1995 (.58) 13.28 31.08 530,461 .68 4.72 60.33
December 31, 1994 (.48) 10.68 (7.02) 384,169 .68 5.23 84.88
December 31, 1993 (.14) 12.00 13.42 443,281 .69 5.02 50.79
December 31, 1992** -- 10.71 7.10* 83,522 .64(b) 3.43(b)* 19.29*
....................................................................................................................................
Putnam VT Voyager Fund
December 31, 1996 $(1.81) $32.53 12.97 $3,281,490 $ .63 .36 63.87 $.0544
December 31, 1995 (.56) 30.50 40.67 2,000,232 .68 .49 57.51
December 31, 1994 (.42) 22.20 1.04 1,026,972 .71 .40 62.44
December 31, 1993 (.34) 22.41 18.70 675,198 .66 .33 55.85
December 31, 1992 (.52) 19.21 10.36 317,225 .75 .56 48.17
- ------------------------------------------------------------------------------------------------------------------------------------
* 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.
(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
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
December 31, 1996
NOTE 1
SIGNIFICANT
ACCOUNTING
POLICIES
Putnam Variable Trust (the "Trust"), formerly Putnam Capital Manager
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
eleven 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 Money Market Fund, Putnam VT New
Opportunities Fund, Putnam VT U.S. Government and High Quality Bond
Fund, Putnam VT Utilities Growth and Income 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,
options, and 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 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. If a 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 in 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 a separate entity
for federal income tax purposes. It is the policy of each fund to
distribute all of its taxable income within the prescribed time and
otherwise comply with the provisions of the Internal Revenue Code
applicable to regulated investment companies. Therefore, no provision
has been made for federal taxes on income, capital gains or
unrealized appreciation on securities held.
At December 31, 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 1,756,000 December 31, 2003
Opportunities Fund 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 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. These differences include treatment of realized and
unrealized gains on passive foreign investment companies, losses on
wash sale transactions, defaulted bond interest, non-taxable
dividends, interest on payment-in-kind securities, currency gains and
losses on foreign bonds, deferred trustee fees, post-October loss
deferrals, realized and unrealized gains and losses on forward
foreign currency contracts, paydown gains and losses on mortgage
backed securities, dividends payable, amortization of bond premium
and market discounts. Reclassifications are made to the funds'
capital accounts to reflect income and gains available for
distribution (or available capital loss carryovers) under income tax
regulations. For the year ended December 31, 1996, the funds
reclassified the following amounts:
Accumulated
Undistributed Net Realized
Net Gain on
Investment Investment Paid-in-
Income Transactions Capital
- --------------------------------------------------------------------
Putnam VT Asia Pacific
Growth Fund $ 1,602,997 $ (1,122,638) $ (480,359)
Putnam VT Diversified
Income Fund (402,830) 319,835 82,995
Putnam VT Global Asset
Allocation Fund 5,991,342 (6,036,194) 44,852
Putnam VT Global
Growth Fund 21,606,106 (24,317,291) 2,711,185
Putnam VT Growth and
Income Fund 114,202 (203,119) 88,917
Putnam VT High Yield Fund 89,280 (2,503) (86,777)
Putnam VT Money
Market Fund -- -- --
Putnam VT New
Opportunities Fund 1,452,481 (225) (1,452,256)
Putnam VT U.S. Government
and High Quality Bond Fund 94,414 (94,414) --
Putnam VT Utilities Growth
and Income Fund (69,582) 67,066 2,516
Putnam VT Voyager Fund -- 92,156 (92,156)
- --------------------------------------------------------------------
The calculation of net investment income per share in the financial
highlights table excludes these adjustments.
L) Expenses of the trust Expenses directly charged or attributable to
any fund will be paid from the assets of that fund. Generally,
expenses of the trust will be allocated among and charged to the
assets of each fund on a basis that the Trustees deem fair and
equitable, which may be based on the relative assets of each fund or
the nature of the services performed and relative applicability to
each fund.
M) Beneficial Interest At December 31, 1996, insurance companies or
their separate accounts were record owners of all but a de minimis
number of the shares of each fund. From 90% 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
<TABLE>
<CAPTION>
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 December 31, 1996:
Rate
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C>
Putnam VT Asia Pacific Growth Fund 0.80% of the first $500 million of average net assets,
0.70% of the next $500 million,
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 and 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,
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 Utilities Growth and Income Fund,* and 0.475% of the next $5 billion,
Putnam VT Voyager Fund 0.455% of the next $5 billion,
0.44% of the next $5 billion,
and 0.43% of any excess thereafter.
- -------------------------------------------------------------------------------------------------------------------------------
* Prior to July 11, 1996, management fee for Putnam VT Utilities Growth and Income Fund was 0.60% of average net assets of the
fund
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Putnam Management voluntarily agreed to limit expenses of Putnam VT
Asia Pacific Growth Fund to an annual rate of 1.2% of the fund's
average daily net assets. The fund's expenses subject to this
limitation are exclusive of brokerage, interest, taxes, insurance,
amortization of deferred organization expenses, extraordinary
expenses and credits from Putnam Fiduciary Trust Company ("PFTC"), a
wholly-owned subsidiary of Putnam Investments, Inc., if any. This
limitation expired on April 30, 1996.
As part of the custodian contract between the subcustodian bank and
PFTC, the subcustodian bank has a lien on the securities of Putnam
VT Utilities Growth and Income Fund to the extent permitted by the
fund's investment restrictions to cover any advances made by the
subcustodian bank for the settlement of securities purchased by the
fund. At December 31, 1996, 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 year ended December 31, 1996, 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 $ 63,474
Putnam VT Diversified Income Fund 106,206
Putnam VT Global Asset Allocation Fund 43,383
Putnam VT Global Growth Fund 195,394
Putnam VT Growth and Income Fund 327,076
Putnam VT High Yield Fund 125,190
Putnam VT Money Market Fund 1,748
Putnam VT New Opportunities Fund 187,206
Putnam VT U.S. Government and
High Quality Bond Fund 66,922
Putnam VT Utilities Growth and Income Fund 102,147
Putnam VT Voyager Fund 236,551
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 $21,320 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
<TABLE>
<CAPTION>
During the year ended December 31, 1996, purchases and sales of
investment securities (other than short-term investments)
were as follows:
U.S. Government
Obligations Other Securities
- ------------------------------------------------------------------------------------------------------------------
Purchases Sales Purchases Sales
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund $ -- $ -- $ 150,403,843 $ 52,304,341
Putnam VT Diversified Income Fund 498,499,517 439,972,020 578,085,958 445,441,731
Putnam VT Global Asset Allocation Fund 351,082,130 359,446,835 744,960,533 588,659,855
Putnam VT Global Growth Fund -- -- 1,158,003,884 808,142,072
Putnam VT Growth and Income Fund -- -- 3,315,625,494 1,662,934,431
Putnam VT High Yield Fund -- -- 619,839,758 368,178,386
Putnam VT New Opportunities Fund -- -- 1,689,757,472 604,837,542
Putnam VT U.S. Government and
High Quality Bond Fund 825,182,067 762,223,207 318,028,599 314,781,340
Putnam VT Utilities Growth and Income Fund 35,903,978 27,594,520 330,669,558 305,652,500
Putnam VT Voyager Fund -- -- 2,497,092,643 1,586,046,241
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
Putnam VT Money Market Fund: Purchases and sales (including
maturities) of investment securities (all short-term obligations)
aggregated $8,389,690,217 and $8,218,711,301, respectively.
In determining net gain or loss on securities sold, the cost of
securities has been determined on the identified cost basis.
<TABLE>
<CAPTION>
Written option transactions during the year are
summarized as follows:
Contract Amounts Premiums Received
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT Diversified Income Fund
Written options outstanding at beginning of year $ -- $ --
Options opened 20,000,000 65,000
Options expired (20,000,000) (65,000)
..................................................................................................................
Written options outstanding at end of year $ -- $ --
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE 4 CAPITAL SHARES
<TABLE>
<CAPTION>
At December 31, 1996, there was an unlimited number of shares of beneficial
interest authorized. Transactions in capital shares were as follows:
For the period
May 1, 1995
(commencement of
operations to
Year ended December 31 December 31
- -------------------------------------------------------------------------------------------------------------------
1996 1995
- -------------------------------------------------------------------------------------------------------------------
Shares Amount Shares Amount
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
Shares sold 21,918,203 $231,641,486 5,079,125 $50,654,905
Shares issued in connection with
reinvestment of distributions 75,653 807,399 -- --
...................................................................................................................
21,993,856 232,448,885 5,079,125 50,654,905
Shares repurchased (12,587,259) (133,527,404) (2,630,277) (26,192,634)
...................................................................................................................
Net increase 9,406,597 $ 98,921,481 2,448,848 $24,462,271
...................................................................................................................
Year ended December 31
...................................................................................................................
1996 1995
...................................................................................................................
Shares Amount Shares Amount
...................................................................................................................
Putnam VT Diversified Income Fund
Shares sold 17,338,498 $187,840,585 6,146,785 $64,169,357
Shares issued in connection with
reinvestment of distributions 2,023,693 20,930,343 1,133,511 11,017,722
...................................................................................................................
19,362,191 208,770,928 7,280,296 75,187,079
Shares repurchased (3,002,500) (33,141,384) (1,905,536) (19,246,896)
...................................................................................................................
Net increase 16,359,691 $175,629,544 5,374,760 $55,940,183
...................................................................................................................
Putnam VT Global Asset Allocation Fund
Shares sold 7,924,556 $128,215,964 3,576,518 $53,113,182
Shares issued in connection with
reinvestment of distributions 2,859,612 43,923,670 572,911 7,825,970
...................................................................................................................
10,784,168 172,139,634 4,149,429 60,939,152
Shares repurchased (607,406) (9,718,600) (2,388,987) (33,847,026)
...................................................................................................................
Net increase 10,176,762 $162,421,034 1,760,442 $27,092,126
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------
Year ended December 31
- -------------------------------------------------------------------------------------------------------------------
1996 1995
- -------------------------------------------------------------------------------------------------------------------
Shares Amount Shares Amount
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Global Growth Fund
Shares sold 28,798,156 $ 454,669,574 12,808,443 $178,822,459
Shares issued in connection with
reinvestment of distributions 3,200,475 48,775,233 1,356,940 17,423,114
....................................................................................................................
31,998,631 503,444,807 14,165,383 196,245,573
Shares repurchased (7,105,719) (112,607,084) (9,069,293) (125,288,301)
....................................................................................................................
Net increase 24,892,912 $ 390,837,723 5,096,090 $ 70,957,272
....................................................................................................................
Putnam VT Growth and Income Fund
Shares sold 66,808,703 $1,496,670,876 34,911,574 $670,155,121
Shares issued in connection with
reinvestment of distributions 11,075,560 236,352,936 5,584,857 96,115,390
....................................................................................................................
77,884,263 1,733,023,812 40,496,431 766,270,511
Shares repurchased (949,158) (21,081,086) (2,229,560) (39,688,744)
....................................................................................................................
Net increase 76,935,105 $1,711,942,726 38,266,871 $726,581,767
....................................................................................................................
Putnam VT High Yield Fund
Shares sold 24,160,867 $ 299,690,321 20,402,208 $237,744,815
Shares issued in connection with
reinvestment of distributions 3,195,567 37,899,438 2,953,143 32,248,315
....................................................................................................................
27,356,434 337,589,759 23,355,351 269,993,130
Shares repurchased (8,235,236) (102,761,774) (11,586,104) (134,982,202)
....................................................................................................................
Net increase 19,121,198 $ 234,827,985 11,769,247 $135,010,928
....................................................................................................................
Putnam VT Money Market Fund*
Shares sold -- $ 833,765,470 -- $343,877,495
Shares issued in connection with
reinvestment of distributions -- 18,499,897 -- 12,801,231
....................................................................................................................
-- 852,265,367 -- 356,678,726
Shares repurchased -- (678,346,365) -- (337,529,370)
....................................................................................................................
Net increase -- $ 173,919,002 -- $ 19,149,356
....................................................................................................................
Putnam VT New Opportunities Fund
Shares sold 68,915,384 $1,199,098,629 29,068,100 $388,540,076
Shares issued in connection with
reinvestment of distributions -- -- 30,039 353,553
....................................................................................................................
68,915,384 1,199,098,629 29,098,139 388,893,629
Shares repurchased (4,655,563) (79,924,025) (2,490,522) (30,562,328)
...................................................................................................................
Net increase 64,259,821 $1,119,174,604 26,607,617 $358,331,301
....................................................................................................................
Putnam VT U.S. Government
and High Quality Bond Fund
Shares sold 5,831,570 $ 75,663,273 8,879,875 $113,577,691
Shares issued in connection
with reinvestment of
distributions 3,626,120 45,290,232 3,575,140 42,687,165
....................................................................................................................
9,457,690 120,953,505 12,455,015 156,264,856
Shares repurchased (4,843,984) (61,970,810) (10,513,126) (132,276,384)
...................................................................................................................
Net increase 4,613,706 $ 58,982,695 1,941,889 $ 23,988,472
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------
Year ended December 31
- -------------------------------------------------------------------------------------------------------------------
1996 1995
- -------------------------------------------------------------------------------------------------------------------
Shares Amount Shares Amount
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Utilities Growth and Income Fund
Shares sold 5,898,033 $ 79,634,977 5,530,720 $ 65,418,199
Shares issued in connection with
reinvestment of distributions 1,621,989 21,053,914 1,939,194 20,768,768
...................................................................................................................
7,520,022 100,688,891 7,469,914 86,186,967
Shares repurchased (3,062,600) (41,058,960) (3,483,831) (39,848,333)
...................................................................................................................
Net increase 4,457,422 $ 59,629,931 3,986,083 $ 46,338,634
...................................................................................................................
Putnam VT Voyager Fund
Shares sold 33,822,429 $1,078,995,895 20,723,279 $546,895,857
Shares issued in connection with
reinvestment of distributions 4,259,886 130,310,325 1,179,126 27,674,098
...................................................................................................................
38,082,315 1,209,306,220 21,902,405 574,569,955
Shares repurchased (2,778,771) (85,863,923) (2,590,280) (63,937,776)
...................................................................................................................
Net increase 35,303,544 $1,123,442,297 19,312,125 $510,632,179
- -------------------------------------------------------------------------------------------------------------------
*Putnam VT Money Market Fund transactions were at a constant net asset value of $1.00 per share.
</TABLE>
[THIS PAGE INTENTIONALLY LEFT BLANK]
PUTNAM VARIABLE TRUST
Results of December 5, 1996 shareholder meeting
(Unaudited)
An annual meeting of shareholders of the fund was held on
December 5, 1996. At the meeting, each of the nominees
for Trustees was elected, as follows:
Putnam Variable Trust
Votes for Votes withheld
Jameson Adkins Baxter 1,116,288,234 23,372,229
Hans H. Estin 1,116,475,551 23,184,912
John A. Hill 1,116,577,571 23,082,892
Ronald J. Jackson 1,116,470,036 23,190,427
Elizabeth T. Kennan 1,115,797,665 23,862,798
Lawrence J. Lasser 1,116,851,005 22,809,458
Robert E. Patterson 1,116,715,152 22,945,311
Donald S. Perkins 1,116,412,123 23,248,340
William F. Pounds 1,116,537,372 23,123,091
George Putnam 1,116,346,318 23,314,145
George Putnam, III 1,116,194,622 23,465,841
Eli. Shapiro 1,114,773,906 24,886,557
A.J.C. Smith 1,116,753,131 22,907,332
W. Nicholas Thorndike 1,116,437,126 23,223,337
A proposal to ratify the selection of Price Waterhouse LLP as
auditors for the fund was approved as follows; 1,088,978,752
votes for, and 6,167,133 votes against, with 44,514,578
abstentions and broker non-votes.
PUTNAM VARIABLE TRUST
Results of December 5, 1996 shareholder meeting
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Asia Pacific Growth Fund Putnam VT Diversified VT Global
Income Fund Putnam Asset Allocation Fund
- -------------------------------------------------------------------------------------------------------------------------------
Abstentions Abstentions Abstentions
Votes Votes and Broker Votes Votes and Broker Votes Votes and Broker
For Against Non-Votes For Against Non-Votes For Against Non-Votes
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A proposal to
amend the fund's
fundamental
investment
restriction
with respect
to diversification
of investments
was approved
as follows -- -- -- 37,032,601 1,053,644 1,880,166 37,808,384 1,231,940 1,836,443
- -------------------------------------------------------------------------------------------------------------------------------
A proposal to
amend the fund's
fundamental
investment
restriction
with respect
to investments
in the securities
of a single issuer
was approved
as follows 9,683,473 333,183 447,522 36,665,409 1,306,955 1,994,047 37,472,138 1,433,949 1,970,680
- -------------------------------------------------------------------------------------------------------------------------------
A proposal to
amend the
fund's
fundamental
investment
restriction
with respect
to making
loans through
purchases
of debt
obligations,
repurchase
agreements
and securities
loans was
approved
as follows 9,477,464 468,960 517,754 36,266,718 1,772,768 1,926,925 36,788,060 2,083,298 2,005,409
- -------------------------------------------------------------------------------------------------------------------------------
A proposal to
amend the fund's
fundamental
investment
restriction
with respect
to investments
in real estate
was approved
as follows 9,569,960 414,059 480,159 36,706,245 1,305,035 1,955,131 37,402,079 1,530,417 1,944,271
- -------------------------------------------------------------------------------------------------------------------------------
A proposal to
amend the fund's
fundamental
investment
restriction
with respect
to concentration
of its assets
was approved
as follows 9,701,448 313,987 448,743 36,999,181 1,016,704 1,950,526 37,765,909 1,198,798 1,912,060
- -------------------------------------------------------------------------------------------------------------------------------
A proposal to
amend the fund's
fundamental
investment
restriction
with respect
to senior
securities
was approved
as follows 9,675,682 327,050 461,446 37,068,312 943,856 1,954,243 37,805,884 1,119,573 1,951,310
- -------------------------------------------------------------------------------------------------------------------------------
A proposal to
amend the fund's
fundamental
investment
restriction
with respect
to investments
in commodities
or commodity
contracts was
approved
as follows 9,629,078 360,343 474,757 36,617,295 1,487,182 1,861,934 37,040,751 1,815,017 2,020,999
- -------------------------------------------------------------------------------------------------------------------------------
A proposal to
eliminate the
fund's
fundamental
investment
restriction
with respect
to investments
in securities
of issuers
in which
management
of the fund
or Putnam
Investment
Management,
Inc. owns
securities
was approved
as follows 9,473,077 505,597 485,504 36,266,438 1,688,592 2,011,381 36,863,690 1,987,798 2,025,279
- -------------------------------------------------------------------------------------------------------------------------------
A proposal to
eliminate the
fund's
fundamental
investment
restriction
with respect
to margin
transactions
was approved
as follows 9,406,856 557,027 500,295 36,026,859 1,925,439 2,014,113 36,575,385 2,226,086 2,075,296
- -------------------------------------------------------------------------------------------------------------------------------
A proposal to
eliminate the
fund's
fundamental
investment
restriction
with respect
to short sales
was approved
as follows 9,428,604 530,477 505,097 35,958,150 1,976,578 2,031,683 36,556,499 2,198,474 2,121,794
- -------------------------------------------------------------------------------------------------------------------------------
A proposal to
eliminate the
fund's
fundamental
investment
restriction
which limits
the fund's
ability to
pledge assets
was approved
as follows 9,396,758 567,790 499,630 36,021,904 1,854,631 2,089,876 36,495,101 2,282,933 2,098,733
- -------------------------------------------------------------------------------------------------------------------------------
A proposal to
eliminate the
fund's
fundamental
investment
restriction
with respect
to investments
in restricted
securities was
approved
as follows -- -- -- 36,122,636 1,723,915 2,119,860 36,913,794 1,860,871 2,102,102
- -------------------------------------------------------------------------------------------------------------------------------
A proposal to
eliminate the
fund's
fundamental
investment
restriction
with respect
to investments
in certain oil,
gas and mineral
interests was
approved
as follows 9,494,269 474,472 495,437 36,446,909 1,570,084 1,949,418 37,135,473 1,713,033 2,028,261
- -------------------------------------------------------------------------------------------------------------------------------
A proposal to
eliminate the
fund's
fundamental
investment
restriction
with respect
to invest to
gain control
of a company's
management
was approved
as follows 9,539,355 419,167 505,656 36,393,626 1,471,862 2,100,923 36,983,704 1,737,356 2,155,707
- -------------------------------------------------------------------------------------------------------------------------------
A proposal to
amend the
fund's Agreement
and Declaration
of Trust of
Putnam Capital
Manager Trust
to permit the
issuance of
additional
classes of
shares was
approved as
follows 9,558,990 424,553 480,635 36,681,160 1,213,650 2,071,601 37,129,027 1,595,920 2,151,820
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
PUTNAM VARIABLE TRUST
Results of December 5, 1996 shareholder meeting
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Global Growth Fund Putnam VT Growth and Income Fund Putnam VT Global High Yield Fund
- -------------------------------------------------------------------------------------------------------------------------------
Abstentions Abstentions Abstentions
Votes Votes and Broker Votes Votes and Broker Votes Votes and Broker
For Against Non-Votes For Against Non-Votes For Against Non-Votes
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A proposal to
amend the
fund's
fundamental
investment
restriction
with respect to
diversification
of investments
was approved
as follows 66,987,543 2,390,767 3,450,798 193,742,501 6,283,595 10,386,953 48,491,879 1,727,366 2,587,942
- -------------------------------------------------------------------------------------------------------------------------------
A proposal to
amend the
fund's
fundamental
investment
restriction
with respect to
investments in
the securities
of a single
issuer was
approved as
follows 66,283,743 2,849,237 3,696,128 190,771,088 8,434,024 11,207,937 47,792,327 2,194,820 2,820,040
- -------------------------------------------------------------------------------------------------------------------------------
A proposal to
amend the fund's
fundamental
investment
restriction
with respect to
making loans
through
purchases of debt
obligations,
repurchase
agreements and
securities loans
was approved
as follows 64,911,656 4,238,605 3,678,847 187,084,390 12,563,173 10,765,486 47,029,925 2,954,176 2,823,086
- -------------------------------------------------------------------------------------------------------------------------------
A proposal to
amend the fund's
fundamental
investment
restriction with
respect to
investments in
real estate was
approved as
follows 66,303,194 3,012,896 3,513,018 190,501,873 9,219,827 10,691,349 47,790,457 2,352,758 2,663,972
- -------------------------------------------------------------------------------------------------------------------------------
A proposal to
amend the fund's
fundamental
investment
restriction
with respect
to concentration
of its assets
was approved
as follows 66,934,137 2,366,911 3,528,060 193,255,444 6,235,407 10,922,198 48,372,699 1,785,011 2,649,477
- -------------------------------------------------------------------------------------------------------------------------------
A proposal to
amend the fund's
fundamental
investment
restriction
with respect to
senior securities
was approved
as follows 66,874,023 2,381,803 3,573,282 193,044,430 6,324,144 11,044,475 48,356,418 1,633,377 2,817,392
- -------------------------------------------------------------------------------------------------------------------------------
A proposal to
amend the fund's
fundamental
investment
restriction
with respect to
investments in
commodities or
commodity contracts
was approved
as follows 65,714,864 3,559,474 3,554,770 189,206,624 10,476,224 10,730,201 47,271,485 2,811,524 2,724,178
- -------------------------------------------------------------------------------------------------------------------------------
A proposal to
eliminate the
fund's fundamental
investment
restriction
with respect
to investments
in securities
of issuers
in which
management
of the fund
or Putnam
Investment
Management, Inc.
owns securities
was approved
as follows 65,393,050 3,739,767 3,696,291 188,231,347 10,677,344 11,504,358 47,154,906 2,860,988 2,791,293
- -------------------------------------------------------------------------------------------------------------------------------
A proposal to
eliminate the
fund's fundamental
investment
restriction
with respect to
margin transactions
was approved
as follows 64,617,041 4,458,184 3,753,883 185,635,875 13,097,102 11,680,072 46,457,538 3,388,220 2,961,429
- -------------------------------------------------------------------------------------------------------------------------------
A proposal to
eliminate the
fund's fundamental
investment
restriction
with respect
to short sales
was approved
as follows 64,703,920 4,351,864 3,773,324 185,907,461 12,856,699 11,648,889 46,573,669 3,334,775 2,898,743
- -------------------------------------------------------------------------------------------------------------------------------
A proposal to
eliminate the
fund's fundamental
investment
restriction
which limits
the fund's
ability to
pledge assets
was approved
as follows 64,748,675 4,322,664 3,757,769 186,117,600 12,628,909 11,666,540 46,654,842 3,192,318 2,960,027
- -------------------------------------------------------------------------------------------------------------------------------
A proposal to
eliminate the
fund's fundamental
investment
restriction
with respect to
investments in
restricted
securities
was approved
as follows 65,194,119 3,808,672 3,826,317 187,877,871 10,688,049 11,847,129 47,066,075 2,788,763 2,952,349
- -------------------------------------------------------------------------------------------------------------------------------
A proposal to
eliminate the
fund's fundamental
investment
restriction
with respect to
investments in
certain oil,
gas and mineral
interests was
approved as
follows 65,807,793 3,381,166 3,640,149 189,689,762 9,720,210 11,003,077 47,397,977 2,598,938 2,810,272
- -------------------------------------------------------------------------------------------------------------------------------
A proposal to
eliminate the
fund's fundamental
investment
restriction
with respect to
invest to gain
control of a
company's
management
was approved
as follows 65,761,893 3,250,098 3,817,117 188,889,561 9,951,566 11,571,922 47,275,850 2,635,750 2,895,587
- -------------------------------------------------------------------------------------------------------------------------------
A proposal to
amend the fund's
Agreement and
Declaration of
Trust of Putnam
Capital Manager
Trust to permit
the issuance
of additional
classes of
shares
was approved
as follows 65,963,673 3,208,387 3,657,048 190,205,402 8,849,875 11,357,772 47,539,977 2,396,447 2,870,763
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
PUTNAM VARIABLE TRUST
Results of December 5, 1996 shareholder meeting
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Money Market Fund Putnam VT New Opportunities Fund Putnam VT Utilities Growth and Income Fund
- -------------------------------------------------------------------------------------------------------------------------------
Abstentions Abstentions Abstentions
Votes Votes and Broker Votes Votes and Broker Votes Votes and Broker
For Against Non-Votes For Against Non-Votes For Against Non-Votes
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A proposal to
amend the
fund's
fundamental
investment
restriction with
respect to
diversification
of investments
was approved
as follows 401,517,969 14,908,861 23,429,353 -- -- -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
A proposal to
amend the
fund's
fundamental
investment
restriction with
respect to
investments in
the securities
of a single
issuer was
approved as
follows 392,914,007 19,460,741 27,481,435 71,389,133 3,063,018 3,725,862 39,915,836 1,406,202 2,657,734
- -------------------------------------------------------------------------------------------------------------------------------
A proposal to
amend the
fund's
fundamental
investment
restriction
with respect
to making
loans through
purchases
of debt
obligations,
repurchase
agreements
and securities
loans
was approved
as follows 385,895,411 28,661,776 25,298,996 69,491,114 4,902,633 3,784,266 38,970,597 2,279,180 2,729,995
- -------------------------------------------------------------------------------------------------------------------------------
A proposal to
amend the
fund's
fundamental
investment
restriction
with respect
to investments
in real estate
was approved
as follows 396,082,602 19,676,338 24,097,243 70,541,730 3,987,060 3,649,223 39,597,029 1,788,331 2,594,412
- -------------------------------------------------------------------------------------------------------------------------------
A proposal to
amend the
fund's
fundamental
investment
restriction
with respect
to concentration
of its assets
was approved
as follows 397,741,048 15,130,536 26,984,599 71,647,680 2,793,203 3,737,130 39,895,813 1,500,796 2,583,163
- -------------------------------------------------------------------------------------------------------------------------------
A proposal to
amend the
fund's
fundamental
investment
restriction
with respect
to senior
securities
was approved
as follows 398,459,228 15,726,182 25,670,773 71,615,163 2,750,424 3,812,426 40,092,439 1,351,106 2,536,227
- -------------------------------------------------------------------------------------------------------------------------------
A proposal to
amend the
fund's
fundamental
investment
restriction
with respect
to investments
in commodities
or commodity
contracts was
approved as
follows 387,182,070 25,746,914 26,927,199 70,144,361 4,304,633 3,729,019 39,024,273 2,312,797 2,642,702
- -------------------------------------------------------------------------------------------------------------------------------
A proposal to
eliminate the
fund's
fundamental
investment
restriction
with respect
to investments
in securities
of issuers
in which
management of
the fund or
Putnam
Investment
Management,
Inc. owns
securities
was approved
as follows 386,333,979 26,381,065 27,141,139 69,912,558 4,406,707 3,858,748 39,052,973 2,341,762 2,585,037
- -------------------------------------------------------------------------------------------------------------------------------
A proposal to
eliminate the
fund's
fundamental
investment
restriction
with respect
to margin
transactions
was approved
as follows 379,529,736 32,631,055 27,695,392 68,842,000 5,324,831 4,011,182 38,310,896 2,864,193 2,804,683
- -------------------------------------------------------------------------------------------------------------------------------
A proposal to
eliminate the
fund's
fundamental
investment
restriction
with respect
to short sales
was approved
as follows 380,905,089 31,211,820 27,739,274 68,715,980 5,391,069 4,070,964 38,536,759 2,613,561 2,829,452
- -------------------------------------------------------------------------------------------------------------------------------
A proposal to
eliminate the
fund's
fundamental
investment
restriction
which limits
the fund's
ability to
pledge assets
was approved
as follows 382,933,517 28,363,945 28,558,721 68,923,707 5,177,019 4,077,287 38,525,546 2,689,744 2,764,482
- -------------------------------------------------------------------------------------------------------------------------------
A proposal to
eliminate the
fund's
fundamental
investment
restriction
with respect
to investments
in restricted
securities
was approved
as follows 384,234,819 25,648,508 29,972,856 -- -- -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
A proposal to
eliminate the
fund's
fundamental
investment
restriction
with respect
to investments
in certain oil,
gas and mineral
interests
was approved
as follows 389,512,985 22,798,217 27,544,981 70,322,006 3,973,334 3,882,673 39,395,864 1,958,736 2,625,172
- -------------------------------------------------------------------------------------------------------------------------------
A proposal to
eliminate the
fund's
fundamental
investment
restriction
with respect
to invest to
gain control
of a company's
management
was approved
as follows 390,293,448 21,313,256 28,249,479 70,249,812 4,036,461 3,891,740 39,130,623 2,138,113 2,711,036
- -------------------------------------------------------------------------------------------------------------------------------
A proposal to
amend the
fund's
Agreement and
Declaration
of Trust
of Putnam
Capital
Manager
Trust
to permit
the issuance
of additional
classes of
shares was
approved as
follows 389,145,339 23,340,011 27,370,833 70,610,244 3,805,420 3,762,349 39,396,235 1,889,938 2,693,599
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
PUTNAM VARIABLE TRUST
Results of December 5, 1996 shareholder meeting
- -------------------------------------------------------------------------------------------------------------------
Putnam VT U.S. Government and
High Quality Bond Fund Putnam VT Voyager Fund
- -------------------------------------------------------------------------------------------------------------------
Abstentions Abstentions
Votes Votes and Broker Votes Votes and Broker
For Against Non-Votes For Against Non-Votes
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
A proposal to
amend the fund's
fundamental
investment
restriction with
respect to
diversification
of investments
was approved
as follows 54,876,533 1,786,044 2,781,067 83,506,041 3,116,561 4,223,548
- -------------------------------------------------------------------------------------------------------------------
A proposal to
amend the fund's
fundamental
investment
restriction with
respect to
investments in
the securities
of a single
issuer was
approved as
follows 54,157,580 2,232,979 3,053,085 82,230,177 4,114,292 4,501,681
- -------------------------------------------------------------------------------------------------------------------
A proposal to
amend the fund's
fundamental
investment
restriction
with respect
to making loans
through purchases
of debt
obligations,
repurchase
agreements and
securities loans
was approved
as follows 53,365,592 2,991,102 3,086,950 80,498,886 5,920,821 4,426,443
- -------------------------------------------------------------------------------------------------------------------
A proposal to
amend the fund's
fundamental
investment
restriction
with respect
to investments
in real estate
was approved
as follows 54,323,978 2,218,451 2,901,215 82,141,149 4,304,403 4,400,598
- -------------------------------------------------------------------------------------------------------------------
A proposal to
amend the fund's
fundamental
investment
restriction
with respect
to concentration
of its assets
was approved
as follows 54,774,704 1,601,029 3,067,911 83,193,512 3,079,091 4,573,547
- -------------------------------------------------------------------------------------------------------------------
A proposal to
amend the fund's
fundamental
investment
restriction
with respect
to senior
securities
was approved
as follows 54,730,063 1,694,857 3,018,724 83,063,736 3,144,936 4,637,478
- -------------------------------------------------------------------------------------------------------------------
A proposal to
amend the fund's
fundamental
investment
restriction
with respect
to investments
in commodities or
commodity contracts
was approved
as follows 53,665,263 2,636,335 3,142,046 81,420,912 4,969,028 4,456,210
- -------------------------------------------------------------------------------------------------------------------
A proposal to
eliminate the
fund's
fundamental
investment
restriction
with respect
to investments
in securities
of issuers
in which
management
of the fund
or Putnam
Investment
Management,
Inc. owns
securities
was approved
as follows 53,678,385 2,700,259 3,065,000 81,189,528 5,096,011 4,560,611
- -------------------------------------------------------------------------------------------------------------------
A proposal to
eliminate the
fund's
fundamental
investment
restriction
with respect
to margin
transactions
was approved
as follows 53,052,067 3,182,164 3,209,413 80,041,703 6,037,650 4,766,797
- -------------------------------------------------------------------------------------------------------------------
A proposal to
eliminate the
fund's
fundamental
investment
restriction
with respect
to short sales
was approved
as follows 53,122,978 3,074,450 3,246,216 79,982,679 6,115,153 4,748,318
- -------------------------------------------------------------------------------------------------------------------
A proposal to
eliminate the
fund's
fundamental
investment
restriction
which limits
the fund's
ability to
pledge assets
was approved
as follows 53,152,454 3,084,808 3,206,382 80,079,666 6,003,351 4,763,133
- -------------------------------------------------------------------------------------------------------------------
A proposal to
eliminate the
fund's
fundamental
investment
restriction
with respect
to investments
in restricted
securities
was approved
as follows 53,490,359 2,806,513 3,146,772 81,075,830 4,961,362 4,808,958
- -------------------------------------------------------------------------------------------------------------------
A proposal to
eliminate the
fund's
fundamental
investment
restriction
with respect
to investments
in certain oil,
gas and mineral
interests was
approved as
follows 54,343,353 2,136,946 2,963,345 81,781,981 4,466,716 4,597,453
- -------------------------------------------------------------------------------------------------------------------
A proposal to
eliminate the
fund's
fundamental
investment
restriction
with respect
to invest to
gain control
of a company's
management was
approved as
follows 53,836,301 2,510,655 3,096,688 81,752,192 4,414,624 4,679,334
- -------------------------------------------------------------------------------------------------------------------
A proposal to
amend the
fund's Agreement
and Declaration
of Trust of
Putnam Capital
Manager Trust
to permit the
issuance of a
dditional classes
of shares
was approved
as follows 54,094,479 2,217,705 3,131,460 81,974,438 4,296,476 4,575,236
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
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Hartford Life Insurance Company
P.O. Box 2999
Hartford, CT 06104-2999
The Hartford Life Insurance Companies
Variable Trust Separate Accounts
FUND INFORMATION
Investment Manager
Putnam Investment Management, Inc.
One Post Office Square
Boston, MA 02109
Marketing Services
Putnam Mutual Funds Corp.
One Post Office Square
Boston, MA 02109
Investor Servicing Agent
Putnam Investor Services
Mailing address:
P.O. Box 41203
Providence, RI 02940-1203
1-800-225-1581
Custodian
Putnam Fiduciary
Trust Company
Legal Counsel
Ropes & Gray
Separate Accounts
Hartford Life Insurance Companies
Underwriter
Hartford Equity Sales Company, Inc. (HESCO)
Trustees
George Putnam, Chairman,
William F. Pounds, Vice Chairman,
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, Eli Shapiro,
A.J.C. Smith, W. Nicholas Thorndike
26986 2/97
HL-12010-17
- -------------------
Bulk Rate
U.S. Postage
Paid
Permit No. 1
Hartford, CT
- -------------------
PUTNAM INVESTMENTS
This report has been prepared for the contract owners of Putnam Capital
Manager Trust 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.
