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
Hartford Life and Annuity
Insurance Company--
Putnam Capital Manager Trust
Separate Account Two
Hartford Life and Annuity
Insurance Company--
Putnam Capital Manager Trust
Separate Account Five
Hartford Life and Annuity
Insurance Company--
Putnam Capital Manager Trust
Separate Account
Variable Life One
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 The George Putnam Fund of Boston
* Putnam VT Global Asset Allocation Fund
* Putnam VT Global Growth Fund
* Putnam VT Growth and Income Fund
* Putnam VT Health Sciences Fund
* Putnam VT High Yield Fund
* Putnam VT International Growth Fund
* Putnam VT International Growth and Income Fund
* Putnam VT International New Opportunities Fund
* Putnam VT Investors Fund
* Putnam VT Money Market Fund
* Putnam VT New Opportunities Fund
* Putnam VT New Value Fund
* Putnam VT OTC & Emerging Growth Fund
* Putnam VT U.S. Government and High Quality
Bond Fund
* Putnam VT Utilities Growth and Income Fund
* Putnam VT Vista Fund
* Putnam VT Voyager Fund
A series of mutual fund portfolios for variable annuity plan investors
offered in conjunction with Hartford Life Insurance Company
SEMIANNUAL REPORT
June 30, 1998
[LOGO: BOSTON * LONDON * TOKYO]
To the contract-holders and policy-owners of
Putnam Capital Manager Trust Separate Accounts
While Asia's financial downturn continued to pose difficulties for that
region and its trading partners, many of the world's financial markets
enjoyed positive growth. Relatively stable interest rates, low inflation,
and positive changes in business operations provided a solid backdrop for
moderate economic growth and favorable market performance in many countries.
As in 1997, U.S. equities again outperformed foreign stocks, while U.S.
bonds continued to lead the world's fixed-income markets.
EQUITIES
* United States While the staggering pace of advance in U.S. stocks has
cooled of late, the market remains strong. Valuations have improved and low
inflation and low interest rates presage a favorable environment for stocks
over the near term. As the Asian downturn continued to hamper manufacturers
and exporters with links to that region, companies whose operations focused
on the domestic economy prospered by comparison. Growth stocks outpaced
value stocks during the first half of 1998 and large-capitalization stocks,
benefiting from Asian-inspired investor caution, outperformed stocks of
small and midsize companies. Performance was mixed within sectors, although
consumer cyclicals, technology, and health care -- all growth-oriented,
large-cap sectors -- were superior performers.
* Europe With corporate restructurings and an increased emphasis on
shareholder value continuing in many European companies, stocks from this
region posted solid performance during the first half of 1998. Europe's
Economic and Monetary Union (EMU) is still on track for implementation in
1999, interest rates and inflation remain low, and economic activity is
gradually picking up across most of Europe. The United Kingdom's stock
market lagged its counterparts across the Channel, but improved valuations
have brightened its outlook. Spain, Italy, and Finland tallied the strongest
returns for the period.
* Pacific Rim The financial disruptions that began in the latter half of
1997 continued throughout much of the region. South Korea was one of the few
bright spots as debt rescheduling and the new president's willingness to
accept International Monetary Fund reforms led investors to view the country
more favorably. Shortly thereafter, the Japanese government announced
another stimulus package, leading to a brief rally in several Asian markets.
FIXED INCOME
* United States Asian problems continued to fuel U.S. fixed-income
performance as nervous international investors flocked to the high credit
quality and attractive yields offered by U.S. bonds. The market also
benefited from low inflation, lower issuance of new Treasury bonds brought
on by the balanced Federal budget, and emerging signs of a slowing economy.
Although the lowest long-term bond yields in modern history have brought
valuations from cheap to fair value, as long as Japan languishes, we believe
U.S. fixed-income investments should continue to perform well.
* Global Performance in foreign fixed-income markets varied widely, despite
a favorable backdrop of soft global inflation. The United Kingdom and
Europe's peripheral markets of Spain, Italy, and Sweden posted the period's
strongest returns, while Japan and other Asian markets trailed. Core
European markets performed well, too, as a result of sluggish German
economic growth and expectations that the EMU would begin operating as
scheduled in January 1999. As the period closed, valuations in many markets
were stretched, and with economic activity poised to accelerate in Europe
and perhaps Japan, we believe foreign bond performance could, very well lag
the U.S. market in the months ahead.
* High Yield Once again, high-yield bonds were the strongest-performing
sector of the domestic bond market, propelled by the same forces that pushed
Treasury bonds and stocks higher. These forces included solid economic
growth and low inflation, low default rates, steady demand, and ongoing
consolidation activity. Following a pattern that has prevailed for well over
a year, high-yield issues of companies in telecommunications, cable TV, and
broadcasting industries led the way. New issuance also continued at a
record-breaking pace, driven by favorable interest rates, expanding
businesses, and strong investor demand.
The views expressed here are exclusively those of Putnam Management. They
are not meant as investment advice and are subject to change.
<TABLE>
SUB-ACCOUNT PERFORMANCE SUMMARY
- ------------------------------------------------------------------------------------
<CAPTION>
Total return at unit value
(as of 6/30/98)* Five years
Putnam Capital Manager 6 months 1 year Cumulative Annualized
- ------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Asia Pacific Growth Fund -12.68% -30.69% --% --%
....................................................................................
Diversified Income Fund 2.15 6.42 -- --
....................................................................................
The George Putnam Fund of Boston -- -- -- --
....................................................................................
Global Asset Allocation Fund 9.71 15.33 86.76 13.31
....................................................................................
Global Growth Fund 19.99 17.35 105.91 15.54
....................................................................................
Growth and Income Fund 9.16 16.24 125.96 17.71
....................................................................................
Health Sciences Fund -- -- -- --
....................................................................................
High Yield Fund 3.56 11.07 57.71 9.54
....................................................................................
International Growth Fund 18.95 18.44 -- --
....................................................................................
International Growth and
Income Fund 14.68 17.55 -- --
....................................................................................
International New
Opportunities Fund 15.48 2.55 -- --
....................................................................................
Investors Fund -- -- -- --
....................................................................................
Money Market Fund 1.87 3.81 17.51 3.28
....................................................................................
New Opportunities Fund 17.69 30.93 -- --
....................................................................................
New Value Fund 3.08 7.57 -- --
....................................................................................
OTC & Emerging Growth Fund -- -- -- --
....................................................................................
U.S. Government and
High Quality Bond Fund 3.51 8.61 29.67 5.33
....................................................................................
Utilities Growth and Income Fund 3.21 21.90 78.12 12.24
....................................................................................
Vista Fund 16.07 28.63 -- --
....................................................................................
Voyager Fund 16.26 30.92 153.79 20.47
- ------------------------------------------------------------------------------------
<CAPTION>
Total return at unit value (continued)
(as of 6/30/98)* 10 years Life
Putnam Capital Manager Cumulative Annualized Cumulative Annualized
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Asia Pacific Growth Fund --% --% -19.87%++ -6.77%
.................................................................................................
Diversified Income Fund -- -- 31.17+++ 5.83
.................................................................................................
The George Putnam Fund of Boston -- -- -0.83***** --
.................................................................................................
Global Asset Allocation Fund 190.08 11.24 196.50*** 11.01
.................................................................................................
Global Growth Fund -- -- 133.95+ 10.98
.................................................................................................
Growth and Income Fund 288.64 14.54 337.04*** 15.22
.................................................................................................
Health Sciences Fund -- -- 0.47***** --
.................................................................................................
High Yield Fund 158.12 9.95 164.85*** 9.81
.................................................................................................
International Growth Fund -- -- 36.20+++++ 23.04
.................................................................................................
International Growth and
Income Fund -- -- 35.06+++++ 22.35
.................................................................................................
International New
Opportunities Fund -- -- 13.74+++++ 9.02
.................................................................................................
Investors Fund -- -- 4.51***** --
.................................................................................................
Money Market Fund 48.74 4.05 51.03 4.04
.................................................................................................
New Opportunities Fund -- -- 138.01** 23.18
.................................................................................................
New Value Fund -- -- 19.54+++++ 12.73
.................................................................................................
OTC & Emerging Growth Fund -- -- 1.86***** --
.................................................................................................
U.S. Government and
High Quality Bond Fund 106.75 7.53 106.59*** 7.22
.................................................................................................
Utilities Growth and Income Fund -- -- 107.89++ 12.62
.................................................................................................
Vista Fund -- -- 41.04+++++ 25.96
.................................................................................................
Voyager Fund 403.30 17.54 425.44*** 17.28
- -------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
Total return at CDSC
(as of 6/30/98)* Five years
Putnam Capital Manager 6 months 1 year Cumulative Annualized
- ------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Asia Pacific Growth Fund -17.31% -34.25% --% --%
....................................................................................
Diversified Income Fund -3.25 1.02 -- --
....................................................................................
The George Putnam Fund of Boston -- -- -- --
....................................................................................
Global Asset Allocation Fund 4.31 9.93 83.16 12.87
....................................................................................
Global Growth Fund 14.59 11.95 102.31 15.13
....................................................................................
Growth and Income Fund 3.76 10.84 122.36 17.33
....................................................................................
Health Sciences Fund -- -- -- --
....................................................................................
High Yield Fund 1.84 5.67 54.11 9.04
....................................................................................
International Growth Fund 13.55 13.04 -- --
....................................................................................
International Growth and
Income Fund 9.28 12.15 -- --
....................................................................................
International New
Opportunities Fund 10.08 -2.85 -- --
....................................................................................
Investors Fund -- -- -- --
....................................................................................
Money Market Fund -3.54 -1.59 13.91 2.64
....................................................................................
New Opportunities Fund 12.29 25.53 -- --
....................................................................................
New Value Fund -2.32 2.17 -- --
....................................................................................
OTC & Emerging Growth Fund -- -- -- --
....................................................................................
U.S. Government and
High Quality Bond Fund -1.89 3.21 26.07 4.74
....................................................................................
Utilities Growth and Income Fund -2.20 16.50 74.52 11.78
....................................................................................
Vista Fund 10.67 23.23 -- --
....................................................................................
Voyager Fund 10.86 25.52 150.19 20.13
- ------------------------------------------------------------------------------------
<CAPTION>
Total return at CDSC (continued)
(as of 6/30/98)* 10 years Life
Putnam Capital Manager Cumulative Annualized Cumulative Annualized
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Asia Pacific Growth Fund --% --% -23.38%++++ -8.08%
.................................................................................................
Diversified Income Fund -- -- 27.57**** 5.21
.................................................................................................
George Putnam Fund -- -- -6.18***** --
.................................................................................................
Global Asset Allocation Fund 190.08 11.24 196.50*** 11.01
.................................................................................................
Global Growth Fund -- -- 133.95+ 10.98
.................................................................................................
Growth and Income Fund 288.64 14.54 337.04*** 15.22
.................................................................................................
Health Sciences Fund -- -- -4.93***** --
.................................................................................................
High Yield Fund 158.12 9.95 164.85*** 9.81
.................................................................................................
International Growth Fund -- -- 30.80+++++ 19.75
.................................................................................................
International Growth and
Income Fund -- -- 29.66+++++ 19.04
.................................................................................................
International New
Opportunities Fund -- -- 8.34+++++ 5.52
.................................................................................................
Investors Fund -- -- -0.89***** --
.................................................................................................
Money Market Fund 48.74 4.05 51.03*** 4.04
.................................................................................................
New Opportunities Fund -- -- 134.41** 22.73
.................................................................................................
New Value Fund -- -- 14.14+++++ 9.28
.................................................................................................
OTC & Emerging Growth Fund -- -- -3.54***** --
.................................................................................................
U.S. Government and
High Quality Bond Fund 106.75 7.53 106.59*** 7.22
.................................................................................................
Utilities Growth and Income Fund -- -- 106.09++ 12.46
.................................................................................................
Vista Fund -- -- 35.64+++++ 22.70
.................................................................................................
Voyager Fund 403.30 17.54 425.44*** 17.28
- -------------------------------------------------------------------------------------------------
* Past performance is not indicative of future results. This performance summary and the unit
value and performance data included in the following subaccount discussions apply only to
Putnam Capital Manager variable annuity contracts. Performance data for variable life insurance
policies are not included. All total return figures at CDSC are for subaccounts of the
Hartford Life Insurance Company Separate Account and are based on the change in unit value,
which reflects expenses, such as account charges and fees applied at the contract level;
figures at CDSC reflect deductions for the applicable contingent deferred sales charge.
The CDSC starts at 6% and declines over 8 years. The underlying mutual funds were active
before the effective dates for other separate accounts. Performance data represent past results,
with no adjustments made for taxes on reinvested distributions payable upon withdrawal. Future
unit values and investment returns may vary so an investor's units, when redeemed, may be worth
more or less than their original cost. Performance for other separate accounts will differ.
+ Commencement of operations: May 1, 1990.
++ Commencement of operations: May 4, 1992. The fund's inception date was May 1, 1992.
+++ Commencement of operations: September 15, 1993. An expense limitation was in effect during the
period; without the limitation, total return would have been lower.
** Commencement of operations: May 2, 1994.
++++ Commencement of operations: May 1, 1995. An expense limitation was in effect during the period;
without the limitation, total return would have been lower.
+++++ Commencememt of operations: January 2, 1997. The short-term results of a relatively new fund,
such as these funds, are not necessarily indicative of their long-term prospects. Expense limitations
were in effect for these funds during the period; without the limitation, total return would have been lower.
***** Commencement of operations: April 30, 1998. The short-term results of a relatively new fund, such as these
funds, are not necessarily indicative of their long-term prospects. Expense limitations were in effect for
these funds during the period; without the limitation, total return would have been lower.
*** Commencement of operations: February 1, 1988.
</TABLE>
PCM Asia Pacific Growth Fund
Sub-Account
While the Asian financial crisis of 1997 dampened returns for the PCM Asia
Pacific Growth Fund subaccount in the early months of the period, we have
begun to reposition assets and reevaluate companies as the region's markets
and currencies have recovered from their lows. For the six months ended June
30, 1998, the subaccount posted returns of -12.68% at unit value.
After a period of significant volatility and major declines among stock
markets throughout Asia, in early 1998, the tide began to turn somewhat.
Improved sentiment in the Asian markets led us to move back into the Hong
Kong banking and property sectors and to add to positions in Singapore. In
Hong Kong, interest rates began to fall as investors took heart from the
government's determination to keep the Hong Kong dollar closely pegged to
the U.S. dollar. Singapore bank stocks represented another area of
opportunity. The portfolio's holdings include banks with solid domestic loan
books and balance sheets that are the strongest in the region.
Although South Korea has a way to go in dealing with its debt and the
inefficiencies in its financial system, we believe the bounce back in the
market and the commitment of the new government offer investors an
opportunity to buy into the world's 11th largest economy.
By the end of March, it became clear that the Chinese economy was indeed
slowing. The deceleration, higher unemployment, and particularly a drop in
export growth have caused economists to worry that China, like its Asian
neighbors, would devalue its currency, causing another wave of market
volatility. In our view, Japan's potential for economic recovery represents
the other key variable for regional stock market performance in the coming
months. Should the government take meaningful measures to stimulate consumer
demand and restructure the bad debt plaguing Japanese banks, the region's
stock markets could be poised for significant outperformance relative to
U.S. equities. In the meantime, we will continue to target only
fundamentally strong economies such as Hong Kong and Singapore, while
continuing to seek out financially strong companies able to withstand any
future economic problems in the region.
- ----------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- ----------------------------------------------------------------------------
PORTFOLIO
Common stocks of companies located in Asia and the Pacific Basin
- ----------------------------------------------------------------------------
UNIT VALUE
June 30, 1998 $8.01
- ----------------------------------------------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations, economic instability, and political developments, that are
not present with domestic investments. Investing in a single sector
increases the possibility of greater price fluctuations and does not
provide the diversification of a multisector investment.
PCM Diversified Income Fund
Sub-Account
Despite continued fallout from the Asian financial crisis which dampened
performance from PCM Diversified Income Fund subaccount's international
equities sector, the subaccount's other two sectors -- U.S. taxable
investment-grade securities and high-yield bonds -- actually fared quite
well during the period. International bond markets obviously faced tough
times, but strategic portfolio shifts allowed us to soften the blow of
Asia's currency and debt crisis on fund performance. For the six months
ended June 30, 1998, the subaccount posted returns of 2.15% at unit value.
Throughout the period, the Asian crisis actually boosted performance in the
U.S. taxable investment-grade bond market. Nervous international investors
flocked to the high credit quality and attractive yields offered by U.S.
bonds, dramatically bidding up prices of U.S. Treasuries. While this flight
to quality was good news for the underlying fund, we believe our focus on
mortgage-backed securities meant the fund could possibly have benefited more
fully from the Treasury rally. The fund's focus on these securities was
meant to take advantage of the higher yields available on mortgage-backed
securities because of an increased prepayment risk in the period's falling
interest-rate environment.
The Asian currency and debt crisis took its toll on many international
markets, hitting the emerging markets especially hard. However, these bonds
staged a remarkable recovery in 1998. In a situation similar to the Treasury
rally, this rebound helped the fund, but because we had positioned this
portion of the portfolio defensively, the fund did not take full advantage
of the emerging-markets comeback. Elsewhere in the world, the fund benefited
from a significant position in the rallying United Kingdom bond market.
Exposure to Japanese government bonds, which were hurt by the country's
troubled political and economic climate, has been minimized.
The high-yield bond market once again led domestic bond market performance
as the strong economy, low inflation, and low interest rates provided a
favorable backdrop for credit upgrades, mergers and acquisitions, and new
bond issuance. Leading the way among high-yield issues were those of
companies in telecommunications, cable TV, and broadcasting industries, all
of which contributed to fund performance during the period.
Going forward, we expect continued strength in the high-yield and U.S.
taxable investment-grade sectors, and remain more cautious about
international bond markets and the outlook for global economic growth.
- ----------------------------------------------------------------------------
INVESTMENT OBJECTIVE
High current income consistent with preservation of capital
- ----------------------------------------------------------------------------
PORTFOLIO
A managed asset allocation portfolio spread across all three sectors of the
bond market -- U.S. government securities, high-yield bonds, and
international instruments
- ----------------------------------------------------------------------------
UNIT VALUE
June 30, 1998 $13.12
- ----------------------------------------------------------------------------
High-yield securities are rated lower than investment-grade securities
because there is a greater possibility that negative changes in the issuer's
financial condition, or in general economic conditions, may hinder the
issuer's ability to pay principal and interest on the securities. Foreign
investments may be subject to certain risks, such as currency fluctuations
and political developments, that are not present with domestic investments.
While U.S. government backing of individual securities does not insure your
principal, which will fluctuate with market conditions, it does guarantee
that the fund's government-backed holdings will make timely payments of
interest and principal.
PCM The George Putnam Fund of Boston
Sub-Account
As the stock market showed some nervousness and kept a wary eye on earnings
as well as events in Asia, a conservative philosophy and prudent
diversification served PCM The George Putnam Fund of Boston subaccount well.
Although the initial operating months can be a challenging time for any
fund, the subaccount held its own to post a total return of -0.83% for the
period April 30, 1998, through June 30, 1998.
With its balanced combination of stocks and corporate and government bonds,
the underlying fund takes an all-weather approach to investing. Indeed, as
the recent period demonstrates, a balanced portfolio can help the fund
withstand all kinds of market turmoil -- even problems that originate on the
other side of the globe. Thus, as economic recession in Asia slowed Wall
Street's gallop during 1998's second quarter, the fund's diversified
portfolio showed resiliency.
During the past several months, the portfolio's stock holdings, which
represented more than 60% of fund assets, made the largest contribution to
performance. Although large-capitalization growth stocks retained the
leadership position they have held for the past three years, the fund's
larger-cap value stocks showed strong gains, notably in the financial
services and technology sectors. Technology, perhaps the most volatile
sector, rebounded dramatically in the second quarter of 1998. We remain
confident that the fund's disciplined strategy of investing in undervalued
but fundamentally strong companies may continue to achieve above-average
returns and below-average volatility over time.
The fixed-income portion of the portfolio also provided solid returns as
nervous international investors continued to take comfort in the high levels
of credit quality and relatively attractive yields of the U.S. bond market.
U.S. Treasuries were the primary beneficiaries of this flight to quality,
since the corporate bond market had some difficulty digesting a significant
surge in supply spurred on by falling interest rates; more than $75 billion
of investment-grade debt was issued during the first quarter of 1998 versus
$150 billion for all of 1997. Despite the increased supply, strong
fundamentals and a positive economic backdrop led corporate bonds to post
positive returns.
Looking ahead, we expect continued volatility as Asian-inspired concerns
remain and investors await clearer signs from the U.S. economy and the
Federal Reserve Board. Amid this challenging environment, the fund's
conservative strategy and diversified portfolio prepare it well to face a
variety of market situations.
- ----------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation and current income
- ----------------------------------------------------------------------------
PORTFOLIO
Common stocks and bonds
- ----------------------------------------------------------------------------
UNIT VALUE
June 30, 1998 $9.92
- ----------------------------------------------------------------------------
PCM Global Asset Allocation Fund
Sub-Account
As the world's financial markets provided investors with a host of
challenges during the past several months, the diversification benefits
offered by PCM Global Asset Allocation Fund subaccount's mix of asset
classes enabled investors to take advantage of the stronger-performing
classes while reducing the effects of market volatility. For the six months
ended June 30, 1998, the subaccount delivered a total return of 9.71% at
unit value.
An ideal combination of moderate economic growth and benign inflation
continued to benefit the U.S. stock market throughout the period. The large-
capitalization growth portion of the three portfolios performed well
primarily because of strong stock selection and overweighted positions in
the technology, health-care, and retail sectors. The small-cap component
also contributed to returns largely because of an emphasis on cyclical and
technology sectors. With corporate earnings growth slowing, we look for
positive, though less robust returns from U.S. equities going forward.
In addition to favorable domestic conditions, the U.S. bond market also
benefited from a flight to quality among international investors. In the
U.S. investment-grade portion of the portfolios, astute selection among
mortgage-backed and corporate securities and overweighted positions in
adjustable-rate mortgages and the finance sector of the corporate bond
market helped boost performance. Low inflation, low Treasury supply, and
attractive valuations make the outlook for U.S. bonds positive for the
months ahead.
Despite a strong dollar (which can reduce gains on international stocks for
U.S. dollar-based investors), international stocks recovered nicely toward
the end of March. Corporate restructurings, increased emphasis on
shareholder value, and the on-track EMU helped fuel European stock gains. In
Japan, investor confidence remains shaken by the stagnating economy and the
yen's instability. The funds' performance benefited from an overweight
position in France, Ireland, Sweden, the Netherlands, and Portugal, combined
with underweight exposure to Japan. Strong economic fundamentals and solid
valuations make the outlook bright for European equities. Asian and emerging
markets bear cautious observation, however, as we await positive changes in
Japan's economy and any move by China to devalue its currency.
International fixed-income markets rallied during the period, although the
strong U.S. dollar canceled out local-market gains for U.S.-dollar based
investors. European bonds outperformed, while Japanese bonds underperformed.
The funds' overweighting in the top-performing U.K. bonds boosted returns
while its underweighting in Japan also helped performance. Stretched
valuations warrant caution in foreign bond markets for the foreseeable
future.
- ----------------------------------------------------------------------------
INVESTMENT OBJECTIVE
A high level of long-term total return consistent with preservation of
capital
- ----------------------------------------------------------------------------
PORTFOLIO
A managed asset allocation portfolio spread across domestic and
international stock and bond markets
- ----------------------------------------------------------------------------
UNIT VALUE
June 30, 1998 $29.65
- ----------------------------------------------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations, economic instability, and political developments, that are not
present with domestic investments.
PCM Global Growth Fund
Sub-Account
In the early part of PCM Global Growth Fund subaccount's semiannual period,
negative repercussions of the Asian financial crisis on many of the growth-
oriented companies in the portfolio dampened performance. However, by
continuing to emphasize high-quality, large-capitalization growth companies
considered to be industry leaders, the subaccount tallied a solid total
return of 19.99% at unit value for the six months ended June 30, 1998.
The liberalization of markets and the process of globalization have created
a worldwide demand for technology that would have been inconceivable just a
short time ago. Therefore, the underlying fund's focus on growth means that
it was -- and continues to be -- heavily invested in technology.
Consequently, as concerns about Asian demand clouded earnings expectations
for technology companies, the fund's performance inevitably was affected.
However, in calendar 1998, our patience has paid off.
Many segments of technology bounced back, as investors began to recognize
the inherent strengths of some technology-related firms. Additionally, in
some cases, market weakness gave the fund an opportunity to add to positions
in companies that we believe have significant growth prospects. During the
period, the fund sought to take advantage of the worldwide growth of
cellular communications and equipment, software, and personal computers.
The pharmaceutical industry had a somewhat bumpy ride during the period.
Nevertheless, this sector also remains an important growth area for the
fund. We targeted companies that we believe have solid product portfolios,
fill niche areas in the market, and offer strong capabilities in marketing
new drugs. Certain of these holdings have already demonstrated their strong
performance as the issuing companies sustained impressive earnings growth
over the period.
Japan's economy has not improved during the past several months. Therefore
the fund continues to hold a smaller position in Japanese stocks relative to
its benchmark index. As earnings continued to decline during the period, we
began to sell some of the multinational exporting firms in the portfolio.
However, the fund did add technology holdings from companies believed to be
well-positioned to benefit from the world's increasing demand for
technology.
In our view, fairly low interest rates and high liquidity around the world,
along with favorable developments in many of the fund's targeted industries,
make the near-term performance outlook quite positive.
- ----------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- ----------------------------------------------------------------------------
PORTFOLIO
Globally diversified common stock portfolio
- ----------------------------------------------------------------------------
UNIT VALUE
June 30, 1998 $23.40
- ----------------------------------------------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations, economic instability, and political developments, that are not
present with domestic investments.
PCM Growth and Income Fund
Sub-Account
The strategy of investing in companies undergoing constructive change that
has not been recognized by the market continued to serve PCM Growth and
Income Fund subaccount well during the recent semiannual period. Indeed,
this strategy helped the underlying fund weather the market volatility
ignited by events in Asia in the past several months. For the six months
ended June 30, 1998, the subaccount posted a total return of 9.16% at unit
value.
These solid returns may seem to be a continuation of the market's upward
trend that began in 1995, but it is important to note that this period
included serious bouts of volatility resulting from the Asian financial
crisis and fears of slackening profits for U.S. corporations. We believe
that the fund's cautious strategy, which favors less volatile dividend-
paying stocks, functioned well during the period by enabling the portfolio
to show resilience on days when many other stocks tumbled.
While market volatility is rarely a pleasant experience, it typically
generates opportunities to buy stocks of promising companies at unusual
discounts. During the past six months, several companies that met our
criteria for what we consider positive change became available at attractive
prices. These included stocks in the financial, oil, and retail sectors.
In the financial sector, the Asian crisis frightened off many investors who
worried that large U.S. banks would be hurt by the performance of their
international loans. In fact, before the end of the period, two of the banks
announced a merger plan that resulted in higher stock prices for each.
The oil industry also suffered because of its connections to Asia, although
in this case the industry-wide decline in stock prices made more sense -- it
was tied directly to falling demand for energy in Asia. As prices dropped to
what we consider to be opportunity levels, the fund added several stocks of
well-run oil companies that are favorably positioned to benefit when oil
prices rise again, in our view a likelihood in the next two or three years.
In the retail industry, the fund added to several existing positions in
companies that had struggled in recent years. The move was rewarded as these
stocks rallied in early 1998, when the companies profited from cheaper
clothing imports from Asia and strong consumer spending fueled by low
interest rates.
- ----------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital growth and current income
- ----------------------------------------------------------------------------
PORTFOLIO
Primarily common stocks and convertible securities
- ----------------------------------------------------------------------------
UNIT VALUE
June 30, 1998 $43.70
- ----------------------------------------------------------------------------
PCM Health Sciences Fund
Sub-Account
The initial period of operation can be a challenging time for any fund, and
the past few months have brought more than a few hurdles for PCM Health
Sciences Fund subaccount. Small-company stocks remained out of favor, and
the underlying fund's 20% to 25% stake in these stocks dampened returns
somewhat. However, many of the fund's holdings performed quite well,
illustrating one of the most powerful advantages of investing in the health-
care industry: its products and services tend to stay in demand regardless
of economic conditions. For the period April 30, 1998, through June 30,
1998, the subaccount tallied a total return of 0.47% at unit value.
Demand for the strongest companies in the portfolio -- those developing
innovative drugs, treatments, and devices for illnesses and diseases --
remained strong despite a rather turbulent time for the world's financial
markets. As the U.S. population ages, long-term prospects for these
companies look even more promising. In addition, as last fall's Asian
currency and debt crisis sent the world's stock markets reeling, this fund
successfully weathered much of the volatility because it invests in
companies with relatively low exposure to the troubled economies. Examples
include pharmaceuticals, medical technology companies, and drug retailers, a
relatively new sector for the fund.
During the period, pharmaceutical stocks made a powerful contribution to
performance as the whole industry buzzed with merger, acquisition, and
takeover discussions. Overall, the fund's overweight positions in health-
care information services, U.S. pharmaceuticals, and drug retailers boosted
returns, as did underweight positions in HMOs, hospitals, cardiovascular
technology companies, and international pharmaceutical companies which all
underperformed.
While large-company stocks for quite some time have attracted the most
investor attention -- and the strongest performance -- we remain optimistic
about the health-care industry's smaller companies. Specifically we believe
that small, growth-oriented stocks like those of medical device
manufacturers and biotechnology companies are due for a rebound. Indeed, the
portfolio contains some promising prospects in both these areas. Contract
research organizations represent another promising health-care sector. These
companies provide outsourcing services to pharmaceutical and biotechnology
companies.
As large demographic trends, including an aging population, continue to pump
up demand for health-care industry products and services, we remain
optimistic about prospects for the remainder of fiscal 1998.
- ----------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- ----------------------------------------------------------------------------
PORTFOLIO
Primarily common stocks of companies in the health sciences industries
- ----------------------------------------------------------------------------
UNIT VALUE
June 30, 1998 $10.05
- ----------------------------------------------------------------------------
Investing in a single sector increases the possibility of greater price
fluctuations and does not provide the diversification of a multisector
investment.
PCM High Yield Fund
Sub-Account
The global flight to quality in the aftermath of events in Asia temporarily
stalled the U.S. high-yield bond market in late 1997 as investors flocked to
the relative safety of U.S. Treasury issues. But by the time PCM High Yield
Fund subaccount closed the first half of its fiscal year on June 30, 1998,
the lower-rated high-yield bonds in which the underlying fund invests had
recovered much of their former strength. For the six months ended June 30,
1998, the subaccount tallied a total return of 3.56% at unit value.
Initially concerned that corporate issuers in the United States would be
adversely affected by Asia's woes, investors were reassured as corporate
America continued to flourish, not yet affected by events in Asia. Economic
growth remained robust through the first quarter of 1998, with the overall
economy growing at a seasonally adjusted annualized rate of 5.4%. In fact,
the Asian effect soon became a positive force for fixed-income investors who
were counting on the negative trade effects of the Asian slump to offset any
price increases in the United States. At a minimum, Asia's economic problem
appears to have put the Federal Reserve Board's monetary policy on hold,
enabling investors to feel more comfortable owning lower-rated bonds.
In addition to a positive economic backdrop in the United States, strong
market fundamentals also helped propel high-yield bond prices in recent
months. At the same time, these bonds continued to make good on their
promise of above-average income. While investment decisions are still made
on a company-by-company basis, we did take advantage of a flood of
attractive new issues in telecommunications to increase significantly the
fund's exposure to this sector. In fact, new high-yield issuance during the
period was so strong that many companies competed for investor attention by
offering double-digit yields. Including some of these new issues in the
portfolio helped generate a substantial level of income.
While new issues helped increase the fund's yield, merger and acquisition
activity helped boost the fund's net asset value. Several fund holdings
increased in value as a result of mergers or acquisitions by the issuing
companies.
The outlook for high-yield bonds remains favorable, although with the
prospect of an economic slowdown, high-yield issues may not outperform
investment-grade bonds as dramatically as they have.
- ----------------------------------------------------------------------------
INVESTMENT OBJECTIVE
High current income, with a secondary objective of capital appreciation
- ----------------------------------------------------------------------------
PORTFOLIO
Primarily high-yielding, lower-rated corporate bonds and notes
- ----------------------------------------------------------------------------
UNIT VALUE
June 30, 1998 $26.49
- ----------------------------------------------------------------------------
High-yield securities are rated lower than investment-grade securities
because there is a greater possibility that negative changes in the issuer's
financial condition or in general economic conditions may hinder the
issuer's ability to pay principal and interest on the securities.
PCM International Growth Fund
Sub-Account
As European markets advanced and Asian markets continued to experience
further repercussions of last fall's currency and debt crisis, international
equity markets delivered mixed performance. By avoiding those areas
adversely affected by the Asian situation and focusing instead on countries,
sectors, and companies with growth and pricing power, PCM International
Growth Fund subaccount was able to post a solid total return of 18.95% at
unit value for the six months ended June 30, 1998.
The underlying fund's overweight position in European equities paid off
handsomely during the period as many of these markets advanced. Investors
have been pleased with a renewed emphasis on shareholder value among a
growing number of European companies, along with low interest rates, low
inflation, and the imminent onset of a single currency through the creation
of Europe's Economic and Monetary Union. Stocks of companies from France,
Germany, the Netherlands, and Switzerland enjoyed particularly strong gains
over the period; the fund held large positions in all these markets. The
United Kingdom, where the fund has its largest allocation, benefited from
similar trends. The fund's Canadian equities also turned in positive results
as the fund's exposure there was entirely outside natural resources.
In terms of sectors, the portfolio favored telecommunications and banks,
while underweighting commodities, oil, and semiconductors. Large-
capitalization holdings led performance, followed by midsize and small-cap
growth stocks. Indeed, large-capitalization growth equities have been the
single best-performing asset class in each of the past three years. The fund
also took advantage of currency hedging that generally favored the dollar.
The attractiveness of Europe contrasts sharply with troubles in Japan,
although the fund's largest Japanese holding, a domestic financial firm with
large backing from a well-known U.S. bank, performed unusually well. For the
most part, however, Japan's stock market was plagued by the weak economy and
weak yen, which caused renewed turbulence in Asian markets toward the end of
the period. Elsewhere in Asia, the fund reduced its position in Hong Kong
equities and remained underweight in Singapore.
While European equities growth may moderate going forward, we expect these
markets to show greater strength and value than the U.S. market. Asian
markets remain volatile, and the fund will take a cautious approach to any
investment in this area.
- ----------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- ----------------------------------------------------------------------------
PORTFOLIO
Common stocks of companies located outside of North America
- ----------------------------------------------------------------------------
UNIT VALUE
June 30, 1998 $13.62
- ----------------------------------------------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations, economic instability, and political developments, that are not
present with domestic investments.
PCM International Growth and Income Fund
Sub-Account
PCM International Growth and Income Fund subaccount's far-ranging search for
undervalued stocks of dividend-paying companies experiencing positive change
paid off during the recent period. Not only did the quest lead us to some of
the most promising investments in the world, but it steered us away from
many that would have been among the hardest hit in the wake of the Asian
currency and debt crisis. For the six months ended June 30, 1998, the
subaccount posted a total return of 14.68% at unit value.
As many of the world's equity markets labored under turbulent conditions
springing from Asian-inspired difficulties, the underlying fund was
positioned to benefit doubly from its strategy of investing mainly in the
stocks of large, established companies. These stocks, already in favor
because of their resilience in uncertain markets, were accorded even greater
regard as cautious investors continued their search for stability.
The fund's performance largely reflects the success of its overweight
positions in the advancing markets of Europe and the United Kingdom.
Continental European markets have benefited from a renewed emphasis on
shareholder value among a growing number of companies, along with low
interest rates, low inflation, and the imminent onset of a single currency
through the creation of Europe's Economic and Monetary Union. The United
Kingdom stock market has enjoyed similar trends. As these markets rallied,
the fund's overweight positions in the larger, more stable companies of the
region were favored. Currency hedges that favored the dollar (versus the yen
and pound) enhanced results.
For the most part, the problems in Asia had a minimal effect on the
portfolio over the period. With the exception of outstanding performance
from one Japanese holding, however, even the fund's small allocation to
Japanese stocks was a drag on returns in recent months. Investor confidence
in Japan remains shaken, and the overall market will have difficulty moving
forward without yen stability and economic recovery. Indeed, the weakness of
the yen versus the dollar caused renewed turbulence in Asian markets during
late May and June. We took advantage of the volatility to add selective
Japanese holdings and are beginning to find some value in other Southeast
Asian markets, notably Hong Kong.
We continue to believe that the stocks that are poised to do best in the
evolving investment environment are those in which the portfolio
concentrates: established, undervalued dividend-paying companies undergoing
positive fundamental change.
- ----------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation, with a secondary objective of income
- ----------------------------------------------------------------------------
PORTFOLIO
Common stocks
- ----------------------------------------------------------------------------
UNIT VALUE
June 30, 1998 $13.51
- ----------------------------------------------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations, economic instability, and political developments, that are not
present with domestic investments.
PCM International New Opportunities Fund
Sub-Account
The past several months represented a period of recovery in the emerging
markets and solid growth in the established markets with the exception of
Japan. As international stock markets rebounded from the depths following
the Asian crisis, PCM International New Opportunities Fund subaccount
successfully executed its strategy of seeking high-growth international
companies with strong revenue and earnings growth rates as well as a
proprietary or superior position in their industries. For the six months
ended June 30, 1998, the subaccount posted performance of 15.48% at unit
value.
The fund's focus on growth means that it continues to be heavily invested in
select industries that make up the technology sector. While this commitment
dampened performance during 1997, it paid off in the first half of 1998 as
several segments of technology bounced back when investors began to
recognize the inherent strengths of some technology-related firms.
Additionally, in several cases, weaknesses in 1997 gave us the opportunity
to add to positions in companies likely to have significant growth
prospects. For example, we added to the fund's holdings in companies that
provide services and outsourcing to the information technology industry.
Fund performance also benefited from gains by telecommunications equipment,
software, and cellular telephone holdings.
In Europe, the fund has taken full advantage of opportunities created by low
or falling interest rates and rising economic growth. As the January 1999
formation of the EMU draws closer, the so-called peripheral countries of
Ireland, Spain, Portugal, and Italy have particularly benefited. Fund
holdings in Italy and Spain have been among the portfolio's top performers.
The fund remained underweighted in Asia as well as emerging markets in
general -- two decisions that helped performance. We believe Asia's stock
markets, currencies, and interest rates will remain volatile over the near
term. Nevertheless, we are cautiously evaluating several investment
opportunities. In Latin America, the fund added several Brazilian stocks
from companies that we believe are likely to sustain stable growth rates,
despite Brazil's high interest rates and market volatility. Additionally,
the fund realized gains from the sale of several Mexican stocks.
Although international markets continue to experience varying degrees of
volatility, globalization has produced unprecedented demand for the products
and services of growing companies. Going forward, the fund will continue to
seek companies anywhere in the world that exhibit superior sales rates and
earnings growth as well as strong competitive positions.
- ----------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Long-term capital appreciation
- ----------------------------------------------------------------------------
PORTFOLIO
Common stocks of companies principally traded outside the United States
- ----------------------------------------------------------------------------
UNIT VALUE
June 30, 1998 $11.37
- ----------------------------------------------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations, economic instability, and political developments, that are not
present with domestic investments. This fund invests all or a portion of its
assets in small to medium-sized companies. Such investments increase the
risk of greater price fluctuations.
PCM Investors Fund
Sub-Account
While the initial months of operation can be a challenging time for any
fund, the recent period provided relatively few hurdles for PCM Investors
Fund subaccount. Economic recession in Asia slowed Wall Street's gallop
during 1998's second quarter, giving U.S. stocks little leeway to add to
their impressive first quarter gains. However, the market remained focused
on the large-capitalization growth stocks in which the underlying fund
invests, and these stocks retained the leadership position they have held
for the past three years. For the period April 30, 1998, through June 30,
1998, the subaccount posted a solid total return of 4.51% at unit value.
Throughout the period, investor attention focused on Asia. Problems in
developing Asian countries accelerated and economic problems in Japan were
exacerbated by the rising dollar and falling yen, heightening worries that
the yen's continued weakness might result in China devaluing its currency.
Mergers and acquisitions also continued at a rapid rate over the period. In
fact so far, the dollar volume of mergers during the first two quarters of
1998 exceeds the total for all of 1997.
The second quarter's top-performing industries were apparel retailing,
networking, autos, general merchandisers, home improvement retailers, and
computer software. The fund was overweighted in all of these industries
except autos. Fortunately, the fund had no exposure to the worst performing
industries, which were services, mining, semiconductor equipment, rails, and
truckers. Within these sectors, performance varied considerably from company
to company, proving once again that our disciplined strategy and focus on
individual stock selection remain the keys to solid fund performance.
Given an economic backdrop of low inflation, low interest rates, and
generally stable earnings growth, the long-term outlook remains positive for
U.S. equities.
- ----------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- ----------------------------------------------------------------------------
PORTFOLIO
Primarily high quality common stocks
- ----------------------------------------------------------------------------
UNIT VALUE
June 30, 1998 $10.45
- ----------------------------------------------------------------------------
PCM Money Market Fund
Sub-Account
With the U.S economy still marching forward and inflation staying quite low,
the recent semiannual period brought few changes for money market investors.
Once again, PCM Money Market Fund subaccount delivered a competitive total
return by focusing on superior quality, capital preservation, and current
income. For the six months ended June 30, 1998, the subaccount posted a
total return of 1.87% at unit value.
Isolated Asian-related pressures notwithstanding, most sectors and regions
of the U.S. economy continued to evidence strong growth during the past six
months. Indeed, businesses and consumers went on a spending spree during the
first quarter of 1998, causing the economy to expand much more quickly than
originally believed. The Commerce Department reported that the nation's
gross domestic product increased at a seasonally adjusted 5.4% annual rate
during the period, higher than an earlier estimate of 4.8%. As the period
drew to a close, however, there were some signs of slowing, an example being
a slight decline in durable goods orders.
While the economy continued to expand at a rate that in the past would have
been considered a harbinger of inflationary pressures, current data show
virtually no signs of higher inflation. Given this benign environment, the
Fed kept its monetary policy on hold throughout the period.
Money market investments remained attractive throughout the past six months,
and the market continued to experience record inflows of investor cash. More
U.S. and foreign investors are finding the liquidity, quality, and yields of
money market securities attractive.
With Fed monetary policy on hold and the direction of interest rates
uncertain, we have continued to keep the fund in a flexible position. During
the recent period, this strategy meant keeping portfolio duration relatively
neutral -- rather than short or long -- in order to take advantage of
incrementally higher yields as they became available. In fact, yields on
most corporate and bank money market securities were more favorable than
yields on Treasuries throughout the period. With its flexible duration
structure, the fund was able to pursue various value and income
opportunities within the market, laddering portfolio holdings across the
maturity spectrum to preserve liquidity and remain ready for any changes
that might occur.
For the time being, it appears to us that economic strength and low
inflation can indeed go hand in hand. However, should the economy overheat,
the Fed may be forced to raise rates. The fund's neutral duration structure
and conservative, quality-focused strategy position it well for this
environment by providing the flexibility to capture any higher yields that
become available.
- ----------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Current income consistent with preservation of capital and maintenance of
liquidity
- ----------------------------------------------------------------------------
PORTFOLIO
Primarily high-quality money market instruments
- ----------------------------------------------------------------------------
UNIT VALUE
June 30, 1998 $1.51
- ----------------------------------------------------------------------------
An investment in Putnam VT Money Market Fund, in which the fund invests, is
neither insured nor guaranteed by the U.S. government. There can be no
assurance that Putnam VT Money Market Fund will be able to maintain a stable
net asset value of $1.00.
PCM New Opportunities Fund
Sub-Account
With events in Asia continuing to dominate investors' attention over the
past six months, the stock market once again rewarded the large-
capitalization growth stocks that have led performance for some time. This
said, many of the portfolio's small and midsize holdings still posted strong
returns. For the six months ended June 30, 1998, PCM New Opportunities Fund
subaccount posted a total return of 17.69% at unit value.
The decision to add a large-capitalization stock component to the portfolio
paid off handsomely during the recent period as these stocks retained the
leadership position they have assumed for the past three years. Many of the
large-cap additions to the portfolio have been well-known, leading brand
companies that are growing rapidly. To protect against the fallout from the
Asian financial crisis, we also attempted to minimize the portfolio's
exposure to companies that do considerable business in Asia and among
companies that compete against Asian companies in U.S. markets. In terms of
sectors, the portfolio remains overweighted in media, technology, business
services, and consumer products/services.
During the period, astute stock selection and appropriate sector weightings
boosted performance considerably. In the technology sector, which represents
a significant though somewhat reduced weighting, we concentrated on
communications equipment, telecommunications, and software, three areas that
have had a resurgence. The portfolio's media holdings have benefited from
strong earnings and cash flow growth, along with the domestic focus of their
business. Among consumer holdings, large-cap, small, and midsize retail
stocks have all been top performers. Business services stocks, which include
computer service and staffing companies, have benefited from the outsourcing
trends that have taken hold as companies downsize and streamline their
operations. In the health-care sector, large-cap pharmaceutical holdings
have outperformed while smaller biotech stocks and service-oriented stocks
including hospital and nursing home stocks have been hurt.
Management continues to watch Asia closely for signs of recovery. On the
domestic front, low interest rates, low inflation, and moderate growth
provide a favorable backdrop for stock market performance, although slowing
corporate earnings growth bears monitoring.
- ----------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- ----------------------------------------------------------------------------
PORTFOLIO
Common stocks of companies in market sectors with above-average long-term
growth potential
- ----------------------------------------------------------------------------
UNIT VALUE
June 30, 1998 $23.80
- ----------------------------------------------------------------------------
This fund invests all or a portion of its assets in small to medium-sized
companies. Such investments increase the risk of greater price fluctuations.
PCM New Value Fund
Sub-Account
As investors around the world continued to sort out the aftershocks of the
currency and debt crisis in Asia, volatility beset many of the world's
equity markets. While market volatility is rarely a pleasant experience, it
typically provides fertile ground for our ongoing search for undervalued and
out-of-favor stocks. Such was the case in the recent period when research
uncovered some bargain stocks with excellent long-term potential. For the
six months ended June 30, 1998, PCM New Value Fund subaccount posted a total
return of 3.08% at unit value.
While over the long term stocks have outperformed every other type of
security, over shorter periods their risks may seem to outweigh their
potential rewards. That was the case for the underlying fund during the
first half of fiscal 1998. Several of the undervalued stocks we have focused
on have yet to perform as expected. The weakness of value stocks relative to
growth-oriented stocks also adversely affected the subaccount's returns.
Indeed, the resilience of the U.S. stock market has created a particular
challenge for a moderately contrarian investment approach such as this
fund's, which seeks opportunities off the beaten path rather than following
market trends. In recent months, investors have been too nervous to buy
underfollowed or misunderstood stocks and instead have focused only on
proven winners. Thus it may take longer for the fund's choices to achieve
their targeted growth levels.
The fund did benefit to some extent from the period's flight to quality,
however, since one portion of its portfolio is devoted to stocks with high
dividend yields (known as anchor stocks in our strategy). One strong
performer in this area was a real estate investment trust recently acquired
by a competitor. Another portion of the portfolio focuses on companies whose
near-term earnings prospects are somewhat uncertain. While jittery investors
have lately refused to forgive stumbles from stocks like these, this climate
has created new opportunities for the fund.
The Asian financial crisis also generated buying opportunities by knocking
some high-quality companies down to price levels sought by this fund. Known
as ladder stocks in our parlance, these are issues of prominent companies
that investors have temporarily spurned. In recent months, we have taken
advantage of two such opportunities in the computer chip and heavy
industrial manufacturing sectors.
Looking ahead, we will monitor the market closely for the new value
opportunities that continue to be created by current volatility.
- ----------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Growth and current income
- ----------------------------------------------------------------------------
PORTFOLIO
Common stocks and fixed-income securities
- ----------------------------------------------------------------------------
UNIT VALUE
June 30, 1998 $11.95
- ----------------------------------------------------------------------------
This fund invests all or a portion of its assets in small to medium-sized
companies. Such investments increase the risk of greater price fluctuations.
PCM OTC & Emerging Growth Fund
Sub-Account
During the past several months, as small and emerging-growth companies faced
a difficult environment, PCM OTC & Emerging Growth Fund subaccount sought
opportunities amid the challenges. The Asian currency and debt crisis
continued to take its toll on markets around the world, dampening
performance of many of the underlying fund's holdings. Troubled markets,
however, often bring compelling opportunities, and for this reason we have
been able to take advantage of attractive stock prices in many industry
sectors. For the period April 30, 1998, through June 30, 1998, the
subaccount turned in a total return of 1.86% at unit value.
The initial months of operation can be a challenging time for any fund, and
as these returns demonstrate, PCM OTC & Emerging Growth Fund faced more than
a few hurdles during its brief debut reporting period. Generally ignoring
the small to midsize emerging growth stocks that are the fund's focus, stock
investors continued to favor the narrow range of large-capitalization
companies with high growth rates that have dominated performance for the
past three years. Nonetheless, we remain confident that the fund's
aggressive investment style will prove rewarding over the long term for
investors seeking above-average growth through investments in small to
medium-sized emerging growth companies.
The recent period did have its bright spots, however, such as the strength
of the fund's technology and retail holdings. After experiencing a severe
setback following the market turbulence surrounding Asian economic
downturns, the technology sector roared back during the second quarter of
1998. Technology remains one of the portfolio's largest sectors.
Retail holdings also contributed strongly to performance during the period.
This sector benefited from the positive domestic economy and robust consumer
spending. The fund's top-performing retail holdings centered around
companies that are on the leading edge of trends, profiting from their
ability to meet distinct consumer needs and preferences. Examples include
home-product retailers that appeal to a more affluent customer base, and
companies that are reaping the rewards of the fitness and back-to-nature
interests of consumers.
While the subaccount's short-term performance may be somewhat disappointing,
today's difficult market has provided some attractive investment
opportunities. We anticipate additional volatility ahead as markets continue
to sort through the Asian financial crisis. However, we are minimizing the
fund's exposure to Asian markets and look forward to improved conditions for
the types of stocks in which the fund invests along with benefits from the
attractively priced stocks that we have recently added to the portfolio.
- ----------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Above-average growth potential
- ----------------------------------------------------------------------------
PORTFOLIO
Common stocks primarily of small to medium-size emerging growth companies
- ----------------------------------------------------------------------------
UNIT VALUE
June 30, 1998 $10.19
- ----------------------------------------------------------------------------
This fund invests all or a portion of its assets in small to medium-sized
companies. Such investments increase the risk of greater price fluctuations.
PCM U.S. Government and
High Quality Bond Fund
Sub-Account
Although the rush of international investors to the relative safety of the
U.S. bond market did drive down yields on most bonds during the period, a
flexible strategy and timely portfolio shifts once again propelled PCM U.S.
Government and High Quality Bond Fund subaccount to solid performance. For
the six months ended June 30, 1998, the subaccount provided a total return
of 3.51% at unit value.
With the effects of the Asian downturn on U.S. markets anything but certain,
investors remained watchful of the economy and the Federal Reserve Board. In
this atmosphere of nervousness, we maintained a slightly defensive portfolio
duration throughout the period. Duration measures a portfolio's sensitivity
to changing interest rates and can be altered by changing the fund's mix of
bonds. Bonds with shorter maturities generally are less sensitive to changes
in interest rates, so holding cash or short-term securities as we did during
the period will tend to reduce a portfolio's average duration.
A flight to quality from Asian markets, combined with a noninflationary U.S.
economic growth picture, fueled a dramatic rise in U.S. Treasury prices
during the early part of the semiannual period. In the U.S. government
portion of the portfolio, fund performance benefited from its 12% stake in
the U.S. Treasury segment of the market as the prices of intermediate and
long-maturity Treasuries appreciated significantly.
As the period progressed, mortgage-backed securities went on to outperform
Treasuries slightly. Fortunately, the fund was prepared for this shift. At
the end of March, we increased the fund's mortgage holdings to approximately
86% of portfolio assets. While U.S. Treasury prices may continue to rise in
the short term, we believe the potential for a correction is now greater
than prospects for additional gains. Mortgage-backed securities such as
GNMAs offer distinct advantages in this environment since they are generally
less sensitive than Treasuries to interest-rate changes while offering
higher yields in order to compensate investors for the risk of prepayment.
The investment-grade bond portion of the portfolio also benefited from high
international investor demand, moderate growth, and low inflation, although
the corporate bond market did have some difficulty digesting a surge of new
issues.
With mixed economic signals the rule rather than the exception these days,
we plan to maintain the fund's slightly defensive posture and sizable
position in mortgage-backed securities to take advantage of their relatively
higher yields and lower sensitivity to interest rates.
- ----------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Current income consistent with preservation of capital
- ----------------------------------------------------------------------------
PORTFOLIO
Securities issued or backed by the full faith and credit of the U.S.
government or its agencies or instrumentalities plus corporate bonds
rated A or above
- ----------------------------------------------------------------------------
UNIT VALUE
June 30, 1998 $20.66
- ----------------------------------------------------------------------------
While U.S. government backing of individual securities does not insure your
principal, which will fluctuate with market conditions, it does guarantee
that the fund's government-backed holdings will make timely payments of
interest and principal.
PCM Utilities Growth and Income Fund
Sub-Account
Although the market environment was not particularly favorable for utilities
stocks during the past several months, anticipated changes in the utilities
industry as a whole leave us optimistic about the PCM Utilities Growth and
Income Fund subaccount's performance potential over the second half of the
year. For the six months ended June 30, 1998, the subaccount posted a total
return of 3.21% at unit value.
While U.S. economic growth has maintained its energetic pace during the
period, interest rates have leveled off and remain comparatively low.
Utilities stocks are interest-rate sensitive and tend to track bond
performance rather than the performance of the broader equities market;
thus, as the rest of the market reached for record highs, the underlying
fund's utilities holdings fell behind. In addition, an unusually warm winter
season globally has had an adverse effect on electric and gas companies'
earnings.
Looking ahead, we see the most important fundamental change in the utilities
industry to be the coming convergence of a public energy industry, made up
of electric power and natural gas. As we positioned the portfolio to benefit
from the trend, several small changes occurred in the fund's asset
allocation. Holdings in the gas industry, for example, have risen from about
22% to 25% of the portfolio. This move reflects our view that over time,
smaller gas companies will be absorbed by larger ones, and those in turn
possibly being acquired by large electric companies.
The electric industry constitutes the largest portion of the portfolio. With
interest rates stable and economic growth fairly stable, the fund's bond
allocation has declined slightly and is now about 13% of assets. The fund
also maintains a position in nonutility stocks, currently 7% of assets, and
these stocks enhanced performance over the period. In addition, the fund
continues to hold some foreign utilities. These show continuing signs of
rewarding growth combined with relative stability, particularly in Europe.
In the telephone industry, high demand for basic telephone services, and an
explosion of data services through phone lines have helped telephone stocks
do well over the period.
As long as the interest rate environment remains benign, growth should
continue and we remain fairly optimistic about the utilities sector's
ability to catch up with the market's strong performance as it has done in
the past.
- ----------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital growth and current income
- ----------------------------------------------------------------------------
PORTFOLIO
Common stocks and bonds issued by public utility companies
- ----------------------------------------------------------------------------
UNIT VALUE
June 30, 1998 $20.79
- ----------------------------------------------------------------------------
Investing in a single sector increases the possibility of greater price
fluctuations and does not provide the diversification of a multisector
investment.
PCM Vista Fund
Sub-Account
Although the economic recession in Asia slowed Wall Street's gallop in
recent months, PCM Vista Fund subaccount continued to benefit from astute
stock selection and positive sector allocations, leading the subaccount to
post a strong total return of 16.07% at unit value for the six months ended
June 30, 1998.
During the first quarter of 1998, the U.S. economy continued to enjoy the
best of both worlds -- moderate economic growth and benign inflation. In the
second quarter, however, some Asian-inspired weakness began to emerge. With
Asian countries unable to buy imported goods, there was a sudden oversupply
of oil, construction equipment, and computer memory chips in world markets.
Stocks in these industries experienced a drop in earnings. U.S.
manufacturers also experienced slowing domestic sales as the first quarter's
inventory build-up worked its way through to final consumers. The retail and
leisure sectors performed well, however, as U.S. consumers continued to
spend heavily on consumer goods and services.
The fund benefited from solid performance by its holdings in software and
technology services as well as faster-growing financial services stocks.
Within the technology sector, software and technology services holdings
outperformed. As prices for energy and basic materials continued to decline,
the fund's limited exposure to these industries proved beneficial. Recent
portfolio additions in the Internet service area also showed strong
short-term performance. Strong performance was partially offset by stock
selection within health care and allocation to utilities.
Even though U.S. stocks made no broad advance in the final months of the
period, we believe the long-term outlook is positive. Stock valuations have
improved, inflation remains low, and although the Asian crisis has produced
some bumps, the U.S. economy appears to be in solid shape. With its focus on
the larger, high quality and more liquid midsize growth stocks, we believe
the fund is well positioned for what lies ahead.
- ----------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- ----------------------------------------------------------------------------
PORTFOLIO
Common stocks with potential for above-average capital growth
- ----------------------------------------------------------------------------
UNIT VALUE
June 30, 1998 $14.10
- ----------------------------------------------------------------------------
The fund invests all or a portion of its assets in small to medium-size
companies. Such investments increase the risk of greater price fluctuations.
PCM Voyager Fund
Sub-Account
As the aftermath of the Asian financial crisis began to slow the stock
market's advance during the second quarter of 1998, sector and securities
shifts once again enabled PCM Voyager Fund subaccount to deliver solid
performance. Indeed, the fund's all-weather growth portfolio of large,
small, and midsize stocks continued to demonstrate its wisdom amid the
volatility of recent months. For the six months ended June 30, 1998, the
subaccount delivered a total return of 16.26% at unit value.
During the first quarter of 1998, the U.S. economy continued to enjoy the
best of both worlds -- moderate economic growth and benign inflation. In the
second quarter, however, some Asian-inspired weakness began to emerge. With
Asian countries unable to buy imported goods, there was a sudden oversupply
of oil, construction equipment, and computer memory chips in world markets.
Companies in these industries experienced or were threatened by a drop in
earnings. U.S. manufacturers also experienced slowing domestic sales, as the
first quarter's inventory build-up worked its way through to final
consumers. The retail and leisure sectors performed well, however, as U.S.
consumers continued to spend on consumer goods and services.
Overall, the market continued to favor the narrow range of large companies
with high growth rates that have dominated performance for the past three
years. During the period, we attempted to mitigate some of the volatility
affecting one of the underlying fund's primary stock sectors, technology. We
trimmed the fund's holdings in semiconductor companies and focused more on
telecommunications and Internet-related stocks, which went on to outperform
as the technology sector rebounded. Additionally, the fund took advantage of
a strong period for mergers and acquisitions in the cable, broadcasting, and
entertainment sector. Indeed, the portfolio had large allocations to this
sector, which generated superior returns over the period. Consumer-oriented
stocks also made solid contributions to fund performance, especially
specialty retailers and financial companies, benefiting from the strong
domestic economy and robust consumer spending. As always, we sought
companies with strong earnings growth prospects that were well positioned in
attractive growth industries.
In the months ahead, Asian-inspired volatility may continue to best the
stock market. However, with its diversified portfolio of large, small, and
midsize stocks in a variety of fast-growing industries, we believe the fund
is well positioned for what lies ahead.
- ----------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- ----------------------------------------------------------------------------
PORTFOLIO
Stocks of "emerging growth" companies with significant growth potential
and established companies with positive growth prospects
- ----------------------------------------------------------------------------
UNIT VALUE
June 30, 1998 $52.54
- ----------------------------------------------------------------------------
This fund invests all or a portion of its assets in small to medium-sized
companies. Such investments increase the risk of greater price fluctuations.
Fund manager changes
Jennifer E. Leichter has been appointed to the management team of Putnam VT
Diversified Income Fund. As managing director and chief investment officer
of the Credit team within the Fixed-Income Group, she has broad
responsibility for Putnam's high-yield, investment-grade corporate, and
emerging markets fixed-income investments. She joined Putnam in 1987 and has
15 years of investment experience.
Michael Martino has been appointed to the management team of Putnam VT U.S.
Government and High Quality Bond Fund. He is managing director and chief
investment officer of the U.S. Government Bonds and Money Market team within
the Core Fixed-Income Group. Before joining Putnam in 1994, he was with Back
Bay Advisors and New England Mutual Life Insurance Company. He has 16 years
of investment experience.
Jeanne L. Mockard has been appointed to the management team of Putnam VT
Utilities Growth and Income Fund. She is a senior portfolio manager in the
Global Large-Cap Value Equity Group. She joined Putnam in 1985 and has 13
years of investment experience.
Deborah S. Farrell and Stephen S. Oler have been appointed to the management
team of Putnam VT International New Opportunities Fund. Ms. Farrell joined
Putnam in 1997 as a senior portfolio manager on the Emerging Markets Equity
team. Her investment experience includes positions with Emerging Markets
Investors Corp., International Finance Corp., and World Bank. She has 14
years of investment experience. Mr. Oler joined Putnam in 1997 as a senior
portfolio manager on the Emerging Markets team, where his primary focus is
on Latin America. Prior experience includes positions with Templeton
Investment Counsel and Baring Asset Management. He has 13 years of
investment experience.
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Assets & Liabilities
- -----------------------------------------------------------------------------------------------------------
June 30, 1998 Asia Pacific Diversified The Global Asset
(Unaudited) Growth Income George Putnam Allocation
Fund Fund Fund of Boston Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
...........................................................................................................
Putnam VT Asia Pacific
Growth Fund
Shares 3,985,978
Cost $41,503,612
...........................................................................................................
Market Value: $30,891,332 $ -- $ -- $ --
...........................................................................................................
Putnam VT Diversified
Income Fund
Shares 31,395,020
Cost $329,338,664
...........................................................................................................
Market Value: -- 343,461,520 -- --
...........................................................................................................
Putnam VT The George
Putnam Fund of Boston
Shares 739,800
Cost $7,363,240
...........................................................................................................
Market Value: -- -- 7,375,804 --
...........................................................................................................
Putnam VT Global
Asset Allocation Fund
Shares 28,186,339
Cost $390,276,301
...........................................................................................................
Market Value: -- -- -- 519,756,098
...........................................................................................................
Putnam VT Global
Growth Fund
Shares 44,391,444
Cost $613,534,157
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Putnam VT Growth and
Income Fund
Shares 176,473,440
Cost $3,521,443,951
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Putnam VT Health
Sciences Fund
Shares 1,130,483
Cost $11,205,021
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Due From Hartford Life
Insurance Company -- 217,776 189,074 --
...........................................................................................................
Receivable from fund
shares sold 8,307 -- -- 44,721
- -----------------------------------------------------------------------------------------------------------
Total Assets 30,899,639 343,679,296 7,564,878 519,800,819
- -----------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life
Insurance Company 8,343 -- -- 44,549
...........................................................................................................
Payable for fund
shares purchased -- 217,062 189,073 --
...........................................................................................................
Total Liabilities 8,343 217,062 189,073 44,549
- -----------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $30,891,296 $343,462,234 $7,375,805 $519,756,270
- -----------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liabilities (continued)
- -----------------------------------------------------------------------------------------
June 30, 1998 Global Growth Health
(Unaudited) Growth and Income Sciences Fund
Fund Fund Sub-Account
Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
Assets
Investments:
.........................................................................................
Putnam VT Asia Pacific
Growth Fund
Shares 3,985,978
Cost $41,503,612
.........................................................................................
Market Value: $ -- $ -- $ --
.........................................................................................
Putnam VT Diversified
Income Fund
Shares 31,395,020
Cost $329,338,664
.........................................................................................
Market Value: -- -- --
.........................................................................................
Putnam VT The George
Putnam Fund of Boston
Shares 739,800
Cost $7,363,240
.........................................................................................
Market Value: -- -- --
.........................................................................................
Putnam VT Global
Asset Allocation Fund
Shares 28,186,339
Cost $390,276,301
.........................................................................................
Market Value: -- -- --
.........................................................................................
Putnam VT Global
Growth Fund
Shares 44,391,444
Cost $613,534,157
.........................................................................................
Market Value: 838,554,385 -- --
.........................................................................................
Putnam VT Growth and
Income Fund
Shares 176,473,440
Cost $3,521,443,951
.........................................................................................
Market Value: -- 4,835,372,257 --
.........................................................................................
Putnam VT Health
Sciences Fund
Shares 1,130,483
Cost $11,205,021
.........................................................................................
Market Value: -- -- 11,383,965
.........................................................................................
Due From Hartford Life
Insurance Company -- 756,760 469,091
.........................................................................................
Receivable from fund
shares sold 20,897 1 --
- -----------------------------------------------------------------------------------------
Total Assets 838,575,282 4,836,129,018 11,853,056
- -----------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life
Insurance Company 21,126 1 --
.........................................................................................
Payable for fund
shares purchased -- 750,900 469,092
.........................................................................................
Total Liabilities 21,126 750,901 469,092
- -----------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $838,554,156 $4,835,378,117 $11,383,964
- -----------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Assets & Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------
June 30, 1998 High Yield International International International
(Unaudited) Fund Growth Growth New
Sub-Account Fund and Income Opportunities
Sub-Account Fund Fund
Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
...........................................................................................................
Putnam VT High
Yield Fund
Shares 38,425,217
Cost $450,073,490
...........................................................................................................
Market Value: $497,990,816 $ -- $ -- $ --
...........................................................................................................
Putnam VT International
Growth Fund
Shares 7,206,293
Cost $85,781,920
...........................................................................................................
Market Value: -- 98,654,155 -- --
...........................................................................................................
Putnam VT International
Growth and Income Fund
Shares 9,134,949
Cost $105,740,141
...........................................................................................................
Market Value: -- -- 121,312,121 --
...........................................................................................................
Putnam VT International
New Opportunities Fund
Shares 4,249,215
Cost $44,724,221
...........................................................................................................
Market Value: -- -- -- 49,120,923
...........................................................................................................
Putnam VT Investors Fund
Shares 1,381,510
Cost $14,054,157
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Putnam VT Money
Market Fund
Shares 215,615,339
Cost $215,615,339
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Putnam VT New
Opportunities Fund
Shares 42,249,330
Cost $679,686,354
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Due From Hartford Life
Insurance Company 302,520 295,255 169,145 --
...........................................................................................................
Receivable from fund
shares sold 1,810 -- -- 22,371
- -----------------------------------------------------------------------------------------------------------
Total Assets 498,295,146 98,949,410 121,481,266 49,143,294
- -----------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life
Insurance Company 1,810 -- -- 22,341
...........................................................................................................
Payable for fund
shares purchased 313,924 295,360 168,733 --
...........................................................................................................
Total Liabilities 315,734 295,360 168,733 22,341
- -----------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $497,979,412 $98,654,050 $121,312,533 $49,120,953
- -----------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liabilities (continued)
- -----------------------------------------------------------------------------------------
June 30, 1998 Investors Fund Money New
(Unaudited) Sub-Account Market Opportunities
Fund Fund
Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
Assets
Investments:
.........................................................................................
Putnam VT High
Yield Fund
Shares 38,425,217
Cost $450,073,490
.........................................................................................
Market Value: $ -- $ -- $ --
.........................................................................................
Putnam VT International
Growth Fund
Shares 7,206,293
Cost $85,781,920
.........................................................................................
Market Value: -- -- --
.........................................................................................
Putnam VT International
Growth and Income Fund
Shares 9,134,949
Cost $105,740,141
.........................................................................................
Market Value: -- -- --
.........................................................................................
Putnam VT International
New Opportunities Fund
Shares 4,249,215
Cost $44,724,221
.........................................................................................
Market Value: -- -- --
.........................................................................................
Putnam VT Investors Fund
Shares 1,381,510
Cost $14,054,157
.........................................................................................
Market Value: 14,630,195 -- --
.........................................................................................
Putnam VT Money
Market Fund
Shares 215,615,339
Cost $215,615,339
.........................................................................................
Market Value: -- 215,615,340 --
.........................................................................................
Putnam VT New
Opportunities Fund
Shares 42,249,330
Cost $679,686,354
.........................................................................................
Market Value: -- -- 1,049,050,853
.........................................................................................
Due From Hartford Life
Insurance Company 349,524 -- 851,143
.........................................................................................
Receivable from fund
shares sold -- 401,136 --
- -----------------------------------------------------------------------------------------
Total Assets 14,979,719 216,016,476 1,049,901,996
- -----------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life
Insurance Company -- 400,144 --
.........................................................................................
Payable for fund
shares purchased 349,525 -- 850,275
.........................................................................................
Total Liabilities 349,525 400,144 850,275
- -----------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $14,630,194 $215,616,332 $1,049,051,721
- -----------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Assets & Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------
June 30, 1998 New OTC & U.S.Government Utilities
(Unaudited) Value Emerging Growth and High Growth
Fund Fund Quality Bond and Income
Sub-Account Sub-Account Fund Fund
Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
...........................................................................................................
Putnam VT New
Value Fund
Shares 8,019,206
Cost $89,616,446
...........................................................................................................
Market Value: $95,508,740 $ -- $ -- $ --
...........................................................................................................
Putnam VT OTC &
Emerging Growth Fund
Shares 206,576
Cost $2,015,721
...........................................................................................................
Market Value: -- 2,113,271 -- --
...........................................................................................................
Putnam VT U.S.
Government High
Quality Bond Fund
Shares 40,868,275
Cost $488,403,464
...........................................................................................................
Market Value: -- -- 540,278,592 --
...........................................................................................................
Putnam VT Utilities Growth
and Income Fund
Shares 28,944,249
Cost $348,316,705
...........................................................................................................
Market Value: -- -- -- 476,132,892
...........................................................................................................
Putnam VT Vista Fund
Shares 7,175,094
Cost $82,356,267
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Putnam VT Voyager Fund
Shares 58,342,393
Cost $1,421,335,378
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Due From Hartford
Life Insurance Company 139,205 93,814 -- 108,021
...........................................................................................................
Receivable from fund
shares sold -- -- 57,755 --
- -----------------------------------------------------------------------------------------------------------
Total Assets 95,647,945 2,207,085 540,336,347 476,240,913
- -----------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life
Insurance Company -- -- 58,661 --
...........................................................................................................
Payable for fund
shares purchased 138,931 93,814 -- 104,976
...........................................................................................................
Total Liabilities 138,931 93,814 58,661 104,976
- -----------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $95,509,014 $2,113,271 $540,277,686 $476,135,937
- -----------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liabilities (continued)
- -----------------------------------------------------------------------
June 30, 1998 Vista Voyager
(Unaudited) Fund Fund
Sub-Account Sub-Account
- -----------------------------------------------------------------------
<S> <C> <C>
Assets
Investments:
.......................................................................
Putnam VT New
Value Fund
Shares 8,019,206
Cost $89,616,446
.......................................................................
Market Value: $ -- $ --
.......................................................................
Putnam VT OTC &
Emerging Growth Fund
Shares 206,576
Cost $2,015,721
.......................................................................
Market Value: -- --
.......................................................................
Putnam VT U.S.
Government High
Quality Bond Fund
Shares 40,868,275
Cost $488,403,464
.......................................................................
Market Value: -- --
.......................................................................
Putnam VT Utilities Growth
and Income Fund
Shares 28,944,249
Cost $348,316,705
.......................................................................
Market Value: -- --
.......................................................................
Putnam VT Vista Fund
Shares 7,175,094
Cost $82,356,267
.......................................................................
Market Value: 103,321,357 --
.......................................................................
Putnam VT Voyager Fund
Shares 58,342,393
Cost $1,421,335,378
.......................................................................
Market Value: -- 2,518,057,668
.......................................................................
Due From Hartford
Life Insurance Company 385,115 --
.......................................................................
Receivable from fund
shares sold -- 36,814
- -----------------------------------------------------------------------
Total Assets 103,706,472 2,518,094,482
- -----------------------------------------------------------------------
Liabilities
Due to Hartford Life
Insurance Company -- 35,408
.......................................................................
Payable for fund
shares purchased 384,547 --
.......................................................................
Total Liabilities 384,547 35,408
- -----------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $103,321,925 $2,518,059,074
- -----------------------------------------------------------------------
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)
- -----------------------------------------------------------------------------------------------------------------------------
June 30, 1998 Units Unit Contract
(Unaudited) Owned by Price Liability
Participants
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Deferred annuity contracts in the accumulation period:
Individual Sub-Accounts:
.............................................................................................................................
Asia Pacific Growth Fund Sub-Account 3,850,698 $ 8.012932 $ 30,855,380
.............................................................................................................................
Asia Pacific Growth Fund .40% 991 8.270731 8,198
.............................................................................................................................
Diversified Income Fund Sub-Account 26,155,620 13.116651 343,074,135
.............................................................................................................................
Diversified Income Fund .40% 1,039 14.031187 14,581
.............................................................................................................................
George Putnam Fund Sub-Account 742,728 9.917323 7,365,871
.............................................................................................................................
George Putnam Fund .40% 1,000 9.933650 9,934
.............................................................................................................................
Global Asset Allocation Sub-Account 17,478,564 29.649660 518,233,483
.............................................................................................................................
Global Asset Allocation Fund .40% 2,178 19.106404 41,610
.............................................................................................................................
Global Growth Fund Sub-Account 35,721,363 23.394519 835,684,110
.............................................................................................................................
Global Growth Fund .40% 1,497 18.905553 28,305
.............................................................................................................................
Growth and Income Fund Sub-Account 110,456,082 43.704290 4,827,404,661
.............................................................................................................................
Growth and Income Fund .40% 2,261 22.985097 51,971
.............................................................................................................................
Health Sciences Fund Sub-Account 1,132,092 10.046801 11,373,901
.............................................................................................................................
Health Sciences Fund .40% 1,000 10.063410 10,063
.............................................................................................................................
High Yield Fund Sub-Account 18,767,816 26.485424 497,073,554
.............................................................................................................................
High Yield Fund .40% 1,046 15.619716 16,343
.............................................................................................................................
International Growth Fund Sub-Account 7,239,576 13.620094 98,603,701
.............................................................................................................................
International Growth Fund Sub-Account .40% 2,832 13.826020 39,158
.............................................................................................................................
International Growth and Income Fund Sub-Account 8,976,123 13.505738 121,229,161
.............................................................................................................................
International Growth and Income Fund Sub-Account .40% 1,146 13.710560 15,719
.............................................................................................................................
International New Opportunities Fund Sub-Account 4,317,236 11.374072 49,104,556
.............................................................................................................................
International New Opportunities Fund Sub-Account .40% 1,169 11.546833 13,501
.............................................................................................................................
Investors Fund Sub-Account 1,398,927 10.450673 14,619,726
.............................................................................................................................
Investors Fund .40% 1,000 10.467910 10,468
.............................................................................................................................
Money Market Fund Sub-Account 142,648,246 1.510322 215,444,784
.............................................................................................................................
Money Market Fund .40% 10,302 1.204602 12,410
.............................................................................................................................
New Opportunities Fund Sub-Account 44,044,661 23.801072 1,048,310,153
.............................................................................................................................
New Opportunities Fund .40% 1,242 26.814162 33,297
.............................................................................................................................
New Value Fund Sub-Account 7,984,085 11.954075 95,442,355
.............................................................................................................................
New Value Fund Sub-Account .40% 1,000 12.133980 12,134
.............................................................................................................................
OTC & Emerging Fund Sub-Account 206,464 10.186107 2,103,068
.............................................................................................................................
OTC & Emerging Fund .40% 1,000 10.202860 10,203
.............................................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 26,113,187 20.659128 539,475,677
.............................................................................................................................
U.S. Government and High Quality Bond Fund .40% 1,028 13.801454 14,189
.............................................................................................................................
Utilities Growth and Income Fund Sub-Account 22,874,104 20.788536 475,519,145
.............................................................................................................................
Utilities Growth and Income Fund .40% 1,024 20.164147 20,655
.............................................................................................................................
Vista Fund Sub-Account 7,317,225 14.104334 103,204,588
.............................................................................................................................
Vista Fund Sub-Account .40% 1,000 14.315470 14,315
.............................................................................................................................
Voyager Fund Sub-Account 47,770,990 52.543686 2,510,063,898
.............................................................................................................................
Voyager Fund .40% 2,856 25.940049 74,089
.............................................................................................................................
Sub-total Individual Sub-Accounts: 12,344,637,050
.............................................................................................................................
Annuity contracts in the annuity period:
Individual Sub-Accounts:
.............................................................................................................................
Asia Pacific Growth Fund Sub-Account 3,459 8.012932 27,718
.............................................................................................................................
Diversified Income Fund Sub-Account 28,477 13.116651 373,518
.............................................................................................................................
Global Asset Allocation Sub-Account 49,956 29.649660 1,481,177
.............................................................................................................................
Global Growth Fund Sub-Account 121,470 23.394519 2,841,741
.............................................................................................................................
Growth and Income Fund Sub-Account 181,252 43.704290 7,921,485
.............................................................................................................................
High Yield Fund Sub-Account 30,560 26.485424 809,386
.............................................................................................................................
High Yield Fund .40% 5,130 15.619716 80,129
.............................................................................................................................
International Growth Fund Sub-Account 822 13.620094 11,191
.............................................................................................................................
International Growth and Income Fund Sub-Account 5,009 13.505738 67,653
.............................................................................................................................
International New Opportunities Fund Sub-Account 255 11.374072 2,896
.............................................................................................................................
Money Market Fund Sub-Account 105,367 1.510322 159,138
.............................................................................................................................
New Opportunities Fund Sub-Account 29,758 23.801072 708,271
.............................................................................................................................
New Value Fund Sub-Account 4,561 11.954075 54,525
.............................................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 38,134 20.659128 787,820
.............................................................................................................................
Utilities Growth and Income Fund Sub-Account 28,676 20.788536 596,137
.............................................................................................................................
Vista Fund Sub-Account 7,304 14.104334 103,022
.............................................................................................................................
Voyager Fund Sub-Account 150,752 52.543686 7,921,066
.............................................................................................................................
Sub-total Individual Sub-Accounts: 23,946,873
- -----------------------------------------------------------------------------------------------------------------------------
Grand Total: $12,368,583,923
- -----------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Operations
- ----------------------------------------------------------------------------------------------------------------
For the Six Months Ended Asia Pacific Diversified The Global Asset
June 30, 1998 Growth Income George Putnam Allocation
(Unaudited) Fund Fund Fund of Boston Fund
Sub-Account Sub-Account Sub-Account* Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends $ 1,564,512 $13,802,701 $ -- $10,955,687
................................................................................................................
Expenses:
Mortality and expense
undertakings (247,942) (2,289,931) (8,023) (3,541,494)
................................................................................................................
Capital gains income -- 5,862,590 -- 47,058,496
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions (246,910) (2,343) 27 1,329,555
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (5,632,028) (10,576,905) 12,564 (9,046,781)
................................................................................................................
Net gain (loss) on investment (5,878,938) (10,579,248) 12,591 (7,717,226)
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $ (4,562,368) $ 6,796,112 $ 4,568 $46,755,463
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (continued)
- ----------------------------------------------------------------------------------------------
For the Six Months Ended Global Growth Health
June 30, 1998 Growth and Income Science Fund
(Unaudited) Fund Fund Sub-Account*
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment income:
Dividends $ 19,995,172 $ 77,068,358 $ --
..............................................................................................
Expenses:
Mortality and expense
undertakings (5,445,088) (32,464,370) (13,080)
..............................................................................................
Capital gains income 99,975,864 503,102,245 --
..............................................................................................
Net realized and
unrealized gain (loss)
on investments:
..............................................................................................
Net realized gain (loss)
on security transactions 2,289,966 (222,756) 203
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 24,243,187 (148,819,221) 178,944
..............................................................................................
Net gain (loss) on investments 26,533,153 (149,041,977) 179,147
- ----------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $141,059,101 $398,664,256 $166,067
- ----------------------------------------------------------------------------------------------
*From inception, April 29, 1998 to June 30, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Operations (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Six Months Ended High Yield International International International
June 30, 1998 Fund Growth Growth New
(Unaudited) Sub-Account Fund and Income Opportunities
Sub-Account Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends $36,812,133 $ -- $ -- $ 91,665
................................................................................................................
Expenses:
Mortality and expense
undertakings (3,369,639) (507,348) (732,751) (325,221)
................................................................................................................
Capital gains income 5,776,463 -- 280,783 --
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions 353,015 118,438 162,740 (72,262)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (22,773,842) 11,612,274 13,314,763 6,579,462
................................................................................................................
Net gain (loss) on investments (22,420,827) 11,730,712 13,477,503 6,507,200
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $16,798,130 $11,223,364 $13,025,535 $6,273,644
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (continued)
- ----------------------------------------------------------------------------------------------
For the Six Months Ended Investors Fund Money New
June 30, 1998 Sub-Account* Market Opportunities
(Unaudited) Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment income:
Dividends $ -- $5,253,724 $ --
..............................................................................................
Expenses:
Mortality and expense
undertakings (14,792) (1,434,416) (6,617,695)
..............................................................................................
Capital gains income -- -- 13,104,760
..............................................................................................
Net realized and
unrealized gain (loss)
on investments:
..............................................................................................
Net realized gain (loss)
on security transactions -- -- 124,648
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 576,038 -- 147,599,419
..............................................................................................
Net gain (loss) on investments 576,038 -- 147,724,067
- ----------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $561,246 $3,819,308 $154,211,132
- ----------------------------------------------------------------------------------------------
*From inception, April 29, 1998 to June 30, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Operations (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Six Months Ended New OTC & U.S.Government Utilities
June 30, 1998 Value Emerging Growth and High Growth
(Unaudited) Fund Fund Quality Bond and Income
Sub-Account Sub-Account* Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends $ 670,921 $ -- $28,417,527 $13,533,429
................................................................................................................
Expenses:
Mortality and expense
undertakings (608,279) (2,429) (3,708,083) (3,218,886)
................................................................................................................
Capital gains income 1,531,449 -- 739,634 23,325,262
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions 818 (15,953) 297,926 (30,292)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 1,007,874 97,549 (7,361,286) (18,996,759)
................................................................................................................
Net gain (loss) on investments 1,008,692 81,596 (7,063,360) (19,027,051)
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $2,602,783 $ 79,167 $18,385,718 $14,612,754
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (continued)
- ----------------------------------------------------------------------------
For the Six Months Ended Vista Voyager
June 30, 1998 Fund Fund
(Unaudited) Sub-Account Sub-Account
- ----------------------------------------------------------------------------
<S> <C> <C>
Investment income:
Dividends $ -- $ 5,509,636
............................................................................
Expenses:
Mortality and expense
undertakings (586,053) (16,241,461)
............................................................................
Capital gains income -- 134,435,124
............................................................................
Net realized and
unrealized gain (loss)
on investments:
............................................................................
Net realized gain (loss)
on security transactions 4,935 (285,205)
............................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 13,135,208 225,435,410
............................................................................
Net gain (loss) on investments 13,140,143 225,150,205
- ----------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $12,554,090 $348,853,504
- ----------------------------------------------------------------------------
*From inception, April 29, 1998 to June 30, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- ----------------------------------------------------------------------------------------------------------------
For the Six Months Ended Asia Pacific Diversified The Global Asset
June 30, 1998 Growth Income George Putnam Allocation
(Unaudited) Fund Fund Fund of Boston Fund
Sub-Account Sub-Account Sub-Account* Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 1,316,570 $ 11,512,770 $ (8,023) $ 7,414,193
................................................................................................................
Capital gains income -- 5,862,590 -- 47,058,496
................................................................................................................
Net realized gain (loss)
on security transactions (246,910) (2,343) 27 1,329,555
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (5,632,028) (10,576,905) 12,564 (9,046,781)
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations (4,562,368) 6,796,112 4,568 46,755,463
................................................................................................................
Unit Transactions:
Purchases 1,312,776 20,800,956 3,554,293 11,106,727
................................................................................................................
Net transfers (2,501,984) 14,070,952 3,828,347 (3,509,840)
................................................................................................................
Surrenders (1,087,519) (12,435,794) (11,403) (21,314,747)
................................................................................................................
Net annuity transactions 23,240 111,792 -- (137,593)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions (2,253,487) 22,547,906 7,371,237 (13,855,453)
................................................................................................................
Total increase (decrease)
in net assets (6,815,855) 29,344,018 7,375,805 32,900,010
................................................................................................................
Net Assets
Beginning of period 37,707,151 314,118,216 -- 486,856,260
- ----------------------------------------------------------------------------------------------------------------
End of period $30,891,296 $343,462,234 $7,375,805 $519,756,270
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Six Months Ended Global Growth Health
June 30, 1998 Growth and Income Sciences Fund
(Unaudited) Fund Fund Sub-Account*
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 14,550,084 $ 44,603,988 $ (13,080)
................................................................................................................
Capital gains income 99,975,864 503,102,245 --
................................................................................................................
Net realized gain (loss)
on security transactions 2,289,966 (222,756) 203
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 24,243,187 (148,819,221) 178,944
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 141,059,101 398,664,256 166,067
................................................................................................................
Unit Transactions:
Purchases 15,658,538 213,818,131 3,232,605
................................................................................................................
Net transfers (12,185,699) 54,150,768 8,003,676
................................................................................................................
Surrenders (28,059,263) (168,376,709) (18,384)
................................................................................................................
Net annuity transactions (103,505) 205,814 --
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions (24,689,929) 99,798,004 11,217,897
................................................................................................................
Total increase (decrease)
in net assets 116,369,172 498,462,260 11,383,964
................................................................................................................
Net Assets
Beginning of period 722,184,984 4,336,915,857 --
- ----------------------------------------------------------------------------------------------------------------
End of period $838,554,156 $4,835,378,117 $11,383,964
- ----------------------------------------------------------------------------------------------------------------
*From inception, April 29, 1998 to June 30, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Six Months Ended High Yield International International International
June 30, 1998 Fund Growth Growth New
(Unaudited) Sub-Account Fund and Income Opportunities
Sub-Account Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 33,442,494 $ (507,348) $ (732,751) $ (233,556)
................................................................................................................
Capital gains income 5,776,463 -- 280,783 --
................................................................................................................
Net realized gain (loss)
on security transactions 353,015 118,438 162,740 (72,262)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (22,773,842) 11,612,274 13,314,763 6,579,462
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 16,798,130 11,223,364 13,025,535 6,273,644
................................................................................................................
Unit Transactions:
Purchases 32,229,772 10,426,175 12,430,792 3,097,555
................................................................................................................
Net transfers 15,554,857 23,968,789 12,477,200 1,489,604
................................................................................................................
Surrenders (20,088,044) (1,816,269) (2,898,738) (1,404,721)
................................................................................................................
Net annuity transactions 16,097 3,707 11,401 (210)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 27,712,682 32,582,402 22,020,655 3,182,228
................................................................................................................
Total increase (decrease)
in net assets 44,510,812 43,805,766 35,046,190 9,455,872
................................................................................................................
Net Assets
Beginning of period 453,468,600 54,848,284 86,266,343 39,665,081
- ----------------------------------------------------------------------------------------------------------------
End of period $497,979,412 $98,654,050 $121,312,533 $49,120,953
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Six Months Ended Investors Fund Money New
June 30, 1998 Sub-Account* Market Opportunities
(Unaudited) Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ (14,792) $ 3,819,308 $ (6,617,695)
................................................................................................................
Capital gains income -- -- 13,104,760
................................................................................................................
Net realized gain (loss)
on security transactions -- -- 124,648
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 576,038 -- 147,599,419
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 561,246 3,819,308 154,211,132
................................................................................................................
Unit Transactions:
Purchases 4,576,716 13,965,192 44,233,710
................................................................................................................
Net transfers 9,530,258 36,972,882 15,440,585
................................................................................................................
Surrenders (38,026) (41,413,468) (25,469,433)
................................................................................................................
Net annuity transactions -- (15,845) 83,528
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 14,068,948 9,508,761 34,288,390
................................................................................................................
Total increase (decrease)
in net assets 14,630,194 13,328,069 188,499,522
................................................................................................................
Net Assets
Beginning of period -- 202,288,263 860,552,199
- ----------------------------------------------------------------------------------------------------------------
End of period $14,630,194 $215,616,332 $1,049,051,721
- ----------------------------------------------------------------------------------------------------------------
*From inception, April 29, 1998 to June 30, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Six Months Ended New OTC & U.S.Government Utilities
June 30, 1998 Value Emerging Growth and High Growth
(Unaudited) Fund Fund Quality Bond and Income
Sub-Account Sub-Account* Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 62,642 $ (2,429) $ 24,709,444 $ 10,314,543
................................................................................................................
Capital gains income 1,531,449 -- 739,634 23,325,262
................................................................................................................
Net realized gain (loss)
on security transactions 818 (15,953) 297,926 (30,292)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 1,007,874 97,549 (7,361,286) (18,996,759)
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 2,602,783 79,167 18,385,718 14,612,754
................................................................................................................
Unit Transactions:
Purchases 12,392,129 702,614 16,180,262 20,642,526
................................................................................................................
Net transfers 8,035,583 1,332,036 6,916,206 9,653,286
................................................................................................................
Surrenders (2,578,404) (546) (30,116,638) (16,506,722)
................................................................................................................
Net annuity transactions 26,542 -- (10,570) 31,397
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 17,875,850 2,034,104 (7,030,740) 13,820,487
................................................................................................................
Total increase (decrease)
in net assets 20,478,633 2,113,271 11,354,978 28,433,241
................................................................................................................
Net Assets
Beginning of period 75,030,381 -- 528,922,708 447,702,696
- ----------------------------------------------------------------------------------------------------------------
End of period $95,509,014 $2,113,271 $540,277,686 $476,135,937
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------
For the Six Months Ended Vista Voyager
June 30, 1998 Fund Fund
(Unaudited) Sub-Account Sub-Account
- ----------------------------------------------------------------------------
<S> <C> <C>
Operations:
Net investment income (loss) $ (586,053) $ (10,731,825)
............................................................................
Capital gains income -- 134,435,124
............................................................................
Net realized gain (loss)
on security transactions 4,935 (285,205)
............................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 13,135,208 225,435,410
............................................................................
Net increase (decrease)
in net assets resulting
from operations 12,554,090 348,853,504
............................................................................
Unit Transactions:
Purchases 14,115,141 87,267,577
............................................................................
Net transfers 9,936,945 17,713,897
............................................................................
Surrenders (2,188,910) (79,706,677)
............................................................................
Net annuity transactions (2,053) (73,960)
............................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 21,861,123 25,200,837
............................................................................
Total increase (decrease)
in net assets 34,415,213 374,054,341
............................................................................
Net Assets
Beginning of period 68,906,712 2,144,004,733
- ----------------------------------------------------------------------------
End of period $103,321,925 $2,518,059,074
- ----------------------------------------------------------------------------
*From inception, April 29, 1998 to June 30, 1998.
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 Pacific Diversified Global Asset Global
December 31, 1997 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) $ 286,716 $ 10,935,700 $ 7,734,396 $ 5,584,154
................................................................................................................
Capital gains income -- 2,352,102 24,114,921 16,781,057
................................................................................................................
Net realized gain (loss)
on security transactions (317,227) (2,032) 382,203 1,854,347
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (7,411,215) 3,452,605 41,346,816 58,240,028
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations (7,441,726) 16,738,375 73,578,336 82,459,586
................................................................................................................
Unit Transactions:
Purchases 6,824,313 54,269,125 39,248,244 60,530,559
................................................................................................................
Net transfers (7,793,253) 6,390,705 2,130,067 (14,835,954)
................................................................................................................
Surrenders (2,299,932) (17,669,198) (30,639,160) (43,839,765)
................................................................................................................
Net annuity transactions 6,521 103,403 2,282 109,879
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions (3,262,351) 43,094,035 10,741,433 1,964,719
................................................................................................................
Total increase (decrease)
in net assets (10,704,077) 59,832,410 84,319,769 84,424,305
................................................................................................................
Net Assets
Beginning of period 48,411,228 254,285,806 402,536,491 637,760,679
- ----------------------------------------------------------------------------------------------------------------
End of period $37,707,151 $314,118,216 $486,856,260 $722,184,984
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended Growth High Yield International International
December 31, 1997 and Income Fund Growth Growth
Fund Sub-Account Fund and Income
Sub-Account Sub-Account* Fund
Sub-Account*
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 16,099,755 $ 21,220,896 $ 431,084 $ 2,256,907
................................................................................................................
Capital gains income 170,606,295 3,112,539 -- --
................................................................................................................
Net realized gain (loss)
on security transactions (549,025) 667,197 225,798 52,035
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 566,542,304 22,952,048 1,259,962 2,257,219
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 752,699,329 47,952,680 1,916,844 4,566,161
................................................................................................................
Unit Transactions:
Purchases 539,289,509 71,464,742 27,282,314 42,203,655
................................................................................................................
Net transfers 132,038,932 (2,036,158) 27,001,396 41,543,461
................................................................................................................
Surrenders (244,974,411) (38,465,815) (1,358,447) (2,094,535)
................................................................................................................
Net annuity transactions 635,758 313,873 6,177 47,601
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 426,989,788 31,276,642 52,931,440 81,700,182
................................................................................................................
Total increase (decrease)
in net assets 1,179,689,117 79,229,322 54,848,284 86,266,343
................................................................................................................
Net Assets
Beginning of period 3,157,226,740 374,239,278 -- --
- ----------------------------------------------------------------------------------------------------------------
End of period $4,336,915,857 $453,468,600 $54,848,284 $86,266,343
- ----------------------------------------------------------------------------------------------------------------
*From inception, January 2, 1997 to December 31, 1997.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended International Money New New
December 31, 1997 New Market Opportunities Value
Opportunities Fund Fund Fund
Fund Sub-Account Sub-Account Sub-Account*
Sub-Account*
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ (270,796) $ 8,471,138 $(10,320,489) $ (571,860)
................................................................................................................
Capital gains income -- -- -- --
................................................................................................................
Net realized gain (loss)
on security transactions 8,774 -- (2,114,704) (22,915)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (2,182,759) -- 155,175,963 4,884,420
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations (2,444,781) 8,471,138 142,740,770 4,289,645
................................................................................................................
Unit Transactions:
Purchases 23,052,814 77,901,178 115,804,514 34,449,270
................................................................................................................
Net transfers 20,167,867 (22,892,448) 4,241,130 38,150,975
................................................................................................................
Surrenders (1,113,600) (61,475,251) (39,637,945) (1,885,996)
................................................................................................................
Net annuity transactions 2,781 118,204 224,473 26,487
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 42,109,862 (6,348,317) 80,632,172 70,740,736
................................................................................................................
Total increase (decrease)
in net assets 39,665,081 2,122,821 223,372,942 75,030,381
................................................................................................................
Net Assets
Beginning of period -- 200,165,442 637,179,257 --
- ----------------------------------------------------------------------------------------------------------------
End of period $39,665,081 $202,288,263 $860,552,199 $75,030,381
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended U.S.Government Utilities Vista Voyager
December 31, 1997 and High Growth Fund Fund
Quality Bond and Income Sub-Account* Sub-Account
Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 26,900,731 $ 8,298,407 $ (518,559) $ (22,763,932)
................................................................................................................
Capital gains income -- 18,719,685 -- 76,888,318
................................................................................................................
Net realized gain (loss)
on security transactions 1,827,985 1,649,879 (123,252) (585,530)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 7,319,022 62,148,682 7,829,883 359,796,040
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 36,047,738 90,816,653 7,188,072 413,334,896
................................................................................................................
Unit Transactions:
Purchases 31,430,418 28,593,076 32,854,577 197,024,558
................................................................................................................
Net transfers (38,035,230) (17,843,601) 30,909,118 (13,299,198)
................................................................................................................
Surrenders (48,896,007) (25,522,719) (2,131,040) (121,850,857)
................................................................................................................
Net annuity transactions 34,145 72,442 85,985 6,165
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions (55,466,674) (14,700,802) 61,718,640 61,880,668
................................................................................................................
Total increase (decrease)
in net assets (19,418,936) 76,115,851 68,906,712 475,215,564
................................................................................................................
Net Assets
Beginning of period 548,341,644 371,586,845 -- 1,668,789,169
- ----------------------------------------------------------------------------------------------------------------
End of period $528,922,708 $447,702,696 $68,906,712 $2,144,004,733
- ----------------------------------------------------------------------------------------------------------------
*From inception, January 2, 1997 to December 31, 1997.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT --
HARTFORD LIFE INSURANCE COMPANY
Notes to Financial Statements
June 30, 1998
(Unaudited)
1. ORGANIZATION:
Putnam Capital Manager Trust Separate Account (the Account) is a separate
investment account within Hartford Life Insurance Company (the Company)
and is registered with the Securities and Exchange Commission (SEC) as a
unit investment trust under the Investment Company Act of 1940, as
amended. Both the Company and the Account are subject to supervision and
regulation by the Department of Insurance of the State of Connecticut and
the SEC. The Account invest deposits by variable annuity contractholders
of the company in the various mutual funds as directed by the
contractholders.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies of the
Account, which are in accordance with generally accepted accounting
principles in the investment company industry:
A) Security Transactions - Security transactions are recorded on the trade
date (date the order to buy or sell is executed). Cost of investments sold
is determined on the basis of identified cost. Dividend and capital gains
income are accrued as of the ex-dividend date. Capital gains income
represents dividends from the Funds which are characterized as capital
gains under tax regulations.
B) Security Valuation - The investments in shares of the Funds are valued
at the closing net asset value per share as determined by the appropriate
Fund as of June 30, 1998.
C) Federal Income Taxes - The operations of the Account form a part of,
and are taxed with, the total operations of the Company, which is taxed as
an insurance company under the Internal Revenue Code. Under current law,
no federal income taxes are payable with respect to the operations of the
Account.
D) Use of Estimates - The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
A) Mortality and Expense Undertakings - The Company, as issuer of variable
annuity contracts, provides the mortality and expense undertakings and,
with respect to the Account, receives a maximum annual fee of 1.25% of the
Account's average daily net assets. The Company also provides
administrative services and receives an annual fee of 0.15% of the
Account's average daily net assets.
B) Deduction of other Fees - Annual maintenance fees are deducted through
termination of units of interest from applicable contract owners'
accounts, in accordance with the terms of the contracts.
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Assets & Liabilities
- -----------------------------------------------------------------------------------------------------------------------------
June 30, 1998 Diversified Global Asset Global Growth High Yield
(Unaudited) Income Allocation Growth and Income Fund
Fund Fund Fund Fund Sub-Account
Sub-Account Sub-Account Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Assets
Investments:
.............................................................................................................................
Putnam VT Diversified
Income Fund
Shares 120,287
Cost $1,329,488
.............................................................................................................................
Market Value: $1,315,939 $ -- $ -- $ -- $ --
.............................................................................................................................
Putnam VT Global
Asset Allocation Fund
Shares 618,262
Cost $9,924,804
.............................................................................................................................
Market Value: -- 11,400,750 -- -- --
.............................................................................................................................
Putnam VT Global
Growth Fund
Shares 1,374,951
Cost $22,533,845
.............................................................................................................................
Market Value: -- -- 25,972,831 -- --
.............................................................................................................................
Putnam VT Growth and
Income Fund
Shares 1,435,896
Cost $34,237,581
.............................................................................................................................
Market Value: -- -- -- 39,343,543 --
.............................................................................................................................
Putnam VT High Yield Fund
Shares 561,855
Cost $7,168,967
.............................................................................................................................
Market Value: -- -- -- -- 7,281,635
.............................................................................................................................
Due From Hartford Life
Insurance Company -- -- 1,762 18,026 9,467
.............................................................................................................................
Receivable from fund
shares sold -- 11,113 -- -- --
- -----------------------------------------------------------------------------------------------------------------------------
Total Assets 1,315,939 11,411,863 25,974,593 39,361,569 7,291,102
- -----------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life
Insurance Company -- 11,112 -- -- --
.............................................................................................................................
Payable for fund
shares purchased -- -- 1,774 17,672 9,467
.............................................................................................................................
Total Liabilities -- 11,112 1,774 17,672 9,467
- -----------------------------------------------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $1,315,939 $11,400,751 $25,972,819 $39,343,897 $7,281,635
- -----------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Assets & Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------------------------
June 30, 1998 Money New U.S. Government Utilities Voyager
(Unaudited) Market Opportunities and High Growth Fund
Fund Fund Quality Bond and Income Sub-Account
Sub-Account Sub-Account Fund Fund
Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Assets
Investments:
.............................................................................................................................
Putnam VT Money
Market Fund
Shares 1,098,379
Cost $1,098,379
.............................................................................................................................
Market Value: $1,098,379 $ -- $ -- $ -- $ --
.............................................................................................................................
Putnam VT New
Opportunities Fund
Shares 1,038,953
Cost $19,246,039
.............................................................................................................................
Market Value: -- 25,797,207 -- -- --
.............................................................................................................................
Putnam VT U.S. Government
and High Quality Fund
Shares 489,423
Cost $6,317,798
.............................................................................................................................
Market Value: -- -- 6,470,171 -- --
.............................................................................................................................
Putnam VT Utilities
Growth & Income Fund
Shares 208,685
Cost $2,782,284
.............................................................................................................................
Market Value: -- -- -- 3,432,862 --
.............................................................................................................................
Putnam VT Voyager Fund
Shares 1,298,588
Cost $40,898,417
.............................................................................................................................
Market Value: -- -- -- -- 56,047,068
.............................................................................................................................
Due From Hartford Life
Insurance Company -- 22,267 54,207 13,402 72,372
.............................................................................................................................
Receivable from fund
shares sold 10 -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------
Total Assets 1,098,389 25,819,474 6,524,378 3,446,264 56,119,440
- -----------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford
Life Insurance Company -- -- -- -- --
.............................................................................................................................
Payable for fund
shares purchased -- 22,268 54,207 6,881 68,984
.............................................................................................................................
Total Liabilities -- 22,268 54,207 6,881 68,984
- -----------------------------------------------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $1,098,389 $25,797,206 $6,470,171 $3,439,383 $56,050,456
- -----------------------------------------------------------------------------------------------------------------------------
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 Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------------------------
June 30, 1998 Units
(Unaudited) Owned by Unit Contract
Participants Price Liability
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Variable life contracts:
Individual Sub-Accounts:
.............................................................................................................................
Diversified Income Fund Sub-Account 98,756 $13.325133 $ 1,315,939
.............................................................................................................................
Global Asset Allocation Fund Sub-Account 563,487 20.232484 11,400,751
.............................................................................................................................
Global Growth Fund Sub-Account 1,182,726 21.960141 25,972,819
.............................................................................................................................
Growth and Income Fund Sub-Account 1,618,896 24.302920 39,343,897
.............................................................................................................................
High Yield Fund Sub-Account 422,034 17.253674 7,281,635
.............................................................................................................................
Money Market Fund Sub-Account 869,615 1.263075 1,098,389
.............................................................................................................................
New Opportunities Fund Sub-Account 1,190,518 21.668888 25,797,206
.............................................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 456,949 14.159492 6,470,171
.............................................................................................................................
Utilities Growth and Income Fund Sub-Account 175,778 19.566675 3,439,383
.............................................................................................................................
Voyager Fund Sub-Account 2,064,903 27.144357 56,050,456
- -----------------------------------------------------------------------------------------------------------------------------
Grand Total: $178,170,646
- -----------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Operations
- ----------------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended Diversified Global Asset Global Growth High Yield
June 30, 1998 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>
Investment Income:
Dividends $44,660 $ 229,958 $ 554,987 $ 592,084 $513,505
..................................................................................................................................
Capital gains income 18,969 987,748 2,774,936 3,865,126 80,578
..................................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
..................................................................................................................................
Net realized gain (loss)
on security transactions 462 186 10,014 3,844 (2,544)
..................................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (36,417) (181,061) 777,086 (1,293,808) (337,084)
..................................................................................................................................
Net gain (loss) on investments (35,955) (180,875) 787,100 (1,289,964) (339,628)
- ----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $27,674 $1,036,831 $4,117,023 $3,167,246 $254,455
- ----------------------------------------------------------------------------------------------------------------------------------
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 (continued)
- ----------------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended Money New U.S. Government Utilities Voyager
June 30, 1998 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>
Investment Income:
Dividends $32,031 $ -- $361,057 $ 91,969 $ 117,946
..................................................................................................................................
Capital gains income -- 305,733 9,397 158,511 2,877,880
..................................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
..................................................................................................................................
Net realized gain (loss)
on security transactions -- (10,285) 66,861 3,185 12,373
..................................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period -- 3,428,030 (143,640) (133,295) 4,850,301
..................................................................................................................................
Net gain (loss) on investments -- 3,417,745 (76,779) (130,110) 4,862,674
- ----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $32,031 $3,723,478 $293,675 $120,370 $7,858,500
- ----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- ----------------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended Diversified Global Asset Global Growth High Yield
June 30, 1998 Income Allocation Growth and Income Fund
(Unaudited) Fund Fund Fund Fund Sub-Account
Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 44,660 $ 229,958 $ 554,987 $ 592,084 $ 513,505
..................................................................................................................................
Capital gains income 18,969 987,748 2,774,936 3,865,126 80,578
..................................................................................................................................
Net realized gain (loss)
on security transactions 462 186 10,014 3,844 (2,544)
..................................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (36,417) (181,061) 777,086 (1,293,808) (337,084)
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 27,674 1,036,831 4,117,023 3,167,246 254,455
..................................................................................................................................
Unit transactions:
Purchases 266,883 643,205 2,620,612 3,252,500 780,713
..................................................................................................................................
Net transfers 105,128 466,804 1,902,823 3,741,766 698,133
..................................................................................................................................
Surrenders (10,730) (106,954) (311,603) (769,681) (394,083)
..................................................................................................................................
Loan withdrawals (1,681) (7,359) (339,566) (294,561) (45,877)
..................................................................................................................................
Cost of insurance (27,276) (156,122) (467,428) (709,430) (150,289)
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 332,324 839,574 3,404,838 5,220,594 888,597
..................................................................................................................................
Total increase (decrease)
in net assets 359,998 1,876,405 7,521,861 8,387,840 1,143,052
..................................................................................................................................
Net Assets
Beginning of period 955,941 9,524,346 18,450,958 30,956,057 6,138,583
- ----------------------------------------------------------------------------------------------------------------------------------
End of Period $1,315,939 $11,400,751 $25,972,819 $39,343,897 $7,281,635
- ----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended Money New U.S. Government Utilities Voyager
June 30, 1998 Market Opportunities and High Growth Fund
(Unaudited) Fund Fund Quality Bond and Income Sub-Account
Sub-Account Sub-Account Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 32,031 $ -- $ 361,057 $ 91,969 $ 117,946
..................................................................................................................................
Capital gains income -- 305,733 9,397 158,511 2,877,880
..................................................................................................................................
Net realized gain (loss)
on security transactions -- (10,285) 66,861 3,185 12,373
..................................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period -- 3,428,030 (143,640) (133,295) 4,850,301
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 32,031 3,723,478 293,675 120,370 7,858,500
..................................................................................................................................
Unit transactions:
Purchases 119,978 2,416,117 1,254,144 210,411 4,316,331
..................................................................................................................................
Net transfers (190,945) 1,966,197 (2,473,932) 74,997 2,786,536
..................................................................................................................................
Surrenders (12,822) (353,077) (128,173) (46,478) (1,045,049)
..................................................................................................................................
Loan withdrawals (13,367) (108,379) (99,469) (23,341) (460,025)
..................................................................................................................................
Cost of insurance (32,284) (448,249) (181,080) (47,491) (972,781)
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions (129,440) 3,472,609 (1,628,510) 168,098 4,625,012
..................................................................................................................................
Total increase (decrease)
in net assets (97,409) 7,196,087 (1,334,835) 288,468 12,483,512
..................................................................................................................................
Net assets:
Beginning of period 1,195,798 18,601,119 7,805,006 3,150,915 43,566,944
- ----------------------------------------------------------------------------------------------------------------------------------
End of period $1,098,389 $25,797,206 $6,470,171 $3,439,383 $56,050,456
- ----------------------------------------------------------------------------------------------------------------------------------
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 High Yield
December 31, 1997 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>
Operations:
Net investment income (loss) $ 30,216 $ 220,664 $ 334,261 $ 397,806 $ 262,832
..................................................................................................................................
Capital gains income 4,763 377,169 359,534 968,274 30,477
..................................................................................................................................
Net realized gain (loss)
on security transactions 2,460 7,932 (33,670) 12,251 2,304
..................................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 10,461 742,644 1,236,428 3,534,550 287,986
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 47,900 1,348,409 1,896,553 4,912,881 583,599
..................................................................................................................................
Unit transactions:
Purchases 115,990 915,512 3,752,372 4,532,202 1,141,730
..................................................................................................................................
Net transfers 402,910 1,954,680 2,721,380 7,767,156 2,371,153
..................................................................................................................................
Surrenders (12,188) (253,433) (884,502) (1,298,679) (123,174)
..................................................................................................................................
Loan withdrawals (751) (55,347) (131,484) (577,327) (115,508)
..................................................................................................................................
Cost of insurance (33,003) (229,354) (683,606) (929,434) (249,137)
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 472,958 2,332,058 4,774,160 9,493,918 3,025,064
..................................................................................................................................
Total increase (decrease)
in net assets 520,858 3,680,467 6,670,713 14,406,799 3,608,663
..................................................................................................................................
Net assets:
Beginning of period 435,083 5,843,879 11,780,245 16,549,258 2,529,920
- ----------------------------------------------------------------------------------------------------------------------------------
End of period $955,941 $9,524,346 $18,450,958 $30,956,057 $6,138,583
- ----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------------------------
For the year ended Money New U.S. Government Utilities Voyager
December 31, 1997 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>
Operations:
Net investment income (loss) $ 63,111 $ -- $ 365,648 $ 76,374 $ 60,565
..................................................................................................................................
Capital gains income -- -- -- 104,146 1,305,213
..................................................................................................................................
Net realized gain (loss)
on security transactions -- (22,886) 8,903 19,472 11,110
..................................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period -- 3,111,259 197,331 433,410 6,852,337
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 63,111 3,088,373 571,882 633,402 8,229,225
..................................................................................................................................
Unit transactions:
Purchases 913,653 3,520,934 2,115,331 333,259 7,068,448
..................................................................................................................................
Net transfers (1,121,412) 3,467,996 1,005,018 386,953 6,792,739
..................................................................................................................................
Surrenders (15,304) (593,906) (435,871) (177,522) (1,517,033)
..................................................................................................................................
Loan withdrawals (347,423) (194,305) 121,927 92,803 (425,937)
..................................................................................................................................
Cost of insurance (33,406) (625,715) (347,724) (75,120) (1,444,364)
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions (603,892) 5,575,004 2,458,681 560,373 10,473,853
..................................................................................................................................
Total increase (decrease)
in net assets (540,781) 8,663,377 3,030,563 1,193,775 18,703,078
..................................................................................................................................
Net assets:
Beginning of period 1,736,579 9,937,742 4,774,443 1,957,140 24,863,866
- ----------------------------------------------------------------------------------------------------------------------------------
End of period $1,195,798 $18,601,119 $7,805,006 $3,150,915 $43,566,944
- ----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE --
HARTFORD LIFE INSURANCE COMPANY
Notes to Financial Statements
June 30, 1998
(Unaudited)
1. ORGANIZATION:
Separate Account Variable Life One (the Account) is a separate investment
account within Hartford Life Insurance Company (the Company) and is
registered with the Securities and Exchange Commission (SEC) as a unit
investment trust under the Investment Company Act of 1940, as amended. The
Account consists of twenty two subaccounts. These financial statements
include ten subaccounts which invest solely in the Putnam Capital Manager
Trust funds (the Funds). The other twelve subaccounts, which invest in the
Hartford and Fidelity Mutual Funds, are presented in separate financial
statements. Both the Company and the Account are subject to supervision
and regulation by the Department of Insurance of the State of Connecticut
and the SEC. The Account invests deposits by variable life contractholders
of the Company in the various mutual funds as directed by the
contractholders.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies of the
Account, which are in accordance with generally accepted accounting
principles in the investment company industry:
A) Security Transactions - Security transactions are recorded on the trade
date (date the order to buy or sell is executed). Cost of investments sold
is determined on the basis of identified cost. Dividend and capital gains
income are accrued as of the ex-dividend date. Capital gains income
represents dividends from the Funds which are characterized as capital
gains under tax regulations.
B) Security Valuation - The investments in shares of the Funds are valued
at the closing net asset value per share as determined by the appropriate
Fund as of June 30, 1998.
C) Federal Income Taxes - The operations of the Account form a part of,
and are taxed with, the total operations of the Company, which is taxed as
an insurance company under the Internal Revenue Code. Under current law,
no federal income taxes are payable with respect to the operations of the
Account.
D) Use of Estimates - The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
In accordance with the terms of the contracts, the Company makes
deductions for mortality and expense undertakings, cost of insurance,
administrative fees, and state premium taxes. These charges are deducted
through termination of units of interest from applicable contract owners'
accounts.
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Assets and Liabilities
- -----------------------------------------------------------------------------------------------------------------------------
June 30, 1998 Diversified Global Asset Global Growth High Yield
(Unaudited) Income Allocation Growth and Income Fund
Fund Fund Fund Fund Sub-Account
Sub-Account Sub-Account Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Assets
Investments:
.............................................................................................................................
Putnam VT Diversified
Income Fund
Shares 21,094
Cost $232,324
.............................................................................................................................
Market Value: $230,763 $ -- $ -- $ -- $ --
.............................................................................................................................
Putnam VT Global
Asset Allocation Fund
Shares 167,099
Cost $3,050,947
.............................................................................................................................
Market Value: -- 3,081,314 -- -- --
.............................................................................................................................
Putnam VT Global
Growth Fund
Shares 314,280
Cost $5,507,517
.............................................................................................................................
Market Value: -- -- 5,936,756 -- --
.............................................................................................................................
Putnam VT Growth and
Income Fund
Shares 338,863
Cost $8,933,133
.............................................................................................................................
Market Value: -- -- -- 9,284,849 --
.............................................................................................................................
Putnam VT High Yield Fund
Shares 145,017
Cost $1,894,381
.............................................................................................................................
Market Value: -- -- -- -- 1,879,426
.............................................................................................................................
Due From Hartford Life
Insurance Company -- 495 2,754 11,129 11
.............................................................................................................................
Receivable from fund
shares sold -- -- -- -- --
.............................................................................................................................
Total Assets 230,763 3,081,809 5,939,510 9,295,978 1,879,437
.............................................................................................................................
Liabilities
Due to Hartford Life
Insurance Company -- -- -- -- --
.............................................................................................................................
Payable for fund
shares purchased -- 294 2,573 12,324 --
.............................................................................................................................
Total Liabilities -- 294 2,573 12,324 --
- -----------------------------------------------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $230,763 $3,081,515 $5,936,937 $9,283,654 $1,879,437
- -----------------------------------------------------------------------------------------------------------------------------
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 Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------------------------
June 30, 1998 Money New U.S. Government Utilities Voyager
(Unaudited) Market Opportunities and High Growth Fund
Fund Fund Quality Bond and Income Sub-Account
Sub-Account Sub-Account Fund Fund
Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Assets
Investments:
.............................................................................................................................
Putnam VT Money
Market Fund
Shares 304,892
Cost $304,892
.............................................................................................................................
Market Value: $304,892 $ -- $ -- $ -- $ --
.............................................................................................................................
Putnam VT New
Opportunities Fund
Shares 275,257
Cost $5,256,508
.............................................................................................................................
Market Value: -- 6,834,640 -- -- --
.............................................................................................................................
Putnam VT U.S. Government
and High Quality Fund
Shares 200,138
Cost $2,546,672
.............................................................................................................................
Market Value: -- -- 2,645,829 -- --
.............................................................................................................................
Putnam VT Utilities
Growth & Income Fund
Shares 47,485
Cost $739,546
.............................................................................................................................
Market Value: -- -- -- 781,120 --
.............................................................................................................................
Putnam VT Voyager Fund
Shares 283,126
Cost $10,145,481
.............................................................................................................................
Market Value: -- -- -- -- 12,219,697
.............................................................................................................................
Due From Hartford Life
Insurance Company -- 3,469 450 66 8,369
.............................................................................................................................
Receivable from fund
shares sold -- -- -- -- --
.............................................................................................................................
Total Assets 304,892 6,838,109 2,646,279 781,186 12,228,066
.............................................................................................................................
Liabilities
Due to Hartford Life
Insurance Company 1 -- -- -- --
.............................................................................................................................
Payable for fund
shares purchased -- 3,121 527 -- 8,238
.............................................................................................................................
Total Liabilities 1 3,121 527 -- 8,238
- -----------------------------------------------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $304,891 $6,834,988 $2,645,752 $781,186 $12,219,828
- -----------------------------------------------------------------------------------------------------------------------------
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 Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------------------------
June 30, 1998 Units
(Unaudited) Owned by Unit Contract
Participants Price Liability
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Variable life contracts:
Individual Sub-Accounts:
.............................................................................................................................
Diversified Income Fund Sub-Account 17,318 $13.325133 $ 230,763
.............................................................................................................................
Global Asset Allocation Fund Sub-Account 152,305 20.232484 3,081,515
.............................................................................................................................
Global Growth Fund Sub-Account 270,351 21.960141 5,936,937
.............................................................................................................................
Growth and Income Fund Sub-Account 381,998 24.302920 9,283,654
.............................................................................................................................
High Yield Fund Sub-Account 108,930 17.253674 1,879,437
.............................................................................................................................
Money Market Fund Sub-Account 241,388 1.263075 304,891
.............................................................................................................................
New Opportunities Fund Sub-Account 315,429 21.668888 6,834,988
.............................................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 186,854 14.159492 2,645,752
.............................................................................................................................
Utilities Growth and Income Fund Sub-Account 39,924 19.566675 781,186
.............................................................................................................................
Voyager Fund Sub-Account 450,179 27.144357 12,219,828
- -----------------------------------------------------------------------------------------------------------------------------
Grand Total: $43,198,951
- -----------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Operations
- ----------------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended Diversified Global Asset Global Growth High Yield
June 30, 1998 Income Allocation Growth and Income Fund
(Unaudited) Fund Fund Fund Fund Sub-Account
Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Investment Income:
Dividends $8,975 $ 51,115 $127,435 $129,504 $114,613
..................................................................................................................................
Capital gains income 3,812 219,555 637,175 845,402 17,985
..................................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
..................................................................................................................................
Net realized gain (loss)
on security transactions 57 111 (561) 1,711 119
..................................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (7,149) (66,924) 149,879 (325,198) (78,066)
..................................................................................................................................
Net gain (loss) on investments (7,092) (66,813) 149,318 (323,487) (77,947)
- ----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $5,695 $203,857 $913,928 $651,419 $ 54,651
- ----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Operations (continued)
- ----------------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended Money New U.S. Government Utilities Voyager
June 30, 1998 Market Opportunities and High Growth Fund
(Unaudited) Fund Fund Quality Bond and Income Sub-Account
Sub-Account Sub-Account Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Investment Income:
Dividends $9,063 $ -- $ 159,132 $19,667 $ 23,145
..................................................................................................................................
Capital gains income -- 79,622 4,142 33,897 564,740
..................................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
..................................................................................................................................
Net realized gain (loss) on
security transactions -- (2,347) (4,023) 76 385
..................................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period -- 885,206 (40,216) (27,165) 941,250
..................................................................................................................................
Net gain (loss) on investments -- 882,859 (44,239) (27,089) 941,635
- ----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $9,063 $962,481 $119,035 $26,475 $1,529,520
- ----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- ----------------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended Diversified Global Asset Global Growth High Yield
June 30, 1998 Income Allocation Growth and Income Fund
(Unaudited) Fund Fund Fund Fund Sub-Account
Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 8,975 $ 51,115 $ 127,435 $ 129,504 $ 114,613
..................................................................................................................................
Capital gains income 3,812 219,555 637,175 845,402 17,985
..................................................................................................................................
Net realized gain (loss)
on security transactions 57 111 (561) 1,711 119
..................................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (7,149) (66,924) 149,879 (325,198) (78,066)
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 5,695 203,857 913,928 651,419 54,651
..................................................................................................................................
Unit transactions:
Purchases 17,096 156,590 581,407 1,046,200 235,725
..................................................................................................................................
Net transfers 36,034 1,173,788 609,930 1,977,943 659,970
..................................................................................................................................
Surrenders (9,322) (35,082) (126,047) (182,159) (43,828)
..................................................................................................................................
Loan withdrawals -- 21,859 (261) (3,422) --
..................................................................................................................................
Cost of insurance (7,927) (34,452) (100,361) (181,453) (29,717)
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 35,881 1,282,703 964,668 2,657,109 822,150
..................................................................................................................................
Total increase (decrease)
in net assets 41,576 1,486,560 1,878,596 3,308,528 876,801
..................................................................................................................................
Net Assets
Beginning of period 189,187 1,594,955 4,058,341 5,975,126 1,002,636
- ----------------------------------------------------------------------------------------------------------------------------------
End of Period $230,763 $3,081,515 $5,936,937 $9,283,654 $1,879,437
- ----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended Money New U.S. Government Utilities Voyager
June 30, 1998 Market Opportunities and High Growth Fund
(Unaudited) Fund Fund Quality Bond and Income Sub-Account
Sub-Account Sub-Account Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 9,063 $ -- $ 159,132 $ 19,667 $ 23,145
..................................................................................................................................
Capital gains income -- 79,622 4,142 33,897 564,740
..................................................................................................................................
Net realized gain (loss)
on security transactions -- (2,347) (4,023) 76 385
..................................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period -- 885,206 (40,216) (27,165) 941,250
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 9,063 962,481 119,035 26,475 1,529,520
..................................................................................................................................
Unit transactions:
Purchases 228,878 702,891 215,628 64,221 1,168,741
..................................................................................................................................
Net transfers (160,278) 601,152 (538,017) 281,173 2,199,331
..................................................................................................................................
Surrenders (5,930) (148,310) (34,599) (10,888) (229,405)
..................................................................................................................................
Loan withdrawals -- (321) (52,033) 21,899 32,145
..................................................................................................................................
Cost of insurance (2,353) (110,739) (69,750) (11,237) (183,895)
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 60,317 1,044,673 (478,771) 345,168 2,986,917
..................................................................................................................................
Total increase (decrease)
in net assets 69,380 2,007,154 (359,736) 371,643 4,516,437
..................................................................................................................................
Net Assets
Beginning of period 235,511 4,827,834 3,005,488 409,543 7,703,391
- ----------------------------------------------------------------------------------------------------------------------------------
End of Period $304,891 $6,834,988 $2,645,752 $781,186 $12,219,828
- ----------------------------------------------------------------------------------------------------------------------------------
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 year ended Diversified Global Asset Global Growth High Yield
December 31, 1997 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>
Operations:
Net investment income (loss) $ 3,548 $ 16,282 $ 54,214 $ 48,364 $ 25,054
..................................................................................................................................
Capital gains income 559 27,830 58,313 117,720 2,905
..................................................................................................................................
Net realized gain (loss)
on security transactions 72 1,904 12,818 454 2,088
..................................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 3,772 73,875 185,156 549,596 44,616
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 7,951 119,891 310,501 716,134 74,663
..................................................................................................................................
Unit transactions:
Purchases 69,865 216,473 933,794 1,047,062 202,481
..................................................................................................................................
Net transfers 66,718 951,228 1,576,563 3,026,454 435,717
..................................................................................................................................
Surrenders (7,735) (32,107) (119,126) (169,710) (28,512)
..................................................................................................................................
Loan withdrawals -- (895) (26,693) (83,344) --
..................................................................................................................................
Cost of insurance (7,523) (44,664) (123,165) (176,607) (30,461)
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 121,325 1,090,035 2,241,373 3,643,855 579,225
..................................................................................................................................
Total increase (decrease)
in net assets 129,276 1,209,926 2,551,874 4,359,989 653,888
..................................................................................................................................
Net assets:
Beginning of period 59,911 385,029 1,506,467 1,615,137 348,748
- ----------------------------------------------------------------------------------------------------------------------------------
End of period $189,187 $1,594,955 $4,058,341 $5,975,126 $1,002,636
- ----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------------------------
For the year ended Money New U.S. Government Utilities Voyager
December 31, 1997 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>
Operations:
Net investment income (loss) $ 8,816 $ -- $ 84,427 $ 6,195 $ 7,934
..................................................................................................................................
Capital gains income -- -- -- 8,447 170,979
..................................................................................................................................
Net realized gain (loss)
on security transactions -- (2,744) 3,412 41 (10,475)
..................................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period -- 705,146 105,411 58,141 1,072,966
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 8,816 702,402 193,250 72,824 1,241,404
..................................................................................................................................
Unit transactions:
Purchases 46,630 880,486 905,167 56,076 1,401,137
..................................................................................................................................
Net transfers (7,827) 1,743,133 1,214,258 158,063 2,438,213
..................................................................................................................................
Surrenders (8,065) (141,142) (57,683) (9,042) (228,692)
..................................................................................................................................
Loan withdrawals -- (12,422) (69,040) -- (38,108)
..................................................................................................................................
Cost of insurance (4,477) (114,029) (111,805) (10,227) (203,142)
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 26,261 2,356,026 1,880,897 194,870 3,369,408
..................................................................................................................................
Total increase (decrease)
in net assets 35,077 3,058,428 2,074,147 267,694 4,610,812
..................................................................................................................................
Net assets:
Beginning of period 200,434 1,769,406 931,341 141,849 3,092,579
- ----------------------------------------------------------------------------------------------------------------------------------
End of period $235,511 $4,827,834 $3,005,488 $409,543 $7,703,391
- ----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO --
HARTFORD LIFE INSURANCE COMPANY
Notes to Financial Statements
June 30, 1998
(Unaudited)
1. ORGANIZATION:
Separate Account Variable Life Two (the Account) is a separate investment
account within Hartford Life Insurance Company (the Company) and is
registered with the Securities and Exchange Commission (SEC) as a unit
investment trust under the Investment Company Act of 1940, as amended. The
Account consists of twenty two subaccounts. These financial statements
include ten subaccounts which invest solely in the Putnam Capital Manager
Trust funds (the Funds). The other twelve subaccounts, which invest in the
Hartford and Fidelity Mutual Funds, are presented in separate financial
statements. Both the Company and the Account are subject to supervision
and regulation by the Department of Insurance of the State of Connecticut
and the SEC. The Account invests deposits by variable life contractholders
of the Company in the various mutual funds as directed by the
contractholders.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies of the
Account, which are in accordance with generally accepted accounting
principles in the investment company industry:
A) Security Transactions - Security transactions are recorded on the trade
date (date the order to buy or sell is executed). Cost of investments
sold is determined on the basis of identified cost. Dividend and capital
gains income are accrued as of the ex-dividend date. Capital gains income
represents dividends from the Funds which are characterized as capital
gains under tax regulations.
B) Security Valuation - The investments in shares of the Funds are valued
at the closing net asset value per share as determined by the appropriate
Fund as of June 30, 1998.
C) Federal Income Taxes - The operations of the Account form a part of,
and are taxed with, the total operations of the Company, which is taxed as
an insurance company under the Internal Revenue Code. Under current law,
no federal income taxes are payable with respect to the operations of the
Account.
D) Use of Estimates - The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
In accordance with the terms of the contracts, the Company makes
deductions for mortality and expense undertakings, cost of insurance,
administrative fees, and state premium taxes. These charges are deducted
through termination of units of interest from applicable contract owners'
accounts.
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Assets & Liabilities
- -----------------------------------------------------------------------------------------------------------
June 30, 1998 Asia Pacific Diversified The Global Asset
(Unaudited) Growth Income George Putnam Allocation
Fund Fund Fund of Boston Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
...........................................................................................................
Putnam VT Asia Pacific
Growth Fund
Shares 82,466
Cost $850,868
...........................................................................................................
Market Value: $639,111 $ -- $ -- $ --
...........................................................................................................
Putnam VT Diversified
Income Fund
Shares 171,866
Cost $1,869,020
...........................................................................................................
Market Value: -- 1,880,215 -- --
...........................................................................................................
Putnam VT The George
Putnam Fund of Boston
Shares 100
Cost $1,000
...........................................................................................................
Market Value: -- -- 994 --
...........................................................................................................
Putnam VT Global
Asset Allocation Fund
Shares 108,319
Cost $1,782,301
...........................................................................................................
Market Value: -- -- -- 1,997,405
...........................................................................................................
Putnam VT Global
Growth Fund
Shares 471,297
Cost $7,368,589
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Putnam VT Growth and
Income Fund
Shares 822,557
Cost $18,745,232
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Putnam VT Health
Sciences Fund
Shares 5,658
Cost $56,583
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Due From Hartford Life
Insurance Company -- -- -- 127
...........................................................................................................
Receivable from fund
shares sold -- -- -- --
...........................................................................................................
Total Assets 639,111 1,880,215 994 1,997,532
...........................................................................................................
Liabilities
Due to Hartford Life
Insurance Company -- -- -- --
...........................................................................................................
Payable for fund
shares purchased -- -- -- 127
...........................................................................................................
Total Liabilities -- -- -- 127
- -----------------------------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $639,111 $1,880,215 $994 $1,997,405
- -----------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liabilities (continued)
- -----------------------------------------------------------------------------------------
June 30, 1998 Global Growth Health
(Unaudited) Growth and Income Sciences Fund
Fund Fund Sub-Account
Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
Assets
Investments:
.........................................................................................
Putnam VT Asia Pacific
Growth Fund
Shares 82,466
Cost $850,868
.........................................................................................
Market Value: $ -- $ -- $ --
.........................................................................................
Putnam VT Diversified
Income Fund
Shares 171,866
Cost $1,869,020
.........................................................................................
Market Value: -- -- --
.........................................................................................
Putnam VT The George
Putnam Fund of Boston
Shares 100
Cost $1,000
.........................................................................................
Market Value: -- -- --
.........................................................................................
Putnam VT Global
Asset Allocation Fund
Shares 108,319
Cost $1,782,301
.........................................................................................
Market Value: -- -- --
.........................................................................................
Putnam VT Global
Growth Fund
Shares 471,297
Cost $7,368,589
.........................................................................................
Market Value: 8,902,791 -- --
.........................................................................................
Putnam VT Growth and
Income Fund
Shares 822,557
Cost $18,745,232
.........................................................................................
Market Value: -- 22,538,061 --
.........................................................................................
Putnam VT Health
Sciences Fund
Shares 5,658
Cost $56,583
.........................................................................................
Market Value: -- -- 56,979
.........................................................................................
Due From Hartford Life
Insurance Company 320 13,682 --
.........................................................................................
Receivable from fund
shares sold -- -- --
.........................................................................................
Total Assets 8,903,111 22,551,743 56,979
.........................................................................................
Liabilities
Due to Hartford Life
Insurance Company -- -- --
.........................................................................................
Payable for fund
shares purchased 320 13,683 --
.........................................................................................
Total Liabilities 320 13,683 --
- -----------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $8,902,791 $22,538,060 $56,979
- -----------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Assets & Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------
June 30, 1998 High Yield International International International
(Unaudited) Fund Growth Growth New
Sub-Account Fund and Income Opportunities
Sub-Account Fund Fund
Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
...........................................................................................................
Putnam VT High
Yield Fund
Shares 410,227
Cost $5,093,452
...........................................................................................................
Market Value: $5,316,547 $ -- $ -- $ --
...........................................................................................................
Putnam VT International
Growth Fund
Shares 20,123
Cost $235,597
...........................................................................................................
Market Value: -- 275,483 -- --
...........................................................................................................
Putnam VT International
Growth and Income Fund
Shares 22,026
Cost $273,074
...........................................................................................................
Market Value: -- -- 292,504 --
...........................................................................................................
Putnam VT International
New Opportunities Fund
Shares 24,784
Cost $267,528
...........................................................................................................
Market Value: -- -- -- 286,498
...........................................................................................................
Putnam VT Investors Fund
Shares 4,086
Cost $43,202
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Putnam VT Money
Market Fund
Shares 3,683,742
Cost $3,683,742
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Putnam VT New
Opportunities Fund
Shares 511,358
Cost $8,379,648
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Due From Hartford Life
Insurance Company 1,039 -- -- --
...........................................................................................................
Receivable from fund
shares sold -- -- -- --
...........................................................................................................
Total Assets 5,317,586 275,483 292,504 286,498
...........................................................................................................
Liabilities
Due to Hartford Life
Insurance Company -- -- -- --
...........................................................................................................
Payable for fund
shares purchased -- -- -- --
...........................................................................................................
Total Liabilities 1,039 -- -- --
- -----------------------------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $5,316,547 $275,483 $292,504 $286,498
- -----------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liabilities (continued)
- -----------------------------------------------------------------------------------------
June 30, 1998 Investors Fund Money New
(Unaudited) Sub-Account Market Opportunities
Fund Fund
Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
Assets
Investments:
.........................................................................................
Putnam VT High
Yield Fund
Shares 410,227
Cost $5,093,452
.........................................................................................
Market Value: $ -- $ -- $ --
.........................................................................................
Putnam VT International
Growth Fund
Shares 20,123
Cost $235,597
.........................................................................................
Market Value: -- -- --
.........................................................................................
Putnam VT International
Growth and Income Fund
Shares 22,026
Cost $273,074
.........................................................................................
Market Value: -- -- --
.........................................................................................
Putnam VT International
New Opportunities Fund
Shares 24,784
Cost $267,528
.........................................................................................
Market Value: -- -- --
.........................................................................................
Putnam VT Investors Fund
Shares 4,086
Cost $43,202
.........................................................................................
Market Value: 43,273 -- --
.........................................................................................
Putnam VT Money
Market Fund
Shares 3,683,742
Cost $3,683,742
.........................................................................................
Market Value: -- 3,683,742 --
.........................................................................................
Putnam VT New
Opportunities Fund
Shares 511,358
Cost $8,379,648
.........................................................................................
Market Value: -- -- 12,697,015
.........................................................................................
Due From Hartford Life
Insurance Company -- -- 5,809
.........................................................................................
Receivable from fund
shares sold 3,052 9,164 --
.........................................................................................
Total Assets 46,325 3,692,906 12,702,824
.........................................................................................
Liabilities
Due to Hartford Life
Insurance Company 3,052 9,143 --
.........................................................................................
Payable for fund
shares purchased -- -- 5,809
.........................................................................................
Total Liabilities 3,052 9,143 5,809
- -----------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $43,273 $3,683,763 $12,697,015
- -----------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Assets & Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------
June 30, 1998 New OTC & U.S. Government Utilities
(Unaudited) Value Emerging Growth and High Growth
Fund Fund Quality Bond and Income
Sub-Account Sub-Account Fund Fund
Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
...........................................................................................................
Putnam VT New Value Fund
Shares 22,091
Cost $245,532
...........................................................................................................
Market Value: $263,108 $ -- $ -- $ --
...........................................................................................................
Putnam VT OTC &
Emerging Growth Fund
Shares 100
Cost $1,000
...........................................................................................................
Market Value: -- 1,021 -- --
...........................................................................................................
Putnam VT U.S.
Government and
High Quality Fund
Shares 109,756
Cost $1,437,111
...........................................................................................................
Market Value: -- -- 1,450,977 --
...........................................................................................................
Putnam VT Utilities
Growth & Income Fund
Shares 125,439
Cost $1,700,858
...........................................................................................................
Market Value: -- -- -- 2,063,464
...........................................................................................................
Putnam VT Vista Fund
Shares 19,284
Cost $229,088
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Putnam VT Voyager Fund
Shares 358,687
Cost $11,262,140
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Due From Hartford
Life Insurance Company -- -- -- --
...........................................................................................................
Receivable from fund
shares sold -- -- -- --
...........................................................................................................
Total Assets 263,108 1,021 1,450,977 2,063,464
...........................................................................................................
Liabilities
Due to Hartford Life
Insurance Company -- -- -- --
...........................................................................................................
Payable for fund
shares purchased -- -- -- --
...........................................................................................................
Total Liabilities -- -- -- --
- -----------------------------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $263,108 $1,021 $1,450,977 $2,063,464
- -----------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liabilities (continued)
- -----------------------------------------------------------------------
June 30, 1998 Vista Voyager
(Unaudited) Fund Fund
Sub-Account Sub-Account
- -----------------------------------------------------------------------
<S> <C> <C>
Assets
Investments:
.......................................................................
Putnam VT New Value Fund
Shares 22,091
Cost $245,532
.......................................................................
Market Value: $ -- $ --
.......................................................................
Putnam VT OTC &
Emerging Growth Fund
Shares 100
Cost $1,000
.......................................................................
Market Value: -- --
.......................................................................
Putnam VT U.S.
Government and
High Quality Fund
Shares 109,756
Cost $1,437,111
.......................................................................
Market Value: -- --
.......................................................................
Putnam VT Utilities
Growth & Income Fund
Shares 125,439
Cost $1,700,858
.......................................................................
Market Value: -- --
.......................................................................
Putnam VT Vista Fund
Shares 19,284
Cost $229,088
.......................................................................
Market Value: 277,686 --
.......................................................................
Putnam VT Voyager Fund
Shares 358,687
Cost $11,262,140
.......................................................................
Market Value: -- 15,480,950
.......................................................................
Due From Hartford
Life Insurance Company -- --
.......................................................................
Receivable from fund
shares sold -- --
.......................................................................
Total Assets 277,686 15,480,950
.......................................................................
Liabilities
Due to Hartford Life
Insurance Company -- --
.......................................................................
Payable for fund
shares purchased -- --
.......................................................................
Total Liabilities -- --
- -----------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $277,686 $15,480,950
- -----------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Assets and Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------------------------
June 30, 1998 Units
(Unaudited) Owned by Unit Contract
Participants Price Liability
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Variable life contracts:
Individual Sub-Accounts:
.............................................................................................................................
Asia Pacific Growth Fund Sub-Account 76,302 $ 8.376118 $ 639,111
.............................................................................................................................
Diversified Income Fund Sub-Account 130,656 14.390582 1,880,215
.............................................................................................................................
George Putnam Fund Sub-Account 100 9.940200 994
.............................................................................................................................
Global Asset Allocation Sub-Account 104,705 19.076533 1,997,405
.............................................................................................................................
Global Growth Fund Sub-Account 471,168 18.895148 8,902,791
.............................................................................................................................
Growth and Income Fund Sub-Account 997,506 22.594403 22,538,060
.............................................................................................................................
Health Sciences Fund Sub-Account 5,658 10.070000 56,979
.............................................................................................................................
High Yield Fund Sub-Account 334,061 15.914896 5,316,547
.............................................................................................................................
International Growth Fund Sub-Account 19,805 13.909944 275,483
.............................................................................................................................
International Growth and Income Fund Sub-Account 21,211 13.790147 292,504
.............................................................................................................................
International New Opportunities Fund Sub-Account 24,665 11.615679 286,498
.............................................................................................................................
Investors Fund Sub-Account 4,131 10.474824 43,273
.............................................................................................................................
Money Market Fund Sub-Account 3,081,460 1.195460 3,683,763
.............................................................................................................................
New Opportunities Fund Sub-Account 541,933 23.429143 12,697,015
.............................................................................................................................
New Value Fund Sub-Account 21,555 12.206466 263,108
.............................................................................................................................
OTC & Emerging Fund Sub-Account 100 10.209500 1,021
.............................................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 103,796 13.979170 1,450,977
.............................................................................................................................
Utilities Growth and Income Fund Sub-Account 102,924 20.048427 2,063,464
.............................................................................................................................
Vista Fund Sub-Account 19,282 14.401505 277,686
.............................................................................................................................
Voyager Fund Sub-Account 653,572 23.868680 15,480,950
- -----------------------------------------------------------------------------------------------------------------------------
Grand Total: $78,147,844
- -----------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Operations
- ----------------------------------------------------------------------------------------------------------------
For the Six Months Ended Asia Pacific Diversified The Global Asset
June 30, 1998 Growth Income George Putnam Allocation
(Unaudited) Fund Fund Fund of Boston Fund
Sub-Account Sub-Account Sub-Account* Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $ 32,285 $70,490 $-- $ 41,230
................................................................................................................
Capital gains income -- 29,940 -- 177,098
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions (2,998) 408 -- 155
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (118,608) (54,621) (6) (30,883)
................................................................................................................
Net gain (loss) on investments (121,606) (54,213) (6) (30,728)
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $(89,321) $46,217 $(6) $187,600
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (continued)
- ----------------------------------------------------------------------------------------------
For the Six Months Ended Global Growth Health
June 30, 1998 Growth and Income Sciences Fund
(Unaudited) Fund Fund Sub-Account*
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment Income:
Dividends $ 214,168 $ 360,949 $ --
..............................................................................................
Capital gains income 1,070,840 2,356,273 --
..............................................................................................
Net realized and
unrealized gain (loss)
on investments:
..............................................................................................
Net realized gain (loss)
on security transactions 7,527 (2,236) (2)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 274,380 (692,333) 396
..............................................................................................
Net gain (loss) on investments 281,907 (694,569) 394
- ----------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $1,566,915 $2,022,653 $394
- ----------------------------------------------------------------------------------------------
*From inception, April 29, 1998 to June 30, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Operations (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Six Months Ended High Yield International International International
June 30, 1998 Fund Growth Growth New
(Unaudited) Sub-Account Fund and Income Opportunities
Sub-Account Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $364,870 $ -- $ -- $ 439
................................................................................................................
Capital gains income 57,254 -- 505 --
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions 156 (1,168) 139 (763)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (229,254) 35,406 21,857 32,383
................................................................................................................
Net gain (loss) on investments (229,098) 34,238 21,996 31,620
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $193,026 $34,238 $22,501 $32,059
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (continued)
- ----------------------------------------------------------------------------------------------
For the Six Months Ended Investors Fund Money New
June 30, 1998 Sub-Account* Market Opportunities
(Unaudited) Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment Income:
Dividends $-- $89,851 $ --
..............................................................................................
Capital gains income -- -- 159,622
..............................................................................................
Net realized and
unrealized gain (loss)
on investments:
..............................................................................................
Net realized gain (loss)
on security transactions -- -- (3,886)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 71 -- 1,798,520
..............................................................................................
Net gain (loss) on investments 71 -- 1,794,634
- ----------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $71 $89,851 $1,954,256
- ----------------------------------------------------------------------------------------------
*From inception, April 29, 1998 to June 30, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE >
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Operations (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Six Months Ended New OTC & U.S. Government Utilities
June 30, 1998 Value Emerging Growth and High Growth
(Unaudited) Fund Fund Quality Bond and Income
Sub-Account Sub-Account* Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $ 2,234 $-- $80,167 $61,115
................................................................................................................
Capital gains income 5,100 -- 2,087 105,334
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions 1,542 -- 822 (1,180)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 3,029 21 (21,891) (92,018)
................................................................................................................
Net gain (loss) on investments 4,571 21 (21,069) (93,198)
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $11,905 $21 $61,185 $73,251
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (continued)
- ----------------------------------------------------------------------------
For the Six Months Ended Vista Voyager
June 30, 1998 Fund Fund
(Unaudited) Sub-Account Sub-Account
- ----------------------------------------------------------------------------
<S> <C> <C>
Investment Income:
Dividends $ -- $ 33,492
............................................................................
Capital gains income -- 817,198
............................................................................
Net realized and
unrealized gain (loss)
on investments:
............................................................................
Net realized gain (loss)
on security transactions 6,565 (5,413)
............................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 28,409 1,383,571
............................................................................
Net gain (loss) on investments 34,974 1,378,158
- ----------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $34,974 $2,228,848
- ----------------------------------------------------------------------------
*From inception, April 29, 1998 to June 30, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- ----------------------------------------------------------------------------------------------------------------
For the Six Months Ended Asia Pacific Diversified The Global Asset
June 30, 1998 Growth Income George Putnam Allocation
(Unaudited) Fund Fund Fund of Boston Fund
Sub-Account Sub-Account Sub-Account* Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 32,285 $ 70,490 $ -- $ 41,230
................................................................................................................
Capital gains income -- 29,940 -- 177,098
................................................................................................................
Net realized gain (loss)
on security transactions (2,998) 408 -- 155
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (118,608) (54,621) (6) (30,883)
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations (89,321) 46,217 (6) 187,600
................................................................................................................
Unit transactions:
Purchases -- -- 1,000 --
................................................................................................................
Net transfers 12,671 259,589 -- 72,178
................................................................................................................
Surrenders (22,235) (37,996) -- (16,750)
................................................................................................................
Loan withdrawals (307) 1,090 -- (140)
................................................................................................................
Cost of insurance (2,427) (6,029) -- (6,491)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions (12,298) 216,654 1,000 48,797
................................................................................................................
Total increase (decrease)
in net assets (101,619) 262,871 994 236,397
................................................................................................................
Net Assets
Beginning of period 740,730 1,617,344 -- 1,761,008
- ----------------------------------------------------------------------------------------------------------------
End of period $639,111 $1,880,215 $ 994 $1,997,405
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets
- ----------------------------------------------------------------------------------------------
For the Six Months Ended Global Growth Health
June 30, 1998 Growth and Income Sciences Fund
(Unaudited) Fund Fund Sub-Account*
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 214,168 $ 360,949 $ --
..............................................................................................
Capital gains income 1,070,840 2,356,273 --
..............................................................................................
Net realized gain (loss)
on security transactions 7,527 (2,236) (2)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 274,380 (692,333) 396
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 1,566,915 2,022,653 394
..............................................................................................
Unit transactions:
Purchases -- -- 1,000
..............................................................................................
Net transfers (36,493) 780,086 55,788
..............................................................................................
Surrenders (182,575) (471,107) (147)
..............................................................................................
Loan withdrawals (4,866) 1,149 --
..............................................................................................
Cost of insurance (27,406) (68,535) (56)
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions (251,340) 241,593 56,585
..............................................................................................
Total increase (decrease)
in net assets 1,315,575 2,264,246 56,979
..............................................................................................
Net Assets
Beginning of period 7,587,216 20,273,814 --
- ----------------------------------------------------------------------------------------------
End of period $8,902,791 $22,538,060 $56,979
- ----------------------------------------------------------------------------------------------
*From inception, April 29, 1998 to June 30, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Six Months Ended High Yield International International International
June 30, 1998 Fund Growth Growth New
(Unaudited) Sub-Account Fund and Income Opportunities
Sub-Account Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 364,870 $ -- $ -- $ 439
................................................................................................................
Capital gains income 57,254 -- 505 --
................................................................................................................
Net realized gain (loss) on
security transactions 156 (1,168) 139 (763)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (229,254) 35,406 21,857 32,383
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 193,026 34,238 22,501 32,059
................................................................................................................
Unit transactions:
Purchases -- -- -- --
................................................................................................................
Net transfers 802,275 97,441 105,272 60,818
................................................................................................................
Surrenders (65,358) (1,932) (1,874) (2,108)
................................................................................................................
Loan withdrawals 4,115 551 -- --
................................................................................................................
Cost of insurance (16,225) (809) (639) (827)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 724,807 95,251 102,759 57,883
................................................................................................................
Total increase (decrease)
in net assets 917,833 129,489 125,260 89,942
................................................................................................................
Net Assets
Beginning of period 4,398,714 145,994 167,244 196,556
- ----------------------------------------------------------------------------------------------------------------
End of period $5,316,547 $275,483 $292,504 $286,498
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Six Months Ended Investors Fund Money New
June 30, 1998 Sub-Account* Market Opportunities
(Unaudited) Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ -- $ 89,851 $ --
..............................................................................................
Capital gains income -- -- (159,622)
..............................................................................................
Net realized gain (loss) on
security transactions -- -- (3,886)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 71 -- 1,798,520
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 71 89,851 1,954,256
..............................................................................................
Unit transactions:
Purchases 1,000 3,368,017 --
..............................................................................................
Net transfers 42,202 (3,469,073) 522,918
..............................................................................................
Surrenders -- (41,131) (197,365)
..............................................................................................
Loan withdrawals -- (133,145) (13,660)
..............................................................................................
Cost of insurance -- (13,354) (37,629)
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 43,202 (288,686) 274,264
..............................................................................................
Total increase (decrease)
in net assets 43,273 (198,835) 2,228,520
..............................................................................................
Net Assets
Beginning of period -- 3,882,598 10,468,495
- ----------------------------------------------------------------------------------------------
End of period $43,273 $3,683,763 $12,697,015
- ----------------------------------------------------------------------------------------------
*From inception, April 29, 1998 to June 30, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Six Months Ended New OTC & U.S. Government Utilities
June 30, 1998 Value Emerging Growth and High Growth
(Unaudited) Fund Fund Quality Bond and Income
Sub-Account Sub-Account* Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 2,234 $ -- $ 80,167 $ 61,115
................................................................................................................
Capital gains income 5,100 -- 2,087 105,334
................................................................................................................
Net realized gain (loss) on
security transactions 1,542 -- 822 (1,180)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 3,029 21 (21,891) (92,018)
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 11,905 21 61,185 73,251
................................................................................................................
Unit transactions:
Purchases -- 1,000 -- --
................................................................................................................
Net transfers (38,172) -- (71,032) 70,815
................................................................................................................
Surrenders (2,462) -- (38,294) (45,710)
................................................................................................................
Loan withdrawals 1,930 -- 4,526 (5,084)
................................................................................................................
Cost of insurance (940) -- (5,295) (7,424)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions (39,644) 1,000 (110,095) 12,597
................................................................................................................
Total increase (decrease)
in net assets (27,739) 1,021 (48,910) 85,848
................................................................................................................
Net Assets
Beginning of period 290,847 -- 1,499,887 1,977,616
- ----------------------------------------------------------------------------------------------------------------
End of period $263,108 $1,021 $1,450,977 $2,063,464
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Six Months Ended Vista Voyager
June 30, 1998 Fund Fund
(Unaudited) Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ -- $ 33,492
..............................................................................................
Capital gains income -- 817,198
..............................................................................................
Net realized gain (loss) on
security transactions 6,565 (5,413)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 28,409 1,383,571
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 34,974 2,228,848
..............................................................................................
Unit transactions:
Purchases -- --
..............................................................................................
Net transfers 62,333 670,383
..............................................................................................
Surrenders (1,792) (294,180)
..............................................................................................
Loan withdrawals -- (14,206)
..............................................................................................
Cost of insurance (559) (46,171)
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 59,982 315,826
..............................................................................................
Total increase (decrease)
in net assets 94,956 2,544,674
..............................................................................................
Net Assets
Beginning of period 182,730 12,936,276
- ----------------------------------------------------------------------------------------------
End of period $277,686 $15,480,950
- ----------------------------------------------------------------------------------------------
*From inception, April 29, 1998 to June 30, 1998.
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, 1997 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) $ 18,881 $ 62,554 $ 45,684 $ 155,488
................................................................................................................
Capital gains income -- 9,861 78,086 167,244
................................................................................................................
Net realized gain(loss)
on security transactions (4,716) 208 985 (6,243)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (145,844) 21,960 137,965 601,162
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations (131,679) 94,583 262,720 917,651
................................................................................................................
Unit transactions:
Purchases -- -- -- --
................................................................................................................
Net transfers (5,780) 499,003 345,410 880,302
................................................................................................................
Surrenders (17,461) (27,995) (30,466) (273,522)
................................................................................................................
Loan withdrawals (7,128) (1,526) (21,786) (43,107)
................................................................................................................
Cost of insurance (6,464) (9,419) (10,616) (49,753)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions (36,833) 460,063 282,542 513,920
................................................................................................................
Total increase (decrease)
in net assets (168,512) 554,646 545,262 1,431,571
................................................................................................................
Net assets:
Beginning of period 909,242 1,062,698 1,215,746 6,155,645
- ----------------------------------------------------------------------------------------------------------------
End of period $740,730 $1,617,344 $1,761,008 $7,587,216
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended Growth High Yield International International
December 31, 1997 and Income Fund Growth Growth
Fund Sub-Account Fund and Income
Sub-Account Sub-Account* Fund
Sub-Account*
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 314,190 $ 246,290 $ 2,245 $ 4,968
................................................................................................................
Capital gains income 764,750 28,559 -- --
................................................................................................................
Net realized gain(loss)
on security transactions (11,346) 2,554 (952) 261
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 2,573,528 241,895 4,480 (2,427)
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 3,641,122 519,298 5,773 2,802
................................................................................................................
Unit transactions:
Purchases -- -- 1,000 1,000
................................................................................................................
Net transfers 3,372,228 738,928 141,118 164,247
................................................................................................................
Surrenders (399,306) (149,096) (1,312) (664)
................................................................................................................
Loan withdrawals (95,139) 16,923 -- --
................................................................................................................
Cost of insurance (114,975) (26,321) (585) (141)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 2,762,808 580,434 140,221 164,442
................................................................................................................
Total increase (decrease)
in net assets 6,403,930 1,099,732 145,994 167,244
................................................................................................................
Net assets:
Beginning of period 13,869,884 3,298,982 -- --
- ----------------------------------------------------------------------------------------------------------------
End of period $20,273,814 $4,398,714 $145,994 $167,244
- ----------------------------------------------------------------------------------------------------------------
*From inception, January 2, 1997 to December 31, 1997.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended International Money New New
December 31, 1997 New Market Opportunities Value
Opportunities Fund Fund Fund
Fund Sub-Account Sub-Account Sub-Account*
Sub-Account*
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 571 $ 187,676 $ -- $ --
................................................................................................................
Capital gains income -- -- -- --
................................................................................................................
Net realized gain(loss)
on security transactions (583) -- (5,661) (2,943)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (13,413) -- 1,909,685 14,548
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations (13,425) 187,676 1,904,024 11,605
................................................................................................................
Unit transactions:
Purchases 1,000 9,479,089 -- 1,000
................................................................................................................
Net transfers 211,827 (9,663,164) 1,158,747 287,299
................................................................................................................
Surrenders (2,118) (119,388) (294,057) (8,127)
................................................................................................................
Loan withdrawals (1) (193,526) (72,749) --
................................................................................................................
Cost of insurance (727) (31,033) (60,495) (930)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 209,981 (528,022) 731,446 279,242
................................................................................................................
Total increase (decrease)
in net assets 196,556 (340,346) 2,635,470 290,847
................................................................................................................
Net assets:
Beginning of period -- 4,222,944 7,833,025 --
- ----------------------------------------------------------------------------------------------------------------
End of period $196,556 $3,882,598 $10,468,495 $290,847
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended U.S. Government Utilities Vista Voyager
December 31, 1997 and High Growth Fund Fund
Quality Bond and Income Sub-Account* Sub-Account
Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 83,063 $ 56,715 $ 15 $ 20,325
................................................................................................................
Capital gains income -- 77,339 -- 438,026
................................................................................................................
Net realized gain(loss)
on security transactions 1,430 4,906 (6,610) 1,878
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 25,565 280,202 20,188 2,144,618
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 110,058 419,162 13,593 2,604,847
................................................................................................................
Unit transactions:
Purchases -- -- 1,000 --
................................................................................................................
Net transfers 135,429 126,503 170,550 1,437,360
................................................................................................................
Surrenders (24,042) (29,456) (1,924) (346,502)
................................................................................................................
Loan withdrawals (1,568) (10,900) -- (87,887)
................................................................................................................
Cost of insurance (9,754) (12,352) (489) (73,765)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 100,065 73,795 169,137 929,206
................................................................................................................
Total increase (decrease)
in net assets 210,123 492,957 182,730 3,534,053
................................................................................................................
Net assets:
Beginning of period 1,289,764 1,484,659 -- 9,402,223
- ----------------------------------------------------------------------------------------------------------------
End of period $1,499,887 $1,977,616 $182,730 $12,936,276
- ----------------------------------------------------------------------------------------------------------------
*From inception, January 2, 1997 to December 31, 1997.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE --
HARTFORD LIFE INSURANCE COMPANY
Notes to Financial Statements
June 30, 1998
(Unaudited)
1. ORGANIZATION:
Putnam Capital Manager Trust Separate Account Five (the Account) is a
separate investment account within Hartford Life Insurance Company (the
Company) and is registered with the Securities and Exchange Commission
(SEC) as a unit investment trust under the Investment Company Act of 1940,
as amended. Both the Company and the Account are subject to supervision
and regulation by the Department of Insurance of the State of Connecticut
and the SEC. The Account invests deposits by variable life contractholders
of the Company in various mutual funds (the Funds) as directed by the
contractholders.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies of the
Account, which are in accordance with generally accepted accounting
principles in the investment company industry:
A) Security Transactions - Security transactions are recorded on the trade
date (date the order to buy or sell is executed). Cost of investments sold
is determined on the basis of identified cost. Dividend and capital gains
income are accrued as of the ex-dividend date. Capital gains income
represents dividends from the Funds which are characterized as capital
gains under tax regulations.
B) Security Valuation - The investments in shares of the Funds are valued
at the closing net asset value per share as determined by the appropriate
Fund as of June 30, 1998.
C) Federal Income Taxes - The operations of the Account form a part of,
and are taxed with, the total operations of the Company, which is taxed as
an insurance company under the Internal Revenue Code. Under current law,
no federal income taxes are payable with respect to the operations of the
Account.
D) Use of Estimates - The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
In accordance with the terms of the contracts, the Company makes
deductions for mortality and expense undertakings, cost of insurance,
administrative fees, and state premium taxes. These charges are deducted
through termination of units of interest from applicable contract owners'
accounts.
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Assets & Liabilities
- -----------------------------------------------------------------------------------------------------------
June 30, 1998 Asia Pacific Diversified The Global Asset
(Unaudited) Growth Income George Putnam Allocation
Fund Fund Fund of Boston Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
...........................................................................................................
Putnam VT Asia Pacific
Growth Fund
Shares 7,161,408
Cost $75,039,458
...........................................................................................................
Market Value: $55,500,910 $ -- $ -- $ --
...........................................................................................................
Putnam VT Diversified
Income Fund
Shares 26,895,584
Cost $283,276,283
...........................................................................................................
Market Value: -- 294,237,693 -- --
...........................................................................................................
Putnam VT The George
Putnam Fund of Boston
Shares 807,229
Cost $8,029,416
...........................................................................................................
Market Value: -- -- 8,048,070 --
...........................................................................................................
Putnam VT Global Asset
Allocation Fund
Shares 27,392,218
Cost $426,322,371
...........................................................................................................
Market Value: -- -- -- 505,112,497
...........................................................................................................
Putnam VT Global
Growth Fund
Shares 53,651,601
Cost $811,535,700
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Putnam VT Growth and
Income Fund
Shares 160,273,755
Cost $3,599,474,506
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Putnam VT Health
Sciences Fund
Shares 1,693,762
Cost $16,752,892
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Due From Hartford Life &
Annuity Insurance Company -- 210,231 204,618 --
...........................................................................................................
Receivable from fund
shares sold 58,940 -- -- 48,206
- -----------------------------------------------------------------------------------------------------------
Total Assets 55,559,850 294,447,924 8,252,688 505,160,703
- -----------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life &
Annuity Insurance Company 58,856 -- -- 48,488
...........................................................................................................
Payable for fund
shares purchased -- 210,547 204,618 --
...........................................................................................................
Total Liabilities 58,856 210,547 204,618 48,488
- -----------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $55,500,994 $294,237,377 $8,048,070 $505,112,215
- -----------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liabilities (continued)
- -----------------------------------------------------------------------------------------
June 30, 1998 Global Growth Health
(Unaudited) Growth and Income Sciences
Fund Fund Fund
Sub-Account Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
Assets
Investments:
.........................................................................................
Putnam VT Asia Pacific
Growth Fund
Shares 7,161,408
Cost $75,039,458
.........................................................................................
Market Value: $ -- $ -- $ --
.........................................................................................
Putnam VT Diversified
Income Fund
Shares 26,895,584
Cost $283,276,283
.........................................................................................
Market Value: -- -- --
.........................................................................................
Putnam VT The George
Putnam Fund of Boston
Shares 807,229
Cost $8,029,416
.........................................................................................
Market Value: -- -- --
.........................................................................................
Putnam VT Global Asset
Allocation Fund
Shares 27,392,218
Cost $426,322,371
.........................................................................................
Market Value: -- -- --
.........................................................................................
Putnam VT Global
Growth Fund
Shares 53,651,601
Cost $811,535,700
.........................................................................................
Market Value: 1,013,478,750 -- --
.........................................................................................
Putnam VT Growth and
Income Fund
Shares 160,273,755
Cost $3,599,474,506
.........................................................................................
Market Value: -- 4,391,500,885 --
.........................................................................................
Putnam VT Health
Sciences Fund
Shares 1,693,762
Cost $16,752,892
.........................................................................................
Market Value: -- -- 17,056,180
.........................................................................................
Due From Hartford Life &
Annuity Insurance Company -- 1,013,398 406,262
.........................................................................................
Receivable from fund
shares sold 264,860 -- --
- -----------------------------------------------------------------------------------------
Total Assets 1,013,743,610 4,392,514,283 17,462,442
- -----------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life &
Annuity Insurance Company 265,349 -- --
.........................................................................................
Payable for fund
shares purchased -- 1,021,045 406,254
.........................................................................................
Total Liabilities 265,349 1,021,045 406,254
- -----------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $1,013,478,261 $4,391,493,238 $17,056,188
- -----------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Assets & Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------
June 30, 1998 High Yield International International International
(Unaudited) Fund Growth Growth New
Sub-Account Fund and Income Opportunities
Sub-Account Fund Fund
Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
...........................................................................................................
Putnam VT High
Yield Fund
Shares 47,904,410
Cost $592,492,852
...........................................................................................................
Market Value: $620,841,153 $ -- $ -- $ --
...........................................................................................................
Putnam VT International
Growth Fund
Shares 10,094,218
Cost $118,989,006
...........................................................................................................
Market Value: -- 138,189,849 -- --
...........................................................................................................
Putnam VT International
Growth and Income Fund
Shares 12,910,418
Cost $149,463,943
...........................................................................................................
Market Value: -- -- 171,450,352 --
...........................................................................................................
Putnam VT International
New Opportunities Fund
Shares 6,752,260
Cost $71,137,940
...........................................................................................................
Market Value: -- -- -- 78,056,129
...........................................................................................................
Putnam VT Investors Fund
Shares 1,719,836
Cost $17,433,097
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Putnam VT Money
Market Fund
Shares 209,179,559
Cost $209,179,559
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Putnam VT New
Opportunities Fund
Shares 60,020,725
Cost $997,859,570
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Due From Hartford Life &
Annuity Insurance Company -- 223,549 399,057 78,034
...........................................................................................................
Receivable from fund
shares sold 156,372 -- -- --
- -----------------------------------------------------------------------------------------------------------
Total Assets 620,997,525 138,413,398 171,849,409 78,134,163
- -----------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life &
Annuity Insurance Company 149,260 -- -- --
...........................................................................................................
Payable for fund
shares purchased -- 223,361 398,585 78,198
...........................................................................................................
Total Liabilities 149,260 223,361 398,585 78,198
- -----------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $620,848,265 $138,190,037 $171,450,824 $78,055,965
- -----------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liabilities (continued)
- -----------------------------------------------------------------------------------------
June 30, 1998 Investors Fund Money New
(Unaudited) Sub-Account Market Opportunities
Fund Fund
Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
Assets
Investments:
.........................................................................................
Putnam VT High
Yield Fund
Shares 47,904,410
Cost $592,492,852
.........................................................................................
Market Value: $ -- $ -- $ --
.........................................................................................
Putnam VT International
Growth Fund
Shares 10,094,218
Cost $118,989,006
.........................................................................................
Market Value: -- -- --
.........................................................................................
Putnam VT International
Growth and Income Fund
Shares 12,910,418
Cost $149,463,943
.........................................................................................
Market Value: -- -- --
.........................................................................................
Putnam VT International
New Opportunities Fund
Shares 6,752,260
Cost $71,137,940
.........................................................................................
Market Value: -- -- --
.........................................................................................
Putnam VT Investors Fund
Shares 1,719,836
Cost $17,433,097
.........................................................................................
Market Value: 18,213,062 -- --
.........................................................................................
Putnam VT Money
Market Fund
Shares 209,179,559
Cost $209,179,559
.........................................................................................
Market Value: -- 209,179,560 --
.........................................................................................
Putnam VT New
Opportunities Fund
Shares 60,020,725
Cost $997,859,570
.........................................................................................
Market Value: -- -- 1,490,314,595
.........................................................................................
Due From Hartford Life &
Annuity Insurance Company 530,639 -- 873,032
.........................................................................................
Receivable from fund
shares sold -- 3,313,321 --
- -----------------------------------------------------------------------------------------
Total Assets 18,743,701 212,492,881 1,491,187,627
- -----------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life &
Annuity Insurance Company -- 3,313,049 --
.........................................................................................
Payable for fund
shares purchased 530,646 -- 873,506
.........................................................................................
Total Liabilities 530,646 3,313,049 873,506
- -----------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $18,213,055 $209,179,832 $1,490,314,121
- -----------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Assets & Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------
June 30, 1998 New OTC & U.S. Government Utilities
(Unaudited) Value Emerging Growth and High Growth
Fund Fund Quality Bond and Income
Sub-Account Sub-Account Fund Fund
Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
...........................................................................................................
Putnam VT New Value Fund
Shares 12,579,980
Cost $140,099,810
...........................................................................................................
Market Value: $149,827,567 $ -- $ -- $ --
...........................................................................................................
Putnam VT OTC
Emerging Growth Fund
Shares 475,580
Cost $4,684,346
...........................................................................................................
Market Value: -- 4,865,181 -- --
...........................................................................................................
Putnam VT U.S. Government
and High Quality Fund
Shares 19,930,965
Cost $262,176,167
...........................................................................................................
Market Value: -- -- 263,487,353 --
...........................................................................................................
Putnam VT Utilities
Growth & Income Fund
Shares 23,402,649
Cost $300,023,118
...........................................................................................................
Market Value: -- -- -- 384,973,570
...........................................................................................................
Putnam VT Vista Fund
Shares 10,330,733
Cost $119,197,904
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Putnam VT Voyager Fund
Shares 61,821,857
Cost $1,840,887,203
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Due From Hartford Life &
Annuity Insurance Company 128,724 84,338 -- --
...........................................................................................................
Receivable from fund
shares sold -- -- 48,189 53,562
- -----------------------------------------------------------------------------------------------------------
Total Assets 149,956,291 4,949,519 263,535,542 385,027,132
- -----------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life &
Annuity Insurance Company -- -- 48,316 59,950
...........................................................................................................
Payable for fund
shares purchased 128,690 84,332 -- --
...........................................................................................................
Total Liabilities 128,690 84,332 48,316 59,950
- -----------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $149,827,601 $4,865,187 $263,487,226 $384,967,182
- -----------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liabilities (continued)
- -----------------------------------------------------------------------
June 30, 1998 Vista Voyager
(Unaudited) Fund Fund
Sub-Account Sub-Account
- -----------------------------------------------------------------------
<S> <C> <C>
Assets
Investments:
.......................................................................
Putnam VT New Value Fund
Shares 12,579,980
Cost $140,099,810
.......................................................................
Market Value: $ -- $ --
.......................................................................
Putnam VT OTC
Emerging Growth Fund
Shares 475,580
Cost $4,684,346
.......................................................................
Market Value: -- --
.......................................................................
Putnam VT U.S. Government
and High Quality Fund
Shares 19,930,965
Cost $262,176,167
.......................................................................
Market Value: -- --
.......................................................................
Putnam VT Utilities
Growth & Income Fund
Shares 23,402,649
Cost $300,023,118
.......................................................................
Market Value: -- --
.......................................................................
Putnam VT Vista Fund
Shares 10,330,733
Cost $119,197,904
.......................................................................
Market Value: 148,762,560 --
.......................................................................
Putnam VT Voyager Fund
Shares 61,821,857
Cost $1,840,887,203
.......................................................................
Market Value: -- 2,668,231,328
.......................................................................
Due From Hartford Life &
Annuity Insurance Company 178,049 1,346,071
.......................................................................
Receivable from fund
shares sold -- --
- -----------------------------------------------------------------------
Total Assets 148,940,609 2,669,577,399
- -----------------------------------------------------------------------
Liabilities
Due to Hartford Life &
Annuity Insurance Company -- --
.......................................................................
Payable for fund
shares purchased 177,992 1,343,237
.......................................................................
Total Liabilities 177,992 1,343,237
- -----------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $148,762,617 $2,668,234,162
- -----------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Assets and Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------------------------
June 30, 1998 Units Unit Contract
(Unaudited) Owned by Price Liability
Participants
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Deferred annuity contracts in the accumulation period:
Individual Sub-Accounts
.............................................................................................................................
Asia Pacific Growth Fund Sub-Account 6,923,858 $ 8.012932 $ 55,480,403
.............................................................................................................................
Diversified Income Fund Sub-Account 22,414,790 13.116651 294,006,976
.............................................................................................................................
George Putnam Fund Sub-Account 811,516 9.917323 8,048,070
.............................................................................................................................
Global Asset Allocation Fund Sub-Account 17,015,717 29.649660 504,510,235
.............................................................................................................................
Global Growth Fund Sub-Account 43,224,478 23.394519 1,011,215,877
.............................................................................................................................
Growth and Income Fund Sub-Account 100,302,274 43.704290 4,383,639,668
.............................................................................................................................
Health Sciences Fund Sub-Account 1,697,674 10.046801 17,056,188
.............................................................................................................................
High Yield Fund Sub-Account 23,417,044 26.485424 620,210,327
.............................................................................................................................
International Growth Fund Sub-Account 10,141,724 13.620094 138,131,236
.............................................................................................................................
International Growth and Income Fund Sub-Account 12,649,035 13.505738 170,834,550
.............................................................................................................................
International New Opportunities Fund Sub-Account 6,862,009 11.374072 78,048,986
.............................................................................................................................
Investors Fund Sub-Account 17,422,764 10.450673 18,213,055
.............................................................................................................................
Money Market Fund Sub-Account 138,413,280 1.510322 209,048,623
.............................................................................................................................
New Opportunities Fund Sub-Account 62,521,543 23.801072 1,488,079,754
.............................................................................................................................
New Value Fund Sub-Account 12,501,566 11.954075 149,444,660
.............................................................................................................................
OTC & Emerging Fund Sub-Account 477,630 10.186107 4,865,187
.............................................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 12,740,900 20.659128 263,215,882
.............................................................................................................................
Utilities Growth and Income Fund Sub-Account 18,501,150 20.788536 384,611,820
.............................................................................................................................
Vista Fund Sub-Account 10,544,450 14.104334 148,722,443
.............................................................................................................................
Voyager Fund Sub-Account 50,658,726 52.543686 2,661,796,215
.............................................................................................................................
Sub-total Group Sub-Accounts 12,609,180,155
.............................................................................................................................
Annuity contracts in the annuity period:
.............................................................................................................................
Individual Sub-Accounts:
.............................................................................................................................
Asia Pacific Growth Fund Sub-Account 2,570 $ 8.012932 $20,591
.............................................................................................................................
Diversified Income Fund Sub-Account 17,566 13.116651 230,401
.............................................................................................................................
Global Asset Allocation Fund Sub-Account 20,303 29.649660 601,980
.............................................................................................................................
Global Growth Fund Sub-Account 96,706 23.394519 2,262,384
.............................................................................................................................
Growth and Income Fund Sub-Account 179,698 43.704290 7,853,570
.............................................................................................................................
High Yield Fund Sub-Account 24,086 26.485424 637,938
.............................................................................................................................
International Growth Fund Sub-Account 4,317 13.620094 58,801
.............................................................................................................................
International Growth and Income Fund Sub-Account 45,631 13.505738 616,274
.............................................................................................................................
International New Opportunities Fund Sub-Account 614 11.374072 6,979
.............................................................................................................................
Money Market Fund Sub-Account 86,875 1.510322 131,209
.............................................................................................................................
New Opportunities Fund Sub-Account 93,877 23.801072 2,234,367
.............................................................................................................................
New Value Fund Sub-Account 32,034 11.954075 382,941
.............................................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 13,134 20.659128 271,344
.............................................................................................................................
Utilities Growth and Income Fund Sub-Account 17,094 20.788536 355,362
.............................................................................................................................
Vista Fund Sub-Account 2,848 14.104334 40,174
.............................................................................................................................
Voyager Fund Sub-Account 122,526 52.543686 6,437,947
.............................................................................................................................
Sub-total Group Sub-Accounts 22,142,262
- -----------------------------------------------------------------------------------------------------------------------------
Grand Total $12,631,322,417
- -----------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Operations
- ----------------------------------------------------------------------------------------------------------------
For the Six Months Ended Asia Pacific Diversified The Global Asset
June 30, 1998 Growth Income George Putnam Allocation
(Unaudited) Fund Fund Fund of Boston Fund
Sub-Account Sub-Account Sub-Account* Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $ 2,790,742 $11,792,328 $ -- $10,393,787
................................................................................................................
Expense:
Mortality and expense
undertakings (445,836) (1,961,540) (8,410) (3,362,200)
................................................................................................................
Capital gains income -- 5,008,700 -- 44,644,942
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions (242,362) 923 -- (28,445)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (10,143,893) (9,013,702) 18,655 (7,711,124)
................................................................................................................
Net gain (loss) on investments (10,386,255) (9,012,779) 18,655 (7,739,569)
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $(8,041,349) $ 5,826,709 $10,245 $43,936,960
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (continued)
- ----------------------------------------------------------------------------------------------
For the Six Months Ended Global Growth Health
June 30, 1998 Growth and Income Sciences Fund
(Unaudited) Fund Fund Sub-Account*
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment Income:
Dividends $ 23,916,125 $ 68,860,353 $ --
..............................................................................................
Expense:
Mortality and expense
undertakings (6,521,263) (28,995,364) (19,664)
..............................................................................................
Capital gains income 119,580,624 449,520,386 --
..............................................................................................
Net realized and
unrealized gain (loss)
on investments:
..............................................................................................
Net realized gain (loss)
on security transactions (166,302) (98,043) --
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 31,985,776 (136,697,353) 303,289
..............................................................................................
Net gain (loss) on investments 31,819,474 (136,795,396) 303,289
- ----------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $168,794,960 $352,589,979 $283,625
- ----------------------------------------------------------------------------------------------
*From inception, April 29, 1998 to June 30, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Operations (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Six Months Ended High Yield International International International
June 30, 1998 Fund Growth Growth New
(Unaudited) Sub-Account Fund and Income Opportunities
Sub-Account Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $45,592,119 $ -- $ -- $ 137,187
................................................................................................................
Expense:
Mortality and expense
undertakings (4,147,259) (745,209) (1,024,182) (500,441)
................................................................................................................
Capital gains income 7,154,195 -- 394,220 --
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions (4,980) 102,750 518,392 253,317
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (28,401,552) 17,550,392 18,819,394 10,315,045
................................................................................................................
Net gain (loss) on investments (28,406,532) 17,653,142 19,337,786 10,568,362
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $20,192,523 $16,907,933 $18,707,824 $10,205,108
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (continued)
- ----------------------------------------------------------------------------------------------
For the Six Months Ended Investors Fund Money New
June 30, 1998 Sub-Account* Market Opportunities
(Unaudited) Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment Income:
Dividends $ -- $4,815,461 $ --
..............................................................................................
Expense:
Mortality and expense
undertakings (20,289) (1,315,063) (9,393,886)
..............................................................................................
Capital gains income -- -- 18,663,729
..............................................................................................
Net realized and
unrealized gain (loss)
on investments:
..............................................................................................
Net realized gain (loss)
on security transactions -- -- 517,966
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 779,965 -- 209,773,791
..............................................................................................
Net gain (loss) on investments 779,965 -- 210,291,757
- ----------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $759,676 $3,500,398 $219,561,600
- ----------------------------------------------------------------------------------------------
*From inception, April 29, 1998 to June 30, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Operations (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Six Months Ended New OTC & U.S. Government Utilities
June 30, 1998 Value Emerging Growth and High Growth
(Unaudited) Fund Fund Quality Bond and Income
Sub-Account Sub-Account* Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $1,047,691 $ -- $13,027,436 $10,871,792
................................................................................................................
Expense:
Mortality and expense
undertakings (953,586) (6,137) (1,707,877) (2,580,786)
................................................................................................................
Capital gains income 2,391,470 -- 339,070 18,737,853
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions 7,777 (1,431) (1,043) 2,012
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 1,637,577 180,834 (3,214,850) (15,239,425)
................................................................................................................
Net gain (loss) on investments 1,645,354 179,403 (3,215,893) (15,237,413)
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $4,130,929 $173,266 $ 8,442,736 $11,791,446
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (continued)
- -------------------------------------------------------------------------------
For the Six Months Ended Vista Voyager
June 30, 1998 Fund Fund
(Unaudited) Sub-Account Sub-Account
- -------------------------------------------------------------------------------
<S> <C> <C>
Investment Income:
Dividends $ -- $ 5,723,028
...............................................................................
Expense:
Mortality and expense
undertakings (842,409) (16,915,083)
...............................................................................
Capital gains income -- 139,641,873
...............................................................................
Net realized and
unrealized gain (loss)
on investments:
...............................................................................
Net realized gain (loss)
on security transactions (7,598) (120,472)
...............................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 18,981,910 235,231,455
...............................................................................
Net gain (loss) on investments 18,974,312 235,110,983
- -------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $18,131,903 $363,560,801
- -------------------------------------------------------------------------------
*From inception, April 29, 1998 to June 30, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- ----------------------------------------------------------------------------------------------------------------
For the Six Months Ended Asia Pacific Diversified The Global Asset
June 30, 1998 Growth Income George Putnam Allocation
(Unaudited) Fund Fund Fund of Boston Fund
Sub-Account Sub-Account Sub-Account* Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 2,344,906 $ 9,830,788 $ (8,410) $ 7,031,587
................................................................................................................
Capital gains income -- 5,008,700 -- 44,644,942
................................................................................................................
Net realized gain (loss)
on security transactions (242,362) 923 -- (28,445)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (10,143,893) (9,013,702) 18,655 (7,711,124)
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations (8,041,349) 5,826,709 10,245 43,936,960
................................................................................................................
Unit transactions:
Purchases 2,555,722 17,683,741 3,649,042 15,427,342
................................................................................................................
Net transfers (6,026,567) 8,116,844 4,412,721 4,627,017
................................................................................................................
Surrenders (1,322,586) (7,484,926) (23,938) (10,316,975)
................................................................................................................
Net annuity transactions 1,799 10,117 -- 13,196
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions (4,791,632) 18,325,776 8,037,825 9,750,580
................................................................................................................
Total increase (decrease)
in net assets (12,832,981) 24,152,485 8,048,070 53,687,540
................................................................................................................
Net assets:
Beginning of period 68,333,975 270,084,892 -- 451,424,675
- ----------------------------------------------------------------------------------------------------------------
End of period $55,500,994 $294,237,377 $8,048,070 $505,112,215
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Six Months Ended Global Growth Health
June 30, 1998 Growth and Income Sciences Fund
(Unaudited) Fund Fund Sub-Account*
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 17,394,862 $ 39,864,989 $ (19,664)
..............................................................................................
Capital gains income 119,580,624 449,520,386 --
..............................................................................................
Net realized gain (loss)
on security transactions (166,302) (98,043) --
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 31,985,776 (136,697,353) 303,289
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 168,794,960 352,589,979 283,625
..............................................................................................
Unit transactions:
Purchases 22,007,858 242,489,755 5,795,257
..............................................................................................
Net transfers (7,895,834) 102,749,587 10,988,350
..............................................................................................
Surrenders (19,177,474) (91,245,476) (11,044)
..............................................................................................
Net annuity transactions 111,851 1,164,246 --
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions (4,953,599) 255,158,112 16,772,563
..............................................................................................
Total increase (decrease)
in net assets 163,841,361 607,748,091 17,056,188
..............................................................................................
Net assets:
Beginning of period 849,636,900 3,783,745,147 --
- ----------------------------------------------------------------------------------------------
End of period $1,013,478,261 $4,391,493,238 $17,056,188
- ----------------------------------------------------------------------------------------------
*From inception, April 29, 1998 to June 30, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Six Months Ended High Yield International International International
June 30, 1998 Fund Growth Growth New
(Unaudited) Sub-Account Fund and Income Opportunities
Sub-Account Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 41,444,860 $ (745,209) $ (1,024,182) $ (363,254)
................................................................................................................
Capital gains income 7,154,195 -- 394,220 --
................................................................................................................
Net realized gain (loss)
on security transactions (4,980) 102,750 518,392 253,317
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (28,401,552) 17,550,392 18,819,394 10,315,045
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 20,192,523 16,907,933 18,707,824 10,205,108
................................................................................................................
Unit transactions:
Purchases 45,545,569 16,067,256 17,675,408 5,469,968
................................................................................................................
Net transfers 17,679,524 26,845,126 20,593,727 (423,394)
................................................................................................................
Surrenders (15,664,501) (1,240,158) (2,401,393) (1,327,483)
................................................................................................................
Net annuity transactions 30,887 (16,412) 139,986 6,158
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 47,591,479 41,655,812 36,007,728 3,725,249
................................................................................................................
Total increase (decrease)
in net assets 67,784,002 58,563,745 54,715,552 13,930,357
................................................................................................................
Net assets:
Beginning of period 553,064,263 79,626,292 116,735,272 64,125,608
- ----------------------------------------------------------------------------------------------------------------
End of period $620,848,265 $138,190,037 $171,450,824 $78,055,965
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Six Months Ended Investors Fund Money New
June 30, 1998 Sub-Account* Market Opportunities
(Unaudited) Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ (20,289) $ 3,500,398 $ (9,393,886)
..............................................................................................
Capital gains income -- -- 18,663,729
..............................................................................................
Net realized gain (loss)
on security transactions -- -- 517,966
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 779,965 -- 209,773,791
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 759,676 3,500,398 219,561,600
..............................................................................................
Unit transactions:
Purchases 5,677,673 32,407,894 60,241,373
..............................................................................................
Net transfers 11,848,504 16,860,203 20,698,624
..............................................................................................
Surrenders (72,798) (24,722,353) (23,059,497)
..............................................................................................
Net annuity transactions -- 85,303 70,859
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 17,453,379 24,631,047 57,951,359
..............................................................................................
Total increase (decrease)
in net assets 18,213,055 28,131,445 277,512,959
..............................................................................................
Net assets:
Beginning of period -- 181,048,387 1,212,801,162
- ----------------------------------------------------------------------------------------------
End of period $18,213,055 $209,179,832 $1,490,314,121
- ----------------------------------------------------------------------------------------------
*From inception, April 29, 1998 to June 30, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Six Months Ended New OTC & U.S. Government Utilities
June 30, 1998 Value Emerging Growth and High Growth
(Unaudited) Fund Fund Quality Bond and Income
Sub-Account Sub-Account* Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 94,105 $ (6,137) $ 11,319,559 $ 8,291,006
................................................................................................................
Capital gains income 2,391,470 -- 339,070 18,737,853
................................................................................................................
Net realized gain (loss)
on security transactions 7,777 (1,431) (1,043) 2,012
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 1,637,577 180,834 (3,214,850) (15,239,425)
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 4,130,929 173,266 8,442,736 11,791,446
................................................................................................................
Unit transactions:
Purchases 17,448,278 964,490 16,071,062 18,843,190
................................................................................................................
Net transfers 11,861,102 3,758,741 14,105,096 9,163,595
................................................................................................................
Surrenders (2,569,102) (31,310) (8,230,936) (9,077,307)
................................................................................................................
Net annuity transactions 5,960 -- 59,344 74,959
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 26,746,238 4,691,921 22,004,566 19,004,437
................................................................................................................
Total increase (decrease)
in net assets 30,877,167 4,865,187 30,447,302 30,795,883
................................................................................................................
Net assets:
Beginning of period 118,950,434 -- 233,039,924 354,171,299
- ----------------------------------------------------------------------------------------------------------------
End of period $149,827,601 $4,865,187 $263,487,226 $384,967,182
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (continued)
- -------------------------------------------------------------------------------
For the Six Months Ended Vista Voyager
June 30, 1998 Fund Fund
(Unaudited) Sub-Account Sub-Account
- -------------------------------------------------------------------------------
<S> <C> <C>
Operations:
Net investment income (loss) $ (842,409) $ (11,192,055)
...............................................................................
Capital gains income -- 139,641,873
...............................................................................
Net realized gain (loss)
on security transactions (7,598) (120,472)
...............................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 18,981,910 235,231,455
...............................................................................
Net increase (decrease)
in net assets resulting
from operations 18,131,903 363,560,801
...............................................................................
Unit transactions:
Purchases 21,589,666 119,159,592
...............................................................................
Net transfers 12,864,417 48,765,877
...............................................................................
Surrenders (1,824,644) (49,606,519)
...............................................................................
Net annuity transactions 6,398 900,843
...............................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 32,635,837 119,219,793
...............................................................................
Total increase (decrease)
in net assets 50,767,740 482,780,594
...............................................................................
Net assets:
Beginning of period 97,994,877 2,185,453,568
- -------------------------------------------------------------------------------
End of period $148,762,617 $2,668,234,162
- -------------------------------------------------------------------------------
*From inception, April 29, 1998 to June 30, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified Global Asset Global
December 31, 1997 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) $ 459,948 $ 9,555,318 $ 6,371,232 $ 6,003,571
................................................................................................................
Capital gains income -- 2,048,961 20,499,937 18,664,210
................................................................................................................
Net realized gain (loss)
on security transactions 381,797 4,201 42,533 (70,313)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (13,132,923) 2,897,636 36,929,311 66,628,239
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations (12,291,178) 14,506,116 63,843,013 91,225,707
................................................................................................................
Unit transactions:
Purchases 15,296,904 55,905,675 53,215,802 94,655,178
................................................................................................................
Net transfers (8,269,677) (9,769,014) 23,676,122 8,639,167
................................................................................................................
Surrenders (2,530,242) (12,309,013) (18,260,579) (29,632,010)
................................................................................................................
Net annuity transactions 8,025 146,954 145,121 886,113
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 4,505,010 33,974,602 58,776,466 74,548,448
................................................................................................................
Total increase (decrease)
in net assets (7,786,168) 48,480,718 122,619,479 165,774,155
................................................................................................................
Net assets:
Beginning of period 76,120,143 221,604,174 328,805,196 683,862,745
- ----------------------------------------------------------------------------------------------------------------
End of period $68,333,975 $270,084,892 $451,424,675 $849,636,900
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended Growth High Yield International International
December 31, 1997 and Income Fund Growth Growth
Fund Sub-Account Fund and Income
Sub-Account Sub-Account* Fund
Sub-Account*
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 11,159,629 $ 23,677,407 $ 647,298 $ 3,014,762
................................................................................................................
Capital gains income 135,341,577 3,515,165 -- --
................................................................................................................
Net realized gain (loss)
on security transactions (14,039) (4,814) 112,426 254,024
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 464,399,235 30,275,390 1,650,451 3,167,015
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 610,886,402 57,463,148 2,410,175 6,435,801
................................................................................................................
Unit transactions:
Purchases 653,735,175 119,907,763 42,465,632 60,593,915
................................................................................................................
Net transfers 243,532,477 11,079,099 35,605,842 50,937,686
................................................................................................................
Surrenders (121,451,891) (22,220,046) (916,342) (1,623,364)
................................................................................................................
Net annuity transactions 3,412,370 452,320 60,985 391,234
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 779,228,131 109,219,136 77,216,117 110,299,471
................................................................................................................
Total increase (decrease)
in net assets 1,390,114,533 166,682,284 79,626,292 116,735,272
................................................................................................................
Net assets:
Beginning of period 2,393,630,614 386,381,979 -- --
- ----------------------------------------------------------------------------------------------------------------
End of period $3,783,745,147 $553,064,263 $79,626,292 $116,735,272
- ----------------------------------------------------------------------------------------------------------------
*From inception, January 2, 1997 to December 31, 1997.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended International Money New New
December 31, 1997 New Market Opportunities Value
Opportunities Fund Fund Fund
Fund Sub-Account Sub-Account Sub-Account*
Sub-Account*
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ (428,750) $ 7,935,793 $ (14,288,485) $ (930,950)
................................................................................................................
Capital gains income -- -- -- --
................................................................................................................
Net realized gain (loss)
on security transactions 93,448 -- (674,928) (53,025)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (3,396,856) -- 216,776,192 8,090,180
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations (3,732,158) 7,935,793 201,812,779 7,106,205
................................................................................................................
Unit transactions:
Purchases 35,294,318 159,829,719 173,232,758 55,890,696
................................................................................................................
Net transfers 33,818,005 (163,808,043) 23,002,452 58,041,788
................................................................................................................
Surrenders (1,254,557) (33,923,982) (34,774,552) (2,436,634)
................................................................................................................
Net annuity transactions -- (59,424) 525,040 348,379
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 67,857,766 (37,961,730) 161,985,698 111,844,229
................................................................................................................
Total increase (decrease)
in net assets 64,125,608 (30,025,937) 363,798,477 118,950,434
................................................................................................................
Net assets:
Beginning of period -- 211,074,324 849,002,685 --
- ----------------------------------------------------------------------------------------------------------------
End of period $64,125,608 $181,048,387 $1,212,801,162 $118,950,434
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended U.S. Government Utilities Vista Voyager
December 31, 1997 and High Growth Fund Fund
Quality Bond and Income Sub-Account* Sub-Account
Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 10,317,213 $ 6,148,884 $ (718,048) $ (22,244,283)
................................................................................................................
Capital gains income -- 14,052,925 -- 71,707,177
................................................................................................................
Net realized gain (loss)
on security transactions 92,811 316,145 (41,487) (808,610)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 4,496,793 50,135,725 10,582,747 357,032,488
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 14,906,817 70,653,679 9,823,212 405,686,772
................................................................................................................
Unit transactions:
Purchases 30,608,860 30,748,249 48,980,888 288,568,056
................................................................................................................
Net transfers (7,633,402) (8,439,229) 40,279,408 63,585,706
................................................................................................................
Surrenders (12,023,717) (12,334,942) (1,114,398) (65,966,528)
................................................................................................................
Net annuity transactions 87,519 116,058 25,767 1,321,830
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 11,039,260 10,090,136 88,171,665 287,509,064
................................................................................................................
Total increase (decrease)
in net assets 25,946,077 80,743,815 97,994,877 693,195,836
................................................................................................................
Net assets:
Beginning of period 207,093,847 273,427,484 -- 1,492,257,732
- ----------------------------------------------------------------------------------------------------------------
End of period $233,039,924 $354,171,299 $97,994,877 $2,185,453,568
- ----------------------------------------------------------------------------------------------------------------
*From inception, January 2, 1997 to December 31, 1997.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO --
HARTFORD LIFE & ANNUITY INSURANCE COMPANY
Notes to Financial Statements
June 30, 1998 (Unaudited)
1. ORGANIZATION:
Putnam Capital Manager Trust Separate Account Two (the Account) is a
separate investment account within Hartford Life & Annuity Insurance
Company (the Company) and is registered with the Securities and Exchange
Commission (SEC) as a unit investment trust under the Investment Company
Act of 1940, as amended. Both the Company and the Account are subject to
supervision and regulation by the Department of Insurance of the State of
Connecticut and the SEC. The Account invests deposits by variable annuity
contract-holders of the Company in the various mutual funds as directed by
the contractholders.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies of the
Account, which are in accordance with generally accepted accounting
principles in the investment company industry:
A) Security Transactions - Security transactions are recorded on the trade
date (date the order to buy or sell is executed). Cost of investments sold
is determined on the basis of identified cost. Dividend and capital gains
income are accrued as of the ex-dividend date. Capital gains income
represents dividends from the Funds which are characterized as capital
gains under tax regulations.
B) Security Valuation - The investment in shares of the Funds are valued
at the closing net asset value per share as determined by the appropriate
Fund as of June 30, 1998.
C) Federal Income Taxes - The operations of the Account form a part of,
and are taxed with, the total operations of the Company, which is taxed as
an insurance company under the Internal Revenue Code. Under current law,
no federal income taxes are payable with respect to the operations of the
Account.
D) Use of Estimates - The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
A) Mortality and Expense Undertakings - The Company, as issuer of variable
annuity contracts, provides the mortality and expense undertakings and,
with respect to the Account, receives a maximum annual fee of 1.25% of the
Account's average daily net assets. The Company also provides
administrative services and receives an annual fee of 0.15% of the
Account's average daily net assets.
B) Deduction of Annual Maintenance Fees - Annual maintenance fees are
deducted through termination of units of interest from applicable contract
owners' accounts, in accordance with the terms of the contracts.
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Assets & Liabilities
- -----------------------------------------------------------------------------------------------------------
June 30, 1998 Asia Pacific Diversified The Global Asset
(Unaudited) Growth Income George Putnam Allocation
Fund Fund Fund of Boston Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
...........................................................................................................
Putnam VT Asia Pacific
Growth Fund
Shares 41,150
Cost $427,011
...........................................................................................................
Market Value: $318,909 $ -- $ -- $ --
...........................................................................................................
Putnam VT Diversified
Income Fund
Shares 260,007
Cost $2,849,419
...........................................................................................................
Market Value: -- 2,844,476 -- --
...........................................................................................................
Putnam VT The George
Putnam Fund of Boston
Shares 100
Cost $1,000
...........................................................................................................
Market Value: -- -- 994 --
...........................................................................................................
Putnam VT Global
Asset Allocation Fund
Shares 200,357
Cost $3,404,506
...........................................................................................................
Market Value: -- -- -- 3,694,583
...........................................................................................................
Putnam VT Global
Growth Fund
Shares 438,976
Cost $7,367,871
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Putnam VT Growth and
Income Fund
Shares 1,087,681
Cost $26,511,973
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Putnam VT Health
Sciences Fund
Shares 13,747
Cost $137,326
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Due From Hartford Life &
Annuity Insurance Company -- -- -- 36
...........................................................................................................
Receivable from fund shares sold -- 66 -- --
- -----------------------------------------------------------------------------------------------------------
Total Assets 318,909 2,844,542 994 3,694,619
- -----------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life &
Annuity Insurance Company 1 -- -- --
...........................................................................................................
Payable for fund
shares purchased -- -- -- --
...........................................................................................................
Total Liabilities 1 -- -- --
- -----------------------------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $318,908 $2,844,542 $994 $3,694,619
- -----------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liabilities (continued)
- -----------------------------------------------------------------------------------------
June 30, 1998 Global Growth Health
(Unaudited) Growth and Income Sciences Fund
Fund Fund Sub-Account
Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
Assets
Investments:
.........................................................................................
Putnam VT Asia Pacific
Growth Fund
Shares 41,150
Cost $427,011
.........................................................................................
Market Value: $ -- $ -- $ --
.........................................................................................
Putnam VT Diversified
Income Fund
Shares 260,007
Cost $2,849,419
.........................................................................................
Market Value: -- -- --
.........................................................................................
Putnam VT The George
Putnam Fund of Boston
Shares 100
Cost $1,000
.........................................................................................
Market Value: -- -- --
.........................................................................................
Putnam VT Global
Asset Allocation Fund
Shares 200,357
Cost $3,404,506
.........................................................................................
Market Value: -- -- --
.........................................................................................
Putnam VT Global
Growth Fund
Shares 438,976
Cost $7,367,871
.........................................................................................
Market Value: 8,292,252 -- --
.........................................................................................
Putnam VT Growth and
Income Fund
Shares 1,087,681
Cost $26,511,973
.........................................................................................
Market Value: -- 29,802,467 --
.........................................................................................
Putnam VT Health
Sciences Fund
Shares 13,747
Cost $137,326
.........................................................................................
Market Value: -- -- 138,436
.........................................................................................
Due From Hartford Life &
Annuity Insurance Company -- 25,478 --
.........................................................................................
Receivable from fund shares sold -- -- --
- -----------------------------------------------------------------------------------------
Total Assets 8,292,252 29,827,945 138,436
- -----------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life &
Annuity Insurance Company -- -- --
.........................................................................................
Payable for fund
shares purchased -- 25,591 --
.........................................................................................
Total Liabilities -- 25,591 --
- -----------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $8,292,252 $29,802,354 $138,436
- -----------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Assets & Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------
June 30, 1998 High Yield International International International
(Unaudited) Fund Growth Growth New
Sub-Account Fund and Income Opportunities
Sub-Account Fund Fund
Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
...........................................................................................................
Putnam VT High Yield Fund
Shares 321,759
Cost $4,120,554
...........................................................................................................
Market Value: $4,170,003 $ -- $ -- $ --
...........................................................................................................
Putnam VT International
Growth Fund
Shares 37,484
Cost $439,627
...........................................................................................................
Market Value: -- 513,157 -- --
...........................................................................................................
Putnam VT International
Growth and Income Fund
Shares 51,926
Cost $620,159
...........................................................................................................
Market Value: -- -- 689,572 --
...........................................................................................................
Putnam VT International
New Opportunities Fund
Shares 63,807
Cost $679,508
...........................................................................................................
Market Value: -- -- -- 737,608
...........................................................................................................
Putnam VT Investors Fund
Shares 525
Cost $5,242
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Putnam VT Money
Market Fund
Shares 3,378,987
Cost $3,378,987
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Putnam VT New
Opportunities Fund
Shares 646,191
Cost $11,439,871
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Due From Hartford Life &
Annuity Insurance Company 19 23 -- --
...........................................................................................................
Receivable from fund
shares sold -- -- -- --
- -----------------------------------------------------------------------------------------------------------
Total Assets 4,170,022 513,180 689,572 737,608
- -----------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life &
Annuity Insurance Company -- -- 42 10
...........................................................................................................
Payable for fund
shares purchased -- -- -- --
...........................................................................................................
Total Liabilities -- -- 42 10
- -----------------------------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $4,170,022 $513,180 $689,530 $737,598
- -----------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liabilities (continued)
- -----------------------------------------------------------------------------------------
June 30, 1998 Investors Fund Money New
(Unaudited) Sub-Account Market Opportunities
Fund Fund
Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
Assets
Investments:
.........................................................................................
Putnam VT High Yield Fund
Shares 321,759
Cost $4,120,554
.........................................................................................
Market Value: $ -- $ -- $ --
.........................................................................................
Putnam VT International
Growth Fund
Shares 37,484
Cost $439,627
.........................................................................................
Market Value: -- -- --
.........................................................................................
Putnam VT International
Growth and Income Fund
Shares 51,926
Cost $620,159
.........................................................................................
Market Value: -- -- --
.........................................................................................
Putnam VT International
New Opportunities Fund
Shares 63,807
Cost $679,508
.........................................................................................
Market Value: -- -- --
.........................................................................................
Putnam VT Investors Fund
Shares 525
Cost $5,242
.........................................................................................
Market Value: 5,556 -- --
.........................................................................................
Putnam VT Money
Market Fund
Shares 3,378,987
Cost $3,378,987
.........................................................................................
Market Value: -- 3,378,987 --
.........................................................................................
Putnam VT New
Opportunities Fund
Shares 646,191
Cost $11,439,871
.........................................................................................
Market Value: -- -- 16,044,928
.........................................................................................
Due From Hartford Life &
Annuity Insurance Company -- 4 1,043
.........................................................................................
Receivable from fund
shares sold -- 189 --
- -----------------------------------------------------------------------------------------
Total Assets 5,556 3,379,180 16,045,971
- -----------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life &
Annuity Insurance Company -- -- --
.........................................................................................
Payable for fund
shares purchased -- -- --
.........................................................................................
Total Liabilities -- -- --
- -----------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $5,556 $3,379,180 $16,045,971
- -----------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Assets & Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------
June 30, 1998 New OTC & U.S. Government Utilities
(Unaudited) Value Emerging Growth and High Growth
Fund Fund Quality Bond and Income
Sub-Account Sub-Account Fund Fund
Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
...........................................................................................................
Putnam VT New Value Fund
Shares 64,772
Cost $680,227
...........................................................................................................
Market Value: $771,438 $ -- $ -- $ --
...........................................................................................................
Putnam VT OTC &
Emerging Growth Fund
Shares 1,180
Cost $11,859
...........................................................................................................
Market Value: -- 12,074 -- --
...........................................................................................................
Putnam VT U.S. Government
and High Quality Fund
Shares 126,085
Cost $1,655,934
...........................................................................................................
Market Value: -- -- 1,666,839 --
...........................................................................................................
Putnam VT Utilities
Growth & Income Fund
Shares 166,310
Cost $2,396,866
...........................................................................................................
Market Value: -- -- -- 2,735,807
...........................................................................................................
Putnam VT Vista Fund
Shares 43,898
Cost $511,451
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Putnam VT Voyager Fund
Shares 408,334
Cost $13,649,184
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Due From Hartford Life &
Annuity Insurance Company 3 -- -- 125
...........................................................................................................
Receivable from fund
shares sold -- -- -- --
- -----------------------------------------------------------------------------------------------------------
Total Assets 771,441 12,074 1,666,839 2,735,932
- -----------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life &
Annuity Insurance Company -- -- 1 --
...........................................................................................................
Payable for fund
shares purchased -- -- -- --
...........................................................................................................
Total Liabilities -- -- 1 --
- -----------------------------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $771,441 $12,074 $1,666,838 $2,735,932
- -----------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liabilities (continued)
- -----------------------------------------------------------------------
June 30, 1998 Vista Voyager
(Unaudited) Fund Fund
Sub-Account Sub-Account
- -----------------------------------------------------------------------
<S> <C> <C>
Assets
Investments:
.......................................................................
Putnam VT New Value Fund
Shares 64,772
Cost $680,227
.......................................................................
Market Value: $ -- $ --
.......................................................................
Putnam VT OTC &
Emerging Growth Fund
Shares 1,180
Cost $11,859
.......................................................................
Market Value: -- --
.......................................................................
Putnam VT U.S. Government
and High Quality Fund
Shares 126,085
Cost $1,655,934
.......................................................................
Market Value: -- --
.......................................................................
Putnam VT Utilities
Growth & Income Fund
Shares 166,310
Cost $2,396,866
.......................................................................
Market Value: -- --
.......................................................................
Putnam VT Vista Fund
Shares 43,898
Cost $511,451
.......................................................................
Market Value: 632,138 --
.......................................................................
Putnam VT Voyager Fund
Shares 408,334
Cost $13,649,184
.......................................................................
Market Value: -- 17,623,715
.......................................................................
Due From ITT Hartford Life &
Annuity Insurance Company -- 26,208
.......................................................................
Receivable from fund
shares sold -- --
- -----------------------------------------------------------------------
Total Assets 632,138 17,649,923
- -----------------------------------------------------------------------
Liabilities
Due to Hartford Life &
Annuity Insurance Company 2 --
.......................................................................
Payable for fund
shares purchased -- 25,591
.......................................................................
Total Liabilities 2 25,591
- -----------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $632,136 $17,624,332
- -----------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Assets and Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------------------------
June 30, 1998 Units Unit Contract
(Unaudited) Owned by Price Liability
Participants
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Deferred life contracts:
Individual Sub-Accounts:
.............................................................................................................................
Asia Pacific Growth Fund Sub-Account 38,073 $ 8.376118 $ 318,908
.............................................................................................................................
Diversified Income Fund Sub-Account 197,667 14.390582 2,844,542
.............................................................................................................................
George Putnam Fund Sub-Account 100 9.940200 994
.............................................................................................................................
Global Asset Allocation Sub-Account 193,674 19.076533 3,694,619
.............................................................................................................................
Global Growth Fund Sub-Account 738,856 18.895148 8,292,252
.............................................................................................................................
Growth and Income Fund Sub-Account 1,319,015 22.594403 29,802,354
.............................................................................................................................
Health Sciences Fund Sub-Account 13,747 10.070000 138,436
.............................................................................................................................
High Yield Fund Sub-Account 262,020 15.914896 4,170,022
.............................................................................................................................
International Growth Fund Sub-Account 36,893 13.909944 513,180
.............................................................................................................................
International Growth and Income Fund Sub-Account 50,002 13.790147 689,530
.............................................................................................................................
International New Opportunities Fund Sub-Account 63,500 11.615679 737,598
.............................................................................................................................
Investors Fund Sub-Account 530 10.474824 5,556
.............................................................................................................................
Money Market Fund Sub-Account 2,826,678 1.195460 3,379,180
.............................................................................................................................
New Opportunities Fund Sub-Account 684,872 23.429143 16,045,971
.............................................................................................................................
New Value Fund Sub-Account 63,199 12.206466 771,441
.............................................................................................................................
OTC & Emerging Markets Fund Sub-Account 1,183 10.209500 12,074
.............................................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 119,237 13.979170 1,666,838
.............................................................................................................................
Utilities Growth and Income Fund Sub-Account 136,466 20.048427 2,735,932
.............................................................................................................................
Vista Fund Sub-Account 43,894 14.401505 632,136
.............................................................................................................................
Voyager Fund Sub-Account 744,061 23.686680 17,624,332
.............................................................................................................................
Grand Total: $94,075,895
- -----------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Operations
- ----------------------------------------------------------------------------------------------------------------
For the Six Months Ended Asia Pacific Diversified The Global Asset
June 30, 1998 Growth Income George Putnam Allocation
(Unaudited) Fund Fund Fund of Boston Fund
Sub-Account Sub-Account Sub-Account* Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $ 15,691 $115,993 $-- $ 74,618
................................................................................................................
Capital gains income -- 49,267 -- 320,508
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions (1,383) 1,285 -- 778
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (59,060) (90,656) (6) (63,789)
................................................................................................................
Net gain (loss) on investments (60,443) (89,371) (6) (63,011)
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $ (44,752) $ 75,889 $(6) $332,115
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (continued)
- ----------------------------------------------------------------------------------------------
For the Six Months Ended Global Growth Health
June 30, 1998 Growth and Income Sciences Fund
(Unaudited) Fund Fund Sub-Account*
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment Income:
Dividends $ 192,953 $ 462,353 $ --
..............................................................................................
Capital gains income 964,765 3,018,243 --
..............................................................................................
Net realized and
unrealized gain (loss)
on investments:
..............................................................................................
Net realized gain (loss)
on security transactions 571 6,255 (2)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 231,414 (973,879) 1,110
..............................................................................................
Net gain (loss) on investments 231,985 (967,624) 1,108
- ----------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $1,389,703 $2,512,972 $1,108
- ----------------------------------------------------------------------------------------------
*From inception, April 29, 1998 to June 30, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Operations (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Six Months Ended High Yield International International International
June 30, 1998 Fund Growth Growth New
(Unaudited) Sub-Account Fund and Income Opportunities
Sub-Account Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $317,574 $ -- $ -- $ 1,182
................................................................................................................
Capital gains income 49,833 -- 1,270 --
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions 457 (102) 93 830
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (213,020) 59,755 56,047 89,310
................................................................................................................
Net gain (loss) on investments (212,563) 59,653 56,140 90,140
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $154,844 $59,653 $57,410 $91,322
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (continued)
- ----------------------------------------------------------------------------------------------
For the Six Months Ended Investors Fund Money New
June 30, 1998 Sub-Account* Market Opportunities
(Unaudited) Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment Income:
Dividends $ -- $104,675 $ --
..............................................................................................
Capital gains income -- -- 199,094
..............................................................................................
Net realized and
unrealized gain (loss)
on investments:
..............................................................................................
Net realized gain (loss)
on security transactions -- -- 17,830
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 314 -- 2,250,705
..............................................................................................
Net gain (loss) on investments 314 -- 2,268,535
- ----------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $314 $104,675 $2,467,629
- ----------------------------------------------------------------------------------------------
*From inception, April 29, 1998 to June 30, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Operations (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Six Months Ended New OTC & U.S. Government Utilities
June 30, 1998 Value Emerging Growth and High Growth
(Unaudited) Fund Fund Quality Bond and Income
Sub-Account Sub-Account* Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $ 5,703 $ -- $69,049 $ 81,719
................................................................................................................
Capital gains income 13,017 -- 1,797 140,845
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions (8,228) -- 104 (6,186)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 7,647 215 (17,677) (123,786)
................................................................................................................
Net gain (loss) on investments (581) 215 (17,573) (129,972)
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $18,139 $215 $53,273 $ 92,592
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (continued)
- ----------------------------------------------------------------------------------------------
For the Six Months Ended Vista Voyager
June 30, 1998 Fund Fund
(Unaudited) Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment Income:
Dividends $ -- $ 36,862
..............................................................................................
Capital gains income -- 899,428
..............................................................................................
Net realized and
unrealized gain (loss)
on investments:
..............................................................................................
Net realized gain (loss)
on security transactions 5,489 3,720
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 78,443 1,499,309
..............................................................................................
Net gain (loss) on investments 83,932 1,503,029
- ----------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $83,932 $2,439,319
- ----------------------------------------------------------------------------------------------
*From inception, April 29, 1998 to June 30, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- ----------------------------------------------------------------------------------------------------------------
For the Six Months Ended Asia Pacific Diversified The Global Asset
June 30, 1998 Growth Income George Putnam Allocation
(Unaudited) Fund Fund Fund of Boston Fund
Sub-Account Sub-Account Sub-Account* Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 15,691 $ 115,993 $ -- $ 74,618
................................................................................................................
Capital gains income -- 49,267 -- 320,508
................................................................................................................
Net realized gain (loss)
on security transactions (1,383) 1,285 -- 778
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (59,060) (90,656) (6) (63,789)
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations (44,752) 75,889 (6) 332,115
................................................................................................................
Unit transactions:
Purchases -- -- 1,000 --
................................................................................................................
Net transfers 7,569 364,963 -- 310,270
................................................................................................................
Surrenders (3,207) (42,492) -- (68,597)
................................................................................................................
Net loan activity -- (42,903) -- (1,009)
................................................................................................................
Cost of insurance (1,268) (9,622) -- (11,149)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 3,094 269,946 1,000 229,515
................................................................................................................
Total increase (decrease)
in net assets (41,658) 345,835 994 561,630
................................................................................................................
Net assets:
Beginning of period 360,566 2,498,707 -- 3,132,989
- ----------------------------------------------------------------------------------------------------------------
End of period $318,908 $2,844,542 $ 994 $3,694,619
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Six Months Ended Global Growth Health
June 30, 1998 Growth and Income Sciences Fund
(Unaudited) Fund Fund Sub-Account*
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 192,953 $ 462,353 $ --
..............................................................................................
Capital gains income 964,765 3,018,243 --
..............................................................................................
Net realized gain (loss)
on security transactions 571 6,255 (2)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 231,414 (973,879) 1,110
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 1,389,703 2,512,972 1,108
..............................................................................................
Unit transactions:
Purchases -- 220 1,000
..............................................................................................
Net transfers 709,079 3,551,947 136,700
..............................................................................................
Surrenders (149,151) (634,874) (270)
..............................................................................................
Net loan activity (22,637) (37,748) --
..............................................................................................
Cost of insurance (25,472) (91,592) (102)
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 511,819 2,787,953 137,328
..............................................................................................
Total increase (decrease)
in net assets 1,901,522 5,300,925 138,436
..............................................................................................
Net assets:
Beginning of period 6,390,730 24,501,429 --
- ----------------------------------------------------------------------------------------------
End of period $8,292,252 $29,802,354 $138,436
- ----------------------------------------------------------------------------------------------
*From inception, April 29, 1998 to June 30, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Six Months Ended High Yield International International International
June 30, 1998 Fund Growth Growth New
(Unaudited) Sub-Account Fund and Income Opportunities
Sub-Account Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 317,574 $ -- $ -- $ 1,182
................................................................................................................
Capital gains income 49,833 -- 1,270 --
................................................................................................................
Net realized gain (loss)
on security transactions 457 (102) 93 830
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (213,020) 59,755 56,047 89,310
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 154,844 59,653 57,410 91,322
................................................................................................................
Unit transactions:
Purchases -- -- -- --
................................................................................................................
Net transfers 740,553 174,447 283,888 102,681
................................................................................................................
Surrenders (82,969) (27,292) (9,186) (7,052)
................................................................................................................
Net loan activity 2,655 (455) (2,772) (8)
................................................................................................................
Cost of insurance (13,045) (1,375) (1,683) (1,955)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 647,194 145,325 270,247 93,666
................................................................................................................
Total increase (decrease)
in net assets 802,038 204,978 327,657 184,988
................................................................................................................
Net assets:
Beginning of period 3,367,984 308,202 361,873 552,610
- ----------------------------------------------------------------------------------------------------------------
End of period $4,170,022 $513,180 $689,530 $737,598
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Six Months Ended Investors Fund Money New
June 30, 1998 Sub-Account* Market Opportunities
(Unaudited) Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ -- $ 104,675 $ --
..............................................................................................
Capital gains income -- -- 199,094
..............................................................................................
Net realized gain (loss)
on security transactions -- -- 17,830
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 314 -- 2,250,705
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 314 104,675 2,467,629
..............................................................................................
Unit transactions:
Purchases 1,000 9,885,412 --
..............................................................................................
Net transfers 4,250 (10,827,779) 1,344,036
..............................................................................................
Surrenders (6) (47,045) (254,583)
..............................................................................................
Net loan activity -- (85,466) (7,816)
..............................................................................................
Cost of insurance (2) (20,124) (45,942)
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 5,242 (1,095,002) 1,035,695
..............................................................................................
Total increase (decrease)
in net assets 5,556 (990,327) 3,503,324
..............................................................................................
Net assets:
Beginning of period -- 4,369,507 12,542,647
- ----------------------------------------------------------------------------------------------
End of period $5,556 $3,379,180 $16,045,971
- ----------------------------------------------------------------------------------------------
*From inception, April 29, 1998 to June 30, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Six Months Ended New OTC & U.S. Government Utilities
June 30, 1998 Value Emerging Growth and High Growth
(Unaudited) Fund Fund Quality Bond and Income
Sub-Account Sub-Account* Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 5,703 $ -- $ 69,049 $ 81,719
................................................................................................................
Capital gains income 13,017 -- 1,797 140,845
................................................................................................................
Net realized gain (loss)
on security transactions (8,228) -- 104 (6,186)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 7,647 215 (17,677) (123,786)
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 18,139 215 53,273 92,592
................................................................................................................
Unit transactions:
Purchases -- 1,000 -- --
................................................................................................................
Net transfers (106,408) 10,859 683,877 437,519
................................................................................................................
Surrenders (8,085) -- (28,434) (70,678)
................................................................................................................
Net loan activity (11,253) -- (179) (12,845)
................................................................................................................
Cost of insurance (2,666) -- (4,557) (9,583)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions (128,412) 11,859 650,707 344,413
................................................................................................................
Total increase (decrease)
in net assets (110,273) 12,074 703,980 437,005
................................................................................................................
Net assets:
Beginning of period 881,714 -- 962,858 2,298,927
- ----------------------------------------------------------------------------------------------------------------
End of period $771,441 $12,074 $1,666,838 $2,735,932
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------
For the Six Months Ended Vista Voyager
June 30, 1998 Fund Fund
(Unaudited) Sub-Account Sub-Account
- ----------------------------------------------------------------------------
<S> <C> <C>
Operations:
Net investment income (loss) $ -- $ 36,862
............................................................................
Capital gains income -- 899,428
............................................................................
Net realized gain (loss)
on security transactions 5,489 3,720
............................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 78,443 1,499,309
............................................................................
Net increase (decrease)
in net assets resulting
from operations 83,932 2,439,319
............................................................................
Unit transactions:
Purchases -- --
............................................................................
Net transfers 109,382 1,962,168
............................................................................
Surrenders (4,631) (280,664)
............................................................................
Net loan activity (4,581) (11,684)
............................................................................
Cost of insurance (1,892) (51,685)
............................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 98,278 1,618,135
............................................................................
Total increase (decrease)
in net assets 182,210 4,057,454
............................................................................
Net assets:
Beginning of period 449,926 13,566,878
- ----------------------------------------------------------------------------
End of period $632,136 $17,624,332
- ----------------------------------------------------------------------------
*From inception, April 29, 1998 to June 30, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- 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, 1997 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) $ 6,828 $ 132,930 $ 69,277 $ 104,380
................................................................................................................
Capital gains income -- 20,956 118,411 112,272
................................................................................................................
Net realized gain (loss)
on security transactions 132 11,405 1,345 (747)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (65,164) 14,728 222,497 425,520
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations (58,204) 180,019 411,530 641,425
................................................................................................................
Unit transactions:
Purchases -- -- -- --
................................................................................................................
Net transfers 79,345 672,116 1,228,080 2,514,584
................................................................................................................
Surrenders (6,561) (19,125) (73,245) (102,670)
................................................................................................................
Net loan activity 10 13 (8,703) (72,872)
................................................................................................................
Cost of insurance (2,368) (18,488) (16,817) (37,044)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 70,426 634,516 1,129,315 2,301,998
................................................................................................................
Total increase (decrease)
in net assets 12,222 814,535 1,540,845 2,943,423
................................................................................................................
Net assets:
Beginning of period 348,344 1,684,172 1,592,144 3,447,307
- ----------------------------------------------------------------------------------------------------------------
End of period $360,566 $2,498,707 $3,132,989 $6,390,730
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended Growth High Yield International International
December 31, 1997 and Income Fund Growth Growth
Fund Sub-Account Fund and Income
Sub-Account Sub-Account* Fund
Sub-Account*
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 324,482 $ 165,816 $ 4,598 $ 10,865
................................................................................................................
Capital gains income 789,799 19,228 -- --
................................................................................................................
Net realized gain (loss)
on security transactions (3,845) 1,555 (3) 145
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 2,878,520 177,334 13,775 13,367
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 3,988,956 363,933 18,370 24,377
................................................................................................................
Unit transactions:
Purchases -- -- 1,000 1,000
................................................................................................................
Net transfers 8,374,826 1,399,456 298,426 346,481
................................................................................................................
Surrenders (532,447) (72,741) (2,846) (3,498)
................................................................................................................
Net loan activity (152,771) 3,935 (5,512) (5,432)
................................................................................................................
Cost of insurance (129,399) (18,397) (1,236) (1,055)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 7,560,209 1,312,253 289,832 337,496
................................................................................................................
Total increase (decrease)
in net assets 11,549,165 1,676,186 308,202 361,873
................................................................................................................
Net assets:
Beginning of period 12,952,264 1,691,798 -- --
- ----------------------------------------------------------------------------------------------------------------
End of period $24,501,429 $3,367,984 $308,202 $361,873
- ----------------------------------------------------------------------------------------------------------------
*From inception, January 2, 1997 to December 31, 1997.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended International Money New New
December 31, 1997 New Market Opportunities Value
Opportunities Fund Fund Fund
Fund Sub-Account Sub-Account Sub-Account*
Sub-Account*
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 1,554 $ 263,015 $ -- $ --
................................................................................................................
Capital gains income -- -- -- --
................................................................................................................
Net realized gain (loss)
on security transactions (129) -- 24,784 (7,183)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (31,210) -- 2,122,853 83,564
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations (29,785) 263,015 2,147,637 76,381
................................................................................................................
Unit transactions:
Purchases 1,000 24,471,594 -- 1,000
................................................................................................................
Net transfers 594,284 (25,898,707) 3,948,752 822,347
................................................................................................................
Surrenders (6,019) (138,936) (264,042) (9,033)
................................................................................................................
Net loan activity (4,621) (1,205,487) (71,438) (5,472)
................................................................................................................
Cost of insurance (2,249) (47,389) (64,510) (3,509)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 582,395 (2,818,925) 3,548,762 805,333
................................................................................................................
Total increase (decrease)
in net assets 552,610 (2,555,910) 5,696,399 881,714
................................................................................................................
Net assets:
Beginning of period -- 6,925,417 6,846,248 --
- ----------------------------------------------------------------------------------------------------------------
End of period $552,610 $4,369,507 $12,542,647 $881,714
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended U.S. Government Utilities Vista Voyager
December 31, 1997 and High Growth Fund Fund
Quality Bond and Income Sub-Account* Sub-Account
Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 41,593 $ 50,859 $ 33 $ 18,916
................................................................................................................
Capital gains income -- 69,354 -- 407,658
................................................................................................................
Net realized gain (loss)
on security transactions 1,535 2,809 (8,009) 4,822
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 23,755 341,948 42,243 2,153,271
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 66,883 464,970 34,267 2,584,667
................................................................................................................
Unit transactions:
Purchases -- -- 1,000 --
................................................................................................................
Net transfers 290,877 842,138 425,017 4,061,985
................................................................................................................
Surrenders (30,658) (45,296) (3,307) (284,657)
................................................................................................................
Net loan activity 43,121 (11,744) (5,648) (36,310)
................................................................................................................
Cost of insurance (5,318) (12,723) (1,403) (71,377)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 298,022 772,375 415,659 3,669,641
................................................................................................................
Total increase (decrease)
in net assets 364,905 1,237,345 449,926 6,254,308
................................................................................................................
Net assets:
Beginning of period 597,953 1,061,582 -- 7,312,570
- ----------------------------------------------------------------------------------------------------------------
End of period $962,858 $2,298,927 $449,926 $13,566,878
- ----------------------------------------------------------------------------------------------------------------
*From inception, January 2, 1997 to December 31, 1997.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE --
HARTFORD LIFE & ANNUITY INSURANCE COMPANY
Notes to Financial Statements
June 30, 1998 (Unaudited)
1. ORGANIZATION:
Putnam Capital Manager Trust Separate Account Five (the Account) is a
separate investment account within Hartford Life & Annuity Insurance
Company (the Company) and is registered with the Securities and Exchange
Commission (SEC) as a unit investment trust under the Investment Company
Act of 1940, as amended. Both the Company and the Account are subject to
supervision and regulation by the Department of Insurance of the State of
Connecticut and the SEC. The Account invests deposits by variable life
contractholders of the Company in the various mutual funds as directed by
the contractholders.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies of the
Account, which are in accordance with generally accepted accounting
principles in the investment company industry:
A) Security Transactions - Security transactions are recorded on the
trade date (date the order to buy or sell is executed). Cost of
investments sold is determined on the basis of identified cost. Dividend
and capital gains income are accrued as of the ex-dividend date. Capital
gains income represents dividends from the Funds which are characterized
as capital gains under tax regulations.
B) Security Valuation - The investment in shares of the Funds are valued
at the closing net asset value per share as determined by the appropriate
Fund as of June 30, 1998.
C) Federal Income Taxes - The operations of the Account form a part of,
and are taxed with, the total operations of the Company, which is taxed as
an insurance company under the Internal Revenue Code. Under current law,
no federal income taxes are payable with respect to the operations of the
Account.
D) Use of Estimates - The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
In accordance with the terms of the contracts, the Company makes
deductions for mortality and expense undertakings, cost of insurance,
administrative fees, and state premium taxes. These charges are deducted
through termination of units of interest from applicable contract owners'
accounts.
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Assets and Liabilities
- -----------------------------------------------------------------------------------------------------------------------------
June 30, 1998 Diversified Global Asset Global Growth High Yield
(Unaudited) Income Allocation Growth and Income Fund
Fund Fund Fund Fund Sub-Account
Sub-Account Sub-Account Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Assets
Investments:
.............................................................................................................................
Putnam VT Diversified
Income Fund
Shares 7,796
Cost $85,864
.............................................................................................................................
Market Value: $85,287 $ -- $ -- $ -- $ --
.............................................................................................................................
Putnam VT Global
Asset Allocation Fund
Shares 33,089
Cost $611,283
.............................................................................................................................
Market Value: -- 610,159 -- -- --
.............................................................................................................................
Putnam VT Global
Growth Fund
Shares 214,020
Cost $3,920,174
.............................................................................................................................
Market Value: -- -- 4,042,833 -- --
.............................................................................................................................
Putnam VT Growth
and Income Fund
Shares 141,047
Cost $3,920,578
.............................................................................................................................
Market Value: -- -- -- 3,864,682 --
.............................................................................................................................
Putnam VT High Yield Fund
Shares 97,238
Cost $1,263,877
.............................................................................................................................
Market Value: -- -- -- -- 1,260,199
.............................................................................................................................
Due From Hartford Life &
Annuity Insurance Company -- 114 1,590 6,012 1,564
.............................................................................................................................
Receivable from fund
shares sold -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------
Total Assets 85,287 610,273 4,044,423 3,870,694 1,261,763
- -----------------------------------------------------------------------------------------------------------------------------
Liabilities
Due To Hartford Life &
Annuity Insurance Company -- -- -- -- --
.............................................................................................................................
Payable for fund
shares purchased -- 94 1,663 6,113 1,560
.............................................................................................................................
Total Liabilities -- 94 1,663 6,113 1,560
- -----------------------------------------------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $85,287 $610,179 $4,042,760 $3,864,581 $1,260,203
- -----------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Assets and Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------------------------
June 30, 1998 Money New U.S. Government Utilities Voyager
(Unaudited) Market Opportunities and High Growth Fund
Fund Fund Quality Bond and Income Sub-Account
Sub-Account Sub-Account Fund Fund
Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Assets
Investments:
.............................................................................................................................
Putnam VT Money
Market Fund
Shares 124,471
Cost $124,471
.............................................................................................................................
Market Value: $124,471 $ -- $ -- $ -- $ --
.............................................................................................................................
Putnam VT New
Opportunities Fund
Shares 120,120
Cost $2,567,239
.............................................................................................................................
Market Value: -- 2,982,580 -- -- --
.............................................................................................................................
Putnam VT U.S. Government
and High Quality Fund
Shares 76,196
Cost $980,928
.............................................................................................................................
Market Value: -- -- 1,007,309 -- --
.............................................................................................................................
Putnam VT Utilities Growth
& Income Fund
Shares 31,540
Cost $490,800
.............................................................................................................................
Market Value: -- -- -- 518,838 --
.............................................................................................................................
Putnam VT Voyager Fund
Shares 92,756
Cost $3,600,845
.............................................................................................................................
Market Value: -- -- -- -- 4,003,339
.............................................................................................................................
Due From Hartford Life &
Annuity Insurance Company -- 2,084 257 9 4,156
.............................................................................................................................
Receivable from fund
shares sold -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------
Total Assets 124,471 2,984,664 1,007,566 518,847 4,007,495
- -----------------------------------------------------------------------------------------------------------------------------
Liabilities
Due To Hartford Life &
Annuity Insurance Company 1 -- -- -- --
.............................................................................................................................
Payable for fund
shares purchased -- 2,149 257 -- 3,864
.............................................................................................................................
Total Liabilities 1 2,149 257 -- 3,864
- -----------------------------------------------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $124,470 $2,982,515 $1,007,309 $518,847 $4,003,631
- -----------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Assets & Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended Units Unit Contract
June 30, 1998 Owned by Price Liability
(Unaudited) Participants
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Variable life contracts:
Individual Sub-Accounts:
.............................................................................................................................
Diversified Income Fund Sub-Account 6,400 $13.325133 $ 85,287
.............................................................................................................................
Global Asset Allocation Fund Sub-Account 30,158 20.232484 610,179
.............................................................................................................................
Global Growth Fund Sub-Account 184,095 21.960141 4,042,760
.............................................................................................................................
Growth and Income Fund Sub-Account 159,017 24.302920 3,864,581
.............................................................................................................................
High Yield Fund Sub-Account 73,040 17.253674 1,260,203
.............................................................................................................................
Money Market Fund Sub-Account 98,545 1.263075 124,470
.............................................................................................................................
New Opportunities Fund Sub-Account 137,640 21.668888 2,982,515
.............................................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 71,140 14.159492 1,007,309
.............................................................................................................................
Utilities Growth and Income Fund Sub-Account 26,517 19.566675 518,847
.............................................................................................................................
Voyager Fund Sub-Account 147,494 27.144357 4,003,631
.............................................................................................................................
Grand Total: $18,499,782
- -----------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Operations
- ----------------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended Diversified Global Asset Global Growth High Yield
June 30, 1998 Income Allocation Growth and Income Fund
(Unaudited) Fund Fund Fund Fund Sub-Account
Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Investment Income:
Dividends $2,718 $ 9,598 $ 66,009 $ 36,061 $34,276
..................................................................................................................................
Capital gains income 1,154 41,227 330,045 235,404 5,378
..................................................................................................................................
Net realized and
unrealized gain
(loss) on investments:
..................................................................................................................................
Net realized gain (loss)
on security transactions 10 28 775 62 (686)
..................................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (2,434) (10,464) 96,768 (115,312) (24,027)
..................................................................................................................................
Net gain (loss) on investments (2,424) (10,436) 97,543 (115,250) (24,713)
- ----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $1,448 $40,389 $493,597 $156,215 $14,941
- ----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Operations (continued)
- ----------------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended Money New U.S. Government Utilities Voyager
June 30, 1998 Market Opportunities and High Growth Fund
(Unaudited) Fund Fund Quality Bond and Income Sub-Account
Sub-Account Sub-Account Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Investment Income:
Dividends $3,195 $ -- $61,358 $10,596 $ 5,550
..................................................................................................................................
Capital gains income -- 25,739 1,597 18,263 135,426
..................................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
..................................................................................................................................
Net realized gain (loss)
on security transactions -- (3,234) (3,186) (386) 44
..................................................................................................................................
Net unrealized appreciation
(depreciation) of investment
during the period -- 286,905 (15,148) (15,902) 250,571
..................................................................................................................................
Net gain (loss) on investments -- 283,671 (18,334) (16,288) 250,615
- ----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $3,195 $309,410 $44,621 $12,571 $391,591
- ----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- ----------------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended Diversified Global Asset Global Growth High Yield
June 30, 1998 Income Allocation Growth and Income Fund
(Unaudited) Fund Fund Fund Fund Sub-Account
Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 2,718 $ 9,598 $ 66,009 $ 36,061 $ 34,276
..................................................................................................................................
Capital gains income 1,154 41,227 330,045 235,404 5,378
..................................................................................................................................
Net realized gain (loss)
on security transactions 10 28 775 62 (686)
..................................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (2,434) (10,464) 96,768 (115,312) (24,027)
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 1,448 40,389 493,597 156,215 14,941
..................................................................................................................................
Unit transactions:
Purchases 23,584 53,822 773,015 471,811 224,995
..................................................................................................................................
Net transfers 20,452 213,748 1,256,979 1,965,898 754,483
..................................................................................................................................
Surrenders (606) (4,872) (38,817) (30,740) (5,109)
..................................................................................................................................
Net loan activity -- 7,319 (1,571) (17,460) (215)
..................................................................................................................................
Cost of insurance (2,201) (11,137) (75,663) (79,610) (13,561)
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 41,229 258,880 1,913,943 2,309,899 960,593
..................................................................................................................................
Total increase (decrease)
in net assets 42,677 299,269 2,407,540 2,466,114 975,534
..................................................................................................................................
Net Assets
Beginning of period 42,610 310,910 1,635,220 1,398,467 284,669
- ----------------------------------------------------------------------------------------------------------------------------------
End of Period $85,287 $610,179 $4,042,760 $3,864,581 $1,260,203
- ----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended Money New U.S. Government Utilities Voyager
June 30, 1998 Market Opportunities and High Growth Fund
(Unaudited) Fund Fund Quality Bond and Income Sub-Account
Sub-Account Sub-Account Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 3,195 $ -- $ 61,358 $ 10,596 $ 5,550
..................................................................................................................................
Capital gains income -- 25,739 1,597 18,263 135,426
..................................................................................................................................
Net realized gain (loss)
on security transactions -- (3,234) (3,186) (386) 44
..................................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period -- 286,905 (15,148) (15,902) 250,571
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 3,195 309,410 44,621 12,571 391,591
..................................................................................................................................
Unit transactions:
Purchases -- 764,095 443,324 160,333 610,277
..................................................................................................................................
Net transfers (1,969) 835,110 (627,076) 101,705 1,661,697
..................................................................................................................................
Surrenders (1,803) (26,597) (12,466) (2,876) (34,522)
..................................................................................................................................
Net loan activity -- 6,863 (100) (1,339) 8,881
..................................................................................................................................
Cost of insurance (2,178) (52,321) (34,058) (11,150) (77,712)
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions (5,950) 1,527,150 (230,376) 246,673 2,168,621
..................................................................................................................................
Total increase (decrease)
in net assets (2,755) 1,836,560 (185,755) 259,244 2,560,212
..................................................................................................................................
Net Assets
Beginning of period 127,225 1,145,955 1,193,064 259,603 1,443,419
- ----------------------------------------------------------------------------------------------------------------------------------
End of Period $124,470 $2,982,515 $1,007,309 $518,847 $4,003,631
- ----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- ----------------------------------------------------------------------------------------------------------------------------------
For the Year Ended Diversified Global Asset Global Growth High Yield
December 31, 1997 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>
Operations:
Net investment income (loss) $ 99 $ 780 $ 7,355 $ 2,061 $ 1,448
..................................................................................................................................
Capital gains income 16 1,333 7,911 5,017 168
..................................................................................................................................
Net realized gain (loss)
on security transactions 273 46 727 47 208
..................................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 1,827 9,293 25,838 59,382 20,324
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 2,215 11,452 41,831 66,507 22,148
..................................................................................................................................
Unit transactions:
Purchases 1,122 21,636 197,403 58,290 9,010
..................................................................................................................................
Net transfers 39,712 284,558 1,455,386 1,311,232 261,651
..................................................................................................................................
Surrenders (348) (2,233) (24,833) (8,041) (2,778)
..................................................................................................................................
Net loan activity -- (16) 7,540 (2,944) (27)
..................................................................................................................................
Cost of insurance (1,121) (5,581) (43,722) (31,097) (6,360)
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 39,365 298,364 1,591,774 1,327,440 261,496
..................................................................................................................................
Total increase (decrease)
in net assets 41,580 309,816 1,633,605 1,393,947 283,644
..................................................................................................................................
Net assets:
Beginning of period 1,030 1,094 1,615 4,520 1,025
- ----------------------------------------------------------------------------------------------------------------------------------
End of period $42,610 $310,910 $1,635,220 $1,398,467 $284,669
- ----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------------------------
For the Year Ended Money New U.S. Government Utilities Voyager
December 31, 1997 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>
Operations:
Net investment income (loss) $ 1,772 $ -- $ 16,959 $ 165 $ 405
..................................................................................................................................
Capital gains income -- -- -- 225 8,720
..................................................................................................................................
Net realized gain (loss)
on security transactions -- (11,593) 549 65 8,423
..................................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period -- 128,498 41,518 43,867 151,950
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 1,772 116,905 59,026 44,322 169,498
..................................................................................................................................
Unit transactions:
Purchases -- 90,292 188,414 18,312 111,483
..................................................................................................................................
Net transfers 127,202 989,240 981,563 206,398 1,206,671
..................................................................................................................................
Surrenders (810) (15,731) (15,612) (1,613) 2,463
..................................................................................................................................
Net loan activity -- (4,120) 7,877 (43) (4,450)
..................................................................................................................................
Cost of insurance (1,951) (31,626) (32,535) (8,846) (44,593)
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 124,441 1,028,055 1,129,707 214,208 1,271,574
..................................................................................................................................
Total increase (decrease)
in net assets 126,213 1,144,960 1,188,733 258,530 1,441,072
..................................................................................................................................
Net assets:
Beginning of period 1,012 995 4,331 1,073 2,347
- ----------------------------------------------------------------------------------------------------------------------------------
End of period $127,225 $1,145,955 $1,193,064 $259,603 $1,443,419
- ----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE --
HARTFORD LIFE AND ANNUITY INSURANCE
Notes to Financial Statements
June 30, 1998 (Unaudited)
1. ORGANIZATION:
Separate Account Variable Life One (the Account) is a separate investment
account within Hartford Life and Annuity Insurance Company (the Company)
and is registered with the Securities and Exchange Commission (SEC) as a
unit investment trust under the Investment Company Act of 1940, as
amended. The Account consists of twenty two subaccounts. These financial
statements include ten subaccounts which invest solely in the Putnam
Capital Manager Trust funds (the Funds ). The other twelve subaccounts,
which invest in the Hartford and Fidelity Mutual Funds, are presented in
separate financial statements. Both the Company and the Account are
subject to supervision and regulation by the Department of Insurance of
the State of Connecticut and the SEC. The Account invests deposits by
variable life contractholders of the Company in the various mutual funds
as directed by the contractholders.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies of the
Account, which are in accordance with generally accepted accounting
principles in the investment company industry:
A) Security Transactions - Security transactions are recorded on the trade
date (date the order to buy or sell is executed). Cost of investments sold
is determined on the basis of identified cost. Dividend and capital gains
income are accrued as of the ex-dividend date. Capital gains income
represents dividends from the Funds which are characterized as capital
gains under tax regulations.
B) Security Valuation - The investments in shares of the Funds are valued
at the closing net asset value per share as determined by the appropriate
Fund as of June 30, 1998.
C) Federal Income Taxes - The operations of the Account form a part of,
and are taxed with, the total operations of the Company, which is taxed as
an insurance company under the Internal Revenue Code. Under current law,
no federal income taxes are payable with respect to the operations of the
Account.
D) Use of Estimates - The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
In accordance with the terms of the contracts, the Company makes
deductions for mortality and expense undertakings, cost of insurance,
administrative fees, and state premium taxes. These charges are deducted
through termination of units of interest from applicable contract owners'
accounts.
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE & ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Assets and Liabilities
- -----------------------------------------------------------------------------------------------------------------------------
June 30, 1998 Diversified Global Asset Global Growth High Yield
(Unaudited) Income Allocation Growth and Income Fund
Fund Fund Fund Fund Sub-Account
Sub-Account Sub-Account Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Assets
Investments:
.............................................................................................................................
Putnam VT Diversified
Income Fund
Shares 7,915
Cost $89,129
.............................................................................................................................
Market Value: $86,592 $ -- $ -- $ -- $ --
.............................................................................................................................
Putnam VT Global
Asset Allocation Fund
Shares 8,880
Cost $164,955
.............................................................................................................................
Market Value: -- 163,750 -- -- --
.............................................................................................................................
Putnam VT Global
Growth Fund
Shares 33,546
Cost $616,731
.............................................................................................................................
Market Value: -- -- 633,690 -- --
.............................................................................................................................
Putnam VT Growth and
Income Fund
Shares 35,538
Cost $991,620
.............................................................................................................................
Market Value: -- -- -- 973,750 --
.............................................................................................................................
Putnam VT High Yield Fund
Shares 49,806
Cost $654,937
.............................................................................................................................
Market Value: -- -- -- -- 645,484
.............................................................................................................................
Due From Hartford Life &
Annuity Insurance Company -- 11 2,673 1,982 2
.............................................................................................................................
Receivable from fund shares sold -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------
Total Assets 86,592 163,761 636,363 975,732 645,486
- -----------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life &
Annuity Insurance Company -- -- -- -- --
.............................................................................................................................
Payable for fund
shares purchased -- -- 2,676 2,007 --
.............................................................................................................................
Total Liabilities -- -- 2,676 2,007 --
- -----------------------------------------------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $86,592 $163,761 $633,687 $973,725 $645,486
- -----------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE & ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Assets and Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------------------------
June 30, 1998 Money Market New U.S.Government Utilities Growth Voyager
(Unaudited) Fund Opportunities & High Quality and Income Fund
Sub-Account Fund Bond Fund Fund Sub-Account
Sub-Account Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Assets
Investments:
.............................................................................................................................
Putnam VT Money
Market Fund
Shares 1,092
Cost $1,092
.............................................................................................................................
Market Value: $1,092 $ -- $ -- $ -- $ --
.............................................................................................................................
Putnam VT New
Opportunities Fund
Shares 22,479
Cost $505,341
.............................................................................................................................
Market Value: -- 558,148 -- -- --
.............................................................................................................................
Putnam VT U.S. Government
and High Quality Bond Fund
Shares 15,379
Cost $202,264
.............................................................................................................................
Market Value: -- -- 203,311 -- --
.............................................................................................................................
Putnam VT Utilities
Growth and Income Fund
Shares 6,515
Cost $107,508
.............................................................................................................................
Market Value: -- -- -- 107,168 --
.............................................................................................................................
Putnam VT Voyager Fund
Shares 14,157
Cost $578,199
.............................................................................................................................
Market Value: -- -- -- -- 611,017
.............................................................................................................................
Due From Hartford Life &
Annuity Insurance Company -- 1,978 -- 1 13
.............................................................................................................................
Receivable from fund
shares sold 1 -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------
Total Assets 1,093 560,126 203,311 107,169 611,030
- -----------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life &
Annuity Insurance Company -- -- 1 -- --
.............................................................................................................................
Payable for fund
shares purchased -- 2,007 -- -- --
.............................................................................................................................
Total Liabilities -- 2,007 1 -- --
- -----------------------------------------------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $1,093 $558,119 $203,310 $107,169 $611,030
- -----------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE & ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Assets and Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------------------------
June 30, 1998 Units Unit Contract
(Unaudited) Owned by Price Liability
Participants
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Variable life contracts:
Individual Sub-Accounts:
.............................................................................................................................
Diversified Income Fund Sub-Account 6,498 $13.325133 $ 86,592
.............................................................................................................................
Global Asset Allocation Fund Sub-Account 8,094 20.232484 163,761
.............................................................................................................................
Global Growth Fund Sub-Account 28,856 21.960141 633,687
.............................................................................................................................
Growth and Income Fund Sub-Account 40,066 24.302920 973,725
.............................................................................................................................
High Yield Fund Sub-Account 37,412 17.253674 645,486
.............................................................................................................................
Money Market Fund Sub-Account 865 1.263075 1,093
.............................................................................................................................
New Opportunities Fund Sub-Account 25,757 21.668888 558,119
.............................................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 14,359 14.159492 203,310
.............................................................................................................................
Utilities Growth and Income Fund Sub-Account 5,477 19.566675 107,169
.............................................................................................................................
Voyager Fund Sub-Account 22,510 27.144357 611,030
.............................................................................................................................
Grand Total: $3,983,972
- -----------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE & ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Operations
- ----------------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended Diversified Global Asset Global Growth High Yield
June 30, 1998 Income Allocation Growth and Income Fund
(Unaudited) Fund Fund Fund Fund Sub-Account
Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Investment income:
Dividends $3,629 $ 2,857 $10,284 $ 6,912 $10,447
..................................................................................................................................
Capital gains income 1,541 12,271 51,418 45,119 1,639
..................................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
..................................................................................................................................
Net realized gain (loss)
on security transactions 21 56 97 (725) (803)
..................................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (2,773) (2,601) 18,529 (25,834) (10,234)
..................................................................................................................................
Net gain (loss) on investments (2,752) (2,545) 18,626 (26,559) (11,037)
- ----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $2,418 $12,583 $80,328 $25,472 $ 1,049
- ----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE & ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Operations (continued)
- ----------------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended Money Market New U.S.Government Utilities Growth Voyager
June 30, 1998 Fund Opportunities & High Quality and Income Fund
(Unaudited) Sub-Account Fund Bond Fund Fund Sub-Account
Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Investment income:
Dividends $340 $ -- $10,911 $1,849 $ 896
..................................................................................................................................
Capital gains income -- 4,296 284 3,187 21,866
..................................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
..................................................................................................................................
Net realized gain (loss)
on security transactions -- 1,326 (398) 13 178
..................................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period -- 48,782 (2,560) (4,218) 24,522
..................................................................................................................................
Net gain (loss) on investments -- 50,108 (2,958) (4,205) 24,700
- ----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $340 $54,404 $ 8,237 $ 831 $47,462
- ----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE & ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- ----------------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended Diversified Global Asset Global Growth
June 30, 1998 Income Allocation Growth and Income High Yield
(Unaudited) Fund Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Operations:
Net investment income $ 3,629 $ 2,857 $ 10,284 $ 6,912 $ 10,447
..................................................................................................................................
Capital gains income 1,541 12,271 51,418 45,119 1,639
..................................................................................................................................
Net realized gain (loss)
on security transactions 21 56 97 (725) (803)
..................................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (2,773) (2,601) 18,529 (25,834) (10,234)
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 2,418 12,583 80,328 25,472 1,049
..................................................................................................................................
Unit Transactions:
Purchases 673 6,949 36,926 79,218 130,874
..................................................................................................................................
Net transfers 545 110,010 239,551 732,696 482,121
..................................................................................................................................
Surrenders (1,119) (2,891) (15,008) (11,938) (14,029)
..................................................................................................................................
Cost of insurance (920) (1,698) (10,454) (7,110) (1,531)
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions (821) 112,370 251,015 792,866 597,435
..................................................................................................................................
Total increase (decrease)
in net assets 1,597 124,953 331,343 818,338 598,484
..................................................................................................................................
Net Assets
Beginning of period 84,995 38,808 302,344 155,387 47,002
- ----------------------------------------------------------------------------------------------------------------------------------
End of period $86,592 $163,761 $633,687 $973,725 $645,486
- ----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE & ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended Money New U.S.Government Utilities Voyager
June 30, 1998 Market Opportunities and High Growth Fund
(Unaudited) Fund Fund Quality Bond and Income Sub-Account
Sub-Account Sub-Account Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Operations:
Net investment income $ 340 $ -- $ 10,911 $ 1,849 $ 896
..................................................................................................................................
Capital gains income -- 4,296 284 3,187 21,866
..................................................................................................................................
Net realized gain (loss)
on security transactions -- 1,326 (398) 13 178
..................................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period -- 48,782 (2,560) (4,218) 24,522
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 340 54,404 8,237 831 47,462
..................................................................................................................................
Unit Transactions:
Purchases -- 125,149 8,956 5,427 93,064
..................................................................................................................................
Net transfers (4,779) 227,010 (27,894) 76,928 378,322
..................................................................................................................................
Surrenders (1,293) (10,158) (4,331) (1,075) (9,340)
..................................................................................................................................
Cost of insurance (1,505) (10,555) (4,749) (773) (7,352)
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions (7,577) 331,446 (28,018) 80,507 454,694
..................................................................................................................................
Total increase (decrease)
in net assets (7,237) 385,850 (19,781) 81,338 502,156
..................................................................................................................................
Net Assets
Beginning of period 8,330 172,269 223,091 25,831 108,874
- ----------------------------------------------------------------------------------------------------------------------------------
End of period $1,093 $558,119 $203,310 $107,169 $611,030
- ----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE & ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------------------------
For the Year Ended Diversified Global Asset Global Growth High Yield
December 31, 1997 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>
Operations:
Net investment income $ 57 $ 88 $ 420 $ 622 $ 154
..................................................................................................................................
Capital gains income 9 150 452 1,514 18
..................................................................................................................................
Net realized gain (loss)
on security transactions 3 109 1,118 314 5
..................................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 207 1,348 (1,615) 7,951 757
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 276 1,695 375 10,401 934
..................................................................................................................................
Unit Transactions:
Purchases 4,114 3,230 13,967 7,475 1,594
..................................................................................................................................
Net transfers 80,535 35,538 302,978 119,617 44,780
..................................................................................................................................
Surrenders (505) (1,812) (10,646) (6,077) (1,070)
..................................................................................................................................
Cost of insurance (455) (890) (5,376) (2,516) (261)
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 83,689 36,066 300,923 118,499 45,043
..................................................................................................................................
Total increase (decrease)
in net assets 83,965 37,761 301.298 128,900 45,977
..................................................................................................................................
Net Assets
Beginning of period 1,030 1,047 1,046 26,487 1,025
- ----------------------------------------------------------------------------------------------------------------------------------
End of period $84,995 $38,808 $302,344 $155,387 $47,002
- ----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE & ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------------------------
For the Year Ended Money New U.S.Government Utilities Voyager
December 31, 1997 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>
Operations:
Net investment income $ 424 $ -- $ 756 $ 40 $ 16
..................................................................................................................................
Capital gains income -- -- -- 54 355
..................................................................................................................................
Net realized gain (loss)
on security transactions -- (1,905) 387 25 3,074
..................................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period -- 4,088 3,578 3,805 8,319
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 424 2,183 4,721 3,924 11,764
..................................................................................................................................
Unit Transactions:
Purchases -- 13,204 10,535 1,604 10,861
..................................................................................................................................
Net transfers 10,765 164,787 214,693 20,012 92,223
..................................................................................................................................
Surrenders (2,441) (4,674) (4,108) (711) (4,146)
..................................................................................................................................
Cost of insurance (1,430) (4,168) (3,779) (71) (2,805)
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 6,894 169,149 217,341 20,834 96,133
..................................................................................................................................
Total increase (decrease)
in net assets 7,318 171,332 222,062 24,758 107,897
..................................................................................................................................
Net Assets
Beginning of period 1,012 937 1,029 1,073 977
- ----------------------------------------------------------------------------------------------------------------------------------
End of period $8,330 $172,269 $223,091 $25,831 $108,874
- ----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO --
HARTFORD LIFE & ANNUITY INSURANCE COMPANY
Notes to Financial Statements
June 30, 1998
1. ORGANIZATION:
Separate Account Variable Life Two (the Account) is a separate investment
account within Hartford Life and Annuity Insurance Company (the Company)
and is registered with the Securities and Exchange Commission (SEC) as a
unit investment trust under the Investment Company Act of 1940, as
amended. The Account consists of twenty two subaccounts. These financial
statements include ten subaccounts which invest solely in the Putnam
Capital Manager Trust funds (the Funds ). The other twelve subaccounts,
which invest in the Hartford and Fidelity Mutual Funds, are presented in
separate financial statements. Both the Company and the Account are
subject to supervision and regulation by the Department of Insurance of
the State of Connecticut and the SEC. The Account invests deposits by
variable life contractholders of the Company in the various mutual funds
as directed by the contractholders.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies of the
Account, which are in accordance with generally accepted accounting
principles in the investment company industry:
A) Security Transactions - Security transactions are recorded on the trade
date (date the order to buy or sell is executed). Cost of investments sold
is determined on the basis of identified cost. Dividend and capital gains
income are accrued as of the ex-dividend date. Capital gains income
represents dividends from the Funds which are characterized as capital
gains under tax regulations.
B) Security Valuation - The investments in shares of the Funds are valued
at the closing net asset value per share as determined by the appropriate
Fund as of June 30, 1998.
C) Federal Income Taxes - The operations of the Account form a part of,
and are taxed with, the total operations of the Company, which is taxed as
an insurance company under the Internal Revenue Code. Under current law,
no federal income taxes are payable with respect to the operations of the
Account.
D) Use of Estimates - The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
In accordance with the terms of the contracts, the Company makes
deductions for mortality and expense undertakings, cost of insurance,
administrative fees, and state premium taxes. These charges are deducted
through termination of units of interest from applicable contract owners'
accounts.
<TABLE>
Putnam VT Asia Pacific Fund
Portfolio of investments owned
June 30, 1998 (Unaudited)
<CAPTION>
COMMON STOCKS (99.7%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Australia (16.4%)
....................................................................................................
106,500 AMP Ltd.144A (NON) $1,243,941
....................................................................................................
139,000 Australia & New Zealand
Banking Group Ltd. 956,948
....................................................................................................
221,021 Commonwealth Bank of Australia 2,573,374
....................................................................................................
78,900 Rio Tinto Ltd. 936,196
....................................................................................................
280,019 CSL Ltd. 1,808,391
....................................................................................................
187,200 Foster's Brewing Group Ltd. 439,620
....................................................................................................
84,000 Lend Lease Corp. Ltd. 1,694,927
....................................................................................................
46,000 News Corp. Ltd. 377,591
....................................................................................................
17,700 News Corp. Ltd. ADR 568,613
....................................................................................................
245,700 Pioneer International Ltd. 584,594
....................................................................................................
308,013 QBE Insurance Group Ltd. 1,085,007
....................................................................................................
234,400 Westpac Banking Corp. 1,426,863
....................................................................................................
456,599 Woolworths Ltd. 1,481,435
- ----------------------------------------------------------------------------------------------------
15,177,500
- ----------------------------------------------------------------------------------------------------
Hong Kong (9.3%)
....................................................................................................
106,000 Asia Satellite Telecommunications
Holdings Ltd. 175,150
....................................................................................................
564,000 China Telecom Ltd. (NON) 979,255
....................................................................................................
1,184,000 Dairy Farm International Holdings Ltd. 1,266,880
....................................................................................................
323,000 Hong Kong Electric Holdings Ltd. 1,000,710
....................................................................................................
657,600 Hong Kong Telecommunications Ltd. 1,235,149
....................................................................................................
16,000 Hutchison Whampoa, Ltd. 84,477
....................................................................................................
348,000 Johnson Electric Holdings Ltd. (NON) 1,289,305
....................................................................................................
374,000 Li & Fung Ltd. 603,498
....................................................................................................
226,000 Smartone Telecommunications (NON) 551,397
....................................................................................................
94,000 Smartone Telecommunications 144A (NON) 229,342
....................................................................................................
195,000 South China Morning Post Ltd. 93,768
....................................................................................................
542,000 Varitronix International Ltd. 1,084,490
- ----------------------------------------------------------------------------------------------------
8,593,421
- ----------------------------------------------------------------------------------------------------
Japan (63.0%)
....................................................................................................
16,300 Aiful Corp. 793,150
....................................................................................................
38,500 Aoyamma Trading Co. Ltd. 946,381
....................................................................................................
472,000 Asahi Bank Ltd. 2,069,431
....................................................................................................
144,000 Bridgestone Corp. 3,394,809
....................................................................................................
115,000 Canon, Inc. 2,603,679
....................................................................................................
26,300 Chubu Electric Power, Inc. 391,296
....................................................................................................
138,000 Dai Nippon Printing Co., Ltd. 2,197,009
....................................................................................................
124,000 Diawa House Industry Co., Ltd. 1,091,784
....................................................................................................
386,000 Fuji Heavy Industries 1,906,001
....................................................................................................
62,000 Fuji Photo Film Co. 2,152,375
....................................................................................................
186,000 Fujitsu Ltd. 1,951,843
....................................................................................................
24,000 Futaba Corp. 955,653
....................................................................................................
86,000 Honda Motor Co., Ltd. 3,053,546
....................................................................................................
21,000 Ito-Yokado Co., Ltd. 985,625
....................................................................................................
169,000 KAO Corp. 2,599,438
....................................................................................................
6,700 Keyence Corp 727,161
....................................................................................................
19,600 Kyushu Electric Power Inc. 304,995
....................................................................................................
15,400 Mabuchi Motor 974,053
....................................................................................................
59,000 Matsushita-Kotobuki Electronics
Industries, Ltd. 1,467,260
....................................................................................................
80,000 Mitsubishi Bank Ltd. 844,677
....................................................................................................
59,000 Mitsumi Electric Company, Ltd. 1,038,956
....................................................................................................
39,000 Murata Manufacturing Co. 1,261,410
....................................................................................................
625,000 Nikko Securities Co. Ltd. 2,583,015
....................................................................................................
254 Nippon Telegraph and Telephone Corp. 2,099,475
....................................................................................................
3,550 Nippon Television Network Corp. 1,025,731
....................................................................................................
101,000 Omron Corp. 1,538,992
....................................................................................................
39,000 Onward Kashiyama Co. Ltd. 486,344
....................................................................................................
27,900 Promise Co., Ltd. 1,145,037
....................................................................................................
206,000 Ricoh Co., Ltd. (NON) 2,163,199
....................................................................................................
14,000 Rohm Co. Ltd. 1,433,910
....................................................................................................
43,000 Sankyo Co., Ltd. 976,640
....................................................................................................
29,000 Secom Co. 1,669,589
....................................................................................................
76,000 Shiseido Co., Ltd. 860,892
....................................................................................................
43,000 Sony Corp. 3,693,307
....................................................................................................
122,000 Sumitomo Realty &
Development Co., Ltd. 536,648
....................................................................................................
29,000 Takeda Chemical Industries 769,137
....................................................................................................
71,400 Tokyo Electric Power Co. 1,395,874
....................................................................................................
16,000 Tokyo Electron Ltd. 488,751
....................................................................................................
60,000 Tokio Marine & Fire
Insurance Co. Ltd. (The) 614,964
....................................................................................................
47,000 Yamanouchi Pharmaceutical Co., Ltd. 976,281
- ----------------------------------------------------------------------------------------------------
58,168,318
- ----------------------------------------------------------------------------------------------------
Malaysia (0.6%)
....................................................................................................
135,000 Berjaya Sports Toto Berhad 201,493
....................................................................................................
121,000 Carlsberg Brewery of Malaysia Berhad 370,004
- ----------------------------------------------------------------------------------------------------
571,497
- ----------------------------------------------------------------------------------------------------
New Zealand (1.6%)
....................................................................................................
350,900 Telecom Corp. of New Zealand Ltd. 1,441,273
- ----------------------------------------------------------------------------------------------------
Singapore (4.1%)
....................................................................................................
309,000 Clipsal Industries (Holdings) Ltd. 276,555
....................................................................................................
600,000 Courts Ltd. (NON) 128,190
....................................................................................................
113,000 Development & Commercial Bank 627,033
....................................................................................................
315,000 GP Batteries International Ltd. 575,786
....................................................................................................
333,200 Overseas Union Bank Ltd. 731,656
....................................................................................................
146,000 United Overseas Bank Ltd. 454,896
....................................................................................................
521,500 Venture Manufacturing Ltd. 990,386
- ----------------------------------------------------------------------------------------------------
3,784,502
- ----------------------------------------------------------------------------------------------------
South Korea (--%)
....................................................................................................
910 Samsung Electronics 28,230
- ----------------------------------------------------------------------------------------------------
Taiwan (0.7%)
....................................................................................................
39,100 Taiwan Semiconductor Manufacturing Co. (NON) 659,813
- ----------------------------------------------------------------------------------------------------
United Kingdom (2.1%)
....................................................................................................
79,948 HSBC Holdings PLC 1,955,730
- ----------------------------------------------------------------------------------------------------
United States (1.9%)
....................................................................................................
58,600 AFLAC, Inc. 1,776,313
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $97,303,013) $92,156,597
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (1.7%) * (cost $1,597,257)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$1,597,000 Interest in $750,000,000 joint repurchase
agreement dated June 30, 1998 with
Goldman, Sachs & Co. due July 1, 1998
with respect to various U.S. Treasury
obligations - maturity value of
$1,597,257 for an effective yield
of 5.8% $1,597,257
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $98,900,270) *** $93,753,854
- ----------------------------------------------------------------------------------------------------
The fund had the following industry group concentrations greater than 10% at June 30, 1998 (as a
percentage of market value):
Insurance and Finance 24.1%
Electronics and Electrical Equipment 14.2
Forward Currency Contracts to Sell at June 30, 1998 (Unaudited)
(aggregate face value $47,273,583)
- ----------------------------------------------------------------------------------------------------
Unrealized
Market Aggregate Delivery Appreciation/
Value Face Value Date (Depreciation)
....................................................................................................
Australian Dollars $12,447,194 $12,762,628 11/12/98 $ 315,434
Japanese Yen 35,285,568 34,510,955 9/14/98 (774,613)
- ----------------------------------------------------------------------------------------------------
$(459,179)
- ----------------------------------------------------------------------------------------------------
See page 113 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL HIGHLIGHTS
</TABLE>
<TABLE>
Putnam VT Diversified Income Fund
Portfolio of investments owned
June 30, 1998 (Unaudited)
<CAPTION>
CORPORATE BONDS AND NOTES (37.1%)*
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
<S> <C> <C> <C> <C>
Advertising (0.4%)
....................................................................................................
$500,000 Adams Outdoor Advertising sr. notes
10 3/4s, 2006 $547,500
....................................................................................................
350,000 Lamar Advertising Co. sr. sub. notes
9 5/8s, 2006 374,500
....................................................................................................
760,000 Lamar Advertising Co. company guaranty
8 5/8s, 2007 777,100
....................................................................................................
1,200,000 Outdoor Communications Inc. sr. sub.
notes 9 1/4s, 2007 1,230,000
- ----------------------------------------------------------------------------------------------------
2,929,100
- ----------------------------------------------------------------------------------------------------
Aerospace and Defense (0.7%)
....................................................................................................
700,000 Alliant Techsystems, Inc. sr. sub. notes
11 3/4s, 2003 757,750
....................................................................................................
220,000 Argo-Tech Corp. company guaranty
8 5/8s, 2007 220,000
....................................................................................................
680,000 Aviation Sales Co. 144A sr. sub. notes
8 1/8s, 2008 663,000
....................................................................................................
75,000 BE Aerospace, Inc. sr. sub. notes Ser. B,
9 7/8s, 2006 79,500
....................................................................................................
1,250,000 BE Aerospace, Inc. sr. sub. notes Ser. B,
8s, 2008 1,246,875
....................................................................................................
255,000 K&F Industries, Inc. sr. sub. notes Ser. B,
9 1/4s, 2007 257,550
....................................................................................................
400,000 Sequa Corp. sr. sub. notes 9 3/8s, 2003 414,000
....................................................................................................
285,000 Tracor, Inc. sr. sub. notes 8 1/2s, 2007 308,513
....................................................................................................
425,000 United Defense Industries Inc. company
guaranty 8 3/4s, 2007 430,844
- ----------------------------------------------------------------------------------------------------
4,378,032
- ----------------------------------------------------------------------------------------------------
Agriculture (0.1%)
....................................................................................................
336,790 Premium Standard Farms, Inc. sr. secd.
notes 11s, 2003 (PIK) 362,891
....................................................................................................
560,000 Purina Mills, Inc. 144A sr. sub. notes
9s, 2010 575,400
- ----------------------------------------------------------------------------------------------------
938,291
- ----------------------------------------------------------------------------------------------------
Airlines (0.5%)
....................................................................................................
390,000 Calair LLC 144A company guaranty
8 1/8s, 2008 388,050
....................................................................................................
680,000 Canadian Airlines Corp. sr. sec. notes
10s, 2005 (Canada) 686,800
....................................................................................................
860,000 Cathay International Ltd. 144A sr. notes
13s, 2008 761,100
....................................................................................................
315,000 Trans World Airlines, Inc. sr. notes
11 1/2s, 2004 332,325
....................................................................................................
1,010,000 Trans World Airlines, Inc. 144A notes
11 3/8s, 2006 1,012,525
- ----------------------------------------------------------------------------------------------------
3,180,800
- ----------------------------------------------------------------------------------------------------
Apparel (0.3%)
....................................................................................................
135,000 GFSI, Inc. sr. sub. notes Ser. B, 9 5/8s, 2007 140,400
....................................................................................................
880,000 Guess Jeans, Inc. sr. sub. notes 9 1/2s, 2003 897,600
....................................................................................................
580,000 Sassco Fashions Ltd. sr. notes 12 3/4s, 2004 627,850
....................................................................................................
265,000 William Carter Holdings Co. 144A sr. sub.
notes 12s, 2008 283,550
- ----------------------------------------------------------------------------------------------------
1,949,400
- ----------------------------------------------------------------------------------------------------
Automotive Parts (0.5%)
....................................................................................................
1,000,000 Accuride Corp. 144A sr. sub. notes
9 1/4s, 2008 1,000,000
....................................................................................................
740,000 Cambridge Industries, Inc. company
guaranty Ser. B, 10 1/4s, 2007 754,800
....................................................................................................
590,000 Lear Corp. sub. notes 9 1/2s, 2006 647,525
....................................................................................................
1,200,000 Navistar International Corp. sr. notes
Ser. B, 8s, 2008 1,206,000
- ----------------------------------------------------------------------------------------------------
3,608,325
- ----------------------------------------------------------------------------------------------------
Banks (1.0%)
....................................................................................................
695,000 Chevy Chase Savings Bank Inc. sub. deb.
9 1/4s, 2005 705,425
....................................................................................................
290,000 Delta Financial Corp. sr. notes 9 1/2s, 2004 287,100
....................................................................................................
460,000 Dime Capital Trust I bank guaranty Ser. A,
9.33s, 2027 538,780
....................................................................................................
250,000 First Nationwide Holdings sr. sub. notes
10 5/8s, 2003 282,500
....................................................................................................
600,000 Greenpoint Capital Trust I company
guaranty 9.1s, 2027 683,250
....................................................................................................
500,000 Korea Development Bank bonds
7 1/8s, 2001 (Korea) 444,385
....................................................................................................
250,000 North Fork Capital Trust I company
guaranty 8.7s, 2026 282,320
....................................................................................................
260,000 Ocwen Federal Bank FSB sub. deb.
12s, 2005 286,000
....................................................................................................
155,000 Ocwen Financial Corp. notes 11 7/8s, 2003 173,600
....................................................................................................
140,000 Onbank & Trust Co. company guaranty
9 1/4s, 2027 166,390
....................................................................................................
300,000 Peoples Heritage Capital Trust company
guaranty Ser. B, 9.06s, 2027 338,274
....................................................................................................
270,000 Provident Capital Trust company guaranty
8.6s, 2026 291,095
....................................................................................................
160,000 Riggs Capital Trust 144A bonds
8 5/8s, 2026 175,755
....................................................................................................
245,000 Sovereign Capital Trust company guaranty
9s, 2027 270,713
....................................................................................................
1,395,000 Sumitomo Bank Treasury Co. 144A bonds
Ser. A, FRB, 9.4s, 2049 (Japan) 1,386,407
....................................................................................................
220,000 Webster Capital Trust I 144A bonds
9.36s, 2027 248,600
- ----------------------------------------------------------------------------------------------------
6,560,594
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (0.1%)
....................................................................................................
240,000 Koppers Industries, Inc. company guaranty
144A 9 7/8s, 2007 245,400
....................................................................................................
115,000 Roller Bearing Co. company guaranty
Ser. B, 9 5/8s, 2007 116,438
....................................................................................................
300,000 W. R. Carpenter North America, Inc.
company guaranty 10 5/8s, 2007 318,000
- ----------------------------------------------------------------------------------------------------
679,838
- ----------------------------------------------------------------------------------------------------
Broadcasting (2.5%)
....................................................................................................
1,000,000 Affinity Group Holdings sr. sub. notes
11 1/2s, 2003 1,057,500
....................................................................................................
1,440,000 Affinity Group Holdings sr. notes 11s, 2007 1,540,800
....................................................................................................
130,000 Antenna TV S.A. sr. notes 9s, 2007 (Greece) 130,650
....................................................................................................
750,000 Australis Holdings PTY Ltd. sr. disc. notes
stepped-coupon zero % (15s, 11/01/00),
2002 (Australia) (In Default) (NON) (STP) 112,500
....................................................................................................
1,870,000 Benedek Communications Corp. sr. disc.
notes stepped-coupon zero %
(13 1/4s, 5/15/01), 2006 (STP) 1,486,650
....................................................................................................
980,000 Capstar Broadcasting sr. sub. notes
9 1/4s, 2007 1,025,325
....................................................................................................
820,000 Capstar Broadcasting sr. disc. notes
stepped-coupon zero %
(12 3/4s, 2/1/02), 2009 (STP) 623,200
....................................................................................................
190,000 Central European Media Enterprises Ltd.
sr. notes 9 3/8s, 2004 (Bermuda) 188,100
....................................................................................................
1,000,000 Chancellor Media Corp. sr. sub notes
Ser. B, 8 1/8s, 2007 1,013,750
....................................................................................................
348,290 Citadel Broadcasting, Inc. sr. sub. notes
10 1/4s, 2007 383,119
....................................................................................................
1,000,000 Fox Family Worldwide, Inc. sr. notes
9 1/4s, 2007 1,005,000
....................................................................................................
1,070,000 Fox Family Worldwide, Inc. sr. disc. notes
stepped-coupon zero %
(10 1/4s, 11/1/02), 2007 (STP) 695,500
....................................................................................................
840,000 Fox/Liberty Networks LLC sr. notes
8 7/8s, 2007 856,800
....................................................................................................
500,000 Granite Broadcasting Corp. sr. sub. notes
9 3/8s, 2005 507,500
....................................................................................................
1,250,000 Heritage Media Services Corp. sr. sub.
notes 8 3/4s, 2006 1,331,250
....................................................................................................
1,000,000 Pegasus Media & Communications notes
Ser. B, 12 1/2s, 2005 1,130,000
....................................................................................................
1,318,000 PHI Holdings, Inc. 16s, 2001 975,715
....................................................................................................
445,000 Radio One, Inc. company guaranty
stepped-coupon Ser. B, 7s,
(12s, 5/15/00), 2004 (STP) 453,900
....................................................................................................
650,000 SFX Entertainment, Inc. 144A sr. sub.
notes 9 1/8s, 2008 637,000
....................................................................................................
1,200,000 Sinclair Broadcast Group, Inc. company
guaranty 9s, 2007 1,242,000
....................................................................................................
180,000 Sinclair Broadcast Group, Inc. sr. sub. notes
8 3/4s, 2007 184,500
....................................................................................................
200,000 TV Azteca Holdings S.A. de C.V. sr. notes
11s, 2002 (Mexico) 200,500
....................................................................................................
145,000 TV Azteca S.A. de C.V. sr. notes 10 1/2s,
2007 (Mexico) 145,000
- ----------------------------------------------------------------------------------------------------
16,926,259
- ----------------------------------------------------------------------------------------------------
Building and Construction (0.6%)
....................................................................................................
240,000 American Architectural Products Corp.
company guaranty 11 3/4s, 2007 246,000
....................................................................................................
170,000 Atrium Companies, Inc. sub. notes
10 1/2s, 2006 178,925
....................................................................................................
360,000 Beazer Homes USA company guaranty
8 7/8s, 2008 351,000
....................................................................................................
290,000 Brand Scaffold Services 144A sr. notes
10 1/4s, 2008 295,075
....................................................................................................
135,000 Cia Latino Americana 144A company
guaranty 11 1/8s, 2004 (Argentina) 135,675
....................................................................................................
910,000 GS Superhighway Holdings sr. notes
9 7/8s, 2004 773,500
....................................................................................................
240,000 Jackson Products, Inc. 144A company
guaranty 9 1/2s, 2005 238,800
....................................................................................................
310,000 Presley Cos. sr. notes 12 1/2s, 2001 291,400
....................................................................................................
1,000,000 Terex Corp. term loan 8.179s, 3/6/05 1,000,000
....................................................................................................
400,000 Waxman Industries, Inc. sr. notes
stepped-coupon Ser. B, zero %
(12 3/4s, 6/1/99), 2004 (STP) 380,000
- ----------------------------------------------------------------------------------------------------
3,890,375
- ----------------------------------------------------------------------------------------------------
Buses (0.2%)
....................................................................................................
1,500,000 Consorcio/MCII Holdings sec. notes
stepped-coupon zero %
(12s, 11/15/98), 2002 (STP) 1,432,500
- ----------------------------------------------------------------------------------------------------
Business Services (0.4%)
....................................................................................................
215,000 ATC Group Services Inc. 144A sr. sub.
notes 12s, 2008 197,800
....................................................................................................
1,035,000 Axiohm Transactions Solutions, Inc.
company guaranty 9 3/4s, 2007 1,035,000
....................................................................................................
150,000 Iron Mountain, Inc. med. term notes
company guaranty 10 1/8s, 2006 162,750
....................................................................................................
700,000 Iron Mountain, Inc. company guaranty
8 3/4s, 2009 714,000
....................................................................................................
470,000 Morris Material Handling, Inc. 144A
sr. notes 9 1/2s, 2008 437,100
....................................................................................................
175,000 Outsourcing Solutions, Inc. sr. sub. notes
Ser. B, 11s, 2006 187,250
- ----------------------------------------------------------------------------------------------------
2,733,900
- ----------------------------------------------------------------------------------------------------
Cable Television (1.4%)
....................................................................................................
600,000 Acme Television sr. disc. notes
stepped-coupon zero %
(10 7/8s, 9/30/00), 2004 (STP) 495,000
....................................................................................................
1,110,000 Adelphia Communications Corp. sr. notes
Ser. B, 9 7/8s, 2007 1,201,575
....................................................................................................
300,000 Comcast Corp. sr. sub. notes 9 1/8s, 2006 319,500
....................................................................................................
1,575,000 Comcast UK Cable, Ltd. deb.
stepped-coupon zero %
(11.2s, 11/15/00), 2007 (Bermuda) (STP) 1,315,125
....................................................................................................
850,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(11 3/4s, 12/15/00), 2005
(United Kingdom) (STP) 705,500
....................................................................................................
2,450,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(10 3/4s, 2/15/02), 2007
(United Kingdom) (STP) 1,813,000
....................................................................................................
670,000 Jones Intercable, Inc. sr. sub. deb.
10 1/2s, 2008 733,650
....................................................................................................
500,000 Lenfest Communications, Inc. 144A
sr. sub. notes 8 1/4s, 2008 522,500
....................................................................................................
500,000 Marcus Cable Co. (L.P.) sr. disc. notes
stepped-coupon zero %
(14 1/4s, 6/15/00), 2005 (STP) 465,000
....................................................................................................
760,000 Marcus Cable Co. (L.P.) sr. sub. disc. notes
stepped-coupon zero %
(13 1/2s, 8/1/99), 2004 (STP) 737,200
....................................................................................................
920,000 RCN Corp. sr. discount notes,
stepped-coupon Ser. B, zero %
(9.8s, 2/15/03), 2008 (STP) 552,000
....................................................................................................
480,000 Supercanal Holdings S.A. 144A sr. notes
11 1/2s, 2005 (Argentina) 444,000
- ----------------------------------------------------------------------------------------------------
9,304,050
- ----------------------------------------------------------------------------------------------------
Cellular Communications (2.4%)
....................................................................................................
960,000 Allegiance Telecom, Inc. sr. disc. notes
stepped-coupon Ser. B, zero %
(11 3/4s, 2/15/03), 2008 (STP) 511,200
....................................................................................................
260,000 American Cell Corp. 144A sr. notes
10 1/2s, 2008 260,000
....................................................................................................
100,000 Call-Net Enterprises sr. disc. notes
stepped-coupon zero %
(13 1/4s, 12/1/99), 2004 (STP) 95,500
....................................................................................................
2,205,000 CellNet Data Systems, Inc. sr. disc.
notes stepped-coupon zero %
(14s, 10/1/02), 2007 (STP) 1,267,875
....................................................................................................
1,030,000 Cencall Communications Corp. sr. disc.
notes stepped-coupon zero %
(10 1/8s, 1/15/99), 2004 (STP) 1,011,975
....................................................................................................
300,000 Comcast Cellular Holdings sr. notes
Ser. B, 9 1/2s, 2007 311,250
....................................................................................................
1,100,000 Comunicacion Cellular bonds
stepped-coupon zero % (13 1/8s,
11/15/00), 2003 (Colombia) (STP) 847,000
....................................................................................................
450,000 Conecel Holdings 144A notes Ser. A,
14s, 2000 427,500
....................................................................................................
1,200,000 Dobson Communications Corp. sr. notes
11 3/4s, 2007 1,302,000
....................................................................................................
650,000 Interact Systems, Inc. 144A units
stepped-coupon zero %
(14s, 8/1/99), 2003 (STP) 260,000
....................................................................................................
1,190,000 Intercel, Inc. sr. disc. notes stepped-coupon
zero % (12s, 5/1/01), 2006 (STP) 934,150
....................................................................................................
1,600,000 McCaw International Ltd sr. discount
notes stepped coupon zero %
(13s, 4/15/02), 2007 (STP) 1,060,000
....................................................................................................
1,010,000 MetroNet Communications Corp. 144A
sr. disc. notes stepped-coupon zero %
(9.95s, 6/15/03), 2008 (STP) 624,938
....................................................................................................
2,600,000 Millicom International Cellular S.A. sr. disc.
notes stepped-coupon zero % (13 1/2s,
6/1/01), 2006 (Luxembourg) (STP) 2,028,000
....................................................................................................
400,000 NEXTEL Communicaitons, Inc. 144A
sr. disc. notes stepped-coupon zero %
(12 1/8s, 4/15/03), 2008 (STP) 248,000
....................................................................................................
3,115,000 NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero %
(10.65s, 9/15/02), 2007 (STP) 2,102,625
....................................................................................................
2,930,000 NEXTEL Communications, Inc. 144A
sr. disc. notes stepped-coupon zero %
(9.95s, 2/15/03), 2008 (STP) 1,867,875
....................................................................................................
245,000 Omnipoint Corp. sr. notes 11 5/8s, 2006 259,700
....................................................................................................
160,000 Omnipoint Corp. sr. notes Ser. A,
11 5/8s, 2006 169,600
....................................................................................................
690,000 Price Communications Wireless, Inc.
144A sr. notes 9 1/8s, 2006 690,000
- ----------------------------------------------------------------------------------------------------
16,279,188
- ----------------------------------------------------------------------------------------------------
Chemicals (0.4%)
....................................................................................................
1,150,000 Acetex Corp. sr. notes 9 3/4s, 2003
(Canada) 1,178,750
....................................................................................................
550,000 Huntsman Corp. 144A sr. sub. notes
FRN 9.094s, 2007 550,000
....................................................................................................
250,000 Pharmaceutical Fine Chemicals 144A
sr. sub. notes 9 3/4s, 2007 (Switzerland) 283,750
....................................................................................................
400,000 Pioneer Americas Acquisition 144A
sr. notes 9 1/4s, 2007 394,000
....................................................................................................
610,000 Polytama International notes 11 1/4s,
2007 (Indonesia) 213,500
....................................................................................................
235,000 Sterling Chemicals Holdings sr. disc.
notes stepped-coupon zero %
(13 1/2s, 8/15/01), 2008 (STP) 136,300
....................................................................................................
345,000 Trikem S.A. 144A bonds 10 5/8s,
2007 (Brazil) 279,450
- ----------------------------------------------------------------------------------------------------
3,035,750
- ----------------------------------------------------------------------------------------------------
Computer Services (0.5%)
....................................................................................................
160,000 Concentric Network Corp. sr. notes
12 3/4s, 2007 170,400
....................................................................................................
1,090,000 IPC Information Systems sr. disc. notes
stepped-coupon zero % (10 7/8s,
11/1/01), 2008 (STP) 795,700
....................................................................................................
590,000 PSINet, Inc. sr. notes Ser. B, 10s, 2005 601,800
....................................................................................................
660,000 Unisys Corp. sr. notes 11 3/4s, 2004 762,300
....................................................................................................
1,000,000 Unisys Corp. deb. 9 3/4s, 2016 1,032,500
....................................................................................................
180,000 Unisys Corp. sr. notes 7 7/8s, 2008 183,600
- ----------------------------------------------------------------------------------------------------
3,546,300
- ----------------------------------------------------------------------------------------------------
Consumer Durable Goods (0.1%)
....................................................................................................
80,000 Hedstrom Holdings, Inc. 144A sr. disc.
notes stepped-coupon zero %
(12s, 6/1/02), 2009 (STP) 50,400
....................................................................................................
485,000 Icon Fitness Corp. 144A sr. disc. notes
stepped-coupon Ser. B, zero %
(14s, 11/15/01), 2006 (STP) 169,750
....................................................................................................
220,000 Sealy Mattress Co. 144A sr. sub. notes
9 7/8s, 2007 233,200
- ----------------------------------------------------------------------------------------------------
453,350
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (0.3%)
....................................................................................................
125,000 Amscan Holdings, Inc. sr. sub. notes
9 7/8s, 2007 126,250
....................................................................................................
450,000 Packaged Ice, Inc. 144A sr. notes
9 3/4s, 2005 454,500
....................................................................................................
345,000 Viasystems, Inc. sr. sub notes 9 3/4s, 2007 358,800
....................................................................................................
800,000 Viasystems, Inc. 144A sr. notes 9 3/4s, 2007 784,000
- ----------------------------------------------------------------------------------------------------
1,723,550
- ----------------------------------------------------------------------------------------------------
Consumer Services (0.1%)
....................................................................................................
895,000 Coinmach Corp. sr. notes 11 3/4s, 2005 993,450
- ----------------------------------------------------------------------------------------------------
Cosmetics (0.5%)
....................................................................................................
290,000 Chattem, Inc. 144A sr. sub. notes
8 7/8s, 2008 286,375
....................................................................................................
50,000 Coty, Inc. sr. sub. notes 10 1/4s, 2005 53,375
....................................................................................................
150,000 French Fragrances, Inc. sr. notes Ser. B,
10 3/8s, 2007 159,750
....................................................................................................
190,000 French Fragrances, Inc. 144A sr. notes
10 3/8s, 2007 201,400
....................................................................................................
1,500,000 Revlon Consumer Products sr. sub. notes
8 5/8s, 2008 1,503,750
....................................................................................................
1,045,000 Revlon Worldwide Corp. sr. disc. notes
Ser. B, zero %, 2001 812,488
- ----------------------------------------------------------------------------------------------------
3,017,138
- ----------------------------------------------------------------------------------------------------
Electric Utilities (1.2%)
....................................................................................................
425,000 AES Corp. sr. sub. notes 8 3/8s, 2007 429,250
....................................................................................................
850,000 Calpine Corp. sr. notes 10 1/2s, 2006 939,250
....................................................................................................
500,000 Calpine Corp. sr. notes 9 1/4s, 2004 515,000
....................................................................................................
380,000 CMS Energy Corp. sr. notes 8 1/8s, 2002 390,910
....................................................................................................
255,000 First PV Funding deb. 10.15s, 2016 271,623
....................................................................................................
850,000 Long Island Lighting Co. deb. 9s, 2022 969,502
....................................................................................................
2,115,000 Midland Funding Corp. deb. Ser. A,
11 3/4s, 2005 2,544,218
....................................................................................................
500,000 Midland Funding Corp. deb. Ser. B,
13 1/4s, 2006 646,715
....................................................................................................
998,552 Northeast Utilities System notes Ser. A,
8.58s, 2006 1,027,920
....................................................................................................
106,667 Northeast Utilities System notes Ser. B,
8.38s, 2005 108,039
- ----------------------------------------------------------------------------------------------------
7,842,427
- ----------------------------------------------------------------------------------------------------
Electrical Equipment (0.1%)
....................................................................................................
260,000 Samsung Electronics 144A company
guaranty 9 3/4s, 2003 239,200
- ----------------------------------------------------------------------------------------------------
Electronic Components (0.5%)
....................................................................................................
280,000 Details, Inc. sr. sub. notes Ser. B, 10s, 2005 278,600
....................................................................................................
320,000 DII Group, Inc. (The) sr. sub. notes
8 1/2s, 2007 313,600
....................................................................................................
620,000 Flag Ltd. 144A sr. notes 8 1/4s, 2008
(Bermuda) 624,650
....................................................................................................
970,000 Flextronics International Ltd. sr. sub. notes
Ser. B, 8 3/4s, 2007 976,063
....................................................................................................
195,000 HCC Industries, Inc. company guaranty
10 3/4s, 2007 206,700
....................................................................................................
630,000 Motors and Gears, Inc. sr. notes Ser. D,
10 3/4s, 2006 674,100
....................................................................................................
800,000 Zilog, Inc. 144A sr. notes 9 1/2s, 2005 568,000
- ----------------------------------------------------------------------------------------------------
3,641,713
- ----------------------------------------------------------------------------------------------------
Electronics (0.2%)
....................................................................................................
195,000 Celestica International Ltd. 144A sr. sub.
notes 10 1/2s, 2006 (Canada) 214,988
....................................................................................................
201,138 Cirent Semiconductor sr. sub. notes
10.22s, 2002 208,681
....................................................................................................
213,415 Cirent Semiconductor 144A sr. sub. notes
10.14s, 2004 221,952
....................................................................................................
500,000 Moog, Inc. sr. sub. notes Ser. B, 10s, 2006 535,000
....................................................................................................
115,000 Wavetek Corp. company guaranty
10 1/8s, 2007 116,150
- ----------------------------------------------------------------------------------------------------
1,296,771
- ----------------------------------------------------------------------------------------------------
Energy-Related (0.3%)
....................................................................................................
410,000 Niagara Mohawk Power Corp. sr. notes
Ser. G, 7 3/4s, 2008 420,049
....................................................................................................
330,000 Niagara Mohawk Power Corp. sr. notes
Ser. F, 7 5/8s, 2005 331,399
....................................................................................................
1,075,000 Panda Global Energy Co. company
guaranty 12 1/2s, 2004 978,250
....................................................................................................
320,000 RAM Energy Inc. sr. notes 11 1/2s, 2008 324,800
- ----------------------------------------------------------------------------------------------------
2,054,498
- ----------------------------------------------------------------------------------------------------
Entertainment (0.6%)
....................................................................................................
630,000 Empress Entertainment, Inc. 144A sr. sub
notes 8 1/8s, 2006 631,575
....................................................................................................
2,027,163 Premier Parks, Inc. term loan 144A
8 3/8s, 4/1/06 2,034,765
....................................................................................................
510,000 Silver Cinemas Intl.144A sr. sub. notes
10 1/2s, 2005 513,825
....................................................................................................
780,000 United Artists Theatre 144A sr. sub. notes
9 3/4s, 2008 778,050
- ----------------------------------------------------------------------------------------------------
3,958,215
- ----------------------------------------------------------------------------------------------------
Environmental Control (0.1%)
....................................................................................................
350,000 Allied Waste Industries, Inc. company
guaranty 10 1/4s, 2006 384,125
....................................................................................................
675,000 Allied Waste Industries, Inc. sr. disc.
notes stepped-coupon zero %
(11.3s, 6/1/02), 2007 (STP) 496,125
- ----------------------------------------------------------------------------------------------------
880,250
- ----------------------------------------------------------------------------------------------------
Financial Services (0.8%)
....................................................................................................
415,000 Aames Financial Corp. sr. notes 9 1/8s, 2003 415,000
....................................................................................................
1,000,000 Colombia Holdings sr. notes 10s, 1999 1,020,000
....................................................................................................
165,000 Colonial Capital II 144A company guaranty
8.92s, 2027 182,970
....................................................................................................
250,000 Dine S.A. de C.V. 144A company guaranty
8 3/4s, 2007 (Mexico) 230,000
....................................................................................................
245,000 Dollar Financial Group, Inc. sr. notes Ser. A,
10 7/8s, 2006 264,600
....................................................................................................
350,000 First Federal Financial Corp. notes
11 3/4s, 2004 378,000
....................................................................................................
825,000 Imperial Credit Capital Trust I 144A
company guaranty 10 1/4s, 2002 833,250
....................................................................................................
185,000 Imperial Credit Industries, Inc. sr. notes
9 7/8s, 2007 184,075
....................................................................................................
350,000 Investors Capital Trust I company guaranty
Ser. B, 9.77s, 2027 399,000
....................................................................................................
400,000 Market Hub Partners 144A sr. notes
8 1/4s, 2008 404,000
....................................................................................................
190,000 Nationwide Credit, Inc. 144A sr. notes
10 1/4s, 2008 190,950
....................................................................................................
160,000 Ocwen Capital Trust I company guaranty
10 7/8s, 2027 174,400
....................................................................................................
655,000 Pindo Deli Finance Mauritius Ltd. company
guaranty 10 3/4s, 2007 458,500
....................................................................................................
450,000 Resource America, Inc. 144A sr. notes
12s, 2004 481,500
- ----------------------------------------------------------------------------------------------------
5,616,245
- ----------------------------------------------------------------------------------------------------
Food and Beverages (0.5%)
....................................................................................................
100,000 Aurora Foods, Inc. sr. sub. notes Ser. B,
9 7/8s, 2007 106,000
....................................................................................................
580,000 Aurora Foods, Inc. 144A ser. sub. notes
Ser. D, 9 7/8s, 2007 614,800
....................................................................................................
425,000 Canandaigua Wine Co. sr. sub. notes
Ser. C, 8 3/4s, 2003 436,688
....................................................................................................
470,000 Fleming Companies, Inc. company guaranty
Ser. B, 10 1/2s, 2004 488,800
....................................................................................................
790,000 RAB Enterprises, Inc. 144A sr. notes
10 1/2s, 2005 793,950
....................................................................................................
480,000 Smithfield Foods, Inc. 144A sr. sub. notes
7 5/8s, 2008 475,200
....................................................................................................
230,000 Southern Foods Group 144A sr. sub. notes
9 7/8s, 2007 239,775
....................................................................................................
80,000 Windy Hill Pet Food Co. sr. sub. notes
9 3/4s, 2007 83,600
- ----------------------------------------------------------------------------------------------------
3,238,813
- ----------------------------------------------------------------------------------------------------
Food Chains (0.3%)
....................................................................................................
470,000 Ameriserve Food Co. company guaranty
10 1/8s, 2007 486,450
....................................................................................................
780,000 Ameriserve Food Co. company guaranty
8 7/8s, 2006 783,900
....................................................................................................
300,000 Nebco Evans Holding Co. sr. disc. notes
stepped-coupon zero % (12 3/8s,
7/15/02), 2007 (STP) 204,000
....................................................................................................
850,000 Southland Corp. deb. Ser. A, 4 1/2s, 2004 688,500
- ----------------------------------------------------------------------------------------------------
2,162,850
- ----------------------------------------------------------------------------------------------------
Gaming (1.2%)
....................................................................................................
725,000 Argosy Gaming Co. company guaranty
13 1/4s, 2004 813,813
....................................................................................................
175,000 Casino America, Inc. sr. notes 12 1/2s, 2003 197,750
....................................................................................................
1,000,000 Coast Hotels & Casinos, Inc. company
guaranty Ser. B, 13s, 2002 1,157,500
....................................................................................................
793,500 Colorado Gaming & Entertainment Co.
sr. notes 12s, 2003 860,948
....................................................................................................
257,177 Elsinore Corp. 144A exch. 1st mtge.
11 1/2s, 2000 257,178
....................................................................................................
810,000 Fitzgeralds Gaming Corp. 144A company
guaranty 12 1/4s, 2004 785,700
....................................................................................................
500,000 Grand Casinos, Inc. 1st mtge. 10 1/8s, 2003 545,000
....................................................................................................
250,000 Isle of Capri Black Hawk LLC 144A
1st mtge. Ser. B, 13s, 2004 263,750
....................................................................................................
497,000 Louisiana Casino Cruises Corp. 1st mtge.
11 1/2s, 1998 501,970
....................................................................................................
160,000 Penn National Gaming, Inc. 144A sr. notes
10 5/8s, 2004 168,000
....................................................................................................
700,000 PRT Funding Corp. sr. notes 11 5/8s, 2004 504,000
....................................................................................................
830,000 Trump A.C. 1st mtge. company guaranty
11 1/4s, 2006 807,175
....................................................................................................
1,060,000 Trump Castle Funding 144A sub. notes
10 1/4s, 2003 1,070,600
- ----------------------------------------------------------------------------------------------------
7,933,384
- ----------------------------------------------------------------------------------------------------
Health Care (1.8%)
....................................................................................................
350,000 Conmed Corp. company guaranty 9s, 2008 346,500
....................................................................................................
600,000 Extendicare Health Services, Inc.
company guaranty 9.35s, 2007 606,000
....................................................................................................
720,000 Fresenius Medical Capital Trust II company
guaranty 7 7/8s, 2008 (Germany) 707,400
....................................................................................................
460,000 Global Health Sciences 144A sr. notes
11s, 2008 454,250
....................................................................................................
530,000 Hudson Respiratory Care, Inc. 144A
sr. sub. notes 9 1/8s, 2008 516,750
....................................................................................................
920,000 Integrated Health Services, Inc. sr. sub.
notes Ser. A, 9 1/2s, 2007 963,700
....................................................................................................
530,000 Integrated Health Services, Inc. sr. sub.
notes Ser. A, 9 1/4s, 2008 550,538
....................................................................................................
770,000 Magellan Health Services, Inc. 144A
sr. sub. notes 9s, 2008 764,225
....................................................................................................
955,000 Multicare Cos., Inc. sr. sub. notes 9s, 2007 945,450
....................................................................................................
1,120,000 Paracelsus Healthcare sr. sub. notes
10s, 2006 1,108,800
....................................................................................................
285,000 Paragon Corp. Holdings, Inc. 144A
sr. notes 9 5/8s, 2008 256,500
....................................................................................................
1,515,000 Paragon Corp. Holdings, Inc. 144A
sr. sub. notes Ser. B, 9 1/2s, 2007 1,537,725
....................................................................................................
1,500,000 Patriot Amer Hosp. term loan Ser. B,
8 1/8s, 4/1/03 1,500,000
....................................................................................................
1,275,000 Sun Healthcare Group, Inc. 144A sr. sub.
notes 9 1/2s, 2007 1,290,938
....................................................................................................
300,000 Sun Healthcare Group, Inc. 144A sr. sub.
notes 9 3/8s, 2008 301,500
....................................................................................................
290,000 Tenet Healthcare Corp. sr. notes 8s, 2005 297,975
- ----------------------------------------------------------------------------------------------------
12,148,251
- ----------------------------------------------------------------------------------------------------
Hospital Management and Medical Services (0.1%)
....................................................................................................
380,000 MedPartners, Inc. sr. notes 7 3/8s, 2006 340,594
- ----------------------------------------------------------------------------------------------------
Lodging (0.5%)
....................................................................................................
420,000 Epic Resorts 420,000
....................................................................................................
1,675,000 Host Marriott Travel Plaza sr. notes
Ser. B, 9 1/2s, 2005 1,785,969
....................................................................................................
600,000 John Q Hammons Hotels, Inc. 1st mtge.
8 7/8s, 2004 604,500
....................................................................................................
450,000 Prime Hospitality Corp. sub. notes
9 3/4s, 2007 478,125
- ----------------------------------------------------------------------------------------------------
3,288,594
- ----------------------------------------------------------------------------------------------------
Media (0.2%)
....................................................................................................
10,795 Australis Media, Ltd. sr. disc. notes
stepped-coupon 1 3/4s, (15 3/4s
5/15/00), 2003 (Australia)
(In default) (NON) (STP) (PIK) 526
....................................................................................................
1,500,000 Viacom International, Inc. sub. deb. 8s, 2006 1,548,750
- ----------------------------------------------------------------------------------------------------
1,549,276
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (0.6%)
....................................................................................................
480,000 ALARIS Medical Systems, Inc. company
guaranty 9 3/4s, 2006 495,600
....................................................................................................
500,000 Dade International, Inc. sr. sub. notes
Ser. B, 11 1/8s, 2006 565,000
....................................................................................................
500,000 Graphic Controls Corp. sr. sub. notes
Ser. A, 12s, 2005 555,000
....................................................................................................
440,000 Imagyn Medical Technologies company
guaranty 12 1/2s, 2004 154,000
....................................................................................................
250,000 Kinetic Concepts, Inc. company guaranty
Ser. B, 9 5/8s, 2007 253,125
....................................................................................................
450,000 Leiner Health Products sr. sub. notes
9 5/8s, 2007 478,125
....................................................................................................
750,000 Mediq, Inc. 144A sr. sub. notes 11s, 2008 768,750
....................................................................................................
545,000 Wright Medical Technology, Inc. 144A
notes Ser. C, 11 3/4s, 2000 539,550
- ----------------------------------------------------------------------------------------------------
3,809,150
- ----------------------------------------------------------------------------------------------------
Metals and Mining (0.3%)
....................................................................................................
140,000 Acindar Industria Argentina de Aceros
S.A. bonds 11 1/4s, 2004 (Argentina) 140,350
....................................................................................................
345,000 Anker Coal Group, Inc. sr. notes Ser. B,
9 3/4s, 2007 310,500
....................................................................................................
325,000 Continental Global Group sr. notes
Ser. B, 11s, 2007 338,000
....................................................................................................
660,000 Lodestar Holding, Inc. 144A sr. notes
11 1/2s, 2005 656,700
....................................................................................................
300,000 NL Industries, Inc. sr. notes 11 3/4s, 2003 331,500
....................................................................................................
390,000 WHX Corp. sr. notes 10 1/2s, 2005 390,975
- ----------------------------------------------------------------------------------------------------
2,168,025
- ----------------------------------------------------------------------------------------------------
Motion Picture Distribution (0.2%)
....................................................................................................
540,000 AMC Entertainment, Inc. sr. sub. notes
9 1/2s, 2009 545,400
....................................................................................................
795,000 Cinemark USA, Inc. sr. sub. notes
9 5/8s, 2008 818,850
....................................................................................................
180,000 Panavision, Inc. 144A sr. disc. notes
stepped-coupon zero % (9 5/8s,
2/1/02), 2006 (STP) 129,600
- ----------------------------------------------------------------------------------------------------
1,493,850
- ----------------------------------------------------------------------------------------------------
Natural Gas (0.1%)
....................................................................................................
250,000 Tokai Corp. 144A FRB Ser. A, 9.98s, 2049 231,250
- ----------------------------------------------------------------------------------------------------
Networking (0.1%)
....................................................................................................
650,000 IXC Communications, Inc. 144A sr. sub.
notes 9s, 2008 653,250
- ----------------------------------------------------------------------------------------------------
Office Equipment (0.3%)
....................................................................................................
1,580,000 U.S. Office Products Co. 144A sr. sub
notes 9 3/4s, 2008 1,591,850
....................................................................................................
266,000 United Stationer Supply, Inc. sr. sub. notes
12 3/4s, 2005 303,240
- ----------------------------------------------------------------------------------------------------
1,895,090
- ----------------------------------------------------------------------------------------------------
Oil and Gas (2.4%)
....................................................................................................
250,000 Abraxas Petrolem Corp. 144A
11 1/2s, 2004 258,750
....................................................................................................
930,000 Chesapeake Energy Corp. 144A sr. notes
9 5/8s, 2005 932,325
....................................................................................................
320,000 Coho Energy, Inc. sr. sub. notes 8 7/8s, 2007 301,600
....................................................................................................
730,000 Costilla Energy, Inc. sr. notes 10 1/4s, 2006 740,950
....................................................................................................
370,000 Dailey Petroleum Services Corp.
company guaranty 9 1/2s, 2008 361,675
....................................................................................................
245,000 DI Industries, Inc. sr. notes 8 7/8s, 2007 235,200
....................................................................................................
330,000 Gothic Production 144A sr. notes
11 1/8s, 2005 316,800
....................................................................................................
360,000 Michael Petroleum Corp. 144A sr. notes
11 1/2s, 2005 360,000
....................................................................................................
465,000 Northern Offshore 144A company
guaranty 10s, 2005 455,700
....................................................................................................
360,000 Ocean Energy, Inc. company guaranty
Ser. B, 8 7/8s, 2007 376,200
....................................................................................................
665,000 Panaco, Inc. company guaranty Ser. B,
10 5/8s, 2004 661,675
....................................................................................................
580,000 Pogo Producing Co. sr. sub. notes Ser. B,
8 3/4s, 2007 588,700
....................................................................................................
240,000 Pride Petroleum Services, Inc. sr. notes
9 3/8s, 2007 255,600
....................................................................................................
990,000 Seven Seas Petroleum 144A sub. notes
12 1/2s, 2005 990,000
....................................................................................................
295,000 Southwest Royalties, Inc. company
guaranty 10 1/2s, 2004 247,800
....................................................................................................
1,735,000 Transamerican Energy sr. notes Ser. B,
11 1/2s, 2002 1,596,200
....................................................................................................
6,650,000 Transamerican Energy sr. disc. notes
stepped-coupon Ser. B, zero %
(13s, 6/15/99), 2002 (STP) 5,453,000
....................................................................................................
745,000 TransTexas Gas Corp. sr. sub. notes
Ser. D, 13 3/4s, 2001 819,500
....................................................................................................
500,000 Trico Marine Services, Inc. company
guaranty Ser. B, 8 1/2s, 2005 490,000
....................................................................................................
200,000 XCL Ltd. 144A company guaranty
131/2s, 2004 210,000
- ----------------------------------------------------------------------------------------------------
15,651,675
- ----------------------------------------------------------------------------------------------------
Oil Services (0.1%)
....................................................................................................
440,000 Benton Oil & Gas Co. sr. notes 9 3/8s, 2007 429,000
....................................................................................................
150,000 Newpark Resources, Inc. company guaranty
Ser. B, 8 5/8s, 2007 150,000
- ----------------------------------------------------------------------------------------------------
579,000
- ----------------------------------------------------------------------------------------------------
Packaging and Containers (0.5%)
....................................................................................................
210,000 AEP Industries, Inc. sr. sub. notes
9 7/8s, 2007 215,775
....................................................................................................
260,000 Innova S De R.L. sr. notes 12 7/8s,
2007 (Mexico) 263,900
....................................................................................................
150,000 Radnor Holdings Inc. sr. notes 10s, 2003 156,000
....................................................................................................
280,000 Radnor Holdings Corp. company
guaranty Ser. B, 10s, 2003 291,200
....................................................................................................
1,690,000 Riverwood International Corp. company
guaranty 10 7/8s, 2008 1,721,688
....................................................................................................
450,000 Riverwood International Corp. company
guaranty 10 5/8s, 2007 468,000
- ----------------------------------------------------------------------------------------------------
3,116,563
- ----------------------------------------------------------------------------------------------------
Paging (0.2%)
....................................................................................................
970,000 Metrocall, Inc. sr. sub. notes 10 3/8s, 2007 999,100
....................................................................................................
200,000 Mobile Telecommunications Tech. sr. notes
13 1/2s, 2002 229,000
....................................................................................................
215,000 Paging Network Do Brasil sr. notes
13 1/2s, 2005 (Brazil) 189,200
- ----------------------------------------------------------------------------------------------------
1,417,300
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (0.9%)
....................................................................................................
1,515,000 APP Finance II Mauritius Ltd. bonds
stepped-coupon 12s, (16s, 2/15/04),
2049 (Indonesia) (STP) 1,060,500
....................................................................................................
50,000 APP International Finance Co. notes
11 3/4s, 2005 (Netherlands) 44,500
....................................................................................................
270,000 Florida Coast Paper LLC 1st mtge. Ser. B,
12 3/4s, 2003 302,400
....................................................................................................
390,000 Huntsman Packaging Corp. company
guaranty 9 1/8s, 2007 395,850
....................................................................................................
620,000 Impac Group, Inc. 144A sr. sub. notes
10 1/8s, 2008 618,450
....................................................................................................
690,000 Indah Kiat Financial Mauritius Ltd.
company guaranty 10s, 2007 (Indonesia) 489,900
....................................................................................................
750,000 PT Pabrik Kertas Tjiwi Kimia company
guaranty 10s, 2004 (Indonesia) 525,000
....................................................................................................
1,405,000 Repap New Brunswick sr. notes
10 5/8s, 2005 (Canada) 1,419,050
....................................................................................................
285,000 Repap New Brunswick 144A sr. notes
9s, 2004 (Canada) 286,425
....................................................................................................
810,000 Stone Container Corp. 144A company
guaranty 11 1/2s, 2006 911,250
- ----------------------------------------------------------------------------------------------------
6,053,325
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (0.3%)
....................................................................................................
1,500,000 ICN Pharmaceuticals, Inc. 144A sr. notes
9 1/4s, 2005 1,597,500
....................................................................................................
420,000 PharMerica, Inc. 144A sr. sub. notes
8 3/8s, 2008 421,050
- ----------------------------------------------------------------------------------------------------
2,018,550
- ----------------------------------------------------------------------------------------------------
Publishing (0.3%)
....................................................................................................
450,000 American Media Operation, Inc. sr. sub.
notes 11 5/8s, 2004 486,000
....................................................................................................
880,000 Garden State Newspapers, Inc. sr. sub.
notes Ser. B, 8 3/4s, 2009 893,200
....................................................................................................
250,000 Perry-Judd 144A sr. sub. notes 10 5/8s, 2007 261,250
....................................................................................................
160,000 Tri State Media, Inc. 144A sr. sub.
notes 11s, 2008 162,600
....................................................................................................
160,000 Von Hoffman Press, Inc. 144A sr. sub.
notes 10 3/8s, 2007 168,800
- ----------------------------------------------------------------------------------------------------
1,971,850
- ----------------------------------------------------------------------------------------------------
Railroads (0.1%)
....................................................................................................
125,000 TFM S.A. de C.V. company guaranty
10 1/4s, 2007 (Mexico) 126,563
....................................................................................................
630,000 TFM S.A. de C.V. company guaranty
stepped-coupon zero % (11 3/4s,
6/15/02), 2009 (Mexico) (STP) 420,525
- ----------------------------------------------------------------------------------------------------
547,088
- ----------------------------------------------------------------------------------------------------
Real Estate (--%)
....................................................................................................
110,000 Bluegreen Corp. 144A sr. notes
10 1/2s, 2008 108,350
- ----------------------------------------------------------------------------------------------------
Recreation (0.1%)
....................................................................................................
950,000 Six Flags Corp. sr. notes 8 7/8s, 2006 959,500
- ----------------------------------------------------------------------------------------------------
Restaurants (0.1%)
....................................................................................................
500,000 FRD Acquisition Co. sr. notes Ser. B,
12 1/2s, 2004 547,500
- ----------------------------------------------------------------------------------------------------
Retail (1.0%)
....................................................................................................
1,060,000 Amazon.com, Inc. 144A sr. disc. notes
stepped-coupon zero %
(10s, 5/1/03), 2008 (STP) 651,900
....................................................................................................
1,310,000 Cex Holdings, Inc. 144A sr. sub. notes
9 5/8s, 2008 1,349,300
....................................................................................................
220,000 Color Spot Nurseries sr. sub. notes
10 1/2s, 2007 206,800
....................................................................................................
113,000 Guitar Center Management Co. 144A
sr. notes 11s, 2006 124,300
....................................................................................................
240,000 Home Interiors & Gifts, Inc. 144A sr. sub.
notes 10 1/8s, 2008 245,400
....................................................................................................
1,000,000 K mart Corp. notes 8 1/8s, 2006 1,037,500
....................................................................................................
400,000 K mart Corp. med. term notes 8s, 2001 406,616
....................................................................................................
250,000 K mart Corp. deb. 7 3/4s, 2012 251,875
....................................................................................................
800,000 Mothers Work, Inc. sr. notes 12 5/8s, 2005 874,000
....................................................................................................
200,000 NBTY, Inc. 144A sr. sub. notes 8 5/8s, 2007 203,000
....................................................................................................
415,000 North Atlantic Trading Co. company
guaranty Ser. B, 11s, 2004 415,000
....................................................................................................
530,000 United Stationer 144A sr. sub. notes
8 3/8s, 2008 530,000
....................................................................................................
450,000 Zale Corp. sr. notes Ser. B, 8 1/2s, 2007 463,500
- ----------------------------------------------------------------------------------------------------
6,759,191
- ----------------------------------------------------------------------------------------------------
Satellite Services (0.9%)
....................................................................................................
1,570,000 Echostar Satellite Broadcast Corp. sr. disc.
notes stepped-coupon zero %
(13 1/8s, 3/15/00), 2004 (STP) 1,442,438
....................................................................................................
375,000 Esat Holdings Ltd. 144A sr. notes
stepped-coupon zero % (12 1/2s,
2/01/02), 2007 (Ireland) (STP) 275,625
....................................................................................................
730,000 ICG Holdings, Inc. sr. disc. notes
stepped-coupon zero %
(13 1/2s, 9/15/00), 2005 (STP) 624,150
....................................................................................................
330,000 ICG Services, Inc. 144A sr. disc. notes
stepped-coupon zero %
(10s, 2/15/03), 2008 (STP) 196,350
....................................................................................................
2,110,000 ICG Services, Inc. 144A sr. disc. notes
stepped-coupon zero %,
(9 7/8s, 5/1/03), 2008 (STP) 1,305,563
....................................................................................................
550,000 Iridium LLC/Capital Corp. company
guaranty Ser. B, 14s, 2005 610,500
....................................................................................................
660,000 Iridium LLC/Capital Corp. company
guaranty Ser. A, 13s, 2005 702,900
....................................................................................................
320,000 Satelites Mexicanos S.A. de C.V. 144A
sr. notes 10 1/8s, 2004 (Mexico) 312,000
....................................................................................................
410,000 TCI Satellite Entertainment Inc. sr. sub.
notes 10 7/8s, 2007 410,000
....................................................................................................
120,000 TCI Satellite Entertainment Inc. sr. disc.
notes stepped-coupon zero %
(12 1/4s, 2/102), 2007 (STP) 81,000
- ----------------------------------------------------------------------------------------------------
5,960,526
- ----------------------------------------------------------------------------------------------------
Semiconductors (0.1%)
....................................................................................................
355,000 Fairchild Semiconductor Corp. 144A
sr. sub. notes 11.74s, 2008 406,475
....................................................................................................
340,000 Fairchild Semiconductor Corp. sr. sub.
notes 10 1/8s, 2007 350,200
- ----------------------------------------------------------------------------------------------------
756,675
- ----------------------------------------------------------------------------------------------------
Shipping (0.2%)
....................................................................................................
180,000 International Shipholding Corp. sr. notes
7 3/4s, 2007 175,950
....................................................................................................
655,000 Johnstown America Industries, Inc.
company guaranty Ser. C, 11 3/4s, 2005 725,413
....................................................................................................
290,000 MC Shipping, Inc. 144A sr. notes
11 1/4s, 2008 290,000
....................................................................................................
339,000 Viking Star Shipping sr. secd. notes
9 5/8s, 2003 340,695
- ----------------------------------------------------------------------------------------------------
1,532,058
- ----------------------------------------------------------------------------------------------------
Specialty Consumer Products (0.2%)
....................................................................................................
540,000 Decora Industries, Inc. 144A sr. sec.
notes 11s, 2005 527,850
....................................................................................................
400,000 Eye Care Centers of America 144A
sr. sub. notes 9 1/8s, 2008 394,000
....................................................................................................
420,000 Sovereign Specialty Chemical 144A
company guaranty Ser. A, 9 1/2s, 2007 430,500
- ----------------------------------------------------------------------------------------------------
1,352,350
- ----------------------------------------------------------------------------------------------------
Steel (0.3%)
....................................................................................................
640,000 Ameristeel Corp. 144A sr. notes
8 3/4s, 2008 640,000
....................................................................................................
730,000 Hylsa S.A. de C.V. 144A bonds
9 1/4s, 2007 (Mexico) 678,900
....................................................................................................
250,000 Weirton Steel Co. sr. notes 11 3/8s, 2004 266,250
- ----------------------------------------------------------------------------------------------------
1,585,150
- ----------------------------------------------------------------------------------------------------
Telecommunications (3.1%)
....................................................................................................
540,000 Barak I.T.C. sr. disc. notes stepped-coupon
Ser. B, zero % (12 1/2s, 11/15/02), 2007 (STP) 324,000
....................................................................................................
250,000 Charter Communications International, Inc.
disc. notes stepped-coupon Ser. B, zero %
(14s, 3/15/01), 2007 (STP) 205,625
....................................................................................................
165,000 Consorcio Ecuatoriano notes 14s,
2002 (Ecuador) 156,750
....................................................................................................
1,170,000 Econophone, Inc. 144A notes
stepped-coupon zero %
(11s, 2/15/03), 2008 (STP) 678,600
....................................................................................................
280,000 Esprit Teleom Group PLC sr. notes
11 1/2s, 2007 (United Kingdom) 296,800
....................................................................................................
1,080,000 Focal Communications Corp. 144A
sr. disc. notes stepped-coupon zero %
(12 1/8s, 2/15/03), 2008 (STP) 648,000
....................................................................................................
250,000 Fonorola, Inc. sr. notes 12 1/2s,
2002 (Canada) 276,875
....................................................................................................
1,510,000 GST Telecommunications, Inc. 144A
sr. disc. notes stepped-coupon zero %
(10 1/2s, 5/1/03), 2008 (STP) 906,000
....................................................................................................
595,000 Hyperion Telecommunications Corp., Inc.
sr. notes Ser. B, 12 1/4s, 2004 642,600
....................................................................................................
330,000 Hyperion Telecommunications Corp., Inc.
sr. disc. notes stepped-coupon Ser. B,
zero % (13s, 4/15/01), 2003 (STP) 245,850
....................................................................................................
850,000 Intermedia Communications, Inc.
sr. notes Ser. B, 8 7/8s, 2007 869,125
....................................................................................................
2,830,000 Intermedia Communications, Inc. 144A
sr. notes 8.6s, 2008 2,851,225
....................................................................................................
1,100,000 Intermedia Communications, Inc. sr. disc.
notes stepped-coupon Ser. B, zero %
(11 1/4s, 7/15/02), 2007 (STP) 803,000
....................................................................................................
2,000,000 International Cabletel, Inc. sr. notes
stepped-coupon Ser. B, zero %
(11 1/2s, 2/01/01), 2006 (STP) 1,650,000
....................................................................................................
1,035,000 Knology Holdings, Inc. sr. disc. notes
stepped-coupon zero % (11 7/8s,
10/15/02), 2007 (STP) 610,650
....................................................................................................
250,000 L-3 Communications Corp. sr. sub. notes
Ser. B, 10 3/8s, 2007 276,250
....................................................................................................
320,000 L-3 Communications Corp. sr. sub. notes
8 1/2s, 2008 321,200
....................................................................................................
250,000 MetroNet Communications Corp.
sr. disc. notes stepped-coupon zero %
(10 3/4s, 11/1/02), 2007 (Canada) (STP) 166,250
....................................................................................................
320,000 Microcell Telecommunications sr. disc.
notes stepped-coupon Ser. B, zero %
(14s, 12/1/01), 2006 (Canada) (STP) 239,200
....................................................................................................
180,000 Netia Holdings B.V. 144A company
guaranty 10 1/4s, 2007 (Poland) 172,350
....................................................................................................
100,000 Netia Holdings N.V. 144A Ser. B,
company guaranty stepped-coupon
zero % (11 1/4s, 11/1/01),
2007 (Poland) (STP) 67,750
....................................................................................................
500,000 Orbital Imaging Corp. 144A sr. notes
11 5/8s, 2005 515,000
....................................................................................................
1,140,000 Primus Telecom Group 144A sr. notes
9 7/8s, 2008 1,117,200
....................................................................................................
605,000 Qwest Communications International Inc.
sr. disc. notes stepped-coupon zero %
(9.47s, 10/15/02), 2007 (STP) 453,750
....................................................................................................
590,000 Qwest Communications International, Inc.
sr. disc. notes stepped-coupon zero %
(8.29s, 2/1/03), 2008 (STP) 424,800
....................................................................................................
330,000 RSL Communications, Ltd. 144A
sr. notes 9 1/8s, 2008 321,338
....................................................................................................
490,000 RSL Communications, Ltd. 144A
sr. disc. notes stepped-coupon zero%
(10 1/4s, 3/1/03) 2008 (STP) 289,100
....................................................................................................
1,060,000 Telecom Tech, Inc. 144A sr. sub. notes
9 3/4s, 2008 1,078,550
....................................................................................................
1,070,000 Teligent, Inc. sr. notes 11 1/2s, 2007 1,083,375
....................................................................................................
60,000 21st Century Telecom Group 144A
sr. disc. notes stepped-coupon zero %
(12 1/4s, 2/15/03), 2008 (STP) 33,900
....................................................................................................
660,000 WinStar Communications, Inc. sr. sub.
notes 15s, 2007 867,900
....................................................................................................
1,160,000 WinStar Communications. Inc. 144A
sr. sub. notes 10s, 2008 1,154,200
....................................................................................................
330,000 WinStar Equipment Corp. company
guaranty 12 1/2s, 2004 376,200
- ----------------------------------------------------------------------------------------------------
20,123,413
- ----------------------------------------------------------------------------------------------------
Telephone Services (1.9%)
....................................................................................................
580,000 BTI Telecom Corp. sr. notes 10 1/2s, 2007 582,900
....................................................................................................
370,000 Colt Telecommunications Group PLC
sr. disc. notes stepped-coupon zero %
(12s, 12/15/01), 2006 (United Kingdom) (STP) 292,300
....................................................................................................
320,000 E. Spire Communications, Inc. sr. notes
13 3/4s, 2007 364,800
....................................................................................................
1,695,000 E. Spire Communications, Inc. sr. disc.
notes stepped-coupon zero %
(12 3/4s, 4/1/01), 2006 (STP) 1,330,575
....................................................................................................
315,000 Facilicom International 144A sr. notes
10 1/2s, 2008 308,700
....................................................................................................
2,610,000 Global Crossing Holdings 144A sr. notes
9 5/8s, 2008 2,720,925
....................................................................................................
190,000 Globo Communicacoes 144A sr. notes
10 5/8s, 2008 (Brazil) 169,100
....................................................................................................
375,000 Globo Communicacoes 144A company
guaranty 10 1/2s, 2006 (Brazil) 343,125
....................................................................................................
350,000 GST Equipment Funding sr. notes
13 1/4s, 2007 399,875
....................................................................................................
1,160,000 GST Telecommunications, Inc. company
guaranty stepped-coupon zero %
(13 7/8s, 12/15/00), 2005 (STP) 939,600
....................................................................................................
330,000 IDT Corp. 144A sr. notes 8 3/4s, 2006 316,800
....................................................................................................
400,000 Intelcom Group (USA), Inc. company
guaranty stepped-coupon zero %
(12 1/2s, 5/1/01), 2006 (STP) 318,000
....................................................................................................
276,000 ITC Deltacom, Inc. sr. notes 11s, 2007 309,120
....................................................................................................
150,000 Level 3 Communication, Inc. 144A
sr. notes 9 1/8s, 2008 145,875
....................................................................................................
1,135,000 MGC Communications, Inc. sr. notes
Ser. B, 13s, 2004 1,146,350
....................................................................................................
347,000 MJD Communications Inc. 144A FRN
10s, 2008 350,470
....................................................................................................
430,000 MJD Communications Inc. 144A sr. sub.
notes 9 1/2s, 2008 439,675
....................................................................................................
1,070,000 NEXTLINK Communications, Inc. 144A
sr. disc. notes stepped-coupon zero %
(9.45s, 4/15/03), 2008 (STP) 658,050
....................................................................................................
500,000 NTL, Inc. sr. notes Ser. B, 10s, 2007
(United Kingdom) 535,000
....................................................................................................
1,120,000 RCN Corp. sr. disc. notes stepped-coupon
zero % (11 1/8s, 10/15/02), 2007 (STP) 719,600
....................................................................................................
250,000 Sprint Spectrum L.P. sr. notes 11s, 2006 289,375
....................................................................................................
210,000 Transtel S.A. 144A pass through certificates
12 1/2s, 2007 (Colombia) 191,100
- ----------------------------------------------------------------------------------------------------
12,871,315
- ----------------------------------------------------------------------------------------------------
Television (0.3%)
....................................................................................................
1,140,000 Granite Broadcasting Corp. 144A sr. sub.
notes 8 7/8s, 2008 1,152,825
....................................................................................................
970,000 United International Holdings sr. disc.
notes stepped-coupon Ser. B, zero %
(10 3/4s, 2/15/03), 2008 (STP) 598,975
- ----------------------------------------------------------------------------------------------------
1,751,800
- ----------------------------------------------------------------------------------------------------
Textiles (0.4%)
....................................................................................................
930,000 Galey & Lord, Inc. company guaranty
9 1/8s, 2008 897,450
....................................................................................................
165,000 Glenoit Corp. company guaranty 11s, 2007 175,725
....................................................................................................
400,000 Polymer Group, Inc. company guaranty
Ser. B, 9s, 2007 404,000
....................................................................................................
280,000 Polymer Group, Inc. 144A sr. sub.notes
8 3/4s, 2008 279,300
....................................................................................................
1,000,000 Polysindo International EKA
company guaranty 13s, 2001 (Indonesia) 380,000
....................................................................................................
450,000 Polysindo International Finance company
guaranty 11 3/8s, 2006 (Indonesia) 153,000
....................................................................................................
570,000 Westpoint Stevens, Inc. 144A sr. notes
7 7/8s, 2008 572,138
- ----------------------------------------------------------------------------------------------------
2,861,613
- ----------------------------------------------------------------------------------------------------
Transportation (0.1%)
....................................................................................................
220,000 Coach USA, Inc. 144A company guaranty
9 3/8s, 2007 228,800
....................................................................................................
620,000 Kitty Hawk, Inc. company guaranty
9.95s, 2004 652,550
- ----------------------------------------------------------------------------------------------------
881,350
- ----------------------------------------------------------------------------------------------------
Utilities (0.1%)
....................................................................................................
620,000 CMS Energy Corp. pass through
certificates 7s, 2005 605,281
....................................................................................................
410,000 Espirto Santo Centrais sr. notes 10s,
2007 (Luxembourg) 344,400
- ----------------------------------------------------------------------------------------------------
949,681
- ----------------------------------------------------------------------------------------------------
Wireless Communications (0.5%)
....................................................................................................
1,110,000 Allbritton Communications Co. sr. sub.
notes Ser. B, 8 7/8s, 2008 1,198,800
....................................................................................................
340,000 CTI Holdings S.A. 144A sr. notes
stepped-coupon zero %
(11 1/2s, 4/15/03), 2008 (STP) 188,700
....................................................................................................
940,000 Dobson Wireline Co. 144A sr. notes
12 1/4s, 2008 949,400
....................................................................................................
245,000 Telesystem International Wireless, Inc.
sr. disc. notes stepped-coupon Ser. C,
zero % (10 1/2s, 11/1/02), 2007 (STP) 145,163
....................................................................................................
1,610,000 Teligent, Inc. 144A sr. disc. notes
stepped-coupon zero %
(11 1/2s, 3/1/03), 2008 (STP) 889,525
- ----------------------------------------------------------------------------------------------------
3,371,588
- ----------------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $236,982,016) $247,729,297
- ----------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (24.5%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
U.S. Government Agency Mortgage Obligations (13.3%)
....................................................................................................
$1,553,077 Federal Home Loan Mortgage Corp. 7s,
July 1, 2012 $1,584,449
....................................................................................................
Federal National Mortgage Association
....................................................................................................
400,000 7s, TBA, July 15, 2028 405,624
....................................................................................................
223,000 6 1/2s, TBA, July 15, 2028 222,092
....................................................................................................
895,020 6 1/2s, with due dates from
March 1, 2026 to March 1, 2026 891,378
....................................................................................................
Government National Mortgage Association
....................................................................................................
9,688,193 8s, with due dates from
November 15, 2024 to
February 15, 2028 10,061,314
....................................................................................................
6,227,456 7 1/2s, with due dates from
January 15, 2023 to February 15, 2027 6,421,035
....................................................................................................
325,948 7s, April 15, 2028 331,140
....................................................................................................
31,488,733 7s, with due dates from July 20, 2024
to May 15, 2028 32,008,472
....................................................................................................
33,612,603 6 1/2s, with due dates from
February 15, 2027 to May 15, 2028 33,984,732
....................................................................................................
2,441,099 6s, July 20, 2024 2,500,601
....................................................................................................
221,668 5 1/2s, with due dates from
August 20, 2027 to April 15, 2028 223,421
- ----------------------------------------------------------------------------------------------------
88,634,258
- ----------------------------------------------------------------------------------------------------
U.S. Treasury Obligations (11.2%)
....................................................................................................
U.S. Treasury Bonds
....................................................................................................
6,670,000 6 5/8s, February 15, 2027 7,531,897
....................................................................................................
10,005,000 6 1/2s, November 15, 2026 # 11,110,252
....................................................................................................
9,020,000 6 3/8s, August 15, 2027 9,905,042
....................................................................................................
17,355,000 6 1/8s, November 15, 2027 18,596,924
....................................................................................................
U.S. Treasury Notes
....................................................................................................
2,875,000 5 3/4s, November 30 2,898,805
....................................................................................................
960,000 5 5/8s, December 31, 2002 964,195
....................................................................................................
11,770,000 5 5/8s, April 30, 2000 11,792,010
....................................................................................................
1,820,000 5 1/2s, May 31, 2003 1,820,291
....................................................................................................
9,245,000 5 1/2s, March 31, 2003 9,239,176
....................................................................................................
835,000 5 1/2s, February 28, 2003 834,349
- ----------------------------------------------------------------------------------------------------
74,692,941
- ----------------------------------------------------------------------------------------------------
Total U.S. Government and
Agency Obligations
(cost $158,984,475) $163,327,199
- ----------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BONDS AND NOTES (11.9%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
DEM 28,070,000 Germany (Federal Republic of) bonds
Ser. 98, 5 5/8s, 2028 $16,127,632
....................................................................................................
USD 1,460,000 Korea (Republic of) unsub. 8 7/8s, 2008 1,339,550
....................................................................................................
PAN 5,060,000 Panama (Republic of) bonds 3 3/4s, 2014 3,763,628
....................................................................................................
USD 174,644 Russia (Government of) deb.
principal loans FRB 6.625s, 2020 (POR) 96,709
....................................................................................................
USD 3,290,000 Russia (Government of) 144A bonds
12 3/4s, 2028 2,928,100
....................................................................................................
USD 10,165,000 Russia (Government of) deb.
principal loan FRB 6 5/8s, 2020 (POR) 4,802,963
....................................................................................................
ZAR 32,793,000 South Africa (Republic of) bonds
Ser. 153, 13s, 2010 4,810,003
....................................................................................................
GBP 7,475,000 United Kingdom Treasury bonds 8s, 2000 12,765,349
....................................................................................................
GBP 17,665,000 United Kingdom Treasury bonds
8s, 2007 32,375,644
- ----------------------------------------------------------------------------------------------------
Total Foreign Government Bonds
and Notes (cost $87,290,175) $79,009,578
- ----------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (5.8%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$1,355,000 Chase Mortgage Finance Corp. 6 3/4s,
2028 $1,363,892
....................................................................................................
1,195,000 Commercial Mortgage Acceptance Corp.
Ser. 97-ML1, Class D, 7.11s, 2030 1,218,527
....................................................................................................
1,980,000 Countrywide Mortgage Backed
Securities, Inc. Ser. 93-C, Class A8,
6 1/2s, 2024 1,944,578
....................................................................................................
Federal Mortgage Acceptance Corp.
....................................................................................................
675,000 Ser. 2040, Class PE, 7 1/2s, 2028 742,257
....................................................................................................
530,000 Ser. 1439, Class I, 7 1/2s, 2022 672,483
....................................................................................................
745,302 Ser. 1717, Class L, 6 1/2s, 2024 749,960
....................................................................................................
First Union-Lehman Brothers
Commercial Mortgage
....................................................................................................
1,380,000 Ser. 97-C2, Class A2, 6.6s, 2007 1,410,834
....................................................................................................
2,840,000 Ser. 97-C2, Class A3, 6.65s, 2007 2,914,994
....................................................................................................
1,935,000 Ser. 97-C2, Class D, 7.12s, 2012 1,957,978
....................................................................................................
4,100,000 Ser. 98-C2, Class D, 6.778s, 2013 4,020,563
....................................................................................................
56,706,410 Ser. 98-C2, Class IO, 0.815s, 2028 2,578,370
....................................................................................................
855,000 Government National Mortgage
Association
....................................................................................................
Ser. 97-8 Class PE, 7 1/2s, 2027 935,156
....................................................................................................
GS Mortgage Securities Corp. II
....................................................................................................
1,930,000 Ser. 98-GLII, Class A2, 6.562s, 2031 1,970,409
....................................................................................................
1,055,000 Ser. 98-GLII, Class D, 7.191s, 2031 1,072,473
....................................................................................................
3,495,000 Mortgage Capital Funding, Inc.
Ser. 98-MC1, Class A2, 6.663s, 2008 3,597,666
....................................................................................................
499,000 Merrill Lynch Mortgage Investors, Inc.
Ser. 98-C2, Class D, 6.96s, 2030 506,719
....................................................................................................
595,000 Morgan Stanley Capital I Ser. 98-XL1,
Class E, 6.988s, 2030 610,247
....................................................................................................
2,145,014 PNC Mortgage Securities Corp. Ser. 97-6,
Class A2, 6.6s, 2027 2,152,388
....................................................................................................
745,000 Prudential Home Mortgage Securities
Ser. 93-57, Class A4, 5.9s, 2023 740,254
....................................................................................................
3,106,955 Residential Asset Securitization Trust
Ser. 98-A8, Class A8, 6 3/4s, 2028 3,132,199
....................................................................................................
3,260,000 Residential Funding Mortgage Securities
Ser. 98, Class SB, 6 3/4s, 2008 3,257,979
....................................................................................................
923,856 Rural Housing Trust Ser. 87-1, Class D,
6.33s, 2026 926,739
- ----------------------------------------------------------------------------------------------------
Total Collateralized Mortgage
Obligations (cost $33,727,128) $38,376,665
- ----------------------------------------------------------------------------------------------------
BRADY BONDS (7.5%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$11,280,000 Argentina (Republic of) Ser. L-GP,
stepped-coupon 5 3/4s, (6s, 3/31/99),
2023 (STP) $8,390,064
....................................................................................................
1,000 Brazil (Republic of) bonds 10 1/8s, 2027 932
....................................................................................................
13,939,922 Brazil (Government of) stepped-coupon
5s, (8s, 4/30/00), 2014 (STP) 10,280,693
....................................................................................................
10,795,000 Bulgaria (Government of) Ser. A, FRB
2 1/4s, 2012 6,638,925
....................................................................................................
4,050,000 Ivory Coast - FLIRB collateralized FRB
2s, 2018 198,005
....................................................................................................
4,050,000 Ivory Coast - PDI bonds FRB 1.9s, 2018 230,588
....................................................................................................
8,540,000 Peru (Government of) 144A Ser. PDI,
4s, 2017 5,263,202
....................................................................................................
4,008,000 Philippines (Government of) Ser. B,
6 1/2s, 2017 3,517,020
....................................................................................................
14,035,000 United Mexican States sec. Ser. B,
6 1/4s, 2019 11,613,963
....................................................................................................
5,050,000 Venezuela (Government of) Ser. A,
6 3/4s, 2020 4,065,250
- ----------------------------------------------------------------------------------------------------
Total Brady Bonds
(cost $59,905,472) $50,198,642
- ----------------------------------------------------------------------------------------------------
PREFERRED STOCKS (3.3%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
9,682 AmeriKing, Inc. $3.25 pfd. (PIK) $261,414
....................................................................................................
123 Anvil Holdings Ser. B, $3.25 pfd. (PIK) 3,014
....................................................................................................
2,608 Capstar Broadcasting, Inc. 144A
$12.00 pfd. (PIK) 296,008
....................................................................................................
36,699 CGA Group Ltd. 144A Ser. A,
$13.75 pfd. (PIK) 1,027,572
....................................................................................................
6,390 Chevy Chase Capital Corp. Ser. A,
$5.188 pfd. 354,645
....................................................................................................
4,475 Citadel Broadcasting, Inc. 144A
$13.25 cum. pfd. (PIK) 528,050
....................................................................................................
310 Concentric Network Corp. 144A
$13.50 pfd. (PIK) 308,450
....................................................................................................
13,402 CSC Holdings, Inc. Ser. M, $11.125 cum. (PIK) 1,541,230
....................................................................................................
17,000 Diva Systems Corp. Ser. C, $6.00 pfd. 272,000
....................................................................................................
11,360 Diva Systems Corp. Ser. C, $6.00 pfd. 181,760
....................................................................................................
514 Dobson Communications 144A
$12.25 pfd. (PIK) 565,400
....................................................................................................
174 Echostar Communications, Inc. $12.125 pfd. 193,140
....................................................................................................
243 El Paso Electric Co. $11.40 pfd (PIK) 26,973
....................................................................................................
10,600 Fitzgeralds Gaming Co. $3.75 pfd. 318,000
....................................................................................................
475,000 Fresenius Medical Care AG Ser. D,
$9.00 pfd. (Germany) 495,188
....................................................................................................
50 Grand Union Holdings 144A Ser. C,
$12.00 pfd. 1
....................................................................................................
116 Hyperion Telecommunications Ser. B,
$12.875 pfd. (PIK) 115,420
....................................................................................................
1,785 ICG Holdings, Inc. $14.25 pfd. (Canada) 2,168,775
....................................................................................................
628 Intermedia Communication Ser. B,
$13.50 pfd. (PIK) 717,440
....................................................................................................
765 IXC Communications, Inc. $12.50 pfd. (PIK) 887,400
....................................................................................................
40,000 Loewen Group, Inc. Ser. A, $2.36 pfd. 1,082,500
....................................................................................................
6,471 Nebco Evans Holding Co. 144A
11.25% pfd. 660,042
....................................................................................................
4,117 NEXTEL Communications, Inc. Ser. D,
$13.00 cum. pfd. (PIK) 4,683,088
....................................................................................................
15,044 Nextlink Communications, Inc. 144A
$7.00 pfd. 891,357
....................................................................................................
98 Paxson Communications Corp. 144A
13.25% pfd. (PIK) 980,000
....................................................................................................
29,996 Public Service Co. of New Hampshire
$2.65 1st mtge. pfd. 794,894
....................................................................................................
5,294 SFX Broadcasting, Inc. Ser. E, $12.625 pfd. (PI 629,986
....................................................................................................
930 Spanish Broadcasting Systems
$14.25 cum. pfd. 985,800
....................................................................................................
3,950 Von Hoffman Corp. 144A $13.50 pfd. 130,350
....................................................................................................
715 WinStar Communications, Inc. 144A
$14.25 pfd. 850,850
- ----------------------------------------------------------------------------------------------------
Total Preferred Stocks
(cost $20,086,911) $21,950,747
- ----------------------------------------------------------------------------------------------------
UNITS (2.8%) *
- ----------------------------------------------------------------------------------------------------
Number of Units Value
....................................................................................................
455 American Mobile Satellite Corp. 144A
units 12 1/4s, 2008 $423,150
....................................................................................................
840 Australis Media, Ltd. units stepped-coupon
zero % (15 3/4s, 5/15/00), 2003
(In Default) (Australia) (NON) (STP) 40,950
....................................................................................................
250 Bell Tech Ltd. 144A units 13s, 2005 252,500
....................................................................................................
410 Bestel S.A. de C.V. units, stepped-coupon
zero % (12 3/4s, 5/15/03), 2005 (STP) 276,750
....................................................................................................
410 Birch Telecom, Inc. 144A units 14s, 2008 410,513
....................................................................................................
80 Celcaribe S.A. 144A units 13 1/2s,
2004 (Columbia) 1,692,000
....................................................................................................
395 Club Regina/CS Resort, Inc. 144A units
13s, 2004 420,675
....................................................................................................
1,435 Diva Systems Corp. 144A units
stepped-coupon zero %
(12 5/8s, 3/1/03), 2008 (STP) 674,450
....................................................................................................
2,480 DTI Holdings, Inc. units stepped-coupon
zero % (12 1/2s, 3/1/03), 2008 (STP) 1,339,200
....................................................................................................
1,790 Firstworld Communication units
stepped-coupon zero %
(13s, 4/15/03), 2008 (STP) 796,550
....................................................................................................
1,750 KMC Telecom Holdings, Inc. units
stepped-coupon zero %
(12 1/2s, 2/15/03), 2008 (STP) 1,045,625
....................................................................................................
1,110 Long Distance International, Inc. 144A
units 12 1/4s, 2008 1,129,425
....................................................................................................
655 Mediq 144A units, stepped-coupon
zero % (13s, 6/1/09), 2009 (STP) 360,250
....................................................................................................
235 Onepoint Communications, Inc. units
14 1/2s, 2008 220,900
....................................................................................................
795 Pathnet, Inc. 144A units 12 1/4s, 2008 842,700
....................................................................................................
760 Pegasus Shipping company guaranty
14 1/2s, 2008 380,000
....................................................................................................
1,190 Rhythms Netcon 144A units
stepped-coupon zero %
(13 1/2s, 5/15/03), 2008 (STP) 583,100
....................................................................................................
750 Signature Brands USA, Inc. units 13s, 2002 847,500
....................................................................................................
950 Startec Global Communications Corp.
units 12s, 2008 923,875
....................................................................................................
325 Stone Container Corp. units sr. sub.
12 1/4s, 2002 336,375
....................................................................................................
615 Transam Refinance, Inc. 144A units
16s, 2003 633,450
....................................................................................................
1,000,000 United Artist Term Loan B 8.437s, 2006 1,001,250
....................................................................................................
440 Versatel Teleco units 13 1/4s, 2008 462,000
....................................................................................................
1,470 Viatel, Inc. 144A units 11 1/4s, 2008 1,543,500
....................................................................................................
1,700,000 WinStar Communications, Inc. 144A
sr. disc. units stepped-coupon zero %
(14s, 10/15/00), 2005 (STP) 1,411,000
....................................................................................................
520 Wireless One, Inc. units stepped-coupon
zero % (13 1/2s, 8/1/01), 2006 (STP) 52,000
....................................................................................................
650 XCL Ltd. units sr. sec. notes 13 1/2s, 2004 734,500
- ----------------------------------------------------------------------------------------------------
Total Units (cost $18,095,717) $18,834,188
- ----------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (0.7%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$1,034,000 Chemical Master Credit Card Trust
Ser. 95-2, Class A, 6.23s, 2003 $1,041,104
....................................................................................................
525,000 Contimortgage Home Equity Loan Trust
Ser. 97-1, Class M2, 7.67s, 2025 533,531
....................................................................................................
2,385,000 Green Tree Financial Corp. Ser. 98-2,
Class A5, 6.24s, 2016 2,399,161
....................................................................................................
787,500 Green Tree Recreational Equipment &
Cons Ser. 97-B, Class A1, 6.55s, 2028 794,145
- ----------------------------------------------------------------------------------------------------
Total Asset-Backed Securities
(cost $4,765,487) $4,767,941
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (0.7%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$535,000 APP Global Finance (V) Ltd. 144A
cv. sec. 2s, 2000 (United Kingdom) $468,125
....................................................................................................
1,540,000 APP Global Finance Ltd. 144A
cv. company guaranty 3 1/2s, 2003 1,220,450
....................................................................................................
500,000 Corporate Express, Inc. cv. notes
4 1/2s, 2000 460,000
....................................................................................................
500,000 Exide Corp. 144A cv. sr. sub. notes
2.9s, 2005 322,500
....................................................................................................
145,000 GST Telecommunications, Inc. cv. sr. disc.
notes stepped-coupon zero %
(13 7/8s, 12/15/00), 2005 (STP) 230,550
....................................................................................................
500,000 Integrated Device Technology, Inc.
cv. sub. notes 5 1/2s, 2002 412,500
....................................................................................................
300,000 Jacor Communications, Inc. cv. sr. notes
zero %, 2011 249,375
....................................................................................................
170,000 National Semiconductor Corp. 144A
cv. deb. 6 1/2s, 2002 155,125
....................................................................................................
125,000 NovaCare, Inc. cv. sub. deb. 5 1/2s, 2000 119,063
....................................................................................................
600,000 WinStar Communications. Inc. 144A
cv. sr. disc. notes stepped-coupon zero %
(14s, 10/15/00), 2005 (STP) 1,032,000
- ----------------------------------------------------------------------------------------------------
Total Convertible Bonds and Notes
(cost $4,100,792) $4,669,688
- ----------------------------------------------------------------------------------------------------
COMMON STOCKS (0.3%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
17,080 American Mobile Satellite Corp. (NON) $166,530
....................................................................................................
200 AmeriKing, Inc. (NON) 10,400
....................................................................................................
14,720 CellNet Data Systems, Inc. (NON) 142,600
....................................................................................................
14,150 Chattem, Inc. (NON) 378,513
....................................................................................................
9,224 Chesapeake Energy Corp. (NON) 36,896
....................................................................................................
4,500 Exide Corp. 75,656
....................................................................................................
4,852 Hedstrom Holdings, Inc. 144A 6,065
....................................................................................................
9,604 NEXTEL Communications, Inc. Class A (NON) 238,900
....................................................................................................
215 Paging Do Brazil Holdings Co., LLC 144A
Class B (Brazil) (NON) 2
....................................................................................................
61 Premium Holdings (L.P.) 144A (NON) 244
....................................................................................................
52,810 PSF Holdings LLC Class A (acquired
various dates 3/15/95 to 3/17/95
cost $1,832,982) (RES) 925,231
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $2,735,693) $1,981,037
- ----------------------------------------------------------------------------------------------------
WARRANTS (0.2%) * (NON)
- ----------------------------------------------------------------------------------------------------
Number of Warrants Expiration Date Value
....................................................................................................
960 Allegiance Telecom, Inc. 2/3/08 $2,400
....................................................................................................
5,000 Becker Gaming Corp. 144A 11/15/00 50
....................................................................................................
2,275 Capital Gaming International, Inc. 2/1/99 91
....................................................................................................
2,575 Cellnet Data Systems, Inc. 9/15/07 144,200
....................................................................................................
36,500 CGA Group Ltd. 144A 1/1/04 730
....................................................................................................
370 Colt Telecommunications
Group PLC 12/31/06 92,500
....................................................................................................
1,100 Comunicacion Cellular 144A
(Colombia) 11/15/20 77,000
....................................................................................................
160 Concentric Network Corp. 12/15/07 21,600
....................................................................................................
6,075 Consorcio Ecuatoriano 144A
(Equador) 10/1/00 3,038
....................................................................................................
100 County Seat Holdings, Inc. 10/15/98 2
....................................................................................................
515 Diva Systems Corp. 5/15/06 164,800
....................................................................................................
10 E. Spire Communications, Inc. 11/1/05 1,510
....................................................................................................
420 Epic Resorts 6/15/05 4
....................................................................................................
375 Esat Holdings, Inc. (Ireland) 1/1/04 13,125
....................................................................................................
450 Fitzgerald Gaming Co. 144A 3/15/99 45
....................................................................................................
7,087 Fitzgeralds Gaming Co. 12/19/98 71
....................................................................................................
450 Foamex (L.P.) Capital Corp.
144A 7/1/99 2,700
....................................................................................................
300 Globalstar Telecom 144A 2/15/04 33,000
....................................................................................................
750 Hyperion Telecommunications
144A 4/15/01 72,750
....................................................................................................
5,181 Intelcom Group 144A 10/15/05 165,792
....................................................................................................
650 Interact Systems, Inc. 8/1/03 163
....................................................................................................
400 Intermedia Communications 6/1/00 62,000
....................................................................................................
270 International Wireless
Communications Holdings
144A 8/15/01 270
....................................................................................................
650 Iridium World Com 144A 7/15/05 139,750
....................................................................................................
1,035 Knology Holdings, Inc. 144A 10/15/07 1,553
....................................................................................................
678 Louisiana Casino Cruises, Inc.
144A 12/1/98 35,934
....................................................................................................
1,660 McCaw International Ltd. 4/15/07 4,150
....................................................................................................
1,135 MGC Communications, Inc.
144A 10/1/04 68,100
....................................................................................................
1,500 NEXTEL Communications, Inc. 1/1/99 1,740
....................................................................................................
500 Orbital Imaging Corp. 144A 3/1/05 22,500
....................................................................................................
585 Orion Network Systems 1/15/07 7,020
....................................................................................................
460 Pagemart, Inc. 144A 12/31/03 3,680
....................................................................................................
960 Paxson Communications Corp.
144A 6/30/03 10
....................................................................................................
4,194 President Riverboat
Casinos, Inc. 9/30/99 2,097
....................................................................................................
410 RSL Communications Ltd. 11/15/06 41,486
....................................................................................................
415 Spanish Broadcasting Systems
144A 6/30/99 85,075
....................................................................................................
235 Sterling Chemicals Holdings 8/15/08 5,640
....................................................................................................
1,390 UIH Australia/Pacific, Inc. 144A 5/15/06 20,850
....................................................................................................
440 Urohealth Systems, Inc. 4/10/04 4
- ----------------------------------------------------------------------------------------------------
Total Warrants
(cost $651,282) $1,297,430
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.2%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
$2,910 Chesapeake Energy Corp. 144A $3.50
cv. cum. pfd. $122,948
....................................................................................................
20,000 Kelly Oil & Gas Corp. $2.625 cv. pfd. 460,000
....................................................................................................
30 Paxson Communications Corp. 144A
9.75% cv. pfd. (PIK) 300,000
....................................................................................................
2,933 XCL Ltd. 144A $9.50 cum. cv. pfd. 316,764
- ----------------------------------------------------------------------------------------------------
Total Convertible Preferred Stocks
(cost $1,205,790) $1,199,712
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (6.0%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$21,625,000 U.S. Dollar GKO Pass Through Structured
Note (Issued by Deutsche Bank. The
principal at redemption is linked to the
bid price for the Russian Treasury Bill at
maturity, and the change in the spot rate
of the Russian Ruble from issue date
to maturity date) zero %,
October 28, 1998 $2,817,738
....................................................................................................
36,997,000 Interest in $750,000,000 joint
repurchase agreement dated
June 30, 1998 with Goldman, Sachs
& Co. due July 1, 1998 with respect
to various U.S. Treasury obligations -
maturity value of $37,002,961 for
an effective yield of 5.8% 37,002,961
- ----------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $40,241,538) $39,820,699
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $668,772,476) *** $673,162,823
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Buy at June 30, 1998 (Unaudited)
(aggregate face value $113,450,716)
- ----------------------------------------------------------------------------------------------------
Unrealized
Market Aggregate Delivery Appreciation/
Value Face Value Date (Depreciation)
....................................................................................................
Australian Dollars $276,889 $278,820 9/16/98 $(1,931)
....................................................................................................
Danish Krone 2,691,867 2,741,932 9/16/98 (50,065)
....................................................................................................
Deutschemarks 40,937,330 41,798,841 9/16/98 (861,511)
....................................................................................................
Italian Lira 11,172,038 11,314,212 9/16/98 (142,174)
....................................................................................................
Japanese Yen 45,088,053 44,831,131 9/16/98 256,922
....................................................................................................
Spanish Peseta 4,211,270 4,297,007 9/16/98 (85,737)
....................................................................................................
Swedish Krona 8,013,761 8,182,626 9/16/98 (168,865)
....................................................................................................
Swiss Franc 5,938 6,147 9/16/98 (209)
- ----------------------------------------------------------------------------------------------------
$(1,053,570)
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell at June 30, 1998 (Unaudited)
(aggregate face value $133,962,398)
- ----------------------------------------------------------------------------------------------------
Unrealized
Market Aggregate Delivery Appreciation/
Value Face Value Date (Depreciation)
....................................................................................................
British Pounds $44,974,936 $43,949,652 9/16/98 $(1,025,284)
....................................................................................................
Deutschemarks 52,917,605 53,897,573 9/16/98 979,968
....................................................................................................
French Franc 452,414 462,851 9/16/98 10,437
....................................................................................................
Italian Lira 1,992,095 2,020,760 9/16/98 28,665
....................................................................................................
Japanese Yen 27,626,066 27,432,545 9/16/98 (193,521)
....................................................................................................
South African Rand 4,942,296 5,623,029 9/16/98 680,733
....................................................................................................
Swedish Krona 564,171 575,988 9/16/98 11,817
- ----------------------------------------------------------------------------------------------------
$492,815
- ----------------------------------------------------------------------------------------------------
Futures Contracts Outstanding at June 30, 1998 (Unaudited)
- ----------------------------------------------------------------------------------------------------
Unrealized
Total Aggregate Expiration Appreciation/
Value Face Value Date (Depreciation)
....................................................................................................
US Treasury Bonds
20yr (long) $24,718,750 $24,289,068 Sep-98 $429,682
....................................................................................................
US Treasury Notes
10yr (short) 20,491,875 20,323,125 Sep-98 (168,750)
....................................................................................................
Municipal Bond
Index (long) 1,991,500 1,977,770 Sep-98 13,730
....................................................................................................
US Treasury Notes
10yr (short) 1,977,500 1,982,250 Sep-98 4,750
....................................................................................................
Euro Deutschemark
Liffe (long) 12,080,470 12,067,815 Mar-99 12,655
....................................................................................................
Euro Lira
Liffe (short) 12,261,729 12,238,333 Mar-99 (23,396)
- ----------------------------------------------------------------------------------------------------
$268,671
- ----------------------------------------------------------------------------------------------------
Diversification by Country (Unaudited)
- ----------------------------------------------------------------------------------------------------
Distribution of investments by country of issue at
June 30, 1998: (as percentage of Market Value)
- ----------------------------------------------------------------------------------------------------
Argentina 1.4%
....................................................................................................
Brazil 1.6
....................................................................................................
Bulgaria 1.0
....................................................................................................
Canada 1.0
....................................................................................................
Germany 2.5
....................................................................................................
Mexico 2.1
....................................................................................................
Russia 1.2
....................................................................................................
United Kingdom 7.3
....................................................................................................
United States 76.8
....................................................................................................
Other 5.1
- ----------------------------------------------------------------------------------------------------
Total 100.0%
- ----------------------------------------------------------------------------------------------------
See page 113 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL HIGHLIGHTS
</TABLE>
<TABLE>
Putnam VT The George Putnam Fund of Boston
Portfolio of investments owned
June 30, 1998 (Unaudited)
<CAPTION>
COMMON STOCKS (57.5%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Aerospace and Defense (0.4%)
....................................................................................................
700 Lockheed Martin Corp. $74,113
- ----------------------------------------------------------------------------------------------------
Automotive (1.8%)
....................................................................................................
1,550 Dana Corp. 82,925
....................................................................................................
2,300 Ford Motor Co. 135,700
....................................................................................................
1,340 Goodyear Tire & Rubber Co. (The) 86,346
- ----------------------------------------------------------------------------------------------------
304,971
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (2.1%)
....................................................................................................
1,000 Caterpillar, Inc. 52,875
....................................................................................................
1,300 Cooper Industries, Inc. 71,419
....................................................................................................
1,800 Deere (John) & Co. 95,175
....................................................................................................
1,100 Minnesota Mining & Manufacturing Co. 90,406
....................................................................................................
1,400 Owens-Illinois, Inc. (NON) 62,650
- ----------------------------------------------------------------------------------------------------
372,525
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (2.4%)
....................................................................................................
1,400 Hewlett-Packard Co. 83,825
....................................................................................................
1,200 IBM Corp. 137,775
....................................................................................................
1,800 Pitney Bowes, Inc. 86,625
....................................................................................................
1,000 Xerox Corp. 101,625
- ----------------------------------------------------------------------------------------------------
409,850
- ----------------------------------------------------------------------------------------------------
Cable Television (0.6%)
....................................................................................................
2,500 Comcast Corp. Special Class A 101,484
- ----------------------------------------------------------------------------------------------------
Chemicals (1.6%)
....................................................................................................
2,500 du Pont (E.I.) de Nemours & Co., Ltd. 186,563
....................................................................................................
1,400 Eastman Chemical Co. 87,150
- ----------------------------------------------------------------------------------------------------
273,713
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (0.9%)
....................................................................................................
1,065 Computer Associates International, Inc. 59,174
....................................................................................................
2,440 Electronic Data Systems Corp. 97,600
- ----------------------------------------------------------------------------------------------------
156,774
- ----------------------------------------------------------------------------------------------------
Conglomerates (0.7%)
....................................................................................................
1,100 Temple Inland, Inc. (NON) 59,263
....................................................................................................
1,000 TRW, Inc. 54,625
- ----------------------------------------------------------------------------------------------------
113,888
- ----------------------------------------------------------------------------------------------------
Consumer Durable Goods (0.3%)
....................................................................................................
1,500 Hasbro, Inc. 58,969
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (1.8%)
....................................................................................................
1,000 Colgate-Palmolive Co. 88,000
....................................................................................................
1,900 Kimberly-Clark Corp. 87,163
....................................................................................................
3,700 Philip Morris Cos., Inc. 145,688
- ----------------------------------------------------------------------------------------------------
320,851
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (1.9%)
....................................................................................................
1,200 Eaton Corp. 93,300
....................................................................................................
1,900 Emerson Electric Co. 114,713
....................................................................................................
2,100 Texas Instruments, Inc. 122,456
- ----------------------------------------------------------------------------------------------------
330,469
- ----------------------------------------------------------------------------------------------------
Entertainment (0.5%)
....................................................................................................
1,100 Time Warner, Inc. 93,981
- ----------------------------------------------------------------------------------------------------
Food and Beverages (3.3%)
....................................................................................................
1,800 Anheuser-Busch Cos., Inc. 84,938
....................................................................................................
2,900 ConAgra, Inc. 91,894
....................................................................................................
1,300 General Mills, Inc. 88,888
....................................................................................................
1,700 Heinz (H.J.) Co. 95,413
....................................................................................................
1,200 Nabisco Holdings Corp. Class A 43,275
....................................................................................................
1,400 Sara Lee Corp. 78,313
....................................................................................................
3,900 Whitman Corp. 89,456
- ----------------------------------------------------------------------------------------------------
572,177
- ----------------------------------------------------------------------------------------------------
Forest Products (0.7%)
....................................................................................................
2,600 Weyerhaeuser Co. 120,088
- ----------------------------------------------------------------------------------------------------
Health Care (1.9%)
....................................................................................................
2,400 Columbia/HCA Healthcare Corp. 69,900
....................................................................................................
1,300 Merck & Co., Inc. 173,875
....................................................................................................
1,300 Wellpoint Health Networks, Inc. (NON) 96,200
- ----------------------------------------------------------------------------------------------------
339,975
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (12.9%)
....................................................................................................
1,200 Allstate Corp. 109,875
....................................................................................................
1,900 American General Corp. 135,256
....................................................................................................
1,120 BankAmerica Corp. 96,810
....................................................................................................
1,700 BankBoston Corp. 94,563
....................................................................................................
400 Bankers Trust New York Corp. (CUS) 46,425
....................................................................................................
1,500 Charter One Financial, Inc. 50,531
....................................................................................................
1,250 CIGNA Corp. 86,250
....................................................................................................
1,260 Citicorp 188,055
....................................................................................................
500 Crestar Financial Corp. 27,281
....................................................................................................
1,700 Federal National Mortgage Association 103,275
....................................................................................................
1,600 First Chicago NBD Corp. 141,800
....................................................................................................
2,100 First Union Corp. 122,325
....................................................................................................
700 Firstar Corp. 26,600
....................................................................................................
1,130 Fleet Financial Group, Inc. 94,355
....................................................................................................
1,100 Hartford Financial Services Group (ITT) 125,813
....................................................................................................
2,300 Keycorp 81,938
....................................................................................................
820 Morgan (J.P.) & Co., Inc. 96,043
....................................................................................................
1,100 Morgan Stanley, Dean Witter,
Discover and Co. 100,513
....................................................................................................
2,200 NationsBank Corp. 168,300
....................................................................................................
3,300 Norwest Corp. 123,338
....................................................................................................
1,800 PNC Bank Corp. 96,863
....................................................................................................
200 Reliastar Financial Corp. 9,600
....................................................................................................
1,750 Synovus Financial Corp. 41,563
....................................................................................................
1,900 Washington Mutual, Inc. 82,531
- ----------------------------------------------------------------------------------------------------
2,249,903
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (0.8%)
....................................................................................................
2,700 Baxter International, Inc. 145,294
- ----------------------------------------------------------------------------------------------------
Oil and Gas (6.2%)
....................................................................................................
2,900 Amoco Corp. 120,713
....................................................................................................
1,600 British Petroleum PLC ADR
(United Kingdom) 141,200
....................................................................................................
1,500 Elf Aquitane ADR (France) 106,500
....................................................................................................
1,750 Enron Corp. 94,609
....................................................................................................
2,700 Exxon Corp. 192,544
....................................................................................................
1,200 Kerr-McGee Corp. 69,450
....................................................................................................
2,100 Mobil Corp. 160,913
....................................................................................................
1,900 Sonat, Inc. 73,388
....................................................................................................
1,800 Total Corp. ADR (France) 117,675
- ----------------------------------------------------------------------------------------------------
1,076,992
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (0.1%)
....................................................................................................
700 Chesapeake Corp. 27,256
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (2.8%)
....................................................................................................
3,400 American Home Products Corp. 175,950
....................................................................................................
1,400 Bristol-Myers Squibb Co. 160,913
....................................................................................................
3,100 Pharmacia & Upjohn, Inc. 142,988
- ----------------------------------------------------------------------------------------------------
479,851
- ----------------------------------------------------------------------------------------------------
Publishing (0.6%)
....................................................................................................
1,200 McGraw-Hill, Inc. 97,875
- ----------------------------------------------------------------------------------------------------
REIT's (Real Estate Investment Trust) (0.9%)
....................................................................................................
1,200 Duke Realty Investments, Inc. 28,350
....................................................................................................
1,100 Equity Residential Properties Trust 52,181
....................................................................................................
1,700 Starwood Lodging Trust 82,131
- ----------------------------------------------------------------------------------------------------
162,662
- ----------------------------------------------------------------------------------------------------
Retail (1.5%)
....................................................................................................
1,600 May Department Stores Co. 104,800
....................................................................................................
1,400 Sears, Roebuck & Co. 85,488
....................................................................................................
3,300 Toys "R" Us, Inc. (NON) 77,756
- ----------------------------------------------------------------------------------------------------
268,044
- ----------------------------------------------------------------------------------------------------
Telecommunications (0.4%)
....................................................................................................
470 Cincinnati Bell, Inc. 13,454
....................................................................................................
1,100 U S West, Inc. 51,700
- ----------------------------------------------------------------------------------------------------
65,154
- ----------------------------------------------------------------------------------------------------
Transportation (3.0%)
....................................................................................................
1,230 Burlington Northern Santa Fe Corp. (NON) 120,771
....................................................................................................
800 Delta Air Lines, Inc. 103,400
....................................................................................................
1,680 FDX Corp. 105,420
....................................................................................................
2,800 Ryder System, Inc. 88,375
....................................................................................................
1,300 UAL Corp. (NON) 101,400
- ----------------------------------------------------------------------------------------------------
519,366
- ----------------------------------------------------------------------------------------------------
Utilities (7.4%)
....................................................................................................
2,000 American Telephone & Telegraph Co. 114,250
....................................................................................................
3,500 Ameritech Corp. 157,063
....................................................................................................
1,700 BellSouth Corp. 114,113
....................................................................................................
1,900 Duke Energy Corp. 112,575
....................................................................................................
1,600 Entergy Corp. 46,000
....................................................................................................
2,200 GTE Corp. 122,375
....................................................................................................
2,400 OGE Energy Corp. 64,800
....................................................................................................
1,800 P P & L Resources, Inc. 40,838
....................................................................................................
1,600 Potomac Electric Power Co. 40,100
....................................................................................................
2,600 SBC Communications, Inc. 104,000
....................................................................................................
2,900 Sempra Energy (NON) 80,475
....................................................................................................
3,500 Southern Co. 96,906
....................................................................................................
1,300 Sprint Corp. 91,650
....................................................................................................
2,300 Texas Utilities Co. 95,738
- ----------------------------------------------------------------------------------------------------
1,280,883
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $10,047,167) $10,017,108
- ----------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (18.3%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
U.S. Treasury Obligations (18.3%)
....................................................................................................
U.S. Treasury Notes
....................................................................................................
$90,000 5 3/4s, April 30, 2003 $90,886
....................................................................................................
10,000 5 5/8s, May 15, 2008 10,136
....................................................................................................
2,070,000 5 1/2s, May 31, 2003 2,070,824
....................................................................................................
910,000 5 1/2s, March 31, 2003 909,427
....................................................................................................
30,000 5 1/2s, May 31, 2000 29,995
....................................................................................................
70,000 5 1/2s, March 31, 2000 69,978
- ----------------------------------------------------------------------------------------------------
Total U.S. Government and
Agency Obligations (cost $3,168,680) $3,181,246
- ----------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES (4.5%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
Aerospace and Defense (0.1%)
....................................................................................................
$25,000 Raytheon Co notes 6.45s, 2002 $25,248
- ----------------------------------------------------------------------------------------------------
Automotive (0.1%)
....................................................................................................
25,000 Hertz Corp. sr. notes 7s, 2028 25,130
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (0.2%)
....................................................................................................
25,000 Dell Computer Corp. deb. 7.1s, 2028 25,536
- ----------------------------------------------------------------------------------------------------
Conglomerates (0.4%)
....................................................................................................
20,000 Canadian Pacific Ltd. deb. 9.45s, 2021
(Canada) 26,052
....................................................................................................
30,000 Tyco International Ltd. company guaranty
6 3/8s, 2005 30,076
....................................................................................................
15,000 Tyco International Ltd. company guaranty
6 1/4s, 2003 14,964
- ----------------------------------------------------------------------------------------------------
71,092
- ----------------------------------------------------------------------------------------------------
Entertainment (0.2%)
....................................................................................................
25,000 Time Warner Entertainment sr. notes
8 3/8s, 2033 29,665
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (1.2%)
....................................................................................................
25,000 Allstate Financing II company guaranty
7.83s, 2045 26,498
....................................................................................................
25,000 Executive Risk Capital Trust company
guaranty Ser. B, 8.675s, 2027 27,107
....................................................................................................
25,000 First Financial Caribbean Corp. sr. notes
7.84s, 2006 26,386
....................................................................................................
24,000 Lehman Brothers Holdings, Inc. notes
6 1/2s, 2002 24,224
....................................................................................................
25,000 Markel Capital Trust I company guaranty
Ser. B, 8.71s, 2046 26,759
....................................................................................................
25,000 Peoples Bank- Bridgeport sub. notes
7.2s, 2006 25,963
....................................................................................................
25,000 St. Paul Bancorp sr. notes 7 1/8s, 2004 25,847
....................................................................................................
25,000 Trenwick Capital Trust I company guaranty
8.82s, 2037 27,681
- ----------------------------------------------------------------------------------------------------
210,465
- ----------------------------------------------------------------------------------------------------
Oil and Gas (0.5%)
....................................................................................................
35,000 Coastal Corp. bonds 6.95s, 2028 34,606
....................................................................................................
25,000 Global Marine Inc. notes 7s, 2028 25,223
....................................................................................................
25,000 Petro Geo-Services AS ADR notes
7 1/2s, 2007 (Norway) 26,601
- ----------------------------------------------------------------------------------------------------
86,430
- ----------------------------------------------------------------------------------------------------
Publishing (0.2%)
....................................................................................................
25,000 News America Holdings, Inc. deb. 7.7s, 2025 26,865
- ----------------------------------------------------------------------------------------------------
Real Estate (0.3%)
....................................................................................................
25,000 Equity Residential Properties notes
6.63s, 2015 (R) 25,172
....................................................................................................
30,000 OMEGA Healthcare Investors, Inc. notes
6.95s, 2007 29,906
- ----------------------------------------------------------------------------------------------------
55,078
- ----------------------------------------------------------------------------------------------------
Specialty Consumer Products (0.2%)
....................................................................................................
30,000 US West Capital Funding, Inc. company
guaranty 6 1/4s, 2005 29,981
- ----------------------------------------------------------------------------------------------------
Transportation (0.8%)
....................................................................................................
25,000 Continental Airlines pass-through
certificates Ser. 97CI, 7.42s, 2007 25,666
....................................................................................................
100,000 CSX Corp. deb. 7.95s, 2027 113,642
- ----------------------------------------------------------------------------------------------------
139,308
- ----------------------------------------------------------------------------------------------------
Utilities (0.3%)
....................................................................................................
25,000 Edison Mission Energy 144A company
guaranty 7.33s, 2008 26,504
....................................................................................................
25,000 Texas Utilities Electric Capital Trust V
company guaranty 8.175s, 2037 26,223
- ----------------------------------------------------------------------------------------------------
52,727
- ----------------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $774,823) $777,525
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.1%) * (cost $14,085)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
200 K mart Financing I $3.875 cum. cv. pfd. $14,000
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (21.7%) * (cost $3,776,608)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$3,776,000 Interest in $750,000,000 joint repurchase
agreement dated June 30, 1998 with
Goldman, Sachs & Co. due July 1, 1998
with respect to various U.S. Treasury
obligations - maturity value of
$3,776,608 for an effective yield of 5.8% $3,776,608
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $17,781,363) *** $17,766,487
- ----------------------------------------------------------------------------------------------------
See page 113 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT Global Asset Allocation Fund
Portfolio of investments owned
June 30, 1998 (Unaudited)
<CAPTION>
COMMON STOCKS (63.8%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Advertising (0.1%)
....................................................................................................
15,150 Lamar Advertising Co. (NON) $543,506
- ----------------------------------------------------------------------------------------------------
Aerospace and Defense (0.4%)
....................................................................................................
43,530 Boeing Co. 1,939,806
....................................................................................................
32,700 Bombardier, Inc. (Canada) 891,190
....................................................................................................
12,500 Hawker Pacific Aerospace (NON) 139,063
....................................................................................................
17,150 REMEC, Inc. (NON) 195,081
....................................................................................................
63,483 Smiths Industries PLC (United Kingdom) 878,304
- ----------------------------------------------------------------------------------------------------
4,043,444
- ----------------------------------------------------------------------------------------------------
Agriculture (--%)
....................................................................................................
290,000 PPB Oil Palms Berhad (Malaysia) (NON) 190,025
- ----------------------------------------------------------------------------------------------------
Automotive (1.4%)
....................................................................................................
1,074 Bayerische Motoren Werke (BMW)
AG (Germany) 1,084,398
....................................................................................................
24,000 Bridgestone Corp. (Japan) 565,802
....................................................................................................
13,300 CSK Auto Corp. (NON) 335,825
....................................................................................................
44,295 Dana Corp. 2,369,783
....................................................................................................
40,930 Ford Motor Co. 2,414,870
....................................................................................................
44,290 Goodyear Tire & Rubber Co. (The) 2,853,937
....................................................................................................
16,000 Honda Motor Co., Ltd. (Japan) 568,102
....................................................................................................
35,540 Lear Corp. (NON) 1,823,646
....................................................................................................
24,984 Michelin Corp. Class B (France) 1,438,966
....................................................................................................
249,000 Qingling Motors Co. (China) (NON) 69,109
....................................................................................................
4,760 Renault S.A. (France) (NON) 270,148
....................................................................................................
1,005 Volkswagon AG (Germany) 969,137
....................................................................................................
20,349 Volvo AB Class B (Sweden) 604,716
- ----------------------------------------------------------------------------------------------------
15,368,439
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (1.8%)
....................................................................................................
101,900 Alfa S.A. de C.V. Class A, (Mexico) 424,346
....................................................................................................
10,780 Caterpillar, Inc. 569,993
....................................................................................................
41,525 Cooper Industries, Inc. 2,281,280
....................................................................................................
23,500 Daewoo Heavy Industries (South Korea) 71,701
....................................................................................................
35,610 Deere (John) & Co. 1,882,879
....................................................................................................
123,275 Ingersoll-Rand Co. 5,431,805
....................................................................................................
1,083,500 International Container Terminal
Services, Inc. (Philippines) (NON) 124,015
....................................................................................................
17,900 Larsen & Toubro Ltd. (India) (NON) 193,721
....................................................................................................
25,680 Minnesota Mining & Manufacturing Co. 2,110,575
....................................................................................................
99,485 Owens-Illinois, Inc. (NON) 4,451,954
....................................................................................................
253 Rieter Holding AG (Switzerland) 174,885
....................................................................................................
1,467 Sandvik AB (Sweden) 40,475
....................................................................................................
21,155 Sandvik AB Class B, (Sweden) 579,698
....................................................................................................
5,166 Siderurgica Venezolana (Venezuela) 31,075
- ----------------------------------------------------------------------------------------------------
18,368,402
- ----------------------------------------------------------------------------------------------------
Biotechnology (0.2%)
....................................................................................................
9,200 Digene Corp. (NON) 89,700
....................................................................................................
8,200 Kendle International, Inc. (NON) 248,050
....................................................................................................
26,800 Quintiles Transnational Corp. (NON) 1,318,225
....................................................................................................
6,700 Serologicals Corp. 216,075
....................................................................................................
5,600 Sonus Pharmaceuticals, Inc. (NON) 68,950
- ----------------------------------------------------------------------------------------------------
1,941,000
- ----------------------------------------------------------------------------------------------------
Broadcasting (0.9%)
....................................................................................................
543,000 Benpres Holdings Corp. GDR
(Philippines) (NON) 82,431
....................................................................................................
108,800 CBS Corp. 3,454,400
....................................................................................................
17,875 Grupo Televisa S.A. GDR (Mexico) (NON) 672,547
....................................................................................................
17,800 Heftel Broadcasting Corp. Class A (NON) 796,550
....................................................................................................
23,000 Jones Intercable, Inc. (NON) 575,000
....................................................................................................
15,450 SAGA Communications Inc. Class A (NON) 216,300
....................................................................................................
9,000 Scandinavian Broadcasting System S.A.
(Luxembourg) (NON) 271,688
....................................................................................................
4,620 Sinclair Broadcast Group, Inc. Class A (NON) 132,825
....................................................................................................
81,000 Tele-Communications, Inc. Class A, (NON) 3,113,438
- ----------------------------------------------------------------------------------------------------
9,315,179
- ----------------------------------------------------------------------------------------------------
Building and Construction (0.7%)
....................................................................................................
10,000 Barnett, Inc. (NON) 202,500
....................................................................................................
75,400 Cemex S.A. de C.V. Class B (Mexico) (NON) 332,511
....................................................................................................
28,462 Cemex, S.A. de C.V. (Mexico) 107,245
....................................................................................................
69,000 Cheung Kong Infrastructure Holdings
(Hong Kong) 130,491
....................................................................................................
7,800 Cimpor-Cimentos de Portugal, SGPS,
S.A. (Portugal) 273,573
....................................................................................................
150,000 Corporacion Moctezuma, S.A. de C.V.
(Mexico) (NON) 175,840
....................................................................................................
121,434 CRH PLC (Ireland) (NON) 1,719,595
....................................................................................................
15,700 Dycom Industries, Inc. (NON) 529,875
....................................................................................................
13,000 Grupo Imsa S.A. de C.V. ADR (Mexico) (NON) 196,625
....................................................................................................
24,900 Gujarat Ambuja Cements Ltd.
GDR (India) (NON) 124,500
....................................................................................................
524,000 IJM Copr. Berhad (Malaysia) 139,886
....................................................................................................
4,153 Lafarge Coppee (France) 428,356
....................................................................................................
41,600 Masco Corp. 2,516,800
....................................................................................................
5,173 VA Technolgies AG (Austria) 642,760
- ----------------------------------------------------------------------------------------------------
7,520,557
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (3.0%)
....................................................................................................
13,000 ACSYS, Inc. (NON) 178,750
....................................................................................................
8,400 Analytical Surveys, Inc. (NON) 307,650
....................................................................................................
3,700 AnswerThink Consulting Group, Inc. (NON) 79,550
....................................................................................................
165,300 Cendant Corp. (NON) 3,450,638
....................................................................................................
15,800 Condor Technology Solutions, Inc. (NON) 233,050
....................................................................................................
13,400 CORT Business Services Corp. (NON) 422,100
....................................................................................................
9,700 Cunningham Graphics International, Inc. (NON) 167,325
....................................................................................................
49,000 Dai Nippon Printing Co., Ltd. (Japan) 780,097
....................................................................................................
10,200 Data Dimensions, Inc. (NON) 174,038
....................................................................................................
11,000 Data Processing Resources Corp. (NON) 341,688
....................................................................................................
6,100 F.Y.I., Inc. (NON) 173,850
....................................................................................................
10,600 First Virtual Corporation (NON) 128,525
....................................................................................................
110,336 HBO & Co. 3,889,344
....................................................................................................
34,570 IBM Corp. 3,969,068
....................................................................................................
14,800 Lason Holdings, Inc. (NON) 806,600
....................................................................................................
19,560 Mannesmann AG (Germany) 2,007,403
....................................................................................................
8,250 Metamor Worldwide, Inc. (NON) 290,297
....................................................................................................
18,800 NCO Group, Inc. (NON) 413,600
....................................................................................................
9,300 Outsource International, Inc. (NON) 83,700
....................................................................................................
86,190 Pitney Bowes, Inc. 4,147,894
....................................................................................................
14,100 PMT Services, Inc. (NON) 358,669
....................................................................................................
5,700 ProBusiness Services, Inc. (NON) 266,475
....................................................................................................
11,247 Provant, Inc. (NON) 206,664
....................................................................................................
8,800 RCM Technologies, Inc. (NON) 178,750
....................................................................................................
18,120 Renaissance Worldwide, Inc. 394,110
....................................................................................................
13,200 Rental Service Corp. (NON) 443,850
....................................................................................................
42,000 Ricoh Co., Ltd. (Japan) (NON) 441,041
....................................................................................................
9,300 Romac International, Inc. (NON) 282,488
....................................................................................................
98,835 Securicor Group PLC (United Kingdom) 803,971
....................................................................................................
16,300 Staff Leasing, Inc. (NON) 480,850
....................................................................................................
56,390 Xerox Corp. 5,730,634
- ----------------------------------------------------------------------------------------------------
31,632,669
- ----------------------------------------------------------------------------------------------------
Chemicals (0.9%)
....................................................................................................
31,348 Akzo-Nobel N.V. (Netherlands) (NON) 1,738,906
....................................................................................................
24,164 Bayer AG ADR (Germany) 1,248,640
....................................................................................................
42,588 du Pont (E.I.) de Nemours & Co., Ltd. 3,178,130
....................................................................................................
27,940 Eastman Chemical Co. 1,739,265
....................................................................................................
47,335 Witco Chemical Corp. 1,384,549
- ----------------------------------------------------------------------------------------------------
9,289,490
- ----------------------------------------------------------------------------------------------------
Communications (0.3%)
....................................................................................................
8,600 Advanced Communication Systems, Inc. (NON) 106,963
....................................................................................................
60,710 MediaOne Group Inc. (NON) 2,667,446
- ----------------------------------------------------------------------------------------------------
2,774,409
- ----------------------------------------------------------------------------------------------------
Computer Equipment (0.2%)
....................................................................................................
20,700 Artesyn Technologies, Inc. (NON) 331,200
....................................................................................................
22,500 Asustek Computer, Inc. GDR (Taiwan) (NON) 180,000
....................................................................................................
73,920 Seagate Technology, Inc. (NON) 1,760,220
- ----------------------------------------------------------------------------------------------------
2,271,420
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (4.1%)
....................................................................................................
12,800 Analysts International Corp. 363,200
....................................................................................................
2,200 Aspect Development, Inc. (NON) 166,375
....................................................................................................
13,800 Best Software, Inc. (NON) 291,525
....................................................................................................
85,400 BMC Software, Inc. (NON) 4,435,463
....................................................................................................
10,400 BrightStar Information
Technology Group, Inc. (NON) 144,300
....................................................................................................
37,500 Cisco Systems, Inc. (NON) 3,452,344
....................................................................................................
19,400 Complete Business Solutions, Inc. (NON) 697,188
....................................................................................................
95,180 Computer Associates International, Inc. 5,288,439
....................................................................................................
9,912 Computer Horizons Corp. (NON) 367,364
....................................................................................................
20,200 Computer Learning Centers, Inc. (NON) 502,475
....................................................................................................
11,400 Computer Task Group, Inc. 381,900
....................................................................................................
37,400 Compuware Corp. (NON) 1,912,075
....................................................................................................
17,100 Dell Computer Corp. (NON) 1,587,094
....................................................................................................
3,100 Deltek Systems, Inc. (NON) 75,950
....................................................................................................
71,700 EMC Corp. (NON) 3,213,056
....................................................................................................
8,600 Evolving Systems, Inc. (NON) 95,138
....................................................................................................
3,400 Formula Systems Ltd. (Israel) (NON) 118,976
....................................................................................................
95,000 Fujitsu Ltd. 996,909
....................................................................................................
11,900 Fundtech Ltd. (NON) 224,613
....................................................................................................
12,856 GeoTel Communications Corp. (NON) 523,882
....................................................................................................
19,650 Harbinger Corp. (NON) 475,284
....................................................................................................
15,600 IDT Corp. (NON) 468,975
....................................................................................................
11,248 Information Management Resources, Inc. (NON) 380,306
....................................................................................................
6,700 Keane, Inc. (NON) 375,200
....................................................................................................
15,200 Legato Systems, Inc. (NON) 592,800
....................................................................................................
8,400 Medirisk, Inc. (NON) 170,100
....................................................................................................
9,400 Metro Information Services, Inc. (NON) 367,775
....................................................................................................
74,800 Microsoft Corp. (NON) 8,106,450
....................................................................................................
44,655 NCR Corp. (NON) 1,451,288
....................................................................................................
65,500 Parametric Technology Corp. (NON) 1,776,688
....................................................................................................
16,200 Pegasus Systems, Inc. (NON) 415,125
....................................................................................................
42,200 PeopleSoft, Inc. (NON) 1,983,400
....................................................................................................
17,200 Peregrine Systems, Inc. (NON) 490,200
....................................................................................................
4,800 Pinnacle Systems, Inc. (NON) 155,400
....................................................................................................
20,500 Simione Central Holdings, Inc. (NON) 139,656
....................................................................................................
13,500 Software AG Systems, Inc. (NON) 394,875
....................................................................................................
5,500 SPR Inc. (NON) 171,188
....................................................................................................
16,800 Summit Design, Inc. (NON) 246,750
....................................................................................................
10,100 Visual Networks, Inc. (NON) 369,913
....................................................................................................
14,400 Walker Interactive Systems, Inc. (NON) 212,400
- ----------------------------------------------------------------------------------------------------
43,582,039
- ----------------------------------------------------------------------------------------------------
Computers (--%)
....................................................................................................
18,600 Acer Inc. (Taiwan) (NON) 111,600
- ----------------------------------------------------------------------------------------------------
Conglomerates (1.1%)
....................................................................................................
244,386 BTR PLC (United Kingdom) 692,524
....................................................................................................
42,600 Granada Group PLC (United Kingdom) 782,530
....................................................................................................
25,125 Lonrho PLC (South Africa) 113,522
....................................................................................................
25,125 Lonrho Africa PLC (United Kingdom) 29,215
....................................................................................................
233,755 Tomkins PLC (United Kingdom) 1,267,324
....................................................................................................
141,200 Tyco International Ltd. (NON) 8,895,600
- ----------------------------------------------------------------------------------------------------
11,780,715
- ----------------------------------------------------------------------------------------------------
Consumer Durable Goods (0.2%)
....................................................................................................
166,000 Guangdong Kelon Elec Holding
(Hong Kong) 130,717
....................................................................................................
50,855 Hasbro, Inc. 1,999,237
....................................................................................................
1,250,400 Vestel Elektronik Sanayi ve Ticaret A.S.
(Turkey) 166,903
- ----------------------------------------------------------------------------------------------------
2,296,857
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (2.2%)
....................................................................................................
149,403 B A T Industries PLC (United Kingdom) 1,494,239
....................................................................................................
56,200 Colgate-Palmolive Co. 4,945,600
....................................................................................................
34,295 Clorox Co. 3,270,886
....................................................................................................
31,200 Estee Lauder Cos. Class A 2,174,250
....................................................................................................
16,900 French Fragrances Inc. (NON) 264,063
....................................................................................................
910 Hedstrom Holdings, Inc. 144A 1,138
....................................................................................................
72,000 KAO Corp. (Japan) 1,107,453
....................................................................................................
42,940 Kimberly-Clark Corp. 1,969,873
....................................................................................................
92,900 Kimberly-Clark de Mexico, S.A. de C.V.
Class A, (Mexico) 330,860
....................................................................................................
21,000 Onward Kashiyama Co. Ltd. (Japan) 261,877
....................................................................................................
71,915 Philip Morris Cos., Inc. 2,831,653
....................................................................................................
42,100 Procter & Gamble Co. 3,833,731
....................................................................................................
5,300 U.S.A. Floral Products, Inc. (NON) 83,475
....................................................................................................
8,900 Wesley Jessen VisionCare, Inc. (NON) 205,813
- ----------------------------------------------------------------------------------------------------
22,774,911
- ----------------------------------------------------------------------------------------------------
Consumer Products (0.1%)
....................................................................................................
5,700 Home Products International, Inc. (NON) 66,263
....................................................................................................
13,400 Media Arts Group, Inc. (NON) 257,950
....................................................................................................
29,000 Shiseido Co., Ltd. (Japan) 328,498
....................................................................................................
13,100 Weider Nutrition International, Inc. 222,700
- ----------------------------------------------------------------------------------------------------
875,411
- ----------------------------------------------------------------------------------------------------
Consumer Services (1.3%)
....................................................................................................
14,300 Ambassadors International, Inc. (NON) 433,469
....................................................................................................
15,800 America Online, Inc. (NON) 1,674,800
....................................................................................................
130 AmeriKing, Inc. (NON) 6,760
....................................................................................................
7,100 Bright Horizons, Inc. (NON) 198,800
....................................................................................................
11,200 Carey International, Inc. (NON) 313,600
....................................................................................................
11,400 Indian Hotels, Co. Ltd. GDR (India) 86,925
....................................................................................................
39,200 Interpublic Group Cos. Inc. 2,378,950
....................................................................................................
14,500 Market Facts, Inc. (NON) 315,375
....................................................................................................
43,300 Marriott International, Inc. Class A 1,401,838
....................................................................................................
39,075 McDonald's Corp. 2,696,175
....................................................................................................
7,300 MemberWorks Inc. (NON) 235,425
....................................................................................................
7,000 Morton's Restaurant Group, Inc. (NON) 168,438
....................................................................................................
18,550 On Assignment, Inc. (NON) 648,091
....................................................................................................
5,700 PJ America Inc. (NON) 104,025
....................................................................................................
24,000 Rent-Way, Inc. 732,000
....................................................................................................
9,450 Steiner Leisure Ltd. (NON) 285,863
....................................................................................................
15,303 Strayer Education, Inc. (NON) 554,734
....................................................................................................
6,203 TNT Post Group NV (Netherlands) (NON) 158,271
....................................................................................................
10,200 Travel Services International Inc. (NON) 335,325
....................................................................................................
15,939 Vedior (NON) 449,696
- ----------------------------------------------------------------------------------------------------
13,178,560
- ----------------------------------------------------------------------------------------------------
Education (0.1%)
....................................................................................................
11,800 Career Education Corp. (NON) 289,100
....................................................................................................
12,900 Education Management Corp. (NON) 424,088
- ----------------------------------------------------------------------------------------------------
713,188
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (2.8%)
....................................................................................................
10,200 Advanced Lighting Technologies, Inc. (NON) 237,150
....................................................................................................
6,100 Applied Micro Circuits Corp. (NON) 157,838
....................................................................................................
5,600 Ase Test Limited (Taiwan) (NON) 173,600
....................................................................................................
9,900 ATMI, Inc. 148,500
....................................................................................................
31,000 Canon, Inc. (Japan) 701,861
....................................................................................................
80,819 Cookson Group PLC (United Kingdom) 277,517
....................................................................................................
16,786 Delaware Global Technologies Corp. (NON) 167,860
....................................................................................................
21,540 Eaton Corp. 1,674,735
....................................................................................................
31,395 Emerson Electric Co. 1,895,473
....................................................................................................
1,032 Flextronics International Ltd. (NON) 44,892
....................................................................................................
84,000 General Electric Co. 7,644,000
....................................................................................................
17,400 Harmonic Lightwaves, Inc. (NON) 267,525
....................................................................................................
40,100 Hewlett-Packard Co. 2,400,988
....................................................................................................
14,000 Hon Hai Precision Industry (Taiwan) (NON) 70,915
....................................................................................................
29,000 Iberdola S.A. (Spain) 470,608
....................................................................................................
600 Integrated Process Equipment Corp. (NON) 6,750
....................................................................................................
3,200 Micrel, Inc. (NON) 104,000
....................................................................................................
15,481 Molins PLC (United Kingdom) 56,256
....................................................................................................
43,000 Omron Corp. (Japan) 655,214
....................................................................................................
92,000 Pacific Electrical Wire and Cable (Taiwan) (NON 80,347
....................................................................................................
19,787 Philips Electronics N.V. (Netherlands) 1,660,244
....................................................................................................
16,900 Premier Farnell PLC (United Kingdom) 85,639
....................................................................................................
8,300 QLogic Corp. 296,206
....................................................................................................
7,000 Rohm Co. Ltd. (Japan) 716,955
....................................................................................................
4,725 Samsung Electronics Co. (South Korea) 146,579
....................................................................................................
32,000 Siebe PLC (United Kingdom) 638,489
....................................................................................................
13,992 Siliconware Precision Industries Co.
GDR (Taiwan) (NON) 112,985
....................................................................................................
14,000 Sony Corp. (Japan) 1,202,472
....................................................................................................
17,026 STMicroelectronics N.V. ADR (France) (NON) 1,189,692
....................................................................................................
5,100 Tadiran Ltd. (Israel) 168,318
....................................................................................................
15,800 Taiwan Semiconductor Manufacturing Co.
(Taiwan) (NON) 266,625
....................................................................................................
93,715 Texas Instruments, Inc. 5,464,756
....................................................................................................
16,000 Tokyo Electron Ltd. (Japan) 488,751
- ----------------------------------------------------------------------------------------------------
29,673,740
- ----------------------------------------------------------------------------------------------------
Energy-Related (0.1%)
....................................................................................................
155,000 Beijing Datang Power Generation Co., Ltd.
(China) (NON) 43,520
....................................................................................................
12,100 BSES Ltd. GDR (India) (NON) 124,933
....................................................................................................
12,500 KTI, Inc. (NON) 270,313
....................................................................................................
79,000 Malakoff Berhard (Malaysia) 146,669
- ----------------------------------------------------------------------------------------------------
585,435
- ----------------------------------------------------------------------------------------------------
Entertainment (0.8%)
....................................................................................................
122,000 Berjaya Sports Toto Berhad (Malaysia) 182,090
....................................................................................................
84,400 Carnival Corp. Class A 3,344,350
....................................................................................................
6,500 Penske Motorsports, Inc. (NON) 189,719
....................................................................................................
30,700 Time Warner, Inc. 2,622,931
....................................................................................................
32,295 Viacom, Inc. Class B (NON) 1,881,184
....................................................................................................
16,400 Vistana, Inc. 301,350
- ----------------------------------------------------------------------------------------------------
8,521,624
- ----------------------------------------------------------------------------------------------------
Environmental Control (0.5%)
....................................................................................................
10,287 Vivendi (France) 2,191,685
....................................................................................................
800 Companhia de Saneamento Basico do
Estado de Sao Paulo (Brazil) 96,152
....................................................................................................
15,500 Superior Services, Inc. (NON) 465,969
....................................................................................................
46,100 USA Waste Services, Inc. (NON) 2,276,188
- ----------------------------------------------------------------------------------------------------
5,029,994
- ----------------------------------------------------------------------------------------------------
Food and Beverages (2.6%)
....................................................................................................
13,200 AquaPenn Spring Water Company, Inc. (NON) 113,850
....................................................................................................
84,606 Bass PLC (United Kingdom) 1,583,764
....................................................................................................
7,500 Celestial Seasonings, Inc. (NON) 371,250
....................................................................................................
79,000 Coca-Cola Enterprises, Inc. 3,100,750
....................................................................................................
20,200 Coca-Cola Femsa S.A. ADR (Mexico) 350,975
....................................................................................................
30,000 Companhia Brasileira de Distribuicao
Grupo Pao de Acucar ADR (Brazil) (NON) 678,750
....................................................................................................
476,300 Cosmos Bottling Corp. (Philippines) 53,942
....................................................................................................
813,000 Cosmos Bottling Corp. 144A (NON) 92,075
....................................................................................................
9,800 Fomento Economico Mexicano, S.A. de
C.V. Class B, (Mexico) 310,729
....................................................................................................
26,375 General Mills, Inc. 1,803,391
....................................................................................................
101,089 Greencore Group PLC (Ireland) 548,950
....................................................................................................
14,000 Hain Food Group, Inc. (The) (NON) 362,250
....................................................................................................
50,875 Heinz (H.J.) Co. 2,855,359
....................................................................................................
1,480 Nestle S.A. (Switzerland) 3,162,660
....................................................................................................
17,700 Panamerican Beverages, Inc. Class A,
(Mexico) 556,444
....................................................................................................
56,080 PepsiCo, Inc. 2,309,795
....................................................................................................
20,800 Pick Szeged Rt. GDR 144A (Hungary) 241,696
....................................................................................................
44,325 Quaker Oats Co. (The) 2,435,105
....................................................................................................
67,570 Sara Lee Corp. 3,779,697
....................................................................................................
114,175 Whitman Corp. 2,618,889
- ----------------------------------------------------------------------------------------------------
27,330,321
- ----------------------------------------------------------------------------------------------------
Funeral/Cemetery Services (0.1%)
....................................................................................................
23,550 Equity Corporation International (NON) 565,200
- ----------------------------------------------------------------------------------------------------
Health Care (0.7%)
....................................................................................................
21,300 American Oncology Resources, Inc. (NON) 260,259
....................................................................................................
24,550 Cardinal Health, Inc. 2,301,563
....................................................................................................
9,600 Carematrix Corp. (NON) 258,600
....................................................................................................
8,885 Concentra Managed Care, Inc. (NON) 231,010
....................................................................................................
5,900 DAOU Systems, Inc. (NON) 134,963
....................................................................................................
95,100 HEALTHSOUTH Corp. (NON) 2,537,981
....................................................................................................
7,581 IMPATH, Inc. (NON) 184,313
....................................................................................................
5,900 NCS HealthCare, Inc. Class A (NON) 168,150
....................................................................................................
1,700 Pediatrix Medical Group, Inc. (NON) 63,219
....................................................................................................
3,700 Province Healthcare Co. (NON) 102,444
....................................................................................................
7,450 Renal Care Group, Inc. (NON) 328,266
....................................................................................................
11,000 SteriGenics International, Inc. (NON) 286,000
- ----------------------------------------------------------------------------------------------------
6,856,768
- ----------------------------------------------------------------------------------------------------
Hospital Management and Medical Services (0.1%)
....................................................................................................
12,200 Amsurg Corp. (NON) 93,025
....................................................................................................
10,800 Centennial HealthCare Corp. (NON) 195,750
....................................................................................................
8,400 First Consulting Group, Inc. (NON) 220,500
....................................................................................................
20,800 Medquist, Inc. (NON) 600,600
....................................................................................................
2,604 National Surgery Centers, Inc. (NON) 75,679
....................................................................................................
22,100 ProMedCo Management Co. (NON) 226,525
- ----------------------------------------------------------------------------------------------------
1,412,079
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (13.7%)
....................................................................................................
59,430 ABN AMRO Holding N.V. (Netherlands) 1,388,061
....................................................................................................
38,500 ABSA Group Ltd. (South Africa) 236,628
....................................................................................................
5,000 Acom Co. Ltd. (Japan) 236,829
....................................................................................................
9,223 AGF (Assurances Generales de France)
(France) 520,701
....................................................................................................
2,395 Ahmanson (H.F.) & Co. 170,045
....................................................................................................
1,661 Allianz Versicherungs AG (Germany) (NON) 552,748
....................................................................................................
122,828 Allied Irish Banks PLC (Ireland) 1,770,116
....................................................................................................
24,045 Allstate Corp. 2,201,620
....................................................................................................
2,600 Alpha Credit Bank (Greece) 210,549
....................................................................................................
64,700 American Express Co. 7,375,800
....................................................................................................
37,735 American General Corp. 2,686,260
....................................................................................................
30,800 American International Group, Inc. 4,496,800
....................................................................................................
38,115 AON Corp. 2,677,579
....................................................................................................
17,000 Associates First Capital Corp. 1,306,875
....................................................................................................
56,100 Banco Bradesco S.A. BRC (Brazil) 468,108
....................................................................................................
2,441 Banco Commercial Portugues, S.A.
(Portugal) 69,191
....................................................................................................
9,200 Banco Frances del Rio de la Plata ADR
(Argentina) 211,025
....................................................................................................
21,348 Banco Frances del Rio de la Plata S.A.
ADR (Argentina) 161,407
....................................................................................................
61,400 Bangkok Bank Public Co. (Thailand) 75,749
....................................................................................................
200,000 Bank Leumi Le-Israel (Israel) 398,986
....................................................................................................
2,400 Bank of Greece, S.A. (Greece) 307,230
....................................................................................................
88,555 Bank of Ireland (Ireland) 1,806,408
....................................................................................................
60,755 Bank of Nova Scotia (Canada) 1,506,767
....................................................................................................
290,000 Bank Sinopac (Taiwan) (NON) 139,297
....................................................................................................
70,200 BankAmerica Corp. 6,067,913
....................................................................................................
43,900 BankBoston Corp. 2,441,938
....................................................................................................
16,140 Bankers Trust New York Corp. (CUS) 1,873,249
....................................................................................................
23,963 Banque Nationale de Paris (France) 1,953,581
....................................................................................................
6,480 Bayerische Vereinsbank AG (Germany) 548,515
....................................................................................................
416 Bayerische Vereinsbank AG (Germany)
(NEW) 414,274
....................................................................................................
32,100 Chase Manhattan Corp. 2,423,550
....................................................................................................
36,345 CIGNA Corp. 2,507,805
....................................................................................................
26,890 Citicorp 4,013,333
....................................................................................................
38,550 Comerica, Inc. 2,553,938
....................................................................................................
2,900 Commercial Bank Of Greece, S.A.
(Greece) 214,896
....................................................................................................
41,846 Commonwealth Bank of Australia
(Australia) 487,218
....................................................................................................
55,600 Conseco Inc. 2,599,300
....................................................................................................
3,990 Credit Commercial de France (France) 335,161
....................................................................................................
22,595 Crestar Financial Corp. 1,232,840
....................................................................................................
49,000 Dao Heng Bank Group Ltd. (Hong Kong) 69,580
....................................................................................................
21,006 Deutsche Bank AG (Germany) 1,773,453
....................................................................................................
95,300 Development Bank of Singapore Ltd.
(Singapore) 528,816
....................................................................................................
67,700 Federal Home Loan Mortgage Corp. 3,186,131
....................................................................................................
33,050 Federal National Mortgage Association 2,007,788
....................................................................................................
31,600 Fifth Third Bancorp 1,990,800
....................................................................................................
30,100 First Chicago NBD Corp. 2,667,613
....................................................................................................
19,975 Firstar Corp. 759,050
....................................................................................................
84,375 FirstRand Ltd. (South Africa) (NON) 127,544
....................................................................................................
16,695 Fleet Financial Group, Inc. 1,394,033
....................................................................................................
9,900 ForeningsSparbanken AB (Sweden) 297,297
....................................................................................................
12,500 Gilman & Ciocia, Inc. (NON) 226,563
....................................................................................................
170,000 Grupo Financiero Banamex Accival,
S.A. de C.V. Class B, (Mexico) (NON) 332,142
....................................................................................................
36,800 Guoco Group Ltd. (Hong Kong) 38,717
....................................................................................................
28,500 Haci Omer Sabanci Holdings ADR
(Turkey) 441,750
....................................................................................................
5,200 HealthCare Financial Partners, Inc. (NON) 318,825
....................................................................................................
24,900 Hibernia Corp. Class A 502,669
....................................................................................................
59,247 HSBC Holdings PLC (United Kingdom) 1,449,339
....................................................................................................
15,100 Inspire Insurance Solutions, Inc. (NON) 502,075
....................................................................................................
30,754 Internationale Nederlanden Groep
(Netherlands) 2,010,026
....................................................................................................
336 Julius Baer Holdings AG (Switzerland) 1,049,585
....................................................................................................
47,775 Keycorp 1,701,984
....................................................................................................
12,500 Kredyt Bank S.A. GDR (Poland) (NON) 235,625
....................................................................................................
15,603 Liberty Life Association of Africa Ltd.
(South Africa) 299,615
....................................................................................................
92,100 MBNA Corp. 3,039,300
....................................................................................................
20,090 Mercantile Bancorpation, Inc. 1,012,034
....................................................................................................
19,445 Merrill Lynch & Co., Inc. 1,793,801
....................................................................................................
26,299 Morgan (J.P.) & Co., Inc. 3,080,270
....................................................................................................
41,400 Morgan Stanley, Dean Witter,
Discover and Co. 3,782,925
....................................................................................................
1,158 Munich Re (Germany) (NON) 574,035
....................................................................................................
27,000 National City Corp. 1,917,000
....................................................................................................
46,000 National Westminster Bancorp Inc.
(United Kingdom) 821,215
....................................................................................................
239,000 Nikko Securities Co. Ltd. (Japan) 987,745
....................................................................................................
49,855 Nordbanken Holding AG (Sweden) 364,930
....................................................................................................
33,000 Norwest Corp. 1,233,375
....................................................................................................
42,675 PNC Bank Corp. 2,296,448
....................................................................................................
13,000 Promise Co., Ltd. (Japan) 533,530
....................................................................................................
186,000 Public Bank Berhad (Malaysia) 55,522
....................................................................................................
15,318 QBE Insurance Group Ltd. (Australia) 53,959
....................................................................................................
10,150 Reinsurance Group America, Inc. 600,119
....................................................................................................
11,700 Resource America, Inc. 346,613
....................................................................................................
87,500 Royal & Sun Alliance Insurance Group
PLC (United Kingdom) 903,564
....................................................................................................
12,315 Royal Bank of Canada (Canada) 742,575
....................................................................................................
22,900 Skandinaviska Enskilda Bank Class A,
(Sweden) 391,122
....................................................................................................
7,644 Societe Generale (France) 1,585,693
....................................................................................................
20,100 Southtrust Corp. 874,350
....................................................................................................
11,800 State Bank of India GDR (India) 133,340
....................................................................................................
17,340 Summit Bancorp 823,650
....................................................................................................
40,400 SunAmerica, Inc. 2,320,475
....................................................................................................
15,270 Svenska Handelsbanken (Sweden) 706,944
....................................................................................................
121,400 Tele-Communications TCI ventures
Group Class A (NON) 2,435,588
....................................................................................................
231,300 Telecom Italia SPA (Italy) 1,699,747
....................................................................................................
64,000 Thai Farmers Bank Public Co. Ltd.
(Thailand) 56,560
....................................................................................................
64,700 The Equitable Companies, Inc. 4,848,456
....................................................................................................
154,460 Travelers Group Inc. 9,364,138
....................................................................................................
1,506,500 Turkiye Is Bankasi (Isbank) (Turkey) 60,893
....................................................................................................
6,535 UBS AG (Switzerland) (NON) 2,426,425
....................................................................................................
4,313 Unidanmark AS (Denmark) 387,333
....................................................................................................
19,635 Union Planters Corp. 1,154,783
....................................................................................................
25,000 United Overseas Bank Ltd. (Singapore) 77,893
....................................................................................................
35,348 Washington Mutual, Inc. 1,535,407
....................................................................................................
7,100 Wells Fargo & Co. 2,619,900
....................................................................................................
24,165 Yapi ve Kredi Bankasi A.S. GDR (Turkey) 579,960
....................................................................................................
1,286 Zurich Versicherungs-Gesellschaft
(Switzerland) 819,518
- ----------------------------------------------------------------------------------------------------
143,594,445
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (0.5%)
....................................................................................................
57,125 Baxter International, Inc. 3,074,039
....................................................................................................
5,900 CN Biosciences, Inc. (NON) 147,500
....................................................................................................
8,000 Cyberonics, Inc. (NON) 85,000
....................................................................................................
8,900 Horizon Medical Products, Inc. (NON) 83,994
....................................................................................................
5,900 Igen, Inc. (NON) 241,163
....................................................................................................
9,200 McKesson Corp. 747,500
....................................................................................................
7,300 Minimed, Inc. (NON) 382,338
....................................................................................................
13,000 Sabratek Corp. (NON) 295,750
....................................................................................................
12,300 Xomed Surgical Products Inc. (NON) 382,838
- ----------------------------------------------------------------------------------------------------
5,440,122
- ----------------------------------------------------------------------------------------------------
Metals and Mining (0.3%)
....................................................................................................
66,500 Billiton PLC (United Kingdom) (NON) 129,244
....................................................................................................
33,300 Companhia Vale do Rio Doce ADR (Brazil) 682,650
....................................................................................................
10,200 Compania Siderurgica Nacional (Brazil) 255,595
....................................................................................................
7,200 Hindalco Industries Ltd. (India) 100,440
....................................................................................................
16,300 Madeco S. A. ADR (Chile) 143,644
....................................................................................................
87,000 MNI Holdings BHO (Malaysia) 84,878
....................................................................................................
3,030 Pohang Iron & Steel Company, Ltd.
(South Korea) 101,260
....................................................................................................
80,309 Rio Tinto Ltd. (Australia) 903,603
....................................................................................................
48,200 Sasol Ltd. (South Africa) 275,028
- ----------------------------------------------------------------------------------------------------
2,676,342
- ----------------------------------------------------------------------------------------------------
Oil and Gas (3.7%)
....................................................................................................
57,000 Amoco Corp. 2,372,625
....................................................................................................
27,285 Atlantic Richfield Co. 2,131,641
....................................................................................................
84,312 British Petroleum Co. PLC
(United Kingdom) 1,228,317
....................................................................................................
34,302 British Petroleum PLC ADR
(United Kingdom) 3,027,152
....................................................................................................
71,726 Burmah Castrol PLC (United Kingdom) 1,279,293
....................................................................................................
39,300 Perez Companc S.A. Class B (Argentina) 197,306
....................................................................................................
27,352 Coastal Corp. 1,909,512
....................................................................................................
43,830 Cooper Cameron Corp. (NON) 2,235,330
....................................................................................................
10,952 Elf Aquitaine S.A. (France) 1,536,298
....................................................................................................
33,665 Elf Aquitane ADR (France) 2,390,215
....................................................................................................
75,000 Engen Ltd. (South Africa) 204,319
....................................................................................................
159,726 Ente Nazionale Idrocarburi (ENI) SPA
(Italy) (NON) 1,045,048
....................................................................................................
85,996 Exxon Corp. 6,132,590
....................................................................................................
42,560 Kerr-McGee Corp. 2,463,160
....................................................................................................
8,900 Lukoil Holding ADR (Russia) 289,250
....................................................................................................
28,540 Mobil Corp. 2,186,878
....................................................................................................
9,300 MOL Magyar Olaj-es Gazipari Rt.
(Hungary) 248,775
....................................................................................................
30,700 Petroleo Brasileiro S/A-Petrobras ADR
(Brazil) 567,950
....................................................................................................
9,000 PTT Exploration & Production PLC
(Thailand) 68,327
....................................................................................................
23,600 Ramco Energy PLC ADR
(United Kingdom) 253,700
....................................................................................................
39,980 Sonat, Inc. 1,544,228
....................................................................................................
28,200 Tatneft ADR (Russia) 218,550
....................................................................................................
57,535 Tosco Corp. 1,690,091
....................................................................................................
12,926 Total S.A. Class B, (France) 1,676,679
....................................................................................................
14,700 Western Atlas, Inc. (NON) 1,247,663
....................................................................................................
15,700 YPF S.A. ADR (Argentina) 471,981
- ----------------------------------------------------------------------------------------------------
38,616,878
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (0.4%)
....................................................................................................
53,695 Boise Cascade Corp. 1,758,511
....................................................................................................
28,675 International Paper Co. 1,233,025
....................................................................................................
37,187 Svenska Cellulosa AB Class B (Sweden) 960,850
- ----------------------------------------------------------------------------------------------------
3,952,386
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (5.2%)
....................................................................................................
77,480 American Home Products Corp. 4,009,590
....................................................................................................
88,305 Bristol-Myers Squibb Co. 10,149,556
....................................................................................................
13,200 Coulter Pharmaceutical, Inc. (NON) 400,950
....................................................................................................
33,187 Glaxo Wellcome PLC (United Kingdom) 995,196
....................................................................................................
29,975 Johnson & Johnson 2,210,656
....................................................................................................
49,400 Lilly (Eli) & Co. 3,263,488
....................................................................................................
11,400 Medicis Pharmaceutical Corp. Class A (NON) 416,100
....................................................................................................
54,290 Merck & Co., Inc. 7,261,288
....................................................................................................
7,700 Natural Alternatives International, Inc. (NON) 154,000
....................................................................................................
5,700 NBTY, Inc. (NON) 104,738
....................................................................................................
825 Novartis AG ADR (Switzerland) 1,370,836
....................................................................................................
46,400 Pfizer, Inc. 5,043,100
....................................................................................................
111,257 Pharmacia & Upjohn, Inc. 5,131,729
....................................................................................................
24,414 Pharmacia & Upjohn, Inc. ADS (Sweden) 1,121,113
....................................................................................................
9,600 Ranbaxy Laboratories Ltd. (India) 148,800
....................................................................................................
29,000 Sankyo Co., Ltd. (Japan) 658,664
....................................................................................................
11,130 Schein Pharmaceutical, Inc. (NON) 296,336
....................................................................................................
49,700 Schering-Plough Corp. 4,553,763
....................................................................................................
8,600 Trimeris, Inc. (NON) 63,425
....................................................................................................
105,900 Warner-Lambert Co. 7,346,813
- ----------------------------------------------------------------------------------------------------
54,700,141
- ----------------------------------------------------------------------------------------------------
Photography (0.3%)
....................................................................................................
33,040 Eastman Kodak Co. 2,413,985
....................................................................................................
22,000 Fuji Photo Film Co. (Japan) 763,746
- ----------------------------------------------------------------------------------------------------
3,177,731
- ----------------------------------------------------------------------------------------------------
Publishing (1.0%)
....................................................................................................
6,400 Consolidated Graphics, Inc. (NON) 377,600
....................................................................................................
85,200 Gannett Co., Inc. 6,054,525
....................................................................................................
22,845 McGraw-Hill, Inc. 1,863,295
....................................................................................................
36,000 Times Mirror Co. Class A 2,263,500
- ----------------------------------------------------------------------------------------------------
10,558,920
- ----------------------------------------------------------------------------------------------------
Real Estate (0.2%)
....................................................................................................
611,360 Ayala Land, Inc. (Philippines) 176,779
....................................................................................................
709 Fastightetspartner NF AB (Sweden) (NON) 7,051
....................................................................................................
14,700 Grupo Accion, S.A. de C.V. 144A ADR
(Mexico) (NON) 99,225
....................................................................................................
5,166 IRSA Inversiones y Representaciones S.A.
GDR (Argentina) 150,460
....................................................................................................
754,500 SM Prime Holdings Inc. (Philippines) 119,993
....................................................................................................
35,376 Starwood Lodging Trust (R) 1,709,103
- ----------------------------------------------------------------------------------------------------
2,262,611
- ----------------------------------------------------------------------------------------------------
Retail (4.7%)
....................................................................................................
7,850 99 Cents Only Stores (NON) 325,775
....................................................................................................
1,800 Bebe Stores, Inc. (NON) 23,625
....................................................................................................
185,331 Cifra S.A. de CV (Mexico) 279,331
....................................................................................................
6,600 Coldwater Creek Inc. (NON) 181,500
....................................................................................................
7,600 Cost Plus, Inc. (NON) 226,100
....................................................................................................
79,200 Costco Companies, Inc. (NON) 4,994,550
....................................................................................................
141,254 CVS Corp. 5,500,078
....................................................................................................
80,400 Dayton Hudson Corp. 3,899,400
....................................................................................................
10,500 Distribucion y Servicio D&S S.A. ADR
(Chile) (NON) 157,500
....................................................................................................
66,500 Dixons Group PLC (United Kingdom) 529,858
....................................................................................................
23,300 Fred Meyer, Inc. (NON) 990,250
....................................................................................................
8,800 Hibbett Sporting Goods, Inc. (NON) 352,000
....................................................................................................
16,600 Home Choice Holdings Inc. (NON) 200,238
....................................................................................................
36,500 Home Depot, Inc. (The) 3,031,781
....................................................................................................
7,500 Hot Topic, Inc. (NON) 178,125
....................................................................................................
44,400 Jones Apparel Group, Inc. (NON) 1,623,375
....................................................................................................
114,810 K mart Corp. (NON) 2,210,093
....................................................................................................
22,400 Linens 'N Things, Inc. (NON) 684,600
....................................................................................................
36,700 Office Depot, Inc. (NON) 1,158,344
....................................................................................................
30,505 Penney (J.C.) Co., Inc. 2,205,893
....................................................................................................
6,900 Piercing Pagoda, Inc. (NON) 250,125
....................................................................................................
18,000 Rexall Sundown, Inc. (NON) 634,500
....................................................................................................
49,800 Safeway, Inc. (NON) 2,026,238
....................................................................................................
27,575 Sears, Roebuck & Co. 1,683,798
....................................................................................................
22,300 Supersol Ltd. ADR (Israel) 367,950
....................................................................................................
13,200 The Men's Wearhouse, Inc. (NON) 435,600
....................................................................................................
15,300 The North Face, Inc. (NON) 367,200
....................................................................................................
131,800 TJX Cos., Inc. (The) 3,179,675
....................................................................................................
64,120 Toys "R" Us, Inc. (NON) 1,510,828
....................................................................................................
16,152 Vendex International N.V. (Netherlands) 606,294
....................................................................................................
107,200 Wal-Mart Stores, Inc. 6,512,400
....................................................................................................
73,800 Walgreen Co. 3,048,863
....................................................................................................
7,179 Wolverine World Wide, Inc. 155,695
- ----------------------------------------------------------------------------------------------------
49,531,582
- ----------------------------------------------------------------------------------------------------
Specialty Consumer Products (0.1%)
....................................................................................................
11,100 Action Performance Cos., Inc. (NON) 357,281
....................................................................................................
400 Gucci Group N.V. (Netherlands) 21,200
....................................................................................................
12,000 Guitar Center, Inc. (NON) 361,500
....................................................................................................
21,800 Lumen Technologies, Inc. (NON) 193,475
- ----------------------------------------------------------------------------------------------------
933,456
- ----------------------------------------------------------------------------------------------------
Telecommunications (3.1%)
....................................................................................................
26,600 Advanced Info Service Public Co., Ltd.
(Thailand) 113,594
....................................................................................................
39,400 Airtouch Communications, Inc. (NON) 2,302,438
....................................................................................................
2,600 Alcatel Alsthom CGE S.A. (France) 528,195
....................................................................................................
78,000 Asia Satellite Telecommunications
Holdings Ltd. (Hong Kong) 128,884
....................................................................................................
10,300 Black Box Corp. (NON) 341,831
....................................................................................................
80,000 China Telecom Ltd. (Hong Kong) (NON) 138,901
....................................................................................................
6,000 Compania Anonima Nacional Telefonos de
Venezuela (CANTV) ADR (Venezuela) (NON) 150,000
....................................................................................................
28,292 Deutsche Telekom AG (Germany) (NON) 773,236
....................................................................................................
17,800 E. Spire Communications, Inc. (NON) 401,613
....................................................................................................
6,950 Excel Switching Corp. (NON) 172,881
....................................................................................................
7,400 Exodus Communications, Inc. (NON) 331,150
....................................................................................................
39,773 Hellenic Telecommunication Organization
S.A. (Greece) 1,018,548
....................................................................................................
23,666 Hellenic Telecommunicaiton Organization
S.A. GDR (Greece) 303,329
....................................................................................................
11,800 Intermedia Communications, Inc. (NON) 494,863
....................................................................................................
5,400 ITC Deltacom, Inc. 230,766
....................................................................................................
1,500 Koor Industries Ltd. (Israel) 173,330
....................................................................................................
7,500 Koor Industries Ltd. ADR (Israel) 175,313
....................................................................................................
70,000 Lucent Technologies, Inc. 5,823,125
....................................................................................................
25,100 Mahanagar Telephone Nigam Ltd. (India) 263,048
....................................................................................................
1,269 NEXTEL Communications, Inc. Class A (NON) 31,566
....................................................................................................
50,235 Northern Telecom Ltd. (Canada) 2,852,374
....................................................................................................
19,994 Oy Nokia AB Class A, (Finland) 1,468,729
....................................................................................................
7,200 Philippine Long Distance Telephone Co.
ADR (Philippines) 164,819
....................................................................................................
9,100 Portugal Telecom S.A. (Portugal) 481,731
....................................................................................................
8,200 Premisys Communications, Inc. (NON) 203,975
....................................................................................................
6,203 Royal PTT (United Kingdom) 238,319
....................................................................................................
210 SK Telecom Co., Ltd. (South Korea) 96,441
....................................................................................................
35,000 Smartone Telecommunications
(Hong Kong) (NON) 85,393
....................................................................................................
5,600 STET Hellas Telecommunications S.A.
ADR (Greece) (NON) 232,400
....................................................................................................
116,800 Telecom Corp. of New Zealand Ltd.
(New Zealand) 337,882
....................................................................................................
4,000 Telecomunicacoes Brasileiras S.A. (Brazil) 435,106
....................................................................................................
4,710 Telecomunicacoes de Sao Paulo S.A. (Brazil) 1,061,725
....................................................................................................
40,038 Telefonaktiebolaget LM Ericsson Class B,
(Sweden) 1,167,274
....................................................................................................
10,700 Telefonica del Peru S.A. ADR (Peru) 218,681
....................................................................................................
5,100 Telesp Celular S.A. (Brazil) (NON) 427,756
....................................................................................................
41,201 Telfonica de Espana (Spain) 1,903,775
....................................................................................................
40,300 Tellabs, Inc. (NON) 2,886,488
....................................................................................................
19,200 Videsh Sanchar Nigam Ltd. GDR (India) (NON) 196,800
....................................................................................................
92,414 Vodafone Group PLC (United Kingdom) 1,171,508
....................................................................................................
12,300 WinStar Communications. Inc. 528,131
....................................................................................................
53,700 WorldCom, Inc. (NON) 2,601,094
- ----------------------------------------------------------------------------------------------------
32,657,012
- ----------------------------------------------------------------------------------------------------
Transportation (0.6%)
....................................................................................................
26,600 AMR Corp. (NON) 2,214,450
....................................................................................................
108,294 British Airways PLC (United Kingdom) 1,170,642
....................................................................................................
31,890 Deutsche Lufthansa AG (Germany) 801,881
....................................................................................................
9,350 Expeditors International of Washington, Inc. 411,400
....................................................................................................
5,350 Jevic Transportation, Inc. (NON) 60,856
....................................................................................................
46,354 Peninsular and Oriental Steam
Navigation Co. (United Kingdom) 666,819
....................................................................................................
21,000 Tata Engineering & Locomotive Co., Ltd.
GDR (India) (NON) 63,000
....................................................................................................
17,500 UAL Corp. (NON) 1,365,000
- ----------------------------------------------------------------------------------------------------
6,754,048
- ----------------------------------------------------------------------------------------------------
Utilities (3.3%)
....................................................................................................
114,180 American Telephone & Telegraph Co. 6,522,533
....................................................................................................
50,125 Ameritech Corp. 2,249,359
....................................................................................................
2,800 Centrais Eletricas de Santa Catarina S.A.
144A GDR (Brazil) (NON) 210,000
....................................................................................................
18,356 Companhia Energetica de Minas Gerais
ADR (Brazil) 559,858
....................................................................................................
31,715 Duke Energy Corp. 1,879,114
....................................................................................................
40,373 Electricidade de Portugal S.A. (Portugal) (NON) 936,888
....................................................................................................
56,400 Electricity Generating Public Co. Ltd.
(Thailand) (NON) 87,644
....................................................................................................
38,840 GTE Corp. 2,160,475
....................................................................................................
27,800 Korea Electric Power Corp. (South Korea) 297,279
....................................................................................................
22,500 Mosenergo ADR (Russia) (NON) 106,875
....................................................................................................
70,056 SBC Communications, Inc. (United States) 2,802,240
....................................................................................................
221,108 Scottish Power PLC (United Kingdom) 1,934,966
....................................................................................................
84,620 Sprint Corp. 5,965,710
....................................................................................................
8,200 Telebras Co. ADR (Brazil) 895,338
....................................................................................................
9,900 Telefonica de Argentina S.A. ADR
(Argentina) 321,131
....................................................................................................
18,517 Telefonos de Mexico S.A. ADR Class L
(Mexico) 889,973
....................................................................................................
72,080 Texas Utilities Co. 3,000,330
....................................................................................................
16,300 Unified Energy Systems GDR (Russia) 224,125
....................................................................................................
50,156 U S West, Inc. 2,357,332
....................................................................................................
19,219 Veba (Vereinigte Elektrizitaets Bergwerks)
AG (Germany) 1,290,305
- ----------------------------------------------------------------------------------------------------
34,691,475
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $503,753,146) $668,094,131
- ----------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (9.3%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
U.S. Government Agency Mortgage Obligations (7.9%)
....................................................................................................
Federal National Mortgage Association
....................................................................................................
$1,695,000 8 1/2s, October 25, 2019 $1,846,755
....................................................................................................
413,416 7.5s, July 1, 2007 426,853
....................................................................................................
3,500,000 7s, Dwarf, TBA, July 15, 2013 3,563,420
....................................................................................................
4,135,000 7s, TBA, July 15, 2028 4,193,138
....................................................................................................
1,060,340 7s, with due dates from March 18, 2002
to August 18, 2027 1,086,353
....................................................................................................
4,675,000 6 1/2s, TBA, July 15, 2028 4,655,973
....................................................................................................
1,087,114 6 1/4s, December 25, 2013 1,080,999
....................................................................................................
4,829,859 5 1/2s, Dwarf, with due dates from
February 1, 2011 to June 1, 2011 4,707,572
....................................................................................................
180,702 Federal National Mortgage Association
Adjustable Rate Mortgage, 7.346s,
July 1, 2025 183,300
....................................................................................................
Federal National Mortgage Association
....................................................................................................
Pass-through Certificates
....................................................................................................
1,368,912 7.4s, May 1, 2026 1,455,753
....................................................................................................
975,000 7s, June 1, 2028 988,709
....................................................................................................
Government National Mortgage Association
....................................................................................................
Adjustable Rate Mortgages
....................................................................................................
1,491,375 7 3/8s, with due dates from
April 20, 2023 to June 20, 2023 1,527,809
....................................................................................................
102,699 7 1/8s, September 20, 2023 105,058
....................................................................................................
1,069,237 7s, October 20, 2024 1,096,802
....................................................................................................
121,364 6 7/8s, November 20, 2021 124,550
....................................................................................................
1,194,833 6s, with due dates from May 20, 2024
to July 20, 2024 1,223,541
....................................................................................................
1,269,837 5 1/2s, with due dates from
August 20, 2027 to April 15, 2028 1,284,008
....................................................................................................
Government National Mortgage Association
....................................................................................................
Pass-through Certificates
....................................................................................................
62,784 11s, December 15, 2015 70,566
....................................................................................................
980,369 10s, June 15, 2013 1,086,985
....................................................................................................
11,501,510 8s, with due dates from
September 15, 2020 to
October 15, 2027 11,933,785
....................................................................................................
6,513,749 7 1/2s, with due dates from
January 15, 2023 to May 16, 2027 6,931,442
....................................................................................................
25,001,473 7s, with due dates from
January 15, 2024 to May 15, 2028 25,404,995
....................................................................................................
7,298,331 6 1/2s, with due dates from
August 20, 2025 to April 15, 2028 8,069,465
- ----------------------------------------------------------------------------------------------------
83,047,831
- ----------------------------------------------------------------------------------------------------
U.S. Treasury Obligations (1.4%)
....................................................................................................
3,620,000 U.S. Treasury Bonds 6 1/8s,
November 15, 2027 # 3,879,047
....................................................................................................
U.S. Treasury Notes
....................................................................................................
2,620,000 5 5/8s, May 15, 2008 # 2,655,606
....................................................................................................
3,970,000 5 5/8s, April 30, 2000 # 3,977,424
....................................................................................................
1,245,000 5 5/8s, November 30, 1999 # 1,246,556
....................................................................................................
2,305,000 5 1/2s, with due dates from
March 31, 2000 to May 31, 2003 # 2,305,487
- ----------------------------------------------------------------------------------------------------
14,064,120
- ----------------------------------------------------------------------------------------------------
Total U.S. Government and
Agency Obligations
(cost $95,626,008) $97,111,951
- ----------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES (10.3%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
Advertising (0.1%)
....................................................................................................
$200,000 Adams Outdoor Advertising sr. notes
10 3/4s, 2006 $219,000
....................................................................................................
20,000 Lamar Advertising Co. company guaranty
8 5/8s, 2007 20,450
....................................................................................................
255,000 Lamar Advertising Co. sr. sub. notes
9 5/8s, 2006 272,850
....................................................................................................
225,000 Outdoor Communications Inc. sr. sub.
notes 9 1/4s, 2007 230,625
....................................................................................................
100,000 Outdoor Systems, Inc. company guaranty
8 7/8s, 2007 104,125
....................................................................................................
15,000 Outdoor Systems, Inc. sr. sub. notes
9 3/8s, 2006 15,938
- ----------------------------------------------------------------------------------------------------
862,988
- ----------------------------------------------------------------------------------------------------
Aerospace and Defense (0.2%)
....................................................................................................
20,000 Argo-Tech Corp. company guaranty
8 5/8s, 2007 20,000
....................................................................................................
110,000 Aviation Sales Co. 144A sr. sub. notes
8 1/8s, 2008 107,250
....................................................................................................
60,000 BE Aerospace sr. sub. notes Ser. B, 8s, 2008 59,850
....................................................................................................
325,000 BE Aerospace, Inc. sr. sub. notes Ser. B,
9 7/8s, 2006 344,500
....................................................................................................
125,000 Derlan Industries Ltd. sr. notes 10s, 2007
(Canada) 130,625
....................................................................................................
25,000 K&F Industries, Inc. sr. sub. notes Ser. B,
9 1/4s, 2007 25,250
....................................................................................................
275,000 Lockheed Martin Corp. company guaranty
7 1/4s, 2006 291,767
....................................................................................................
1,125,000 Raytheon Co notes 6.45s, 2002 1,136,160
....................................................................................................
5,000 Sequa Corp. sr. sub. notes 9 3/8s, 2003 5,175
....................................................................................................
10,000 Tracor, Inc. sr. sub. notes 8 1/2s, 2007 10,825
- ----------------------------------------------------------------------------------------------------
2,131,402
- ----------------------------------------------------------------------------------------------------
Agriculture (0.1%)
....................................................................................................
585,000 Potash Corp. of Saskatchewan notes
7 1/8s, 2007 (Canada) 608,494
....................................................................................................
579,913 Premium Standard Farms, Inc. sr. secd.
notes 11s, 2003 (PIK) 624,856
....................................................................................................
100,000 Purina Mills, Inc. 144A sr. sub. notes
9s, 2010 102,750
- ----------------------------------------------------------------------------------------------------
1,336,100
- ----------------------------------------------------------------------------------------------------
Apparel (--%)
....................................................................................................
60,000 GFSI, Inc. sr. sub. notes Ser. B, 9 5/8s, 2007 62,400
....................................................................................................
50,000 Sassco Fashions Ltd. sr. notes 12 3/4s, 2004 54,125
- ----------------------------------------------------------------------------------------------------
116,525
- ----------------------------------------------------------------------------------------------------
Automotive (0.3%)
....................................................................................................
1,810,000 Hertz Corp. sr. notes 7s, 2028 1,819,430
....................................................................................................
75,000 Lear Corp. sub. notes 9 1/2s, 2006 82,313
....................................................................................................
180,000 Navistar International Corp. sr. notes
Ser. B 8s, 2008 180,900
....................................................................................................
420,000 Navistar International Corp. sr. notes
Ser. B 7s, 2008 425,250
....................................................................................................
45,000 Safety Components International, Inc.
sr. sub. notes Ser. B, 10 1/8s, 2007 46,800
....................................................................................................
160,000 Talon Automotive Group 144A sr. sub.
notes 9 5/8s, 2008 158,400
- ----------------------------------------------------------------------------------------------------
2,713,093
- ----------------------------------------------------------------------------------------------------
Banks (0.3%)
....................................................................................................
105,000 Banco Nacional Comercio Exterior
sovereign eurobond 11 1/4s, 2006
(Mexico) 114,975
....................................................................................................
60,000 Espirto Santo Centrais sr. notes 10s, 2007
(Luxembourg) 50,400
....................................................................................................
1,125,000 Fuji JGB Inv. LLC 144A FLIRB 9.87s, 2049 994,219
....................................................................................................
75,000 Korea Development Bank bonds 7 1/8s,
2001 (Korea) 66,658
....................................................................................................
DEM 3,445,000 Kreditanstalt Fuer Wiederauf bonds 5s,
2009 (Germany) 1,914,048
- ----------------------------------------------------------------------------------------------------
3,140,300
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (--%)
....................................................................................................
105,000 Clark-Schwebel sr. notes 10 1/2s, 2006 116,025
....................................................................................................
55,000 Owens-Illinois, Inc. sr. notes 8.1s, 2007 58,510
....................................................................................................
125,000 W. R. Carpenter North America, Inc.
company guaranty 10 5/8s, 2007 132,500
- ----------------------------------------------------------------------------------------------------
307,035
- ----------------------------------------------------------------------------------------------------
Biotechnology (0.1%)
....................................................................................................
660,000 Millipore Corp. notes 7.2s, 2002 669,445
- ----------------------------------------------------------------------------------------------------
Broadcasting (0.3%)
....................................................................................................
115,000 Affinity Group Holdings sr. notes 11s, 2007 123,050
....................................................................................................
150,000 Allbritton Communications sr. sub. deb.
Ser. B, 9 3/4s, 2007 165,000
....................................................................................................
175,000 Capstar Broadcasting sr. disc. notes
stepped-coupon zero %
(12 3/4s, 2/1/02), 2009 (STP) 133,000
....................................................................................................
110,000 Capstar Broadcasting sr. sub. notes
9 1/4s, 2007 115,088
....................................................................................................
10,000 Central European Media Enterprises Ltd.
sr. notes 9 3/8s, 2004 (Bermuda) 9,900
....................................................................................................
150,000 Chancellor Media Corp. sr. sub notes
Ser. B, 8 1/8s, 2007 152,063
....................................................................................................
40,000 Citadel Broadcasting Inc. sr. sub. notes
10 1/4s, 2007 44,000
....................................................................................................
100,000 Comcast Corp. sr. sub. notes 9 1/2s, 2008 106,784
....................................................................................................
100,000 Comcast UK Cable, Ltd. deb.
stepped-coupon zero % (11.2s,
11/15/00), 2007 (Bermuda) (STP) 83,500
....................................................................................................
115,000 Fox Family Worldwide, Inc. sr. disc. notes
stepped-coupon zero %
(10 1/4s, 11/1/02), 2007 (STP) 74,750
....................................................................................................
250,000 Fox Family Worldwide, Inc. sr. notes
9 1/4s, 2007 251,250
....................................................................................................
130,000 Fox/Liberty Networks LLC sr. disc. notes
stepped-coupon zero %
(9 3/4s, 8/15/02), 2007 (STP) 90,350
....................................................................................................
60,000 Fox/Liberty Networks LLC sr. notes
8 7/8s, 2007 61,200
....................................................................................................
225,000 Granite Broadcasting Corp. sr. sub. notes
9 3/8s, 2005 228,375
....................................................................................................
15,000 Gray Communications Systems, Inc.
sr. sub. notes 10 5/8s, 2006 16,275
....................................................................................................
200,000 Grupo Televisa S.A. sr. disc. notes
stepped-coupon zero % (13 1/4s,
5/15/01), 2008 (Mexico) (STP) 157,000
....................................................................................................
5,000 Jacor Communications, Inc. company
guaranty 9 3/4s, 2006 5,350
....................................................................................................
75,000 Jacor Communications, Inc. company
guaranty Ser. B, 8 3/4s, 2007 78,000
....................................................................................................
75,000 Marcus Cable Co. (L.P.) sr. sub. disc. notes
stepped-coupon zero %
(13 1/2s, 8/1/99), 2004 (STP) 72,750
....................................................................................................
10,000 Radio One Inc. company guaranty
stepped-coupon Ser. B, 7s,
(12s, 5/15/00), 2004 (STP) 10,200
....................................................................................................
275,000 SFX Broadcasting, Inc. sr. sub. notes Ser. B,
10 3/4s, 2006 303,188
....................................................................................................
70,000 SFX Entertainment Inc. 144A sr. sub. notes
9 1/8s, 2008 68,600
....................................................................................................
300,000 Sinclair Broadcast Group, Inc. sr. sub. notes
8 3/4s, 2007 307,500
....................................................................................................
80,000 Spanish Broadcasting Systems sr. notes
Ser. B, 11s, 2004 86,400
....................................................................................................
100,000 Sullivan Broadcasting sr. sub. notes
10 1/4s, 2005 113,875
- ----------------------------------------------------------------------------------------------------
2,857,448
- ----------------------------------------------------------------------------------------------------
Building and Construction (0.1%)
....................................................................................................
25,000 American Architectural Products Corp.
company guaranty 11 3/4s, 2007 25,625
....................................................................................................
55,000 Atrium Companies, Inc. sr. sub. notes
10 1/2s, 2006 57,888
....................................................................................................
60,000 Beazer Homes USA company guaranty
8 7/8s, 2008 58,500
....................................................................................................
50,000 Brand Scaffold Services 144A sr. notes
10 1/4s, 2008 50,875
....................................................................................................
10,000 Building Materials Corp. sr. notes Ser. B,
8 5/8s, 2006 10,300
....................................................................................................
25,000 Cia Latino Americana 144A company
guaranty 11 1/8s, 2004 (Argentina) 25,125
....................................................................................................
5,000 Consumers International 144A sr. notes
10 1/4s, 2005 5,375
....................................................................................................
80,000 D.R. Horton Inc. company guaranty
10s, 2006 85,800
....................................................................................................
155,000 GS Superhighway Holdings sr. notes
9 7/8s, 2004 131,750
....................................................................................................
40,000 Jackson Products, Inc. 144A company
guaranty 9 1/2s, 2005 39,800
....................................................................................................
75,000 M.D.C. Holdings, Inc. notes Ser. B,
11 1/8s, 2003 81,375
....................................................................................................
35,000 Presley Cos. sr. notes 12 1/2s, 2001 32,900
....................................................................................................
10,000 Waxman Industries Inc. sr. notes
stepped-coupon Ser. B, zero %
(12 3/4s, 6/1/99), 2004 (STP) 9,500
- ----------------------------------------------------------------------------------------------------
614,813
- ----------------------------------------------------------------------------------------------------
Building Products (--%)
....................................................................................................
75,000 Southdown, Inc. sr. sub. notes Ser. B,
10s, 2006 83,531
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (0.1%)
....................................................................................................
30,000 ATC Group Services Inc. 144A sr. sub.
notes 12s, 2008 27,600
....................................................................................................
80,000 Corporate Express Holdings, Inc. 144A
sr. sub. notes 9 5/8s, 2008 82,400
....................................................................................................
50,000 Iron Mountain, Inc. company guaranty
8 3/4s, 2009 51,000
....................................................................................................
175,000 Iron Mountain, Inc. med. term notes
company guaranty 10 1/8s, 2006 189,875
....................................................................................................
90,000 Morris Material Handling Inc. 144A
sr. notes 9 1/2s, 2008 83,700
....................................................................................................
50,000 Outsourcing Solutions, Inc. sr. sub. notes
Ser. B, 11s, 2006 53,500
....................................................................................................
110,000 U.S. Office Products Co. 144A sr. sub
notes 9 3/4s, 2008 110,825
....................................................................................................
153,000 United Stationer Supply, Inc. sr. sub. notes
12 3/4s, 2005 174,420
....................................................................................................
90,000 United Stationer 144A sr. sub. notes
8 3/8s, 2008 90,000
....................................................................................................
40,000 Williams Scotsman, Inc. 144A sr. notes
9 7/8s, 2007 41,600
- ----------------------------------------------------------------------------------------------------
904,920
- ----------------------------------------------------------------------------------------------------
Cable Television (0.1%)
....................................................................................................
40,000 Acme Television sr. disc. notes
stepped-coupon zero %
(10 7/8s, 9/30/00), 2004 (STP) 33,000
....................................................................................................
10,000 Adelphia Communications Corp. sr. notes
Ser. B, 10 1/4s, 2000 10,325
....................................................................................................
200,000 Adelphia Communications Corp. sr. notes
Ser. B, 9 7/8s, 2007 216,500
....................................................................................................
100,000 Century Communications Corp. sr. notes
9 1/2s, 2005 108,250
....................................................................................................
300,000 CSC Holdings, Inc. sr. sub. deb. 9 7/8s, 2013 331,500
....................................................................................................
10,000 CSC Holdings, Inc. sr. sub. notes
9 1/4s, 2005 10,700
....................................................................................................
225,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(11 3/4s, 12/15/00), 2005
(United Kingdom) (STP) 186,750
....................................................................................................
200,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(13 1/2s, 9/30/99), 2004
(United Kingdom) (STP) 188,000
....................................................................................................
70,000 Globo Communicacoes 144A sr. notes
10 5/8s, 2008 62,300
....................................................................................................
200,000 Grupo Televisa S.A. 144A sr. notes
11 7/8s, 2006 (Mexico) 220,000
- ----------------------------------------------------------------------------------------------------
1,367,325
- ----------------------------------------------------------------------------------------------------
Chemicals (0.2%)
....................................................................................................
110,000 Huntsman Corp. 144A sr. sub. notes
FRN 9.094s, 2007 110,000
....................................................................................................
105,000 ISP Holdings, Inc. sr. notes Ser. B,
9 3/4s, 2002 111,300
....................................................................................................
95,000 NL Industries, Inc. sr. notes
stepped-coupon zero %
(13s, 10/15/98), 2005 (STP) 98,325
....................................................................................................
25,000 Pharmaceutical Fine Chemicals 144A
sr. sub. notes 9 3/4s, 2007 (Switzerland) 28,375
....................................................................................................
1,710,000 Solutia Inc. bonds 6.72s, 2037 1,735,376
....................................................................................................
50,000 Sovereign Specialty Chemical 144A
company guaranty Ser. A, 9 1/2s, 2007 51,250
....................................................................................................
100,000 Sterling Chemicals Holdings sr. disc. notes
stepped-coupon zero %
(13 1/2s, 8/15/01), 2008 (STP) 58,000
....................................................................................................
50,000 Trikem S.A. 144A bonds 10 5/8s, 2007
(Brazil) 40,500
....................................................................................................
80,000 Union Carbide Global Enterprises sr. sub.
notes Ser. B, 12s, 2005 87,000
- ----------------------------------------------------------------------------------------------------
2,320,126
- ----------------------------------------------------------------------------------------------------
Communications (--%)
....................................................................................................
50,000 American Cell Corp 144A sr. notes
10 1/2s, 2008 50,000
....................................................................................................
45,000 Conecel Holdings 144A notes Ser. A,
14s, 2000 42,750
- ----------------------------------------------------------------------------------------------------
92,750
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (0.1%)
....................................................................................................
20,000 Concentric Network Corp. sr. notes
12 3/4s, 2007 21,300
....................................................................................................
1,120,000 Dell Computer Corp. deb. 7.1s, 2028 1,143,990
....................................................................................................
90,000 Orbital Imaging Corp. 144A sr. notes
11 5/8s, 2005 92,700
....................................................................................................
110,000 PSINet, Inc. sr. notes Ser. B, 10s, 2005 112,200
- ----------------------------------------------------------------------------------------------------
1,370,190
- ----------------------------------------------------------------------------------------------------
Computers (--%)
....................................................................................................
195,000 IPC Information Systems sr. disc. notes
stepped-coupon zero %
(10 7/8s, 11/1/01), 2008 (STP) 142,350
- ----------------------------------------------------------------------------------------------------
Conglomerates (0.1%)
....................................................................................................
730,000 Tyco International Ltd. company guaranty
6 3/8s, 2005 731,854
....................................................................................................
750,000 Tyco International Ltd. company guaranty
6 1/4s, 2003 748,178
- ----------------------------------------------------------------------------------------------------
1,480,032
- ----------------------------------------------------------------------------------------------------
Consumer Durable Goods (--%)
....................................................................................................
30,000 French Fragrances, Inc. 144A sr. notes
10 3/8s, 2007 31,800
....................................................................................................
30,000 French Fragrances, Inc. sr. notes Ser. B,
10 3/8s, 2007 31,950
....................................................................................................
15,000 Hedstrom Holdings, Inc. 144A sr. disc.
notes stepped-coupon zero %
(12s, 6/1/02), 2009 (STP) 9,450
....................................................................................................
140,000 Icon Fitness Corp. 144A sr. disc. notes
stepped-coupon Ser. B, zero %
(14s, 11/15/01), 2006 (STP) 49,000
....................................................................................................
160,000 Iron Age Corp. 144A sr. sub. notes
9 7/8s, 2008 159,200
....................................................................................................
30,000 Sealy Mattress Co. 144A sr. disc. notes
stepped-coupon zero %
(10 7/8s, 12/15/02), 2007 (STP) 19,800
- ----------------------------------------------------------------------------------------------------
301,200
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (0.3%)
....................................................................................................
20,000 Amscan Holdings, Inc. sr. sub. notes
9 7/8s, 2007 20,200
....................................................................................................
50,000 Chattem, Inc. 144A sr. sub. notes
8 7/8s, 2008 49,375
....................................................................................................
360,000 Guess Jeans, Inc. sr. sub. notes 9 1/2s, 2003 367,200
....................................................................................................
80,000 Packaged Ice, Inc. 144A sr. notes
9 3/4s, 2005 80,800
....................................................................................................
1,340,000 Philip Morris Cos., Inc. notes 7 1/2s, 2002 1,385,962
....................................................................................................
450,000 Revlon Consumer Products sr. sub. notes
8 5/8s, 2008 451,125
....................................................................................................
1,065,000 Sampoerna International Finance Co.
144A company guaranty 8 3/8s, 2006
(Indonesia) 585,750
- ----------------------------------------------------------------------------------------------------
2,940,412
- ----------------------------------------------------------------------------------------------------
Consumer Products (--%)
....................................................................................................
50,000 Revlon Worldwide Corp. sr. disc. notes
Ser. B, zero %, 2001 38,875
- ----------------------------------------------------------------------------------------------------
Consumer Services (0.3%)
....................................................................................................
190,000 Amazon.com Inc. 144A sr. disc. notes
stepped-coupon zero % (10s, 5/1/03),
2008 (STP) 116,850
....................................................................................................
160,000 Coinmach Corp. sr. notes 11 3/4s, 2005 177,600
....................................................................................................
55,000 FRD Acquisition Co. sr. notes Ser. B,
12 1/2s, 2004 60,225
....................................................................................................
280,000 Host Marriott Travel Plaza sr. notes
Ser. B, 9 1/2s, 2005 298,550
....................................................................................................
350,000 John Q Hammons Hotels, Inc. 1st mtge.
8 7/8s, 2004 352,625
....................................................................................................
125,000 Jones Intercable, Inc. sr. sub. deb.
10 1/2s, 2008 136,875
....................................................................................................
70,000 Epic Resorts LLP 144A sr. notes 13s, 2005 70,000
....................................................................................................
145,000 Prime Hospitality Corp. sub. notes
9 3/4s, 2007 154,063
....................................................................................................
150,000 Sun International Hotels Ltd. sr. sub. notes
8 5/8s, 2007 154,500
....................................................................................................
1,050,000 TCI Communications, Inc. sr. notes
8.65s, 2004 1,174,373
....................................................................................................
180,000 Viasystems, Inc. 144A sr. notes 9 3/4s, 2007 176,400
- ----------------------------------------------------------------------------------------------------
2,872,061
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (0.1%)
....................................................................................................
55,000 Celestica International Ltd. 144A sr. sub.
notes 10 1/2s, 2006 (Canada) 60,638
....................................................................................................
58,849 Cirent Semiconductor sr. sub. notes
10.22s, 2002 61,056
....................................................................................................
62,441 Cirent Semiconductor 144A sr. sub.
notes 10.14s, 2004 64,938
....................................................................................................
30,000 Details, Inc. sr. sub. notes Ser. B, 10s, 2005 29,850
....................................................................................................
40,000 DII Group, Inc. (The) sr. sub. notes
8 1/2s, 2007 39,200
....................................................................................................
210,000 Dobson Communications Corp. sr. notes
11 3/4s, 2007 227,850
....................................................................................................
200,000 Fairchild Semiconductor Corp. sr. sub.
notes 10 1/8s, 2007 206,000
....................................................................................................
145,000 Fairchild Semiconductor Corp. 144A
sr. sub. notes 11.74s, 2008 166,025
....................................................................................................
90,000 Flag Ltd. 144A sr. notes 8 1/4s, 2008
(Bermuda) 90,675
....................................................................................................
35,000 Flextronics International Ltd. sr. sub. notes
Ser. B, 8 3/4s, 2007 35,219
....................................................................................................
40,000 HCC Industries, Inc. company guaranty
10 3/4s, 2007 42,400
....................................................................................................
95,000 Motors and Gears Inc. sr. notes Ser. B,
10 3/4s, 2006 101,650
....................................................................................................
50,000 Samsung Electronics 144A company
guaranty 9 3/4s, 2003 46,000
....................................................................................................
20,000 Wavetek Corp. company guaranty
10 1/8s, 2007 20,200
....................................................................................................
140,000 Zilog Inc. 144A sr. notes 9 1/2s, 2005 99,400
- ----------------------------------------------------------------------------------------------------
1,291,101
- ----------------------------------------------------------------------------------------------------
Energy-Related (--%)
....................................................................................................
60,000 AES Corp. sr. sub. notes 8 3/8s, 2007 60,600
....................................................................................................
60,000 Gothic Production 144A sr. notes
11 1/8s, 2005 57,600
....................................................................................................
20,000 Newpark Resources, Inc. company
guaranty Ser. B, 8 5/8s, 2007 20,000
....................................................................................................
50,000 Niagara Mohawk Power Corp. sr. notes
Ser. F, 7 5/8s, 2005 50,212
....................................................................................................
70,000 Niagara Mohawk Power Corp. sr. notes
Ser. G, 7 3/4s, 2008 71,716
....................................................................................................
5,000 Panda Global Energy Co. company
guaranty 12 1/2s, 2004 4,550
....................................................................................................
60,000 RAM Energy Inc. sr. notes 11 1/2s, 2008 60,900
- ----------------------------------------------------------------------------------------------------
325,578
- ----------------------------------------------------------------------------------------------------
Entertainment (0.4%)
....................................................................................................
95,000 AMC Entertainment, Inc. sr. sub. notes
9 1/2s, 2009 95,950
....................................................................................................
150,000 Argosy Gaming Co. company guaranty
13 1/4s, 2004 168,375
....................................................................................................
135,000 Cinemark USA, Inc. sr. sub. notes
9 5/8s, 2008 139,050
....................................................................................................
50,000 Coast Hotels & Casinos, Inc. company
guaranty Ser. B, 13s, 2002 57,875
....................................................................................................
185,150 Colorado Gaming & Entertainment Co.
sr. notes 12s, 2003 200,888
....................................................................................................
90,000 Empress River Casino sr. notes
10 3/4s, 2002 97,650
....................................................................................................
140,000 Fitzgeralds Gaming Corp. 144A
company guaranty 12 1/4s, 2004 135,800
....................................................................................................
75,000 Hollywood Casino Corp. sr. notes
12 3/4s, 2003 82,125
....................................................................................................
10,000 Isle of Capri Black Hawk LLC 144A
1st mtge. Ser. B, 13s, 2004 10,550
....................................................................................................
150,000 Mohegan Tribal Gaming sr. secd. notes
Ser. B, 13 1/2s, 2002 190,875
....................................................................................................
20,000 Penn National Gaming, Inc. 144A
sr. notes 10 5/8s, 2004 21,000
....................................................................................................
100,000 Premier Parks, Inc. sr. notes Ser. A, 12s, 2003 110,750
....................................................................................................
165,000 Premier Parks, Inc. sr. notes 9 1/4s, 2006 170,775
....................................................................................................
90,000 PRT Funding Corp. sr. notes 11 5/8s, 2004 64,800
....................................................................................................
90,000 Silver Cinemas Intl.144A sr. sub. notes
10 1/2s, 2005 90,675
....................................................................................................
225,000 Six Flags Corp. sr. sub. notes
stepped-coupon Ser. A, zero %
(12 1/4s, 6/15/00), 2005 (STP) 255,938
....................................................................................................
1,080,000 Time Warner Entertainment Co. sr. notes
8 3/8s, 2033 1,281,506
....................................................................................................
365,000 Time Warner Entertainment Co. notes
8 7/8s, 2012 434,219
....................................................................................................
80,000 Trump A.C. 1st mtge. company guaranty
11 1/4s, 2006 77,800
....................................................................................................
190,000 Trump Castle Funding 144A sub. notes
10 1/4s, 2003 191,900
....................................................................................................
80,000 United Artists Theatre 144A sr. sub. notes
9 3/4s, 2008 79,800
....................................................................................................
365,000 Viacom International, Inc. sub. deb. 8s, 2006 376,863
- ----------------------------------------------------------------------------------------------------
4,335,164
- ----------------------------------------------------------------------------------------------------
Environmental Control (0.2%)
....................................................................................................
25,000 Allied Waste Industries, Inc. company
guaranty 10 1/4s, 2006 27,438
....................................................................................................
140,000 Allied Waste Industries, Inc. sr. disc. notes
stepped-coupon zero %
(11.3s, 6/1/02), 2007 (STP) 102,900
....................................................................................................
1,705,000 WMX Technologies Inc. notes 7.1s, 2026 1,774,223
- ----------------------------------------------------------------------------------------------------
1,904,561
- ----------------------------------------------------------------------------------------------------
Food and Beverages (0.4%)
....................................................................................................
30,000 Ameriserve Food Co. company guaranty
10 1/8s, 2007 31,050
....................................................................................................
50,000 Ameriserve Food Co. company guaranty
8 7/8s, 2006 50,250
....................................................................................................
45,000 Aurora Foods, Inc. sr. sub. notes Ser. B,
9 7/8s, 2007 47,700
....................................................................................................
80,000 Aurora Foods, Inc. 144A ser. sub. notes
Ser. D, 9 7/8s, 2007 84,800
....................................................................................................
250,000 Canandaigua Wine Co. sr. sub. notes
8 3/4s, 2003 255,000
....................................................................................................
5,000 Canandaigua Wine Co. sr. sub. notes
Ser. C, 8 3/4s, 2003 5,138
....................................................................................................
65,000 Fleming Companies, Inc. company
guaranty Ser. B, 10 1/2s, 2004 67,600
....................................................................................................
2,425,000 Philip Morris Companies., Inc. notes
7 1/2s, 2004 2,546,929
....................................................................................................
140,000 RAB Enterprises, Inc. 144A sr. notes
10 1/2s, 2005 140,700
....................................................................................................
200,000 Signature Brands USA, Inc. company
guaranty 13s, 2002 (Canada) 224,000
....................................................................................................
310,000 Smithfield Foods, Inc. 144A sr. sub. notes
7 5/8s, 2008 306,900
....................................................................................................
20,000 Southern Foods Group 144A sr. sub. notes
9 7/8s, 2007 20,850
....................................................................................................
100,000 Stater Brothers Holdings 144A sr. sub.
notes 9s, 2004 102,000
....................................................................................................
15,000 Windy Hill Pet Food Co. sr. sub. notes
9 3/4s, 2007 15,675
- ----------------------------------------------------------------------------------------------------
3,898,592
- ----------------------------------------------------------------------------------------------------
Health Care (0.2%)
....................................................................................................
60,000 Conmed Corp. company guaranty 9s, 2008 59,400
....................................................................................................
250,000 Extendicare Health Services Inc. company
guaranty 9.35s, 2007 252,500
....................................................................................................
130,000 Fresenius Medical Capital Trust II company
guaranty 7 7/8s, 2008 127,725
....................................................................................................
50,000 Genesis Health Ventures, Inc. sr. sub. notes
9 1/4s, 2006 50,500
....................................................................................................
90,000 Global Health Sciences 144A sr. notes
11s, 2008 88,875
....................................................................................................
90,000 Hudson Respiratory Care, Inc. 144A
sr. sub. notes 9 1/8s, 2008 87,750
....................................................................................................
40,000 Integrated Health Services, Inc. sr. sub.
notes Ser. A, 9 1/2s, 2007 41,900
....................................................................................................
100,000 Integrated Health Services, Inc. sr. sub.
notes Ser. A, 9 1/4s, 2008 103,875
....................................................................................................
150,000 Magellan Health Services, Inc. 144A
sr. sub. notes 9s, 2008 148,875
....................................................................................................
630,000 Manor Care, Inc. sr. notes 7 1/2s, 2006 639,557
....................................................................................................
60,000 Multicare Cos., Inc. sr. sub. notes 9s, 2007 59,400
....................................................................................................
60,000 Paracelsus Healthcare sr. sub. notes
10s, 2006 59,400
....................................................................................................
50,000 Paragon Corp. Holdings, Inc. 144A
sr. notes 9 5/8s, 2008 45,000
....................................................................................................
130,000 Paragon Corp. Holdings, Inc. 144A sr. sub.
notes Ser. B, 9 1/2s, 2007 131,950
....................................................................................................
60,000 Paragon Health Networks, Inc. sr. sub
notes stepped-coupon Ser. B, zero % (10.5s,
11/1/02), 2007 (STP) 39,600
....................................................................................................
275,000 Tenet Healthcare Corp. sr. sub. notes
8 5/8s, 2007 281,875
- ----------------------------------------------------------------------------------------------------
2,218,182
- ----------------------------------------------------------------------------------------------------
Hospital Management and Medical Services (--%)
....................................................................................................
75,000 MedPartners, Inc. sr. notes 7 3/8s, 2006 67,223
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (2.2%)
....................................................................................................
100,000 Aames Financial Corp. sr. notes 9 1/8s, 2003 100,000
....................................................................................................
385,000 Abbey National First Capital PLC
sub. notes 7.35s, 2049 (United Kingdom) 408,816
....................................................................................................
970,000 AFC Capital Trust I company guaranty
Ser. B, 8.207s, 2027 1,113,085
....................................................................................................
215,000 Allstate Financing II company guaranty
7.83s, 2045 227,879
....................................................................................................
1,515,000 American General Institute 144A
company guaranty 8 1/8s, 2046 1,730,978
....................................................................................................
100,000 APP Finance II Mauritius Ltd. bonds
stepped-coupon 12s, (16s, 2/15/04),
2049 (Indonesia) (STP) 70,000
....................................................................................................
805,000 Banponce Financial Corp. med. term
note 7 1/8s, 2002 827,854
....................................................................................................
115,000 Chevy Chase Savings Bank Inc. sub. deb.
9 1/4s, 2005 116,725
....................................................................................................
945,000 Cincinnati Financial Corp. deb. 6.9s, 2028 971,337
....................................................................................................
80,000 Colonial Capital II 144A company
guaranty 8.92s, 2027 88,713
....................................................................................................
40,000 Delta Financial Corp. sr. notes 9 1/2s, 2004 39,600
....................................................................................................
35,000 Dime Capital Trust I bank guaranty Ser. A,
9.33s, 2027 40,994
....................................................................................................
30,000 Dine S.A. de C.V. 144A company guaranty
8 3/4s, 2007 (Mexico) 27,600
....................................................................................................
45,000 Dollar Financial Group Inc. sr. notes Ser. A,
10 7/8s, 2006 48,600
....................................................................................................
325,000 First Financial Caribbean Corp. sr. notes
7.84s, 2006 343,015
....................................................................................................
120,000 First Nationwide Holdings sr. notes
12 1/2s, 2003 136,200
....................................................................................................
100,000 First Nationwide Holdings sr. sub. notes
10 5/8s, 2003 113,000
....................................................................................................
765,000 Firstar Bank Milwaukee sr. bank notes
6 1/4s, 2002 766,125
....................................................................................................
1,075,000 Greenpoint Bank sr. notes 6.7s, 2002 1,093,372
....................................................................................................
30,000 Greenpoint Capital Trust I company
guaranty 9.1s, 2027 34,163
....................................................................................................
175,000 Imperial Credit Capital Trust I 144A
company guaranty 10 1/4s, 2002 176,750
....................................................................................................
85,000 Imperial Credit Industries, Inc. sr. notes
9 7/8s, 2007 84,575
....................................................................................................
10,000 Investors Capital Trust I company guaranty
Ser. B, 9.77s, 2027 11,400
....................................................................................................
1,290,000 Merita Bank Ltd. sub. notes 6 1/2s,
2006 (Finland) 1,294,205
....................................................................................................
500,000 Money Store, Inc. notes 8.05s, 2002 529,675
....................................................................................................
1,950,000 NationsBank Corp. sub. notes 6 7/8s, 2005 2,011,211
....................................................................................................
30,000 Nationwide Credit Inc. 144A sr. notes
10 1/4s, 2008 30,150
....................................................................................................
20,000 Netia Holdings B.V. 144A company
guaranty 10 1/4s, 2007 (Poland) 19,150
....................................................................................................
10,000 Netia Holdings B.V. 144A company
guaranty stepped-coupon zero %
(11 1/4s, 11/1/02), 2007 (Poland) (STP) 6,775
....................................................................................................
5,000 North Fork Capital Trust I company
guaranty 8.7s, 2026 5,646
....................................................................................................
15,000 Ocwen Capital Trust I company guaranty
10 7/8s, 2027 16,350
....................................................................................................
5,000 Ocwen Federal Bank FSB sub. deb.
12s, 2005 5,500
....................................................................................................
10,000 Ocwen Financial Corp. notes 11 7/8s, 2003 11,200
....................................................................................................
275,000 Orange Cogen Funding 144A company
guaranty 8.175s, 2022 303,380
....................................................................................................
1,500,000 Paine Webber Group, Inc. sr. notes
6.55s, 2008 1,490,025
....................................................................................................
705,000 Peoples Bank- Bridgeport sub. notes
7.2s, 2006 732,150
....................................................................................................
30,000 Peoples Heritage Capital Trust company
guaranty Ser. B, 9.06s, 2027 33,827
....................................................................................................
765,000 Phoenix Home Life Mutual Insurance Co.
144A notes 6.95s, 2006 787,139
....................................................................................................
65,000 Pindo Deli Finance Mauritius Ltd. company
guaranty 10 3/4s, 2007 (Indonesia) 45,500
....................................................................................................
30,000 Pioneer Americas Acquisition 144A
sr. notes 9 1/4s, 2007 29,550
....................................................................................................
55,000 Polytama International notes
11 1/4s, 2007 (Indonesia) 19,250
....................................................................................................
1,040,000 Popular, Inc. med. term notes 6.4s, 2000 1,045,918
....................................................................................................
70,000 Provident Capital Trust company guaranty
8.6s, 2026 75,469
....................................................................................................
1,270,000 Provident Companies, Inc. bonds
7.405s, 2038 1,294,765
....................................................................................................
80,000 Riggs Capital Trust 144A bonds
8 5/8s, 2026 87,878
....................................................................................................
1,465,000 Southern Investments Service Co.
sr. notes 6.8s, 2006 (United Kingdom) 1,496,380
....................................................................................................
50,000 Sovereign Capital Trust company
guaranty 9s, 2027 55,248
....................................................................................................
710,000 Sparbanken Sverige AB (Swedbank)
144A sub. notes 7 1/2s, 2006 (Sweden) 740,530
....................................................................................................
650,000 St. Paul Bancorp sr. notes 7 1/8s, 2004 672,016
....................................................................................................
865,000 TIG Holdings, Inc. notes 8 1/8s, 2005 936,276
....................................................................................................
55,000 Vicap SA. 144A company guaranty
10 1/4s, 2002 (Mexico) 55,550
....................................................................................................
5,000 Webster Capital Trust I 144A bonds
9.36s, 2027 5,650
- ----------------------------------------------------------------------------------------------------
22,407,144
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (0.1%)
....................................................................................................
120,000 ALARIS Medical Systems, Inc. company
guaranty 9 3/4s, 2006 123,900
....................................................................................................
105,000 Graphic Controls Corp. sr. sub. notes
Ser. A, 12s, 2005 116,550
....................................................................................................
45,000 Imagyn Medical Technologies company
guaranty 12 1/2s, 2004 15,750
....................................................................................................
100,000 Kinetic Concepts, Inc. company guaranty
Ser. B, 9 5/8s, 2007 101,250
....................................................................................................
120,000 Mediq, Inc. 144A sr. sub. notes 11s, 2008 123,000
....................................................................................................
110,000 Wright Medical Technology, Inc. 144A
notes Ser. C, 11 3/4s, 2000 108,900
- ----------------------------------------------------------------------------------------------------
589,350
- ----------------------------------------------------------------------------------------------------
Metals and Mining (0.1%)
....................................................................................................
65,000 Acindar Industria Argentina de Aceros
S.A. bonds 11 1/4s, 2004 (Argentina) 65,163
....................................................................................................
155,000 AK Steel Corp. sr. notes 9 1/8s, 2006 161,975
....................................................................................................
110,000 Ameristeel Corp. 144A sr. notes
8 3/4s, 2008 110,000
....................................................................................................
40,000 Anker Coal Group, Inc. sr. notes Ser. B,
9 3/4s, 2007 36,000
....................................................................................................
65,000 Continental Global Group sr. notes
Ser. B, 11s, 2007 67,600
....................................................................................................
295,000 Freeport-McMoRan Copper &
Gold Co., Inc. sr. notes 7 1/2s, 2006 233,375
....................................................................................................
80,000 Hylsa S.A. de C.V. 144A bonds 9 1/4s,
2007 (Mexico) 74,400
....................................................................................................
70,000 Lodestar Holding, Inc. 144A sr. notes
11 1/2s, 2005 69,650
....................................................................................................
10,000 Maxxam Group Holdings, Inc. sr. notes
Ser. B, 12s, 2003 11,150
....................................................................................................
70,000 WHX Corp. sr. notes 10 1/2s, 2005 70,175
- ----------------------------------------------------------------------------------------------------
899,488
- ----------------------------------------------------------------------------------------------------
Oil and Gas (0.8%)
....................................................................................................
75,000 Abraxas Petroleum Corp. 144A
11 1/2s, 2004 77,625
....................................................................................................
30,000 Benton Oil & Gas Co. sr. notes 9 3/8s, 2007 29,250
....................................................................................................
175,000 Chesapeake Energy Corp. sr. notes
9 1/8s, 2006 172,375
....................................................................................................
80,000 Perez Companc S.A. 144A bonds 9s,
2004 (Argentina) 80,800
....................................................................................................
150,000 Cliffs Drilling Co. company guaranty
Ser. D, 10 1/4s, 2003 158,063
....................................................................................................
995,000 Coastal Corp. bonds 6.95s, 2028 983,806
....................................................................................................
30,000 Coho Energy, Inc. sr. sub. notes 8 7/8s, 2007 28,275
....................................................................................................
1,000,000 Columbia Gas System, Inc. notes Ser. E,
7.32s, 2010 1,047,570
....................................................................................................
20,000 Costilla Energy, Inc. sr. notes 10 1/4s, 2006 20,300
....................................................................................................
70,000 Dailey Petroleum Services Corp. company
guaranty 9 1/2s, 2008 68,425
....................................................................................................
110,000 Flores & Rucks, Inc. sr. sub. notes
9 3/4s, 2006 119,625
....................................................................................................
1,495,000 Global Marine Inc. notes 7s, 2028 1,508,335
....................................................................................................
980,000 K N Energy, Inc. sr. notes 6.45s, 2003 981,039
....................................................................................................
60,000 Michael Petroleum Corp. 144A sr. notes
11 1/2s, 2005 60,000
....................................................................................................
80,000 Northern Offshore 144A company
guaranty 10s, 2005 78,400
....................................................................................................
75,000 Pacalta Resources Ltd. sr. notes Ser. B,
10 3/4s, 2004 (Canada) 75,375
....................................................................................................
150,000 Panaco, Inc. company guaranty Ser. B,
10 5/8s, 2004 149,250
....................................................................................................
400,000 Petro Geo-Services AS ADR notes
7 1/2s, 2007 (Norway) 425,616
....................................................................................................
290,000 Pogo Producing Co. sr. sub. notes Ser. B,
8 3/4s, 2007 294,350
....................................................................................................
50,000 Pride Petroleum Services, Inc. sr. notes
9 3/8s, 2007 53,250
....................................................................................................
655,000 Saga Petroleum ASA deb. 7 1/4s, 2027
(Norway) 662,578
....................................................................................................
40,000 Seven Seas Petroleum 144A sub. notes
12 1/2s, 2005 40,000
....................................................................................................
30,000 Snyder Oil Corp. sr. sub. notes 8 3/4s, 2007 30,150
....................................................................................................
40,000 Tokai Corp. 144A FRB Ser. A, 9.98s, 2049 37,000
....................................................................................................
800,000 Transamerican Energy sr. disc. notes
stepped-coupon Ser. B, zero %
(13s, 6/15/99), 2002 (STP) 656,000
....................................................................................................
250,000 Transamerican Energy sr. notes Ser. B,
11 1/2s, 2002 230,000
....................................................................................................
360,000 TransTexas Gas Corp. sr. sub. notes Ser. D,
13 3/4s, 2001 396,000
- ----------------------------------------------------------------------------------------------------
8,463,457
- ----------------------------------------------------------------------------------------------------
Packaging and Containers (--%)
....................................................................................................
20,000 AEP Industries, Inc. sr. sub. notes
9 7/8s, 2007 20,550
....................................................................................................
50,000 Innova S De R.L. sr. notes 12 7/8s, 2007
(Mexico) 50,750
....................................................................................................
30,000 Radnor Holdings Corp. company
guaranty Ser. B, 10s, 2003 31,200
....................................................................................................
190,000 Riverwood International Corp. company
guaranty 10 7/8s, 2008 193,563
....................................................................................................
110,000 Riverwood International Corp. company
guaranty 10 1/4s, 2006 112,200
- ----------------------------------------------------------------------------------------------------
408,263
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (0.1%)
....................................................................................................
10,000 APP International Finance Co. notes
11 3/4s, 2005 (Netherlands) 8,900
....................................................................................................
35,000 Huntsman Packaging Corp. company
guaranty 9 1/8s, 2007 35,525
....................................................................................................
190,000 Indah Kiat Financial Mauritius Ltd.
company guaranty 10s, 2007 (Indonesia) 134,900
....................................................................................................
150,000 PT Pabrik Kertas Tjiwi Kimia company
guaranty 10s, 2004 (Indonesia) 105,000
....................................................................................................
235,000 Repap New Brunswick sr. notes 10 5/8s,
2005 (Canada) 237,350
....................................................................................................
45,000 Repap New Brunswick 144A sr. notes 9s,
2004 (Canada) 45,225
....................................................................................................
10,000 Stone Container Corp. 1st mtge.
10 3/4s, 2002 10,625
- ----------------------------------------------------------------------------------------------------
577,525
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (--%)
....................................................................................................
150,000 ICN Pharmaceuticals, Inc. 144A sr. notes
9 1/4s, 2005 159,750
....................................................................................................
70,000 PharMerica, Inc. 144A sr. sub. notes
8 3/8s, 2008 70,175
- ----------------------------------------------------------------------------------------------------
229,925
- ----------------------------------------------------------------------------------------------------
Photography (--%)
....................................................................................................
30,000 Panavision Inc. 144A sr. disc. notes
stepped-coupon zero % (9 5/8s,
2/1/02), 2006 (STP) 21,600
- ----------------------------------------------------------------------------------------------------
Publishing (0.2%)
....................................................................................................
100,000 American Media Operation, Inc. sr. sub.
notes 11 5/8s, 2004 108,000
....................................................................................................
190,000 E. Spire Communications, Inc. sr. disc.
notes stepped-coupon zero %
(13s, 11/1/00), 2005 (STP) 158,175
....................................................................................................
150,000 Garden State Newspapers, Inc. sr. sub.
notes Ser. B, 8 3/4s, 2009 152,250
....................................................................................................
1,270,000 News America Holdings, Inc. deb.
7 3/4s, 2045 1,363,853
....................................................................................................
80,000 News America Holdings, Inc. deb. 7.7s, 2025 85,967
....................................................................................................
100,000 Perry-Judd 144A sr. sub. notes 10 5/8s, 2007 104,500
....................................................................................................
30,000 Tri State Media, Inc. 144A sr. sub. notes
11s, 2008 30,488
....................................................................................................
35,000 Von Hoffman Press Inc. 144A sr. sub.
notes 10 3/8s, 2007 36,925
- ----------------------------------------------------------------------------------------------------
2,040,158
- ----------------------------------------------------------------------------------------------------
Real Estate (0.1%)
....................................................................................................
20,000 Bluegreen Corp. 144A sr. notes
10 1/2s, 2008 19,700
....................................................................................................
60,000 Brylane (L.P.) sr. sub. notes 10s, 2003 (R) 63,150
....................................................................................................
680,000 Equity Residential Properties notes
6.63s, 2015 (R) 684,678
- ----------------------------------------------------------------------------------------------------
767,528
- ----------------------------------------------------------------------------------------------------
Retail (0.3%)
....................................................................................................
30,000 Color Spot Nurseries sr. sub. notes
10 1/2s, 2007 28,200
....................................................................................................
70,000 Eye Care Centers of America 144A
sr. sub. notes 9 1/8s, 2008 68,950
....................................................................................................
1,405,000 Federated Department Stores sr. notes
8 1/2s, 2003 1,537,140
....................................................................................................
40,000 Home Interiors & Gifts, Inc. 144A sr. sub.
notes 10 1/8s, 2008 40,900
....................................................................................................
100,000 Jitney-Jungle Stores company guaranty
12s, 2006 112,500
....................................................................................................
10,000 K mart Corp. med. term notes 8.19s, 2003 10,247
....................................................................................................
10,000 K mart Corp. med. term notes 8s, 2001 10,165
....................................................................................................
10,000 K mart Corp. med. term notes 6.88s, 1999 9,965
....................................................................................................
1,295,000 National Health Investors, Inc. bonds
7.3s, 2007 (R) 1,325,303
....................................................................................................
5,000 Specialty Retailers, Inc. company guaranty
Ser. B, 8 1/2s, 2005 5,125
....................................................................................................
125,000 William Carter Co. sr. sub. notes Ser. A,
10 3/8s, 2006 132,500
....................................................................................................
50,000 William Carter Holdings Co. 144A
sr. sub. notes 12s, 2008 53,500
....................................................................................................
50,000 Zale Corp. sr. notes Ser. B, 8 1/2s, 2007 51,500
- ----------------------------------------------------------------------------------------------------
3,385,995
- ----------------------------------------------------------------------------------------------------
Satellite Services (0.1%)
....................................................................................................
175,000 Esat Holdings Ltd. 144A sr. notes
stepped-coupon zero % (12 1/2s,
2/01/02), 2007 (Ireland) (STP) 128,625
....................................................................................................
130,000 ICG Holdings, Inc. sr. disc. notes
stepped-coupon zero % (13 1/2s,
9/15/00), 2005 (Canada) (STP) 111,150
....................................................................................................
250,000 ICG Services, Inc. 144A sr. disc. notes
stepped-coupon zero % (10s, 2/15/03),
2008 (STP) 148,750
....................................................................................................
280,000 ICG Services, Inc. 144A sr. disc. notes
stepped-coupon zero %, (9 7/8s, 5/1/03),
2008 (STP) 173,250
....................................................................................................
60,000 Satelites Mexicanos S.A. de C.V. 144A
sr. notes 10 1/8s, 2004 (Mexico) 58,500
....................................................................................................
50,000 TCI Satellite Entertainment, Inc. sr. sub.
notes 10 7/8s, 2007 50,000
....................................................................................................
55,000 TCI Satellite Entertainment, Inc. sr. disc.
notes stepped-coupon zero % (12 1/4s,
2/102), 2007 (STP) 37,125
- ----------------------------------------------------------------------------------------------------
707,400
- ----------------------------------------------------------------------------------------------------
Shipping (--%)
....................................................................................................
30,000 International Shipholding Corp. sr. notes
7 3/4s, 2007 29,325
- ----------------------------------------------------------------------------------------------------
Specialty Consumer Products (0.1%)
....................................................................................................
100,000 Decora Industries, Inc. 144A sr. sec. notes
11s, 2005 97,750
....................................................................................................
1,020,000 EOP Operating LP 144A notes
6.763s, 2007 1,023,111
- ----------------------------------------------------------------------------------------------------
1,120,861
- ----------------------------------------------------------------------------------------------------
Telecommunications (1.2%)
....................................................................................................
140,000 Allegiance Telecom, Inc. sr. disc. notes
stepped-coupon Ser. B, zero %
(11 3/4s, 2/15/03), 2008 (STP) 74,550
....................................................................................................
1,020,000 AT&T Capital Corp. med. term notes
6 1/4s, 2001 1,021,163
....................................................................................................
55,000 Barak I.T.C. sr. disc. notes stepped-coupon
Ser. B, zero % (12 1/2s, 11/15/02), 2007 (STP) 33,000
....................................................................................................
60,000 BTI Telecom Corp. sr. notes 10 1/2s, 2007 60,300
....................................................................................................
175,000 Celcaribe S.A. sr. notes 13 1/2s, 2004 185,500
....................................................................................................
360,000 CellNet Data Systems, Inc. sr. disc. notes
stepped-coupon zero % (14s, 10/1/02),
2007 (STP) 207,000
....................................................................................................
50,000 Centennial Cellular Corp. sr. notes
8 7/8s, 2001 52,000
....................................................................................................
225,000 Colt Telecommunications Group PLC
sr. disc. notes stepped-coupon zero %
(12s, 12/15/01), 2006 (United Kingdom) (STP) 177,750
....................................................................................................
135,000 Comcast Cellular Holdings sr. notes
Ser. B, 9 1/2s, 2007 140,063
....................................................................................................
35,000 Consorcio Ecuatoriano notes 14s,
2002 (Ecuador) 33,250
....................................................................................................
60,000 CTI Holdings S.A. 144A sr. notes
stepped-coupon zero %
(11 1/2s, 4/15/03), 2008 (STP) 33,300
....................................................................................................
150,000 Dobson Wireline Co. 144A sr. notes
12 1/4s, 2008 151,500
....................................................................................................
40,000 E. Spire Communications, Inc. sr. disc.
notes stepped-coupon zero %
(12 3/4s, 4/1/01), 2006 (STP) 31,400
....................................................................................................
45,000 E. Spire Communications, Inc. sr. notes
13 3/4s, 2007 51,300
....................................................................................................
200,000 Econophone, Inc. 144A notes
stepped-coupon zero % (11s, 2/15/03),
2008 (STP) 116,000
....................................................................................................
30,000 Esprit Telecom Group PLC sr. notes
11 1/2s, 2007 (United Kingdom) 31,800
....................................................................................................
180,000 Focal Communications Corp. 144A
sr. disc. notes stepped-coupon zero %
(12 1/8s, 2/15/03), 2008 (STP) 108,000
....................................................................................................
430,000 Global Crossing Holdings 144A sr. notes
9 5/8s, 2008 448,275
....................................................................................................
240,000 GST Telecommunications, Inc. company
guaranty stepped-coupon zero %
(13 7/8s, 15/15/00), 2005 (STP) 194,400
....................................................................................................
340,000 GST Telecommunications, Inc. 144A
sr. disc. notes stepped-coupon zero %
(10 1/2s, 5/1/03), 2008 (STP) 204,000
....................................................................................................
90,000 Hyperion Telecommunications Corp., Inc.
sr. notes Ser. B, 12 1/4s, 2004 97,200
....................................................................................................
60,000 Hyperion Telecommunications Corp., Inc.
sr. disc. notes stepped-coupon Ser. B,
zero % (13s, 4/15/01), 2003 (STP) 44,700
....................................................................................................
60,000 IDT Corp. 144A sr. notes 8 3/4s, 2006 57,600
....................................................................................................
130,000 Intelcom Group (USA), Inc. company
guaranty stepped-coupon zero %
(12 1/2s, 5/1/01), 2006 (STP) 103,350
....................................................................................................
100,000 Intercel, Inc. sr. disc. notes stepped-coupon
zero % (12s, 2/1/01), 2006 (STP) 80,375
....................................................................................................
335,000 Intermedia Communications, Inc. sr. notes
Ser. B, 8 1/2s, 2008 335,838
....................................................................................................
190,000 Intermedia Communications, Inc. 144A
sr. notes 8.6s, 2008 191,425
....................................................................................................
305,000 International Cabletel, Inc. sr. notes
stepped-coupon Ser. B, zero %
(11 1/2s, 2/01/01), 2006 (STP) 251,625
....................................................................................................
200,000 Ionica Group PLC sr. disc. notes
stepped-coupon zero % (15s, 5/1/02),
2007 (United Kingdom) (STP) 42,000
....................................................................................................
100,000 Iridium LLC/Capital Corp. company
guaranty Ser. B, 14s, 2005 111,000
....................................................................................................
10,000 Iridium LLC/Capital Corp. company
guaranty Ser. C, 11 1/4s, 2005 10,025
....................................................................................................
55,000 ITC Deltacom, Inc. sr. notes 11s, 2007 61,600
....................................................................................................
110,000 IXC Communications, Inc. 144A sr. sub.
notes 9s, 2008 110,550
....................................................................................................
210,000 Knology Holdings Inc. sr. disc. notes
stepped-coupon zero % (11 7/8s,
10/15/02), 2007 (STP) 123,900
....................................................................................................
50,000 L-3 Communications Corp. sr. sub. notes
8 1/2s, 2008 50,188
....................................................................................................
50,000 L-3 Communications Corp. sr. sub. notes
Ser. B, 10 3/8s, 2007 55,250
....................................................................................................
20,000 Level 3 Communication, Inc. 144A
sr. notes 9 1/8s, 2008 19,450
....................................................................................................
10,000 McCaw International Ltd sr. discount
notes stepped coupon zero %
(13s, 4/15/02), 2007 (STP) 6,625
....................................................................................................
300,000 MCI Communications Corp. notes
6 1/8s, 2002 298,884
....................................................................................................
70,000 Metrocall, Inc. sr. sub. notes 10 3/8s, 2007 72,100
....................................................................................................
30,000 Metrocall, Inc. sr. sub. notes 9 3/4s, 2007 30,600
....................................................................................................
25,000 MetroNet Communications Corp. sr. disc.
notes stepped-coupon zero %
(10 3/4s, 11/1/02), 2007 (Canada) (STP) 16,625
....................................................................................................
170,000 MetroNet Communications Corp. 144A
sr. disc. notes stepped-coupon zero %
(9.95s, 6/15/03), 2008 (STP) 105,188
....................................................................................................
20,000 MGC communications, Inc. sr. notes
Ser. B, 13s, 2004 20,200
....................................................................................................
50,000 Microcell Telecommunications sr. disc.
notes stepped-coupon Ser. B, zero %
(14s, 12/1/01), 2006 (Canada) (STP) 37,375
....................................................................................................
315,000 Millicom International Cellular S.A.
sr. disc. notes stepped-coupon zero %
(13 1/2s, 6/1/01), 2006 (Luxembourg) (STP) 245,700
....................................................................................................
40,000 MJD Communications Inc. 144A FRN
10s, 2008 40,400
....................................................................................................
30,000 MJD Communications Inc. 144A sr. sub.
notes 9 1/2s, 2008 30,675
....................................................................................................
60,000 Mobile Telecommunications Tech. sr. notes
13 1/2s, 2002 68,700
....................................................................................................
600,000 NEXTEL Communicaitons, Inc. 144A
sr. disc. notes stepped-coupon zero %
(12 1/8s, 4/15/03), 2008 (STP) 372,000
....................................................................................................
650,000 NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero %
(10.65s, 9/15/02), 2007 (STP) 438,750
....................................................................................................
560,000 NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero %
(9 3/4s, 2/15/99), 2004 (STP) 544,600
....................................................................................................
290,000 NEXTEL Communications, Inc. 144A
sr. disc. notes stepped-coupon zero %
(9.95s, 2/15/03), 2008 (STP) 184,875
....................................................................................................
110,000 NTL Inc. sr. notes Ser. B, 10s, 2007
(United Kingdom) 117,700
....................................................................................................
40,000 Pagemart Nationwide, Inc. sr. disc. notes
stepped-coupon zero % (15s, 2/1/00),
2005 (STP) 36,400
....................................................................................................
5,000 Paging Network Do Brasil sr. notes
13 1/2s, 2005 (Brazil) 4,400
....................................................................................................
110,000 Price Communications Wireless Inc.
144A sr. notes 9 1/8s, 2006 110,000
....................................................................................................
70,000 Primus Telecom Group 144A sr. notes
9 7/8s, 2008 68,600
....................................................................................................
65,000 Qwest Communications International, Inc.
sr. disc. notes stepped-coupon zero %
(9.47s, 10/15/02), 2007 (STP) 48,750
....................................................................................................
30,000 Qwest Communications International, Inc.
sr. disc. notes stepped-coupon zero %
(8.29s, 2/1/03), 2008 (STP) 21,600
....................................................................................................
120,000 RCN Corp. sr. disc. notes stepped-coupon
zero % (11 1/8s, 10/15/02), 2007 (STP) 77,100
....................................................................................................
290,000 RCN Corp. sr. discount notes,
stepped-coupon Ser. B, zero %
(9.8s, 2/15/03), 2008 (STP) 174,000
....................................................................................................
123,000 RSL Communications, Ltd. company
guaranty 12 1/4s, 2006 138,990
....................................................................................................
90,000 RSL Communications, Ltd. 144A
sr. disc. notes stepped-coupon zero %
(10 1/8s, 3/1/03), 2008 (STP) 53,100
....................................................................................................
60,000 RSL Communications, Ltd. 144A sr. notes
9 1/8s, 2008 58,425
....................................................................................................
45,000 Sprint Spectrum L.P. sr. notes 11s, 2006 52,088
....................................................................................................
115,000 Sygnet Wireless, Inc. sr. notes 11 1/2s, 2006 127,075
....................................................................................................
50,000 Telecom Tech, Inc. 144A sr. sub. notes
9 3/4s, 2008 50,875
....................................................................................................
2,000,000 Telefonica de Argentina S.A. 144A
9 1/8s, 2008 1,915,000
....................................................................................................
25,000 Telesystem International Wireless Inc.
sr. disc. notes stepped-coupon Ser. C,
zero % (10 1/2s, 11/1/02), 2007 (STP) 14,813
....................................................................................................
70,000 Teligent, Inc. sr. notes 11 1/2s, 2007 70,875
....................................................................................................
480,000 Teligent, Inc. 144A sr. disc. notes
stepped-coupon zero % (11 1/2s, 3/1/03),
2008 (STP) 265,200
....................................................................................................
20,000 Transtel S.A. 144A pass through
certificates 12 1/2s, 2007 (Colombia) 18,200
....................................................................................................
180,000 United International Holdings sr. disc.
notes stepped-coupon Ser. B, zero %
(10 3/4s, 2/15/03), 2008 (STP) 111,150
....................................................................................................
65,000 Winstar Communications, Inc. sr. sub.
notes 15s, 2007 85,475
....................................................................................................
70,000 Winstar Communications. Inc. 144A
sr. sub. notes 10s, 2008 69,650
....................................................................................................
65,000 Winstar Equipment Corp. company
guaranty 12 1/2s, 2004 74,100
....................................................................................................
1,360,000 WorldCom, Inc. notes 7 3/4s, 2007 1,475,138
- ----------------------------------------------------------------------------------------------------
12,852,628
- ----------------------------------------------------------------------------------------------------
Textiles (--%)
....................................................................................................
130,000 Day International Group, Inc. 144A
sr. sub. notes 9 1/2s, 2008 130,650
....................................................................................................
30,000 Glenoit Corp. company guaranty 11s, 2007 31,950
....................................................................................................
60,000 Polymer Group, Inc. company guaranty
Ser. B, 9s, 2007 60,600
....................................................................................................
60,000 Polymer Group, Inc. 144A sr. sub.notes
8 3/4s, 2008 59,850
....................................................................................................
80,000 Polysindo International Finance company
guaranty 11 3/8s, 2006 (Indonesia) 27,200
....................................................................................................
90,000 Westpoint Stevens, Inc. 144A sr. notes
7 7/8s, 2008 90,338
- ----------------------------------------------------------------------------------------------------
400,588
- ----------------------------------------------------------------------------------------------------
Transportation (0.6%)
....................................................................................................
70,000 Calair LLC 144A company guaranty
8 1/8s, 2008 69,650
....................................................................................................
120,000 Canadian Airlines Corp. sr. sec. notes
10s, 2005 (Canada) 121,200
....................................................................................................
150,000 Cathay International Ltd. 144A sr. notes
13s, 2008 132,750
....................................................................................................
60,000 Consorcio/MCII Holdings sec. notes
stepped-coupon zero % (12s, 11/15/98),
2002 (STP) 57,300
....................................................................................................
310,000 Continental Airlines pass-through
certificates Ser. 97CI, 7.42s, 2007 318,262
....................................................................................................
1,480,000 Continental Airlines, Inc. pass-through
certificates Ser. 981C, 6.541s, 2009 1,480,488
....................................................................................................
150,000 Continental Airlines, Inc. sr. notes
9 1/2s, 2001 159,375
....................................................................................................
725,000 CSX Corp. deb. 7.95s, 2027 823,905
....................................................................................................
50,000 Facilicom International 144A sr. notes
10 1/2s, 2008 49,000
....................................................................................................
20,000 Hermes Europe Railtel sr. notes
11 1/2s, 2007 (Netherlands) 22,600
....................................................................................................
125,000 Johnstown America Industries, Inc.
company guaranty Ser. C, 11 3/4s, 2005 138,438
....................................................................................................
70,000 Kitty Hawk, Inc. company guaranty
9.95s, 2004 73,675
....................................................................................................
50,000 MC Shipping, Inc. 144A sr. notes
11 1/4s, 2008 50,000
....................................................................................................
115,000 Newport News Shipbuilding sr. notes
8 5/8s, 2006 121,038
....................................................................................................
1,230,000 Norfolk Southern Corp. bonds 7.05s, 2037 1,306,125
....................................................................................................
1,200,000 Norfolk Southern Corp. notes 6.95s, 2002 1,233,072
....................................................................................................
25,000 TFM S.A. de C.V. company guaranty
10 1/4s, 2007 (Mexico) 25,313
....................................................................................................
130,000 TFM S.A. de C.V. company guaranty
stepped-coupon zero % (11 3/4s, 6/15/02),
2009 (Mexico) (STP) 86,775
....................................................................................................
130,000 Trans World Airlines, Inc. sr. notes
11 1/2s, 2004 137,150
....................................................................................................
70,000 Trans World Airlines, Inc. 144A notes
11 3/8s, 2006 70,175
....................................................................................................
8,000 Viking Star Shipping sr. secd. notes
9 5/8s, 2003 8,040
- ----------------------------------------------------------------------------------------------------
6,484,331
- ----------------------------------------------------------------------------------------------------
Utilities (0.4%)
....................................................................................................
5,000 AES China Generating Co. sr. notes
10 1/8s, 2006 (China) 4,675
....................................................................................................
715,000 Arizona Public Service Co. sr. notes
6 3/4s, 2006 728,878
....................................................................................................
300,000 Calpine Corp. sr. notes 10 1/2s, 2006 331,500
....................................................................................................
60,000 Cleveland Electric Illuminating Co.
1st mtge. Ser. B, 9 1/2s, 2005 66,273
....................................................................................................
485,000 Connecticut Light & Power Co. 1st mtge.
Ser. A, 7 7/8s, 2001 496,446
....................................................................................................
10,000 El Paso Electric Co. 1st mtge. Ser. E,
9.4s, 2011 11,386
....................................................................................................
20,000 Enersis S.A. notes 7.4s, 2016 (Chile) 18,275
....................................................................................................
275,000 Jersey Central Power & Light Co.
1st mtge. med. term note 6.85s, 2006 283,558
....................................................................................................
500,000 Long Island Lighting Co. deb. 9s, 2022 570,295
....................................................................................................
100,000 Long Island Lighting Co. deb. 8.9s, 2019 105,976
....................................................................................................
153,239 Midland Cogeneration Ventures LP deb.
10.33s, 2002 165,696
....................................................................................................
295,000 Midland Funding Corp. deb. Ser. A,
11 3/4s, 2005 354,867
....................................................................................................
100,000 Niagara Mohawk Power Corp.
med. term notes 9.95s, 2000 101,523
....................................................................................................
31,205 Northeast Utilities System notes Ser. A,
8.58s, 2006 32,123
....................................................................................................
133,333 Northeast Utilities System notes Ser. B,
8.38s, 2005 352,265
- ----------------------------------------------------------------------------------------------------
3,623,736
- ----------------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $104,957,735) $107,712,624
- ----------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BONDS AND NOTES (6.0%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
AUD 7,920,000 Australia (Government of) bonds
Ser. 1007, 10s, 2007 $6,436,346
....................................................................................................
DKK 15,460,000 Denmark (Government of) bonds 7s, 2007 2,583,818
....................................................................................................
FRF 16,596,000 France (Government of) bonds
5 1/2s, 2007 2,879,890
....................................................................................................
FRF 18,822,000 France (Government of) deb. 6 3/4s, 2003 3,387,308
....................................................................................................
DEM 6,615,000 Germany (Federal Republic of) bonds
Ser. 97, 6s, 2007 3,969,000
....................................................................................................
DEM 12,645,000 Germany (Federal Republic of) bonds
Ser. 98, 5 5/8s, 2028 7,265,191
....................................................................................................
ITL 6,450,000 Italy (Government of) bonds 5 3/4s, 2002 3,771,989
....................................................................................................
USD 500,000 Korea (Republic of) unsub. 8 7/8s, 2008 458,750
....................................................................................................
NZD 3,845,000 New Zealand (Government of) bonds
8s, 2004 2,111,343
....................................................................................................
USD 530,000 Panama (Republic of) bonds 8 7/8s, 2027 499,525
....................................................................................................
USD 645,000 Russia (Government of) 144A bonds
12 3/4s, 2028 574,050
....................................................................................................
ZAR 3,345,000 South Africa (Republic of) bonds
Ser. 153, 13s, 2010 490,637
....................................................................................................
ESP 254,670,000 Spain (Government of) bonds 5 1/4s, 2003 1,704,550
....................................................................................................
GBP 5,070,000 United Kingdom Treasury bonds 8s, 2000 8,658,237
....................................................................................................
GBP 2,545,000 United Kingdom Treasury bonds
8s, 2007 4,664,365
....................................................................................................
GBP 7,935,000 United Kingdom Treasury bonds 7s, 2002 13,464,935
- ----------------------------------------------------------------------------------------------------
Total Foreign Government Bonds
and Notes (cost $71,559,027) $62,919,934
- ----------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (2.2%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$997,563 Chase Mortgage Finance Corp. Ser. 94-1,
Class B2, 6.601s, 2025 $1,003,875
....................................................................................................
3,370,658 Collateralized Mortgage Obligation Trust
Ser. 64, Class Z, 9s, 2020 3,568,685
....................................................................................................
Commercial Mortgage Acceptance Corp.
....................................................................................................
6,635,395 Ser. 97-ML1, Interest Only (IO),
0.961s, 2017 385,682
....................................................................................................
125,000 Ser. 97-ML1, Class A2, 6.53s, 2007 127,871
....................................................................................................
350,000 Ser. 97-ML1, Class A3, 6.57s, 2007 359,078
....................................................................................................
1,000,000 Commercial Mortgage Trust Ser. 98-C1,
Class A2, 7s, 2011 987,500
....................................................................................................
7,874,932 Deutsche Mortgage & Asset Receiving
Corp. Ser. 98-C1, Class X,
1.254s, 2031 (Germany) 554,937
....................................................................................................
2,435,861 First Union-Lehman Brothers Commercial
Mortgage Ser. 97-C2, IO,1.092s, 2027 220,464
....................................................................................................
920,000 First Union-Lehman Brothers Commercial
Mortgage Ser. 97-C2, Class A3, 6.65s, 2007 944,294
....................................................................................................
2,045,000 Freddie Mac Ser. 1439, Class I, 7 1/2s, 2022 2,208,920
....................................................................................................
405,281 GE Capital Mortgage Services Inc.
Ser. 94-8A2, 6s, 2024 407,307
....................................................................................................
2,805,000 GMAC Commercial Mortgage
Securities Inc. 6.7s, 2008 2,894,409
....................................................................................................
800,000 GS Mortgae Securities Corp. II
Ser. 98-GLII, Class A2, 6.562s, 2031 816,750
....................................................................................................
573,272 Independent National Mortgage
Corporation Ser. 94-V, Class A1,
8.169s, 2024 591,904
....................................................................................................
1,495,000 Mortgage Capital Funding, Inc.
Ser. 98-MC1, Class A2, 6.663s, 2008 1,538,916
....................................................................................................
Merrill Lynch Mortgage Investors, Inc.
....................................................................................................
2,260,000 Ser. 97-C2, Class A2, 6.54s, 2029 2,320,384
....................................................................................................
2,262,831 Ser. 98-C2, Class A1, 6.22s, 2030 2,281,217
....................................................................................................
1,280,000 Morgan Stanley Capital I Ser. 96-WF1,
Class A2, 7.218s, 2006 1,332,000
....................................................................................................
917,673 PNC Mortgage Securities Corp.
Ser. 97-6, Class A2, 6.6s, 2027 920,828
- ----------------------------------------------------------------------------------------------------
Total Collateralized Mortgage Obligations
(cost $23,077,320) $23,465,021
- ----------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (1.5%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$1,560,000 Advanta Mortgage Loan Trust Ser. 97-2,
Class A2, 7.05s, 2021 $1,578,830
....................................................................................................
1,340,000 Advanta Mortgage Loan Trust Ser. 97-3,
Class A3, 6.69s, 2017 1,350,678
....................................................................................................
1,355,000 Advanta Mortgage Loan Trust Ser. 97-4,
Class A7, 6.63s, 2029 1,375,960
....................................................................................................
885,000 Amresco Residential Securities Mortgage
Loan Ser. 97-3, Class A3, 6.6s, 2018 887,074
....................................................................................................
420,000 Capita Equipment Receivables Trust
Ser. 96-1, Class A4, 6.28s, 2000 421,180
....................................................................................................
508,547 First Plus Ser. 1998-A, Class A, 8 1/2s, 2023 506,402
....................................................................................................
1,195,000 Green Tree Financial Corp. Ser. 97-2,
Class A6, 7.24s, 2028 1,250,269
....................................................................................................
2,125,000 Green Tree Financial Corp. Ser. 97-3,
Class A-4, 6.93s, 2028 2,170,156
....................................................................................................
1,990,000 Green Tree Financial Corp. Ser. 98-2,
Class A5, 6.24s, 2016 2,001,816
....................................................................................................
1,589,652 Green Tree Recreational Equipment &
Consumer Trust Ser. 97-B, Class A1,
6.55s, 2028 1,603,065
....................................................................................................
1,870,992 Green Tree Recreational, Equipment &
Consumer Trust Ser. 98-A, Class A1C,
6.18s, 2019 1,872,747
....................................................................................................
425,000 Provident Bank Home Equity Loan Trust
Ser. 97-4, Class A3, 6.91s, 2029 433,102
- ----------------------------------------------------------------------------------------------------
Total Asset-Backed Securities
(cost $15,264,474) $15,451,279
- ----------------------------------------------------------------------------------------------------
PREFERRED STOCKS (0.4%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
13 American Radio Systems Inc. $11.375 pfd. $1,505
....................................................................................................
6,295 AmeriKing, Inc. $3.25 pfd. (PIK) 169,965
....................................................................................................
54 Anvil Holdings Ser. B, $3.25 pfd. (PIK) 1,323
....................................................................................................
900 Banco Itau S.A. BRC 6.86 No par value
(NPV) pfd. (Brazil) 513,619
....................................................................................................
10,000 California Federal Bancorp Inc. Ser. A,
$2.281 pfd. 271,250
....................................................................................................
532 Capstar Broadcasting Inc. 144A
$12.00 pfd. (PIK) 60,382
....................................................................................................
639 Citadel Broadcasting Inc. 144A
$13.25 cum. pfd. (PIK) 75,402
....................................................................................................
50 Concentric Network Corp. 144A
$13.50 pfd. (PIK) 49,750
....................................................................................................
744 CSC Holdings, Inc. Ser. M, $11.125 cum. (PIK) 85,560
....................................................................................................
20 Dobson Communications 144A
$12.25 pfd. (PIK) 22,000
....................................................................................................
30 Echostar Communications, Inc. 12.125% pfd. 33,300
....................................................................................................
27 El Paso Electric Co. $11.40 pfd (PIK) 2,997
....................................................................................................
110,000 Fresenius Medical Care AG Ser. D,
$9.00 pfd. (Germany) 114,675
....................................................................................................
699 ICG Holdings, Inc. $14.00 pfd. (Canada) (PIK) 845,790
....................................................................................................
193 Intermedia Communication Ser. B,
13.50% pfd. (PIK) 227,740
....................................................................................................
44 IXC Communications, Inc. $12.50 pfd. (PIK) 51,040
....................................................................................................
718 Nebco Evans Holding Co. 144A
11.25% pfd. 73,236
....................................................................................................
64 NEXTEL Communications, Inc. Ser. D,
$13.00 cum. pfd. (PIK) 72,800
....................................................................................................
493 NEXTEL Communications, Inc. 144A
Ser. E, $11.125 pfd. (PIK) 510,255
....................................................................................................
4,955 Nextlink Communications, Inc. 144A
$7.00 pfd. 293,584
....................................................................................................
16 Paxson Communications Corp. 144A
13.25% pfd. (PIK) 160,000
....................................................................................................
1,467 SFX Broadcasting, Inc. Ser. E, $12.625 pfd. (PIK) 174,573
....................................................................................................
144 Spanish Broadcasting Systems 14.25%
cum. pfd. 152,640
....................................................................................................
810 Von Hoffman Corp. 144A $13.50 pfd. 26,730
....................................................................................................
110 WinStar Communications, Inc. 144A
$14.25 cum. pfd. 130,900
- ----------------------------------------------------------------------------------------------------
Total Preferred Stocks
(cost $4,052,560) $4,121,016
- ----------------------------------------------------------------------------------------------------
UNITS (0.2%) *
- ----------------------------------------------------------------------------------------------------
Number of Units Value
....................................................................................................
70 Bestel S.A. de C.V. units, stepped-coupon
zero % (12 3/4s, 5/15/03), 2005 (STP) $47,250
....................................................................................................
70 Birch Telecom Inc., 144A units 14s, 2008 70,088
....................................................................................................
40 Club Regina/CS Resort, Inc. 144A units
13s, 2004 42,600
....................................................................................................
270 Diva Systems Corp. 144A units
stepped-coupon zero % (12 5/8s, 3/1/03),
2008 (STP) 126,900
....................................................................................................
430 DTI Holdings Inc. units stepped-coupon
zero % (12 1/2s, 3/1/03), 2008 (STP) 232,200
....................................................................................................
300 Firstworld Communication units
stepped-coupon zero % (13.0s, 4/15/03),
2008 (STP) 133,500
....................................................................................................
150 KMC Telecom Holdings, Inc. units
stepped-coupon zero % (12 1/2s, 2/15/03),
2008 (STP) 89,625
....................................................................................................
190 Long Distance International Inc. 144A
units 12 1/4s, 2008 193,325
....................................................................................................
110 Mediq 144A units, stepped-coupon
zero % (13s, 6/1/03), 2009 (STP) 60,500
....................................................................................................
40 Onepoint Communications, Inc. units
14 1/2s, 2008 37,600
....................................................................................................
140 Pathnet, Inc. 144A units 12 1/4s, 2008 148,400
....................................................................................................
200 Rhythms Netconn 144A units
stepped-coupon zero % (13 1/2s, 5/15/03),
2008 (STP) 98,000
....................................................................................................
80 Startec Global Communications Corp.
units 12s, 2008 77,800
....................................................................................................
90 Transam Refinance, Inc. 144A units
16s, 2003 92,700
....................................................................................................
80 Versatel Teleco units 13 1/4s, 2008 84,000
....................................................................................................
170 Viatel, Inc., 144A units 11 1/4s, 2008 178,500
....................................................................................................
300,000 WinStar Communications, Inc. 144A
sr. disc. units notes stepped-coupon
zero % (14s, 10/15/00), 2005 (STP) 249,000
- ----------------------------------------------------------------------------------------------------
Total Units
(cost $1,992,630) $1,961,988
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (0.1%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$70,000 APP Global Finance (V) Ltd. 144A
cv. sec. 2s, 2000 (United Kingdom) $61,250
....................................................................................................
300,000 APP Global Finance Ltd. 144A cv.
company guaranty 3 1/2s, 2003 237,750
....................................................................................................
90,000 Delta Electronics, Inc. cv. bonds 1/2s,
2004 (Taiwan) 97,200
....................................................................................................
45,000 Exide Corp. 144A cv. sr. sub. notes
2.9s, 2005 29,025
....................................................................................................
50,000 Integrated Device Technology, Inc.
cv. sub. notes 5 1/2s, 2002 41,250
....................................................................................................
80,000 Mahindra & Mahindra Ltd. cv. bonds
5s, 2001 (India) 67,200
....................................................................................................
30,000 National Semiconductor Corp. 144A
cv. deb. 6 1/2s, 2002 27,375
....................................................................................................
85,000 WinStar Communications. Inc. 144A
cv. sr. disc. notes stepped-coupon zero %
(14s, 10/15/00), 2005 (STP) 146,200
- ----------------------------------------------------------------------------------------------------
Total Convertible Bonds and Notes
(cost $752,038) $707,250
- ----------------------------------------------------------------------------------------------------
BRADY BONDS (0.3%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$223,000 Argentina (Republic of) Ser. L-GP,
stepped-coupon, 5 3/4s, (6s, 3/31/99),
2023 (STP) $165,867
....................................................................................................
275,000 Bulgaria (Government of) Ser. A, FRB
2 1/4s, 2012 169,125
....................................................................................................
405,000 Bulgaria (Government of) Ser. A, FRB
6.563s, 2024 309,339
....................................................................................................
528,516 Ecuador (Republic of) deb. Ser. Past Due
Interest (PDI), FRB 6.625s, 2015 303,897
....................................................................................................
505,000 Peru (Government of) 144A Ser. PDI,
4s, 2017 311,232
....................................................................................................
211,000 Philippines (Government of) Ser. B,
6 1/2s, 2017 185,153
....................................................................................................
375,000 Poland (Government of) bonds Ser. PDI,
stepped-coupon, 4s, (5s, 10/1/98), 2014 (STP) 337,500
....................................................................................................
1,095,000 United Mexican States sec. Ser. B,
6 1/4s, 2019 906,113
- ----------------------------------------------------------------------------------------------------
Total Brady Bonds
(cost $2,857,060) $2,688,226
- ----------------------------------------------------------------------------------------------------
INVESTMENT COMPANIES (--%) (a) (cost $420,731)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
18,100 Taiwan Fund, Inc. (Taiwan) $243,219
- ----------------------------------------------------------------------------------------------------
WARRANTS (--%) * (NON)
- ----------------------------------------------------------------------------------------------------
Number of Warrants Expiration Date Value
....................................................................................................
140 Allegiance Telecom, Inc. 2/3/08 $350
....................................................................................................
275 Cellnet Data Systems, Inc. 10/1/07 15,400
....................................................................................................
225 Colt Telecommunications
Group PLC 12/31/06 56,250
....................................................................................................
20 Concentric Network Corp. 12/15/07 2,700
....................................................................................................
607 Consorcio Ecuatoriano 144A
(Equador) 10/1/00 304
....................................................................................................
1,020 Equity Office 144A 12/15/98 8,925
....................................................................................................
175 Esat Holdings, Inc. (Ireland) 2/1/07 6,125
....................................................................................................
80 Globalstar Telecom 144A 2/15/04 8,800
....................................................................................................
425 Hyperion Telecommunications
144A 4/15/01 41,225
....................................................................................................
210 Knology Holdings, Inc. 144A 10/15/07 315
....................................................................................................
10 McCaw International Ltd. 4/15/07 25
....................................................................................................
20 MGC Communications, Inc.
144A 10/1/04 1,200
....................................................................................................
90 Orbital Imaging Corp. 144A 3/1/05 4,050
....................................................................................................
120 Orion Network Systems 1/15/07 1,440
....................................................................................................
1,920 Powertel, Inc. 2/1/06 18,240
....................................................................................................
6,000 PTT Exploration & Production
PLC (Thailand) 9/19/07 45,552
....................................................................................................
80 Spanish Broadcasting Systems
144A 6/30/99 16,400
....................................................................................................
150 UIH Australia/Pacific, Inc. 144A 5/15/06 2,250
- ----------------------------------------------------------------------------------------------------
Total Warrants
(cost $60,663) $229,551
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (--%) * (cost $25,750)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
515 Chesapeake Energy Corp. 144A
$3.50 cv. cum. pfd. $21,759
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (5.2%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$4,830,000 U.S. Dollar GKO Pass Through Structured
Note (Issued by Deutsche Bank. The
principal at redemption is linked to the
bid price for the Russian Treasury Bill
at maturity, and the change in the spot
rate of the Russian Ruble from issue
date to maturity date) zero %,
October 28, 1998 $629,349
....................................................................................................
TRL 90,120,000,000 Turkey Treasury bills, zero %,
July 29, 1998 313,166
....................................................................................................
$12,990,000 U.S. Treasury Bills zero %,
August 20, 1998 # 12,804,805
....................................................................................................
40,498,000 Interest in $334,864,000 joint repurchase
agreement dated June 30, 1998 with
Morgan (J.P.) & Co., Inc. due July 1, 1998
with respect to various U.S. Treasury
obligations - maturity value of
$40,504,468 for an effective yield
of 5.75% 40,504,468
- ----------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $54,094,465) $54,251,788
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $878,493,607) *** $1,038,979,737
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Buy at June 30, 1998 (Unaudited)
(aggregate face value $104,983,432)
- ----------------------------------------------------------------------------------------------------
Unrealized
Aggregate Delivery Appreciation/
Market Value Face Value Date (Depreciation)
....................................................................................................
Brazilian dollar $581,197 $557,315 Oct-98 $23,882
....................................................................................................
Canadian Dollar 3,779,308 3,811,893 Sep-98 (32,585)
....................................................................................................
Deutschemarks 19,658,672 20,020,414 Sep-98 (361,742)
....................................................................................................
Finnish Marka 564,684 574,712 Sep-98 (10,028)
....................................................................................................
French Franc 1,166,236 1,175,164 Sep-98 (8,928)
....................................................................................................
Italian Lira 10,941,382 11,113,357 Sep-98 (171,975)
....................................................................................................
Japanese Yen 60,243,694 59,888,923 Sep-98 354,771
....................................................................................................
Polish Zolty 632,915 625,570 Apr-99 7,345
....................................................................................................
Spanish Peseta 1,390,226 1,418,530 Sep-98 (28,304)
....................................................................................................
Swedish Krona 5,165,060 5,273,241 Sep-98 (108,181)
....................................................................................................
Swiss Franc 506,447 524,313 Sep-98 (17,866)
- ----------------------------------------------------------------------------------------------------
$(353,611)
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell at June 30, 1998 (Unaudited)
(aggregate face value $105,044,768)
- ----------------------------------------------------------------------------------------------------
Unrealized
Market Aggregate Delivery Appreciation/
Value Face Value Date (Depreciation)
....................................................................................................
Australian Dollars $6,612,893 $6,614,850 Sep-98 $1,957
....................................................................................................
British Pounds 20,509,224 20,039,590 Sep-98 (469,634)
....................................................................................................
Danish Krone 845,637 861,365 Sep-98 15,728
....................................................................................................
Deutschemarks 16,514,918 16,875,483 Sep-98 360,565
....................................................................................................
Italian Lira 7,888,271 7,994,456 Sep-98 106,185
....................................................................................................
Japanese Yen 49,031,353 48,567,035 Sep-98 (464,318)
....................................................................................................
South African Rand 506,182 528,483 Sep-98 22,301
....................................................................................................
Swedish Krona 3,489,966 3,563,506 Sep-98 73,540
- ----------------------------------------------------------------------------------------------------
$(353,676)
- ----------------------------------------------------------------------------------------------------
Futures Contracts Outstanding at June 30, 1998 (Unaudited)
- ----------------------------------------------------------------------------------------------------
Unrealized
Aggregate Expiration Appreciation/
Total Value Face Value Date (Depreciation)
....................................................................................................
ASX Index
(Long) $33,630,818 $32,327,279 Sep-98 $1,303,539
....................................................................................................
CAC40 Index
(Short) 7,143,114 6,966,716 Sep-98 (176,398)
....................................................................................................
DAX Index (Short) 8,775,934 8,569,823 Sep-98 (206,111)
....................................................................................................
Euro DM (Long) 18,983,596 18,971,296 Mar-99 12,300
....................................................................................................
Euro Lira (Short) 19,268,432 19,237,859 Mar-99 (30,573)
....................................................................................................
FT-SE 100 Index
(Long) 589,182 588,542 Sep-98 640
....................................................................................................
German 10 Yr
(Short) 10,491,286 10,427,173 Sep-98 (64,113)
....................................................................................................
Gilt (Short) 24,094,106 24,197,187 Sep-98 103,081
....................................................................................................
Municipal Bond
Index (Long) 49,666,767 50,887,189 Sep-98 (1,220,422)
....................................................................................................
NASDAQ 100
(Short) 13,675,400 12,234,140 Sep-98 (1,441,260)
....................................................................................................
Nikkei 225 (Short) 10,514,551 10,224,156 Sep-98 (290,395)
....................................................................................................
Russel 2000IDX
(Short) 11,327,575 10,938,116 Sep-98 (389,459)
....................................................................................................
S&P Index (Short) 9,144,000 8,789,880 Sep-98 (354,120)
....................................................................................................
U.S. Treasury Bond
(Long) 42,269,063 41,388,948 Sep-98 880,115
- ----------------------------------------------------------------------------------------------------
$(1,873,176)
- ----------------------------------------------------------------------------------------------------
Diversification by Country (Unaudited)
- ----------------------------------------------------------------------------------------------------
Distribution of investments by country of issue at
June 30, 1998: (as percentage of Market Value)
- ----------------------------------------------------------------------------------------------------
Australia 0.7%
....................................................................................................
Brazil 0.6
....................................................................................................
Canada 0.8
....................................................................................................
France 2.2
....................................................................................................
Germany 2.5
....................................................................................................
Ireland 0.6
....................................................................................................
Italy 0.6
....................................................................................................
Japan 1.1
....................................................................................................
Mexico 0.6
....................................................................................................
Netherlands 1.2
....................................................................................................
Sweden 0.7
....................................................................................................
Switzerland 0.6
....................................................................................................
United Kingdom 5.3
....................................................................................................
United States 78.9
....................................................................................................
Other 3.6
- ----------------------------------------------------------------------------------------------------
Total 100.0%
- ----------------------------------------------------------------------------------------------------
See page 113 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT Global Growth Fund
Portfolio of investments owned
June 30, 1998 (Unaudited)
<CAPTION>
COMMON STOCKS (98.2%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Aerospace and Defense (1.1%)
....................................................................................................
457,800 Bombardier, Inc. (Canada) $12,475,654
....................................................................................................
21,500 Empresa Bras Aeronautica (Brazil) 381,107
....................................................................................................
552,700 Smiths Industries PLC (United Kingdom) 7,646,754
- ----------------------------------------------------------------------------------------------------
20,503,515
- ----------------------------------------------------------------------------------------------------
Apparel (0.5%)
....................................................................................................
282,800 Jones Apparel Group, Inc. (NON) 10,339,875
- ----------------------------------------------------------------------------------------------------
Automotive (1.8%)
....................................................................................................
11,330 Bayerische Motoren Werke (BMW) AG
(Germany) 11,439,696
....................................................................................................
2,920 Bayerische Motoren Werke (BMW) AG,
Class E (Germany) 2,907,386
....................................................................................................
47,200 Telco (Tata Engineering and
Locomotive Co., Ltd.) (India) 185,787
....................................................................................................
187,525 Valeo S.A. (France) 19,125,415
- ----------------------------------------------------------------------------------------------------
33,658,284
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (0.3%)
....................................................................................................
50,000 Larsen & Toubro Ltd. (India) (NON) 271,040
....................................................................................................
127,500 Owens-Illinois, Inc. (NON) 5,705,625
....................................................................................................
16,500 Siderurgica Venezolana (Venezuela) 99,254
- ----------------------------------------------------------------------------------------------------
6,075,919
- ----------------------------------------------------------------------------------------------------
Biotechnology (0.5%)
....................................................................................................
197,000 Quintiles Transnational Corp. (NON) 9,689,938
- ----------------------------------------------------------------------------------------------------
Broadcasting (1.3%)
....................................................................................................
50,000 Benpres Holdings Corp. GDR
(Phillippines) (NON) 115,000
....................................................................................................
20,000 Benpres Holdings Corp. 144A GDR
(Philippines) (NON) 60,430
....................................................................................................
384,000 CBS Corp. 12,192,000
....................................................................................................
29,900 Grupo Televisa S.A.GDR (Mexico) (NON) 1,124,988
....................................................................................................
10,780 Investec Consultadoria International
(Portugal) (NON) 495,132
....................................................................................................
259,700 Tele-Communications, Inc. Class A, (NON) 9,982,219
- ----------------------------------------------------------------------------------------------------
23,969,769
- ----------------------------------------------------------------------------------------------------
Building and Construction (0.5%)
....................................................................................................
80,000 Cemex, S.A. de C.V. Class B, (Mexico) (NON) 352,797
....................................................................................................
110,110 Cemex, S.A. de C.V. (Mexico) 414,895
....................................................................................................
100,000 Cheung Kong Infrastructure Holdings
(Hong Kong) 189,118
....................................................................................................
399,600 Corporacion Moctezuma, S.A. de C.V.
(Mexico) (NON) 468,438
....................................................................................................
548,800 CRH PLC (Ireland) (NON) 7,771,397
....................................................................................................
44,600 Grupo Imsa S.A. de C.V. ADR (Mexico) (NON) 674,575
....................................................................................................
327,000 IJM Copr. Berhad (Malaysia) 87,295
- ----------------------------------------------------------------------------------------------------
9,958,515
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (6.4%)
....................................................................................................
385,600 Cendant Corp. (NON) 8,049,400
....................................................................................................
1,703,400 Compass Group PLC (United Kingdom) 19,563,448
....................................................................................................
252,900 FORE Systems, Inc. (NON) 6,701,850
....................................................................................................
314,600 HBO & Co. 11,089,650
....................................................................................................
2,987,900 International Container Terminal
Services, Inc. (Philippines) (NON) 341,989
....................................................................................................
290,110 Mannesmann AG (Germany) 29,773,392
....................................................................................................
605,000 Ricoh Co., Ltd. (Japan) (NON) 6,353,085
....................................................................................................
74,027 Sodexho Alliance S.A. (France) 13,963,671
....................................................................................................
195,900 Wolters Kluwer N.V. (Netherlands) 26,837,723
- ----------------------------------------------------------------------------------------------------
122,674,208
- ----------------------------------------------------------------------------------------------------
Computer Equipment (--%)
....................................................................................................
42,000 Asustek Computer, Inc. GDR (Taiwan) (NON) 343,571
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (10.4%)
....................................................................................................
113,400 America Online, Inc. (NON) 12,020,400
....................................................................................................
227,800 BMC Software, Inc. (NON) 11,831,363
....................................................................................................
123,200 Cadence Design Systems, Inc. (NON) 3,850,000
....................................................................................................
77,514 Cap Gemini S.A. (France) 12,152,537
....................................................................................................
188,550 Computer Associates International, Inc. 10,476,309
....................................................................................................
182,700 Compuware Corp. (NON) 9,340,538
....................................................................................................
63,300 Dell Computer Corp. (NON) 5,875,031
....................................................................................................
232,200 EMC Corp. (NON) 10,405,463
....................................................................................................
3,150 Formula Systems Ltd. (Israel) (NON) 110,228
....................................................................................................
1,400 Formula Systems Ltd. ADR (Israel) (NON) 48,825
....................................................................................................
700 Fujitsu Ltd. 7,346
....................................................................................................
263,000 Microsoft Corp. (NON) 28,502,625
....................................................................................................
406,300 Misys PLC (United Kingdom) 23,060,753
....................................................................................................
208,600 Parametric Technology Corp. (NON) 5,658,275
....................................................................................................
187,100 PeopleSoft, Inc. (NON) 8,793,700
....................................................................................................
44,007 SAP AG (Germany) 26,659,843
....................................................................................................
1,707,500 SEMA Group PLC (United Kingdom) 20,065,934
....................................................................................................
217,050 VERITAS Software Corp. (NON) 8,980,444
- ----------------------------------------------------------------------------------------------------
197,839,614
- ----------------------------------------------------------------------------------------------------
Computers (0.2%)
....................................................................................................
112,000 Acer, Inc. (Taiwan) (NON) 134,331
....................................................................................................
85,700 Gateway 2000, Inc. (NON) 4,338,563
- ----------------------------------------------------------------------------------------------------
4,472,894
- ----------------------------------------------------------------------------------------------------
Conglomerates (0.5%)
....................................................................................................
63,250 Lonrho PLC 144A (South Africa) 73,547
....................................................................................................
29,450 Lonrho PLC (South Africa) 133,063
....................................................................................................
147,400 Tyco International Ltd. (NON) 9,286,200
- ----------------------------------------------------------------------------------------------------
9,492,810
- ----------------------------------------------------------------------------------------------------
Consumer Durable Goods (0.3%)
....................................................................................................
270,000 Guangdong Kelon Elec Holding
(Hong Kong) 212,612
....................................................................................................
211,300 Herman Miller, Inc. 5,137,231
....................................................................................................
2,822,300 Vestel Elektronik Sanayi ve Ticaret A.S.
(Turkey) 376,721
- ----------------------------------------------------------------------------------------------------
5,726,564
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (2.6%)
....................................................................................................
89,100 Colgate-Palmolive Co. 7,840,800
....................................................................................................
1,598,680 KAO Corp. (Japan) 24,589,765
....................................................................................................
222,000 Kimberly-Clark de Mexico, S.A. de C.V.
Class A, (Mexico) 790,644
....................................................................................................
29,992 L'OREAL (France) 16,645,449
- ----------------------------------------------------------------------------------------------------
49,866,658
- ----------------------------------------------------------------------------------------------------
Consumer Products (1.1%)
....................................................................................................
102,300 Clorox Co. 9,756,863
....................................................................................................
117,700 Procter & Gamble Co. 10,718,056
- ----------------------------------------------------------------------------------------------------
20,474,919
- ----------------------------------------------------------------------------------------------------
Consumer Services (0.8%)
....................................................................................................
122,100 Interpublic Group Cos., Inc. 7,409,944
....................................................................................................
220,500 The ServiceMaster Co. 8,392,781
- ----------------------------------------------------------------------------------------------------
15,802,725
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (3.8%)
....................................................................................................
9,300 Ase Test Limited (Taiwan) (NON) 288,300
....................................................................................................
22,800 Bharat Heavy Electricals Ltd. (BHEL)
(India) 135,291
....................................................................................................
400 Compal Electronics 1,078
....................................................................................................
43,000 Delta Electronics, Inc. (Taiwan) 143,955
....................................................................................................
457,700 General Electric Co. 41,650,700
....................................................................................................
37,000 Hon Hai Precision Industry (Taiwan) (NON) 187,418
....................................................................................................
751 Samsung Electronics GDR
(South Korea) (NON) 23,298
....................................................................................................
470,200 Siebe PLC (United Kingdom) 9,381,803
....................................................................................................
22,588 Siliconware Precision Industries Co.
GDR (Taiwan) (NON) 182,398
....................................................................................................
228,900 Sony Corp. (Japan) 19,660,419
....................................................................................................
9,138 Tadiran Ltd. (Israel) 301,587
....................................................................................................
160,750 Taiwan Semiconductor Manufacturing Co.
(Taiwan) (NON) 332,254
....................................................................................................
600 Tokyo Electron Ltd. (Japan) 18,328
- ----------------------------------------------------------------------------------------------------
72,306,829
- ----------------------------------------------------------------------------------------------------
Energy-Related (0.3%)
....................................................................................................
114,400 AES Corp. (NON) 6,013,150
....................................................................................................
14,800 BSES Ltd. GDR (India) (NON) 152,810
- ----------------------------------------------------------------------------------------------------
6,165,960
- ----------------------------------------------------------------------------------------------------
Entertainment (--%)
....................................................................................................
276,000 Berjaya Sports Toto Berhad (Malaysia) 411,940
- ----------------------------------------------------------------------------------------------------
Environmental Control (1.1%)
....................................................................................................
99,935 Vivendi (France) 21,291,540
- ----------------------------------------------------------------------------------------------------
Food and Beverages (4.3%)
....................................................................................................
281,700 Coca-Cola Enterprises, Inc. 11,056,725
....................................................................................................
38,500 Fomento Economico Mexicano, S.A.
de C.V. Class B (Mexico) (NON) 180,529
....................................................................................................
15,445 Nestle S.A. (Switzerland) 33,004,918
....................................................................................................
222,300 PepsiCo, Inc. 9,155,981
....................................................................................................
36,800 Pick Szeged Rt. GDR 144A (Hungary) 427,616
....................................................................................................
45,483 Promodes (France) (NON) 25,145,318
....................................................................................................
46,200 Sara Lee Corp. 2,584,313
- ----------------------------------------------------------------------------------------------------
81,555,400
- ----------------------------------------------------------------------------------------------------
Health Care (1.0%)
....................................................................................................
114,200 Cardinal Health, Inc. 10,706,250
....................................................................................................
325,100 HEALTHSOUTH Corp. (NON) 8,676,106
- ----------------------------------------------------------------------------------------------------
19,382,356
- ----------------------------------------------------------------------------------------------------
Hotels (0.4%)
....................................................................................................
224,400 Marriot International, Class A 7,264,950
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (20.6%)
....................................................................................................
81,600 ABSA Group Ltd. (South Africa) 501,528
....................................................................................................
289,220 Aegon N.V. (Netherlands) 25,118,714
....................................................................................................
208,300 Aiful Corp. (Japan) 10,135,776
....................................................................................................
563,000 Alleanza Assicurazioni (Italy) 7,635,902
....................................................................................................
3,950 Alpha Credit Bank (Greece) 319,872
....................................................................................................
5,300 Alpha Credit Bank Rights (Greece) 9,019
....................................................................................................
118,800 American Express Co. 13,543,200
....................................................................................................
90,000 American International Group, Inc. 13,140,000
....................................................................................................
375,300 AMP Ltd. (NON) (Australia) 4,383,579
....................................................................................................
432,200 AMP Ltd.144A (NON) (Australia) 5,048,182
....................................................................................................
231,000 Assicurazioni Generali (Italy) 7,498,504
....................................................................................................
262,767 Axa S.A. (France) (NON) 29,487,839
....................................................................................................
8,828,200 Banca di Roma (Italy) (NON) 18,344,620
....................................................................................................
127,728 Banco Bradesco S.A. BRC (Brazil) 1,065,783
....................................................................................................
669,450 Banco Comercial Portugues, S.A.
(Portugal) 18,975,720
....................................................................................................
73,594 Banco Frances del Rio de la Plata S.A.
ADR (Argentina) 556,426
....................................................................................................
433,000 Banco Santander Colombia S.A. (Spain) 11,076,168
....................................................................................................
248,500 Bank Leumi Le-Israel (Israel) 495,740
....................................................................................................
3,186 Bank Of Greece, S.A. (Greece) 407,796
....................................................................................................
399,520 Bank Sinopac (Taiwan) (NON) 191,904
....................................................................................................
84,700 BankAmerica Corp. 7,321,256
....................................................................................................
280,500 Bayerische Vereinsbank AG (Germany) 23,743,569
....................................................................................................
88,600 Capital One Financial Corp. 11,003,013
....................................................................................................
28,200 Commerce Bank of Lebanon 144A GDR
(Lebanon) (NON) 389,160
....................................................................................................
3,850 Commercial Bank Of Greece, S.A.
(Greece) 285,293
....................................................................................................
2,823,100 Credito Italiano SPA (Italy) 14,752,902
....................................................................................................
118,677 Deutsche Bank AG (Germany) 10,019,425
....................................................................................................
145,200 Federal Home Loan Mortgage Corp. 6,833,475
....................................................................................................
167,800 Federal National Mortgage Association 10,193,850
....................................................................................................
115,800 FirstRand Ltd. (South Africa) (NON) 175,047
....................................................................................................
31,000 Fleming Russia Securities Fund Ltd.
(Russia) (NON) 255,750
....................................................................................................
350,500 Grupo Financiero Banamex Accival,
S.A. de C.V. Class B, (Mexico) (NON) 684,800
....................................................................................................
32,300 Haci Omer Sabanci Holdings ADR
(Turkey) 500,650
....................................................................................................
5,800 Housing Development Finance
Corporation Ltd. (India) (NON) 410,388
....................................................................................................
224,088 Internationale Nederlanden Groep
(Netherlands) 14,645,987
....................................................................................................
107,700 Lehman Brothers Holding, Inc. 8,353,481
....................................................................................................
33,755 Liberty Life Association of Africa Ltd.
(South Africa) 648,186
....................................................................................................
151,200 MBNA Corp. 4,989,600
....................................................................................................
86,000 Merrill Lynch & Co., Inc. 7,933,500
....................................................................................................
154,000 Public Bank Berhad (Malaysia) 45,970
....................................................................................................
195,000 Royal Bank of Canada (Canada) 7,883,183
....................................................................................................
42,800 Shohkoh Fund & Co., Ltd. (Japan) 10,490,042
....................................................................................................
194,800 Southtrust Corp. 8,473,800
....................................................................................................
17,000 State Bank of India GDR (India) 84,397
....................................................................................................
158,800 Takefuji Corp. (Japan) 7,304,820
....................................................................................................
105,000 Takefuji Corp. 144A (Japan) 4,830,013
....................................................................................................
2,007,700 Telecom Italia SPA (Italy) 14,753,919
....................................................................................................
125,000 Thai Farmers Bank Public Co.Ltd.
(Thailand) 110,469
....................................................................................................
185,600 Toronto-Dominion Bank (Canada) 8,409,348
....................................................................................................
165,900 Travelers Group Inc. 10,057,688
....................................................................................................
3,767,249 Turkiye Is Bankasi (Isbank) (Turkey) 152,272
....................................................................................................
76,831 UBS AG (NON) 28,527,113
....................................................................................................
25,919 Yapi ve Kredi Bankasi A.S. GDR (Turkey) 622,056
- ----------------------------------------------------------------------------------------------------
392,820,694
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (1.7%)
....................................................................................................
207,500 Centocor, Inc. (NON) 7,521,875
....................................................................................................
201,400 Omnicare, Inc. 7,678,375
....................................................................................................
619,000 Takeda Chemical Industries (Japan) 16,417,086
- ----------------------------------------------------------------------------------------------------
31,617,336
- ----------------------------------------------------------------------------------------------------
Metals and Mining (0.1%)
....................................................................................................
38,500 Companhia Vale do Rio Doce ADR
(Brazil) 789,250
....................................................................................................
23,500 Compania Siderurgica Nacional (Brazil) 588,872
....................................................................................................
37,200 Gerdau S.A. (Brazil) 514,656
....................................................................................................
14,300 Hindalco Industries Ltd. (India) 225,656
....................................................................................................
7,600 Madeco S. A. ADR (Chile) 66,975
....................................................................................................
104,000 MNI Holdings BHO (Malaysia) 101,463
....................................................................................................
3,040 Pohang Iron & Steel Company, Ltd.
(South Korea) 101,594
- ----------------------------------------------------------------------------------------------------
2,388,466
- ----------------------------------------------------------------------------------------------------
Oil and Gas (2.3%)
....................................................................................................
1,251,800 British Petroleum Co. PLC
(United Kingdom) 18,237,106
....................................................................................................
24,800 Energy Africa Ltd. 144A (South Africa) (NON) 396,800
....................................................................................................
165,000 Halliburton Co. 7,352,813
....................................................................................................
38,000 Hindustan Petroleum Corp. Ltd. (India) 350,804
....................................................................................................
8,500 Lukoil Holding ADR (Russia) 276,250
....................................................................................................
12,300 MOL Magyar Olaj-es Gazipari Rt. 144A
(Hungary) 329,025
....................................................................................................
110,000 Perez Companc S.A. Class B (Argentina) 552,255
....................................................................................................
20,100 PTT Exploration & Production PLC
(Thailand) 152,598
....................................................................................................
13,500 PTT Exploration & Production PLC 144A
(Thailand) 102,491
....................................................................................................
32,600 Ramco Energy PLC ADR
(United Kingdom) 350,450
....................................................................................................
80,800 Sasol Ltd. (South Africa) 461,043
....................................................................................................
31,500 Tatneft ADR (Russia) 244,125
....................................................................................................
80,629 Total S.A. Class B, (France) 10,458,684
....................................................................................................
47,900 Western Atlas, Inc. (NON) 4,065,513
- ----------------------------------------------------------------------------------------------------
43,329,957
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (--%)
....................................................................................................
8,100 Fort James Corp. 360,450
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (9.7%)
....................................................................................................
140,800 Bristol-Myers Squibb Co. 16,183,200
....................................................................................................
402,100 Elan Corp. PLC ADR (Ireland) (NON) 25,860,056
....................................................................................................
155,400 Lilly (Eli) & Co. 10,266,113
....................................................................................................
207,400 Merck & Co., Inc. 27,739,750
....................................................................................................
105,200 Novo Nordisk A.S. Class B (Denmark) 14,492,421
....................................................................................................
235,300 Pfizer, Inc. 25,574,169
....................................................................................................
21,300 Ranbaxy Laboratories Ltd. (India) 275,691
....................................................................................................
176,600 Schering-Plough Corp. 16,180,975
....................................................................................................
962,911 Smithkline Beecham PLC ADR
(United Kingdom) 11,741,133
....................................................................................................
333,450 Warner-Lambert Co. 23,133,094
....................................................................................................
323,800 Zeneca Group PLC (United Kingdom) 13,882,170
- ----------------------------------------------------------------------------------------------------
185,328,772
- ----------------------------------------------------------------------------------------------------
Real Estate (0.1%)
....................................................................................................
847,400 Ayala Land, Inc. (Philippines) 245,031
....................................................................................................
39,900 Brazil Realty S.A. 144A GDR (Brazil) 827,925
....................................................................................................
10,533 IRSA Inversiones y Representaciones S.A.
GDR (Argentina) 306,774
....................................................................................................
1,024,800 SM Prime Holdings Inc. (Philippines) 162,980
....................................................................................................
22,507 Sun Hung Kai Properties Ltd.
(Hong Kong) 95,589
- ----------------------------------------------------------------------------------------------------
1,638,299
- ----------------------------------------------------------------------------------------------------
Retail (8.5%)
....................................................................................................
41,100 Companhia Brasileira de Distribuicao
Grupo Pao de Acucar ADR (Brazil) (NON) 929,888
....................................................................................................
210,200 Costco Companies, Inc. (NON) 13,255,738
....................................................................................................
376,800 CVS Corp. 14,671,650
....................................................................................................
254,200 Dayton Hudson Corp. 12,328,700
....................................................................................................
19,400 Distribucion y Servicio D&S S.A. ADR
(Chile) (NON) 291,000
....................................................................................................
142,600 Fred Meyer, Inc. (NON) 6,060,500
....................................................................................................
145,200 Home Depot, Inc. (The) 12,060,675
....................................................................................................
963,248 Koninklijke Ahold N.V. (Netherlands) 30,863,638
....................................................................................................
1,579,600 La Rinascente SPA (Italy) 15,702,009
....................................................................................................
87,400 Lojas Americanas S.A. (Brazil) (NON) 485,933
....................................................................................................
99,000 Payless Shoesource, Inc. (NON) 7,295,063
....................................................................................................
113,300 Rite Aid Corp. 4,255,831
....................................................................................................
34,000 Supersol Ltd. (Israel) 112,027
....................................................................................................
21,350 Supersol Ltd. ADR (Israel) 352,275
....................................................................................................
145,200 Tiffany & Co. 6,969,600
....................................................................................................
496,200 TJX Cos., Inc. (The) 11,970,825
....................................................................................................
259,700 Wal-Mart Stores, Inc. 15,776,775
....................................................................................................
220,100 Walgreen Co. 9,092,881
- ----------------------------------------------------------------------------------------------------
162,475,008
- ----------------------------------------------------------------------------------------------------
Telecommunications (15.1%)
....................................................................................................
22,700 @Entertainment, Inc. (Taiwan) (NON) 249,700
....................................................................................................
178,100 Advanced Fibre Communications (NON) 7,135,131
....................................................................................................
40,000 Advanced Info Service Public Co., Ltd.
(Thailand) 170,818
....................................................................................................
91,740 Alcatel Alsthom CGE S.A. (France) 18,637,172
....................................................................................................
78,400 Ascend Communications, Inc. (NON) 3,885,700
....................................................................................................
160,000 Asia Satellite Telecommunications
Holdings Ltd. (Hong Kong) 264,377
....................................................................................................
1,354,900 Cable & Wireless PLC ADR
(United Kingdom) 13,708,991
....................................................................................................
89,200 Cablevision System Corp. Class A 7,448,200
....................................................................................................
5,501,000 China Telecom Ltd. (Hong Kong) (NON) 9,551,210
....................................................................................................
197,200 Cisco Systems, Inc. (NON) 18,154,725
....................................................................................................
142,960 Hellenic Telecommunication
Organization S.A. (Greece) 3,661,068
....................................................................................................
73,777 Hellenic Telecommunicaiton Organization
S.A. GDR (Greece) 945,607
....................................................................................................
23,500 Koor Industries Ltd. ADR (Israel) 549,313
....................................................................................................
249,200 Lucent Technologies, Inc. 20,730,325
....................................................................................................
111,400 Mahanagar Telephone Nigam Ltd. (India) 469,829
....................................................................................................
200,800 MediaOne Group, Inc. (NON) 8,822,650
....................................................................................................
2,808 Nippon Telegraph and Telephone Corp.
(Japan) 23,209,940
....................................................................................................
301,167 Northern Telecom Ltd. (Canada) 17,113,374
....................................................................................................
237,200 Orange PLC ADR (United Kingdom) (NON) 2,510,718
....................................................................................................
356,800 Oy Nokia AB Class A, (Finland) 26,209,981
....................................................................................................
11,300 Philippine Long Distance
Telephone Co. ADR (Philippines) 255,663
....................................................................................................
6,892 Portugal Telecom S.A. (Portugal) 364,639
....................................................................................................
39 SK Telecom Co., Ltd. (South Korea) 17,910
....................................................................................................
12,000 STET Hellas Telecommunications S.A.
ADR (Greece) (NON) 498,000
....................................................................................................
117,500 Telecel-Comunicacaoes Pessoais, S.A.
(Portugal) (NON) 20,827,941
....................................................................................................
2,907,737 Telecom Italia Mobile SPA (Italy) 17,750,864
....................................................................................................
4,300 Telecomunicacoes de Sao Paulo S.A.
(Brazil) 1,011,327
....................................................................................................
286 Telecomunicacoes de Sao Paulo S.A.
Rights (Brazil) 4,575
....................................................................................................
10,200 Telefonica de Argentina S.A. ADR
(Argentina) 330,863
....................................................................................................
15,900 Telefonos de Mexico S.A. ADR Class L
(Mexico) 764,194
....................................................................................................
442,081 Telfonica de Espana (Spain) 20,427,245
....................................................................................................
107,300 Tellabs, Inc. (NON) 7,685,363
....................................................................................................
1 US West, Inc. 40
....................................................................................................
2,338,500 Vodafone Group PLC (United Kingdom) 29,644,638
....................................................................................................
83,900 WorldCom, Inc. (NON) 4,063,906
- ----------------------------------------------------------------------------------------------------
287,075,997
- ----------------------------------------------------------------------------------------------------
Transportation (0.8%)
....................................................................................................
83,000 AMR Corp. (NON) 6,909,750
....................................................................................................
282,200 Southwest Airlines Co. 8,360,175
- ----------------------------------------------------------------------------------------------------
15,269,925
- ----------------------------------------------------------------------------------------------------
Utilities (0.1%)
....................................................................................................
39,500 Comp Energetica De Minas Gerais
(Cemig) 144A ADS (Brazil) 1,244,250
....................................................................................................
53,900 Electricity Generating Public Co. Ltd.
(Thailand) (NON) 83,759
....................................................................................................
1,582,000 Unified Energy Systems GDR (Russia) 209,615
- ----------------------------------------------------------------------------------------------------
1,537,624
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $1,511,477,768) $1,873,111,281
- ----------------------------------------------------------------------------------------------------
PREFERRED STOCKS (--%)* (cost $502,995)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
4,200 Petroleo Brasileiro S.A. BRC
$6.258 pfd. (Brazil) $780,804
- ----------------------------------------------------------------------------------------------------
INVESTMENT COMPANIES (--%)* (cost $384,300)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
7,300 India Magnum Fund Class A,
(acquired 11/1/96, cost $384,300)
(India) (RES)(NON) $226,300
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (--%)* (cost $20,157)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
5,720 Internationale Nederlanden Groep NLG
$0.53 N.V. cv. pfd. (Netherlands) $26,523
- ----------------------------------------------------------------------------------------------------
WARRANTS (--%) * (NON) (cost $--)
- ----------------------------------------------------------------------------------------------------
Number of Warrants Expiration Date Value
....................................................................................................
934,180 Belle Corp. (Phillipines) 9/11/00 $1,294
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (2.0%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$506,000 Corporate Receivables, effective yield
of 5.50%, July 10, 1998 $505,304
....................................................................................................
268,000 Delware Funding Corp., effective yield
of 5.54%, July 17, 1998 267,340
....................................................................................................
443,000 MetLife, effective yield of 5.55%,
July 27, 1998 441,224
....................................................................................................
37,366,000 Interest in $334,864,000 joint repurchase
agreement dated June 30, 1998 with
Morgan (J.P.) & Co., Inc., due July 1, 1998,
with respect to various U.S. Treasury
obligations - maturity value of
$37,371,968 for an effective yield of 5.75% 37,371,968
- ----------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $38,585,836) $38,585,836
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $1,550,971,056) *** $1,912,732,038
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell at June 30, 1998 (Unaudited)
- ----------------------------------------------------------------------------------------------------
Market Aggregate Delivery Unrealized
Value Face Value Date Appreciation
....................................................................................................
Japanese Yen $38,476,737 $38,482,030 8/28/98 $5,293
- ----------------------------------------------------------------------------------------------------
Swap Contracts outstanding at June 30, 1998 (Unaudited)
- ----------------------------------------------------------------------------------------------------
Notional Termination Unrealized
Amount Date Depreciation
....................................................................................................
Agreement with Lehman Brothers
Finance S.A. Dated May 19, 1998
to receive (pay) the notional
amount multiplied by the return
of the KOSPI Index (Korea) less
the notional amount multiplied by
three months LIBOR plus 9%. $375,033 May-99 $(56,967)
Agreement with Lehman Brothers
Finance S.A. Dated June 11, 1998
to receive (pay) the notional
amount multiplied by the return
of the KOSPI Index (Korea) less
the notional amount multiplied by
three months LIBOR plus 11%. 239,928 Dec-98 (27,072)
Agreement with Salomon Brothers,
Inc. Dated April 13, 1998 to
receive (pay) the notional amount
multiplied by the return of
Salomon SK Telecom less the
notional amount multiplied by
three months LIBOR plus 1%. 372,158 Apr-00 (126,487)
- ----------------------------------------------------------------------------------------------------
$(210,526)
- ----------------------------------------------------------------------------------------------------
Diversification by Country (Unaudited)
- ----------------------------------------------------------------------------------------------------
Distribution of investments by country of issue at
June 30, 1998: (as percentage of Market Value)
- ----------------------------------------------------------------------------------------------------
Australia 1.0%
....................................................................................................
Canada 2.4
....................................................................................................
Denmark 1.0
....................................................................................................
Finland 1.4
....................................................................................................
France 8.7
....................................................................................................
Germany 5.5
....................................................................................................
Hong Kong 1.0
....................................................................................................
Ireland 1.8
....................................................................................................
Italy 5.0
....................................................................................................
Japan 6.4
....................................................................................................
Netherlands 5.1
....................................................................................................
Portugal 2.1
....................................................................................................
South Africa 1.0
....................................................................................................
Spain 1.6
....................................................................................................
Switzerland 3.2
....................................................................................................
United Kingdom 8.9
....................................................................................................
United States 43.7
....................................................................................................
Other 0.2
- ----------------------------------------------------------------------------------------------------
Total 100.0%
- ----------------------------------------------------------------------------------------------------
See page 113 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT Growth and Income Fund
Portfolio of investments owned
June 30, 1998 (Unaudited)
<CAPTION>
COMMON STOCKS (98.2%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Aerospace and Defense (1.4%)
....................................................................................................
1,324,400 Boeing Co. $59,018,575
....................................................................................................
723,488 Lockheed Martin Corp. 76,599,292
- ----------------------------------------------------------------------------------------------------
135,617,867
- ----------------------------------------------------------------------------------------------------
Automotive (2.8%)
....................................................................................................
610,100 Chrysler Corp. 34,394,388
....................................................................................................
2,530,000 Ford Motor Co. 149,270,000
....................................................................................................
1,258,956 Goodyear Tire & Rubber Co. (The) 81,123,977
- ----------------------------------------------------------------------------------------------------
264,788,365
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (1.6%)
....................................................................................................
328,500 Caterpillar, Inc. 17,369,438
....................................................................................................
970,670 Cooper Industries, Inc. 53,326,183
....................................................................................................
1,037,662 Deere (John) & Co. 54,866,378
....................................................................................................
575,000 Owens-Illinois, Inc. (NON) 25,731,250
- ----------------------------------------------------------------------------------------------------
151,293,249
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (4.1%)
....................................................................................................
500,000 Avery Dennison Corp. 26,875,000
....................................................................................................
1,568,558 IBM Corp. 180,090,065
....................................................................................................
950,000 NCR Corp. (NON) 30,875,000
....................................................................................................
1,501,549 Xerox Corp. 152,594,917
- ----------------------------------------------------------------------------------------------------
390,434,982
- ----------------------------------------------------------------------------------------------------
Chemicals (2.9%)
....................................................................................................
2,032,780 du Pont (E.I.) de Nemours & Co., Ltd. 151,696,208
....................................................................................................
801,763 Eastman Chemical Co. 49,909,747
....................................................................................................
636,015 Minnesota Mining & Manufacturing Co. 52,272,483
....................................................................................................
702,688 Witco Chemical Corp. 20,553,624
- ----------------------------------------------------------------------------------------------------
274,432,062
- ----------------------------------------------------------------------------------------------------
Computer Equipment (1.9%)
....................................................................................................
2,313,700 3Com Corp. (NON) 71,001,669
....................................................................................................
1,685,000 Compaq Computer Corp. 47,811,875
....................................................................................................
2,400,000 Seagate Technology, Inc. (NON) 57,150,000
- ----------------------------------------------------------------------------------------------------
175,963,544
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (1.3%)
....................................................................................................
1,687,432 Computer Associates International, Inc. 93,757,941
....................................................................................................
709,322 Electronic Data Systems Corp. 28,372,880
- ----------------------------------------------------------------------------------------------------
122,130,821
- ----------------------------------------------------------------------------------------------------
Conglomerates (0.6%)
....................................................................................................
375,000 Ogden Corp. 10,382,813
....................................................................................................
370,000 Temple Inland, Inc. (NON) 19,933,750
....................................................................................................
430,000 TRW, Inc. 23,488,750
- ----------------------------------------------------------------------------------------------------
53,805,313
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (4.1%)
....................................................................................................
461,400 Clorox Co. 44,006,025
....................................................................................................
1,055,988 Colgate-Palmolive Co. 92,926,944
....................................................................................................
1,131,201 Kimberly-Clark Corp. 51,893,846
....................................................................................................
3,467,737 Philip Morris Cos., Inc. 136,542,144
....................................................................................................
2,605,173 RJR Nabisco Holdings Corp. 61,872,859
- ----------------------------------------------------------------------------------------------------
387,241,818
- ----------------------------------------------------------------------------------------------------
Consumer Related (0.3%)
....................................................................................................
2,317,800 Unilever Group (United Kingdom) 24,649,390
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (5.7%)
....................................................................................................
1,439,778 Emerson Electric Co. 86,926,597
....................................................................................................
2,851,209 General Electric Co. 259,460,019
....................................................................................................
915,278 Hewlett-Packard Co. 54,802,270
....................................................................................................
560,000 Motorola, Inc. 29,435,000
....................................................................................................
400,000 Philips Electronics N.V. (Netherlands) 33,562,316
....................................................................................................
1,430,500 Texas Instruments, Inc. 83,416,031
- ----------------------------------------------------------------------------------------------------
547,602,233
- ----------------------------------------------------------------------------------------------------
Entertainment (1.4%)
....................................................................................................
795,500 Time Warner, Inc. 67,965,531
....................................................................................................
1,176,686 Viacom, Inc. Class B (NON) 68,541,960
- ----------------------------------------------------------------------------------------------------
136,507,491
- ----------------------------------------------------------------------------------------------------
Environmental Control (0.3%)
....................................................................................................
490,000 USA Waste Services, Inc. (NON) 24,193,750
- ----------------------------------------------------------------------------------------------------
Food and Beverages (5.5%)
....................................................................................................
1,313,188 Anheuser-Busch Cos., Inc. 61,966,059
....................................................................................................
1,000,000 ConAgra, Inc. 31,687,500
....................................................................................................
1,315,997 General Mills, Inc. 89,981,295
....................................................................................................
1,630,800 Heinz (H.J.) Co. 91,528,650
....................................................................................................
825,000 McDonald's Corp. 56,925,000
....................................................................................................
501,100 Nabisco Holdings Corp. Class A 18,070,919
....................................................................................................
760,600 PepsiCo, Inc. 31,327,213
....................................................................................................
1,150,000 Quaker Oats Co. (The) 63,178,125
....................................................................................................
1,512,535 Sara Lee Corp. 84,607,427
- ----------------------------------------------------------------------------------------------------
529,272,188
- ----------------------------------------------------------------------------------------------------
Health Care (3.4%)
....................................................................................................
750,000 Columbia/HCA Healthcare Corp. 21,843,750
....................................................................................................
1,350,733 Merck & Co., Inc. 180,660,539
....................................................................................................
2,152,100 Tenet Healthcare Corp. (NON) 67,253,125
....................................................................................................
400,000 United Healthcare Corp. 25,400,000
....................................................................................................
378,500 Wellpoint Health Networks, Inc. (NON) 28,009,000
- ----------------------------------------------------------------------------------------------------
323,166,414
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (21.4%)
....................................................................................................
310,000 Aetna Inc. 23,598,750
....................................................................................................
154,000 Ahmanson (H.F.) & Co. 10,934,000
....................................................................................................
725,000 Allstate Corp. 66,382,813
....................................................................................................
517,300 American Express Co. 58,972,200
....................................................................................................
1,496,387 American General Corp. 106,524,050
....................................................................................................
1,410,042 AON Corp. 99,055,451
....................................................................................................
391,215 Banc One Corp. 21,834,687
....................................................................................................
1,318,700 BankAmerica Corp. 113,985,131
....................................................................................................
1,696,222 BankBoston Corp. 94,352,349
....................................................................................................
749,287 Bankers Trust New York Corp. (CUS) 86,964,122
....................................................................................................
1,053,300 Chase Manhattan Corp. 79,524,150
....................................................................................................
1,371,855 CIGNA Corp. 94,657,995
....................................................................................................
712,100 Citicorp 106,280,925
....................................................................................................
202,400 Crestar Financial Corp. 11,043,450
....................................................................................................
1,666,969 Federal National Mortgage Association 101,268,367
....................................................................................................
1,315,602 First Chicago NBD Corp. 116,595,227
....................................................................................................
281,000 First Tennessee National Corp. 8,869,063
....................................................................................................
825,500 First Union Corp. 48,085,375
....................................................................................................
150,000 Firstar Corp. 5,700,000
....................................................................................................
611,000 Fleet Financial Group, Inc. 51,018,500
....................................................................................................
300,500 Hartford Financial Services Group (ITT) 34,369,688
....................................................................................................
156,200 Huntington Bancshares, Inc. 5,232,700
....................................................................................................
2,260,736 Keycorp 80,538,720
....................................................................................................
450,000 Lehman Brothers Holding, Inc. 34,903,125
....................................................................................................
280,000 Mercantile Bancorpation, Inc. 14,105,000
....................................................................................................
386,900 Merrill Lynch & Co., Inc. 35,691,525
....................................................................................................
754,712 Morgan (J.P.) & Co., Inc. 88,395,643
....................................................................................................
341,200 National City Corp. 24,225,200
....................................................................................................
812,740 NationsBank Corp. 62,174,610
....................................................................................................
653,500 Norwest Corp. 24,424,563
....................................................................................................
1,670,079 PNC Bank Corp. 89,871,126
....................................................................................................
330,026 Summit Bancorp 15,676,235
....................................................................................................
355,400 The Equitable Companies, Inc. 26,632,788
....................................................................................................
750,000 Travelers Group Inc. 45,468,750
....................................................................................................
208,400 Union Planters Corp. 12,256,525
....................................................................................................
1,202,500 Washington Mutual, Inc. 52,233,594
....................................................................................................
213,500 Wells Fargo & Co. 78,781,500
- ----------------------------------------------------------------------------------------------------
2,030,627,897
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (1.6%)
....................................................................................................
2,846,238 Baxter International, Inc. 153,163,182
- ----------------------------------------------------------------------------------------------------
Metals and Mining (0.5%)
....................................................................................................
381,800 Aluminum Co. of America 25,174,938
....................................................................................................
900,000 Freeport-McMoRan Copper &
Gold Co., Inc. Class A 12,825,000
....................................................................................................
610,000 Freeport-McMoRan Copper &
Gold Co., Inc. Class B 9,264,375
- ----------------------------------------------------------------------------------------------------
47,264,313
- ----------------------------------------------------------------------------------------------------
Oil and Gas (10.0%)
....................................................................................................
2,339,188 Amoco Corp. 97,368,701
....................................................................................................
769,278 Atlantic Richfield Co. 60,099,844
....................................................................................................
1,070,383 British Petroleum PLC ADR
(United Kingdom) 94,461,300
....................................................................................................
1,556,700 Elf Aquitane ADR (France) 110,525,700
....................................................................................................
691,400 Enron Corp. 37,378,813
....................................................................................................
2,910,753 Exxon Corp. 207,573,073
....................................................................................................
650,000 Halliburton Co. 28,965,625
....................................................................................................
1,196,738 Mobil Corp. 91,700,049
....................................................................................................
1,146,639 Occidental Petroleum Corp. 30,959,253
....................................................................................................
1,411,800 Royal Dutch Petroleum Co. PLC ADR
(Netherlands) 77,384,288
....................................................................................................
1,285,000 Sonat, Inc. 49,633,125
....................................................................................................
630,000 Tosco Corp. 18,506,250
....................................................................................................
1,437,010 YPF S.A. ADR (Argentina) 43,200,113
- ----------------------------------------------------------------------------------------------------
947,756,134
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (1.3%)
....................................................................................................
963,100 Fort James Corp. 42,857,950
....................................................................................................
300,040 International Paper Co. 12,901,720
....................................................................................................
1,494,676 Weyerhaeuser Co. 69,035,348
- ----------------------------------------------------------------------------------------------------
124,795,018
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (5.9%)
....................................................................................................
2,934,638 American Home Products Corp. 151,867,517
....................................................................................................
1,314,847 Bristol-Myers Squibb Co. 151,125,227
....................................................................................................
470,000 Glaxo Wellcome PLC ADR
(United Kingdom) 28,111,875
....................................................................................................
4,986,187 Pharmacia & Upjohn, Inc. 229,987,875
- ----------------------------------------------------------------------------------------------------
561,092,494
- ----------------------------------------------------------------------------------------------------
Photography (0.9%)
....................................................................................................
1,188,583 Eastman Kodak Co. 86,840,845
- ----------------------------------------------------------------------------------------------------
Publishing (1.3%)
....................................................................................................
760,000 McGraw-Hill, Inc. 61,987,500
....................................................................................................
920,000 Times Mirror Co. Class A 57,845,000
- ----------------------------------------------------------------------------------------------------
119,832,500
- ----------------------------------------------------------------------------------------------------
REIT's (Real Estate Investment Trust) (1.1%)
....................................................................................................
1,060,000 Equity Residential Properties Trust 50,283,750
....................................................................................................
1,166,970 Starwood Lodging Trust 56,379,238
- ----------------------------------------------------------------------------------------------------
106,662,988
- ----------------------------------------------------------------------------------------------------
Retail (4.1%)
....................................................................................................
1,444,780 Dayton Hudson Corp. 70,071,830
....................................................................................................
655,700 Federated Department Stores, Inc. (NON) 35,284,856
....................................................................................................
4,376,547 K mart Corp. (NON) 84,248,530
....................................................................................................
270,000 Lowe's Cos., Inc. 10,951,875
....................................................................................................
912,390 May Department Stores Co. 59,761,545
....................................................................................................
443,575 Penney (J.C.) Co., Inc. 32,076,017
....................................................................................................
525,000 Sears, Roebuck & Co. 32,057,813
....................................................................................................
2,642,421 Toys "R" Us, Inc. (NON) 62,262,045
- ----------------------------------------------------------------------------------------------------
386,714,511
- ----------------------------------------------------------------------------------------------------
Telecommunications (0.8%)
....................................................................................................
710,000 Comcast Corp. Special Class A 28,821,563
....................................................................................................
1,000,000 MediaOne Group Inc. (NON) 43,937,500
- ----------------------------------------------------------------------------------------------------
72,759,063
- ----------------------------------------------------------------------------------------------------
Transportation (2.2%)
....................................................................................................
413,400 AMR Corp. (NON) 34,415,550
....................................................................................................
860,859 Burlington Northern Santa Fe Corp. (NON) 84,525,593
....................................................................................................
235,000 Delta Air Lines, Inc. 30,373,750
....................................................................................................
250,000 FDX Corp. 15,687,500
....................................................................................................
800,000 Norfolk Southern Corp. 23,850,000
....................................................................................................
600,000 Ryder System, Inc. 18,937,500
- ----------------------------------------------------------------------------------------------------
207,789,893
- ----------------------------------------------------------------------------------------------------
Utilities (9.9%)
....................................................................................................
2,250,311 American Telephone & Telegraph Co. 128,549,016
....................................................................................................
1,424,700 Ameritech Corp. 63,933,413
....................................................................................................
1,360,000 Bell Atlantic Corp. 62,050,000
....................................................................................................
460,000 BellSouth Corp. 30,877,500
....................................................................................................
282,288 Carolina Power & Light Co. 12,244,242
....................................................................................................
240,500 Consolidated Edison, Inc. 11,078,031
....................................................................................................
1,637,414 Duke Energy Corp. 97,016,780
....................................................................................................
775,200 Entergy Corp. 22,287,000
....................................................................................................
1,214,300 GTE Corp. 67,545,438
....................................................................................................
2,989,038 SBC Communications, Inc. 119,561,520
....................................................................................................
977,470 Sempra Energy (NON) 27,124,793
....................................................................................................
2,429,100 Southern Co. 67,255,706
....................................................................................................
1,235,309 Sprint Corp. 87,089,285
....................................................................................................
1,560,700 Texas Utilities Co. 64,964,138
....................................................................................................
1,695,996 U S West, Inc. 79,711,801
- ----------------------------------------------------------------------------------------------------
941,288,663
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $7,694,898,211) $9,327,686,988
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.3%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
350,000 K mart Financing I $3.875 cum. cv. pfd. $24,500,000
....................................................................................................
51,900 Tosco Financing Trust $2.875 cv. pfd. 2,854,500
....................................................................................................
50,000 Tosco Financing Trust 144A
$2.875 cv. pfd. 2,675,000
- ----------------------------------------------------------------------------------------------------
Total Convertible Preferred Stocks
(cost $26,396,308) $30,029,500
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (0.2%) * (cost $15,960,828)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$15,000,000 Apple Computer, Inc. cv. sub. notes
6s, 2001 $17,268,750
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (1.2%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$25,000,000 Delaware Funding Corp., effective
yield of 5.52%, July 6, 1998 $24,980,833
....................................................................................................
43,801,000 Windmill Funding, effective yield of
6.24%, July 1, 1998 43,801,000
....................................................................................................
42,131,000 Interest in $511,687,000 joint repurchase
agreement dated June 30, 1998 with
S.B.C. Warburg Inc. due July 1, 1998 with
respect to various U.S. Treasury
obligations - maturity value of
$42,137,788 for an effective yield
of 5.8% 42,137,788
- ----------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $110,919,621) $110,919,621
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $7,848,174,968) *** $9,485,904,859
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell at June 30, 1998 (Unaudited)
- ----------------------------------------------------------------------------------------------------
Market Aggregate Delivery Unrealized
Value Face Value Date Appreciation
....................................................................................................
French Franc $21,433,674 $21,485,411 8/8/98 $51,737
- ----------------------------------------------------------------------------------------------------
See page 113 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT Health Sciences Fund
Portfolio of investments owned
June 30, 1998 (Unaudited)
<CAPTION>
COMMON STOCKS (88.7%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Biotechnology (2.1%)
....................................................................................................
478 Digene Corp. (NON) $4,660
....................................................................................................
4,748 Guilford Pharmaceuticals, Inc. (NON) 83,684
....................................................................................................
8,361 IDEXX Laboratories, Inc. (NON) 207,980
....................................................................................................
4,407 Millennium Pharmaceuticals, Inc. (NON) 62,249
....................................................................................................
4,750 NPS Pharmaceuticals, Inc. (NON) 33,844
....................................................................................................
3,188 Pharmacylics, Inc. (NON) 75,715
....................................................................................................
5,867 Scios, Inc. (NON) 52,070
....................................................................................................
1,566 Vertex Pharmaceuticals, Inc. (NON) 35,235
....................................................................................................
3,760 ViroPharma Inc. (NON) 87,420
- ----------------------------------------------------------------------------------------------------
642,857
- ----------------------------------------------------------------------------------------------------
Business Services (2.3%)
....................................................................................................
2,286 ABR Information Services, Inc. (NON) 54,293
....................................................................................................
767 Applied Analytical Industries, Inc. (NON) 11,026
....................................................................................................
2,605 ChiRex Inc. (NON) 45,750
....................................................................................................
4,171 On Assignment, Inc. (NON) 145,724
....................................................................................................
4,741 Pharmaceutical Product
Development, Inc. (NON) 104,302
....................................................................................................
6,800 Quintiles Transnational Corp. (NON) 334,475
- ----------------------------------------------------------------------------------------------------
695,570
- ----------------------------------------------------------------------------------------------------
Conglomerates (1.0%)
....................................................................................................
5,100 Tyco International Ltd. (NON) 321,300
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (0.4%)
....................................................................................................
4,993 Wesley Jessen VisionCare, Inc. (NON) 115,463
- ----------------------------------------------------------------------------------------------------
Health Insurance (0.3%)
....................................................................................................
789 Compdent Corp. (NON) 12,328
....................................................................................................
3,211 United Wisconsin Services 91,112
- ----------------------------------------------------------------------------------------------------
103,440
- ----------------------------------------------------------------------------------------------------
Health Care Information Systems (2.8%)
....................................................................................................
3,288 Cerner Corp. (NON) 93,092
....................................................................................................
11,600 HBO & Co. 408,900
....................................................................................................
3,219 Incyte Pharmaceuticals, Inc. (NON) 109,848
....................................................................................................
4,167 Imnet Systems, Inc. (NON) 55,734
....................................................................................................
6,178 Medquist, Inc. (NON) 178,390
- ----------------------------------------------------------------------------------------------------
845,964
- ----------------------------------------------------------------------------------------------------
Hospital Management (3.6%)
....................................................................................................
12,800 Columbia/HCA Healthcare Corp. 372,800
....................................................................................................
20,000 HEALTHSOUTH Corp. (NON) 533,750
....................................................................................................
3,500 Universal Health Services, Inc. (NON) 204,313
- ----------------------------------------------------------------------------------------------------
1,110,863
- ----------------------------------------------------------------------------------------------------
Managed Health Care (2.1%)
....................................................................................................
3,794 Conventry Healthcare, Inc. (NON) 56,436
....................................................................................................
12,200 MedPartners, Inc. (NON) 97,600
....................................................................................................
3,192 Trigon Healthcare, Inc. (NON) 115,511
....................................................................................................
2,300 United Healthcare Corp. 146,050
....................................................................................................
3,000 Wellpoint Health Networks, Inc. (NON) 222,000
- ----------------------------------------------------------------------------------------------------
637,597
- ----------------------------------------------------------------------------------------------------
Medical Management Services (1.4%)
....................................................................................................
4,439 Advanced Health Corp. (NON) 24,415
....................................................................................................
5,391 American Oncology Resources, Inc. (NON) 65,871
....................................................................................................
1,473 Concentra Managed Care, Inc. (NON) 38,298
....................................................................................................
7,416 Phycor, Inc. (NON) 122,828
....................................................................................................
7,142 Physician Reliance Network, Inc. (NON) 81,687
....................................................................................................
5,608 ProMedCo Management Co. (NON) 57,482
....................................................................................................
4,715 Specialty Care Network, Inc. (NON) 31,826
- ----------------------------------------------------------------------------------------------------
422,407
- ----------------------------------------------------------------------------------------------------
Medical Services (3.6%)
....................................................................................................
4,700 Cardinal Health, Inc. 440,625
....................................................................................................
117 Express Scripts, Inc. Class A (NON) 9,433
....................................................................................................
894 IMPATH, Inc. (NON) 21,735
....................................................................................................
3,324 Lincare Holdings, Inc. (NON) 139,816
....................................................................................................
5,357 National Surgery Centers, Inc. (NON) 155,688
....................................................................................................
5,200 Omnicare, Inc. 198,250
....................................................................................................
3,914 Total Renal Care Holdings, Inc. (NON) 135,033
- ----------------------------------------------------------------------------------------------------
1,100,580
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (18.1%)
....................................................................................................
1,523 Arrow International, Inc. 41,787
....................................................................................................
6,513 Ballard Medical Products 117,234
....................................................................................................
6,100 Baxter International, Inc. 328,256
....................................................................................................
5,600 Bergen Brunswig Corp. Class A 259,700
....................................................................................................
4,700 Biomet, Inc. (NON) 155,394
....................................................................................................
4,421 Biosite Diagnostics Inc. (NON) 48,631
....................................................................................................
7,100 Boston Scientific Corp. (NON) 508,538
....................................................................................................
11,800 Centocor, Inc. (NON) 427,750
....................................................................................................
459 CN Biosciences, Inc. (NON) 11,475
....................................................................................................
2,722 Cyberonics, Inc. (NON) 28,921
....................................................................................................
2,282 Cytyc Corp. (NON) 37,225
....................................................................................................
267 Delaware Global Technologies Corp. (NON) 2,670
....................................................................................................
4,088 Henry Schein, Inc. (NON) 188,559
....................................................................................................
5,894 InControl, Inc. (NON) 15,472
....................................................................................................
7,600 Johnson & Johnson 560,500
....................................................................................................
3,252 Lifecore Biomedical, Inc. (NON) 53,658
....................................................................................................
2,700 McKesson Corp. 219,375
....................................................................................................
7,100 Medtronic, Inc. 452,625
....................................................................................................
4,722 Mentor Corp. 114,509
....................................................................................................
3,230 Minimed, Inc. (NON) 169,171
....................................................................................................
3,278 Molecular Devices Corp. (NON) 52,858
....................................................................................................
269 Novoste Corp. (NON) 5,935
....................................................................................................
5,944 Perclose, Inc. (NON) 167,918
....................................................................................................
9,960 PSS World Medical, Inc. (NON) 145,665
....................................................................................................
700 ResMed Inc. (NON) 31,894
....................................................................................................
239 Respironics, Inc. (NON) 3,719
....................................................................................................
4,415 Sabratek Corp. (NON) 100,441
....................................................................................................
2,196 Safeskin, Corp. (NON) 90,311
....................................................................................................
2,200 Steris Corp. (NON) 139,906
....................................................................................................
7,700 Sybron International Corp. (NON) 194,425
....................................................................................................
2,049 Theragenics Corp. (NON) 53,402
....................................................................................................
5,608 Trex Medical Corp. (NON) 92,532
....................................................................................................
7,600 U.S. Surgical Corp. 346,750
....................................................................................................
3,774 Ventana Medical Systems, Inc. (NON) 105,672
....................................................................................................
3,273 Waters Corp. (NON) 192,902
....................................................................................................
2,024 Xomed Surgical Products Inc. (NON) 62,997
- ----------------------------------------------------------------------------------------------------
5,528,777
- ----------------------------------------------------------------------------------------------------
Nursing Homes (0.9%)
....................................................................................................
8,700 Beverly Enterprises, Inc. (NON) 120,169
....................................................................................................
4,590 Centennial HealthCare Corp. (NON) 83,194
....................................................................................................
3,237 Genesis Health Ventures, Inc. (NON)(AFF) 80,925
- ----------------------------------------------------------------------------------------------------
284,288
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (23.1%)
....................................................................................................
234 Agouron Pharmaceuticals, Inc. (NON) 7,093
....................................................................................................
4,439 Alpharma, Inc. Class A 97,658
....................................................................................................
4,200 Alza Corp. (NON) 181,650
....................................................................................................
23,500 American Home Products Corp. 1,216,125
....................................................................................................
3,190 AXYS Pharmaceuticals, Inc. (NON) 22,729
....................................................................................................
8,600 Bristol-Myers Squibb Co. 988,462
....................................................................................................
255 CliniChem Development Inc. (Canada) (NON) 1,466
....................................................................................................
4,155 Coulter Pharmaceutical, Inc. (NON) 126,208
....................................................................................................
4,180 Dura Pharmaceuticals, Inc. (NON) 93,528
....................................................................................................
3,216 GelTex Pharmaceuticals, Inc. (NON) 59,898
....................................................................................................
15,900 Glaxo Wellcome PLC ADR
(United Kingdom) 951,019
....................................................................................................
1,508 IDEC Pharmaceuticals Corp. (NON) 35,532
....................................................................................................
4,150 Inhale Therapeutic Systems (NON) 102,713
....................................................................................................
9,500 Merck & Co., Inc. 1,270,625
....................................................................................................
3,260 PathoGenesis Corp. (NON) 94,540
....................................................................................................
2,500 Scherer R.P. Corp. (NON) 221,563
....................................................................................................
14,800 Schering-Plough Corp. 1,356,050
....................................................................................................
4,584 Sepracor, Inc. (NON) 190,236
....................................................................................................
1,449 Schein Pharmceuticals, Inc. (NON) 38,580
....................................................................................................
3,190 VIVUS, Inc. (NON) 19,240
- ----------------------------------------------------------------------------------------------------
7,074,915
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (23.4%)
....................................................................................................
10,600 Biochem Pharmaceutical, Inc. (NON) 280,900
....................................................................................................
4,200 Elan Corp. PLC ADR (Ireland) (NON) 270,112
....................................................................................................
2,800 Genentech, Inc (NON) 190,050
....................................................................................................
7,400 ICN Pharmaceuticals, Inc. 338,088
....................................................................................................
562 La Jolla Pharmaceutical Co. (NON) 1,967
....................................................................................................
3,190 Ligand Pharmaceuticals, Inc. Class B (NON) 41,070
....................................................................................................
14,300 Lilly (Eli) & Co. 944,694
....................................................................................................
970 Medicis Pharmaceutical Corp. Class A (NON) 35,405
....................................................................................................
3,742 Medimmune, Inc. (NON) 233,406
....................................................................................................
300 Novartis AG ADR (Switzerland) 498,485
....................................................................................................
9,900 Pfizer, Inc. 1,076,005
....................................................................................................
9,200 Pharmacia & Upjohn, Inc. 424,350
....................................................................................................
3,184 Protein Design Labs, Inc. (NON) 76,715
....................................................................................................
700 Schering AG (Germany) (NON) 82,296
....................................................................................................
6,081 SEQUUS Pharmaceuticals, Inc. (NON) 69,170
....................................................................................................
15,200 Smithkline Beecham PLC ADR
(United Kingdom) 919,600
....................................................................................................
3,208 Sonus Pharmaceuticals, Inc. (NON) 39,499
....................................................................................................
2,275 Transkaryotic Therapies, Inc. (Malaysia) (NON) 58,581
....................................................................................................
474 Trimeris, Inc. (NON) 3,495
....................................................................................................
3,767 Warner Chilcott Laboratories (Ireland) (NON) 37,199
....................................................................................................
22,400 Warner-Lambert Co. 1,554,000
- ----------------------------------------------------------------------------------------------------
7,175,087
- ----------------------------------------------------------------------------------------------------
Retail (3.6%)
....................................................................................................
9,100 CVS Corp. 354,332
....................................................................................................
6,000 General Nutrition Companies, Inc. (NON) 186,750
....................................................................................................
15,200 Rite Aid Corp. 570,950
- ----------------------------------------------------------------------------------------------------
1,112,032
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $26,649,752) $27,171,140
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (18.2%) * (cost $5,562,896)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$5,562,000 Interest in $750,000,000 joint repurchase
agreement dated June 30, 1998 with
Goldman, Sachs & Co. due July 1,1998
with respect to various U.S. Treasury
obligations - maturity value of
$5,562,896 for an effective yield
of 5.8% $5,562,896
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $32,212,648) *** $32,734,036
- ----------------------------------------------------------------------------------------------------
See page 113 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT High Yield Fund
Portfolio of investments owned
June 30, 1998 (Unaudited)
<CAPTION>
CORPORATE BONDS AND NOTES (78.4%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
<S> <C> <C> <C> <C>
Advertising (0.4%)
....................................................................................................
$1,895,000 Adams Outdoor Advertising sr. notes
10 3/4s, 2006 $2,075,025
....................................................................................................
2,590,000 Interact Systems, Inc. 144A
stepped-coupon zero %
(14s, 8/1/99), 2003 (STP) 1,036,000
....................................................................................................
1,660,000 Outdoor Communications Inc. sr. sub.
notes 9 1/4s, 2007 1,701,500
- ----------------------------------------------------------------------------------------------------
4,812,525
- ----------------------------------------------------------------------------------------------------
Aerospace and Defense (1.2%)
....................................................................................................
920,000 Argo-Tech Corp. company guaranty
8 5/8s, 2007 920,000
....................................................................................................
2,020,000 Aviation Sales Co. 144A sr. sub. notes
8 1/8s, 2008 1,969,500
....................................................................................................
1,320,000 BE Aerospace sr. sub. notes Ser. B, 8s, 2008 1,316,700
....................................................................................................
3,175,000 BE Aerospace, Inc. sr. sub. notes Ser. B,
9 7/8s, 2006 3,365,500
....................................................................................................
2,520,000 L-3 Communications Corp. sr. sub. notes
Ser. B, 10 3/8s, 2007 2,784,600
....................................................................................................
1,750,000 Sequa Corp. sr. sub. notes 9 3/8s, 2003 1,811,250
....................................................................................................
1,095,000 United Defense Industries Inc. 144A
company guaranty 8 3/4s, 2007 1,110,055
- ----------------------------------------------------------------------------------------------------
13,277,605
- ----------------------------------------------------------------------------------------------------
Agriculture (0.5%)
....................................................................................................
2,907,861 Premium Standard Farms, Inc. sr. secd.
notes 11s, 2003 (PIK) 3,133,220
....................................................................................................
2,200,000 Purina Mills, Inc. 144A sr. sub. notes
9s, 2010 2,260,500
- ----------------------------------------------------------------------------------------------------
5,393,720
- ----------------------------------------------------------------------------------------------------
Airlines (0.8%)
....................................................................................................
1,580,000 Calair LLC 144A company guaranty
8 1/8s, 2008 1,572,100
....................................................................................................
2,710,000 Canadian Airlines Corp. sr. sec. notes
10s, 2005 (Canada) 2,737,100
....................................................................................................
2,600,000 Trans World Airlines, Inc. sr. notes
11 1/2s, 2004 2,743,000
....................................................................................................
1,750,000 Trans World Airlines, Inc. 144A notes
11 3/8s, 2006 1,754,375
- ----------------------------------------------------------------------------------------------------
8,806,575
- ----------------------------------------------------------------------------------------------------
Apparel (0.8%)
....................................................................................................
1,190,000 GFSI, Inc. sr. disc. notes
stepped-coupon Ser. B, zero %
(11 3/8s, 9/15/04), 2009 (STP) 1,332,800
....................................................................................................
3,307,000 Guess Jeans, Inc. sr. sub. notes 9 1/2s, 2003 3,373,140
....................................................................................................
2,085,000 Sassco Fashions Ltd. sr. notes 12 3/4s, 2004 2,257,012
....................................................................................................
1,000,000 Sun Apparel, Inc. Tranche sr. notes Ser. B,
9 1/8s, 2004 995,000
....................................................................................................
1,040,000 William Carter Co. 144A sr. sub. notes
12s, 2008 1,112,800
- ----------------------------------------------------------------------------------------------------
9,070,752
- ----------------------------------------------------------------------------------------------------
Automotive (1.1%)
....................................................................................................
1,000,000 Amer Axel & Manuftrng bank loan Ser. B,
8.063s, 2005 1,000,000
....................................................................................................
2,380,000 Lear Corp. sub. notes 9 1/2s, 2006 2,612,050
....................................................................................................
5,000,000 Navistar International Corp. sr. notes
Ser. B, 8s, 2008 5,025,000
....................................................................................................
4,370,000 Oxford Automotive, Inc. company
guaranty 10 1/8s, 2007 4,501,100
- ----------------------------------------------------------------------------------------------------
13,138,150
- ----------------------------------------------------------------------------------------------------
Automotive Parts (0.9%)
....................................................................................................
431,000 Aftermarket Technology Corp. sr. sub.
notes 12s, 2004 475,178
....................................................................................................
2,100,000 Aftermarket Technology Corp. sr. sub.
notes Ser. D, 12s, 2004 2,315,250
....................................................................................................
575,000 Cambridge Industries Inc. 144A company
guaranty 10 1/4s, 2007 586,500
....................................................................................................
3,500,000 Hayes Wheels International, Inc. company
guaranty Ser. B, 9 1/8s, 2007 3,657,500
....................................................................................................
910,000 Hayes Wheels International, Inc. company
guaranty Ser. B, 9 1/8s, 2007 950,950
....................................................................................................
2,925,000 Walbro Corp. sr. notes Ser. B, 9 7/8s, 2005 2,866,500
- ----------------------------------------------------------------------------------------------------
10,851,878
- ----------------------------------------------------------------------------------------------------
Banks (2.1%)
....................................................................................................
995,000 Albank Capital Trust 144A company
guaranty Ser. B, 9.27s, 2027 1,161,255
....................................................................................................
3,532,000 Chevy Chase Savings Bank Inc. sub. deb.
9 1/4s, 2005 3,584,980
....................................................................................................
1,950,000 Dime Capital Trust I bank guaranty
Ser. A, 9.33s, 2027 2,283,956
....................................................................................................
1,685,000 Espirto Santo Centrais sr. notes 10s, 2007
(Luxembourg) 1,415,400
....................................................................................................
2,000,000 First Nationwide Holdings sr. sub. notes
9 1/8s, 2003 2,125,000
....................................................................................................
860,000 Fuji JGB Inv. LLC 144A FLIRB bonds
9.87s, 2049 760,025
....................................................................................................
1,770,000 Greenpoint Capital Trust I company
guaranty 9.1s, 2027 2,015,588
....................................................................................................
895,000 North Fork Capital Trust I company
guaranty 8.7s, 2026 1,010,706
....................................................................................................
650,000 Ocwen Capital Trust I company guaranty
10 7/8s, 2027 708,500
....................................................................................................
1,080,000 Ocwen Federal Bank FSB sub. deb.
12s, 2005 1,188,000
....................................................................................................
510,000 Onbank & Trust Co. company guaranty
9 1/4s, 2027 606,135
....................................................................................................
1,085,000 Peoples Heritage Capital Trust company
guaranty Ser. B, 9.06s, 2027 1,223,424
....................................................................................................
1,330,000 Provident Capital Trust company guaranty
8.6s, 2026 1,433,912
....................................................................................................
610,000 Riggs Capital Trust 144A bonds
8 5/8s, 2026 670,066
....................................................................................................
1,965,000 Sovereign Capital Trust company guaranty
9s, 2027 2,171,226
....................................................................................................
1,020,000 Tokai Corp. 144A FRB Ser. A, 9.98s, 2049 943,500
....................................................................................................
795,000 Webster Capital Trust I 144A bonds
9.36s, 2027 898,350
- ----------------------------------------------------------------------------------------------------
24,200,023
- ----------------------------------------------------------------------------------------------------
Basic Equipment Services (0.2%)
....................................................................................................
1,820,000 Cex Holdings, Inc. 144A sr. sub. notes
9 5/8s, 2008 1,874,600
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (0.5%)
....................................................................................................
3,000,000 Clark-Schwebel sr. notes 10 1/2s, 2006 3,315,000
....................................................................................................
2,720,000 Roller Bearing Co. 144A company
guaranty 9 5/8s, 2007 2,754,000
- ----------------------------------------------------------------------------------------------------
6,069,000
- ----------------------------------------------------------------------------------------------------
Broadcasting (5.3%)
....................................................................................................
4,225,000 Acme Television sr. disc. notes
stepped-coupon zero %
(10 7/8s, 9/30/00), 2004 (STP) 3,485,625
....................................................................................................
4,500,000 Allbritton Communications sr. sub. deb.
Ser. B, 9 3/4s, 2007 4,950,000
....................................................................................................
5,437,000 Australis Holdngs PTY Ltd. sr. disc. notes
stepped-coupon zero % (15s, 11/01/00),
2002 (In Default) (Australia) (NON) (STP) 815,550
....................................................................................................
1,400,216 Australis Media, Ltd. sr. sec. disc. notes
zero %, 2000 (In Default) (Australia) (NON) 966,148
....................................................................................................
3,770,000 Benedek Communications Corp. sr. disc.
notes stepped-coupon zero %
(13 1/4s, 5/15/01), 2006 (STP) 2,997,150
....................................................................................................
5,690,000 Capstar Broadcasting sr. disc. notes
stepped-coupon zero %
(12 3/4s, 2/1/02), 2009 (STP) 4,324,400
....................................................................................................
1,460,000 Capstar Broadcasting sr. sub. notes
9 1/4s, 2007 1,527,525
....................................................................................................
780,000 Central European Media Enterprises Ltd.
sr. notes 9 3/8s, 2004 (Bermuda) 772,200
....................................................................................................
1,401,820 Citadel Broadcasting Inc. sr. sub. notes
10 1/4s, 2007 1,542,002
....................................................................................................
4,395,000 Fox Family Worldwide, Inc. sr. disc. notes
stepped-coupon zero %
(10 1/4s,11/1/02), 2007 (STP) 2,856,750
....................................................................................................
5,660,000 Fox Family Worldwide, Inc. sr. notes
9 1/4s, 2007 5,688,300
....................................................................................................
7,500,000 Fox/Liberty Networks LLC 144A sr. disc.
notes stepped-coupon zero %
(9 3/4s, 8/15/02), 2007 (STP) 5,212,500
....................................................................................................
2,070,000 Fox/Liberty Networks LLC sr. notes
8 7/8s, 2007 2,111,400
....................................................................................................
1,400,000 Globo Communicacoes 144A company
guaranty 10 1/2s, 2006 (Brazil) 1,281,000
....................................................................................................
1,590,000 Granite Broadcasting Corp. 144A sr. sub.
notes 8 7/8s, 2008 1,607,888
....................................................................................................
3,425,000 Grupo Televisa S.A. 144A sr. notes
11 7/8s, 2006 (Mexico) 3,767,500
....................................................................................................
1,325,000 Heritage Media Services Corp. sr. sub.
notes 8 3/4s, 2006 1,411,125
....................................................................................................
1,040,000 Innova S De R.L. sr. notes 12 7/8s,
2007 (Mexico) 1,055,600
....................................................................................................
930,000 Jacor Communications, Co. 144A
company guaranty 8 3/4s, 2007 967,200
....................................................................................................
675,000 Jacor Communications, Inc. company
guaranty 9 3/4s, 2006 722,250
....................................................................................................
4,932,000 PHI Holdings, Inc. 16s, 2001 3,651,160
....................................................................................................
1,815,000 Radio One Inc. company guaranty
stepped-coupon Ser. B, 7s,
(12s, 5/15/00), 2004 (STP) 1,851,300
....................................................................................................
1,630,000 SFX Entertainment Inc. 144A sr. sub.
notes 9 1/8s, 2008 1,597,400
....................................................................................................
3,000,000 Sinclair Broadcast Group, Inc. company
guaranty 9s, 2007 3,105,000
....................................................................................................
2,375,000 Spanish Broadcasting Systems sr. notes
Ser. B, 11s, 2004 2,565,000
- ----------------------------------------------------------------------------------------------------
60,831,973
- ----------------------------------------------------------------------------------------------------
Building and Construction (0.4%)
....................................................................................................
1,880,000 Atrium Companies, Inc. sr. sub. notes
10 1/2s, 2006 1,978,700
....................................................................................................
1,035,000 Cia Latino Americana 144A company
guaranty 11 1/8s, 2004 (Argentina) 1,040,175
....................................................................................................
940,000 Jackson Products, Inc. 144A company
guaranty 9 1/2s, 2005 935,300
- ----------------------------------------------------------------------------------------------------
3,954,175
- ----------------------------------------------------------------------------------------------------
Building Materials (0.1%)
....................................................................................................
1,070,000 Waxman Industries Inc. sr. notes
stepped-coupon Ser. B, zero %
(12 3/4s, 6/1/99), 2004 (STP) 1,016,500
- ----------------------------------------------------------------------------------------------------
Building Products (0.2%)
....................................................................................................
2,170,000 Decora Industries, Inc. 144A sr. sec. notes
11s, 2005 2,121,175
- ----------------------------------------------------------------------------------------------------
Buses (0.4%)
....................................................................................................
4,985,000 MCII Holdings sec. notes stepped-coupon
zero % (12s, 11/15/98), 2002 (STP) 4,760,675
- ----------------------------------------------------------------------------------------------------
Business Services (0.6%)
....................................................................................................
970,000 Axiohm Transactions Solutions Inc.
company guaranty 9 3/4s, 2007 970,000
....................................................................................................
940,000 ATC Group Services Inc. 144A sr. sub.
notes 12s, 2008 864,800
....................................................................................................
1,498,333 Outsourcing Solutions Inc. 144A
8.621s, 2004 1,498,332
....................................................................................................
3,750,000 Outsourcing Solutions, Inc. sr. sub. notes
Ser. B, 11s, 2006 4,012,500
- ----------------------------------------------------------------------------------------------------
7,345,632
- ----------------------------------------------------------------------------------------------------
Cable Television (5.3%)
....................................................................................................
5,200,000 21st Century Telecom Group 144A
sr. disc. notes stepped-coupon zero %
(12 1/4s, 2/15/03), 2008 (STP) 2,938,000
....................................................................................................
2,765,000 Adelphia Communications Corp. sr. notes
Ser. B, 9 7/8s, 2007 2,993,112
....................................................................................................
2,200,000 Charter Communications International, Inc.
disc. notes stepped-coupon Ser. B, zero %
(14s, 3/15/01), 2007 (STP) 1,809,500
....................................................................................................
1,750,000 Charter Communications International, Inc.
sr. notes Ser. B, 11 1/4s, 2006 1,929,375
....................................................................................................
6,834,000 Comcast UK Cable, Ltd. deb.
stepped-coupon zero %
(11.2s, 11/15/00), 2007 (Bermuda) (STP) 5,706,390
....................................................................................................
3,520,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(10 3/4s, 2/15/02), 2007
(United Kingdom) (STP) 2,604,800
....................................................................................................
5,220,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(11 3/4s, 12/15/00), 2005
(United Kingdom) (STP) 4,332,600
....................................................................................................
1,800,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(13 1/2s, 9/30/99), 2004
(United Kingdom) (STP) 1,692,000
....................................................................................................
4,000,000 Frontiervision Operating Partners L.P.
8.156s, 2006 4,005,000
....................................................................................................
1,180,000 Globo Communicacoes 144A sr. notes
10 5/8s, 2008 1,050,200
....................................................................................................
6,100,000 Knology Holdings Inc. sr. disc. notes
stepped-coupon 11 7/8s,
(11 7/8s, 10/15/02), 2007 (STP) 3,599,000
....................................................................................................
3,000,000 Lenfest Communications, Inc. sr. sub.
notes 10 1/2s, 2006 3,495,000
....................................................................................................
2,675,000 Marcus Cable Co. (L.P.) sr. disc. notes
stepped-coupon zero %
(14 1/4s, 6/15/00), 2005 (STP) 2,487,750
....................................................................................................
3,350,000 NTL Inc. sr. notes Ser. B, 10s, 2007
(United Kingdom) 3,584,500
....................................................................................................
10,300,000 NTL Inc. 144A sr. notes stepped-coupon
zero % (9 3/4s, 4/01/03), 2008 (STP) 6,695,000
....................................................................................................
4,615,000 RCN Corp. sr. disc. notes stepped-coupon
zero % (11 1/8s, 10/15/02), 2007 (STP) 2,965,138
....................................................................................................
4,260,000 RCN Corp. sr. discount notes,
stepped-coupon Ser. B, zero %
(9.8s, 2/15/03), 2008 (STP) 2,556,000
....................................................................................................
1,930,000 Supercanal Holdings S.A. 144A sr. notes
11 1/2s, 2005 (Argentina) 1,785,250
....................................................................................................
2,025,000 TV Azteca S.A. de C.V. sr. notes 10 1/2s,
2007 (Mexico) 2,025,000
....................................................................................................
500,000 TV Azteca S.A. De C.V. sr. notes Ser. A,
10 1/8s, 2004 (Mexico) 498,750
....................................................................................................
3,900,000 United International Holdings sr. disc.
notes stepped-coupon Ser. B, zero %
(10 3/4s, 2/15/03), 2008 (STP) 2,408,250
- ----------------------------------------------------------------------------------------------------
61,160,615
- ----------------------------------------------------------------------------------------------------
Cellular Communications (5.1%)
....................................................................................................
1,060,000 American Cell Corp 144A sr. notes
10 1/2s, 2008 1,060,000
....................................................................................................
1,000,000 Celcaribe S.A. sr. notes 13 1/2s, 2004 1,060,000
....................................................................................................
8,177,000 CellNet Data Systems, Inc. sr. disc. notes
stepped-coupon zero % (14s, 10/1/02),
2007 (STP) 4,701,775
....................................................................................................
6,730,000 Cencall Communications Corp. sr. disc.
notes stepped-coupon zero %
(10 1/8s, 1/15/99), 2004 (STP) 6,612,225
....................................................................................................
1,360,000 CTI Holdings S.A. 144A sr. notes
stepped-coupon zero %,
(11 1/2s, 4/15/03), 2008 (STP) 754,800
....................................................................................................
5,500,000 Dial Call Communications, Inc. sr. disc.
notes stepped-coupon Ser. B, zero %
(10 1/4s, 12/15/98), 2005 (STP) 5,458,750
....................................................................................................
5,160,000 Dobson Communications Corp. sr. notes
11 3/4s, 2007 5,598,600
....................................................................................................
1,000,000 Intercel, Inc. sr. disc. notes stepped-coupon
zero % (12s, 5/1/01), 2006 (STP) 785,000
....................................................................................................
1,880,000 Intercel, Inc. sr. disc. notes stepped-coupon
zero % (12s, 2/1/01), 2006 (STP) 1,511,050
....................................................................................................
6,920,000 McCaw International Ltd sr. discount
notes stepped coupon zero %
(13s, 4/15/02), 2007 (STP) 4,584,500
....................................................................................................
10,450,000 Millicom International Cellular S.A.
sr. disc. notes stepped-coupon zero %
(13 1/2s, 6/1/01), 2006 (Luxembourg) (STP) 8,151,000
....................................................................................................
1,290,000 NEXTEL Communications, Inc. 144A
sr. disc. notes stepped-coupon zero %
(12 1/8s, 4/15/03), 2008 (STP) 799,800
....................................................................................................
8,950,000 NEXTEL Communications, Inc. 144A
sr. disc. notes stepped-coupon zero %
(10.65s, 9/15/02), 2007 (STP) 6,041,250
....................................................................................................
6,670,000 NEXTEL Communications, Inc. 144A
sr. disc. notes stepped-coupon zero %
(9.95s, 2/15/03), 2008 (STP) 4,252,125
....................................................................................................
2,805,000 Omnipoint Corp. sr. notes 11 5/8s, 2006 2,973,300
....................................................................................................
1,000,000 Powertel, Inc. 8 7/8s, 2001 997,500
....................................................................................................
2,590,000 Price Communications Wireless Inc.
144A sr. notes 9 1/8s, 2006 2,590,000
- ----------------------------------------------------------------------------------------------------
57,931,675
- ----------------------------------------------------------------------------------------------------
Chemicals (1.6%)
....................................................................................................
2,300,000 Acetex Corp. sr. notes 9 3/4s, 2003
(Canada) 2,357,500
....................................................................................................
1,450,000 Huntsman Corp. 144A sr. sub. notes
FRN 9.094s, 2007 1,450,000
....................................................................................................
1,600,000 Huntsman Packaging Corp. company
guaranty 9 1/8s, 2007 1,624,000
....................................................................................................
1,500,000 PCI Chemicals & Pharmaceuticals
sr. notes 9 1/4s, 2007 (Canada) 1,485,000
....................................................................................................
2,415,000 Pharmaceutical Fine Chemicals 144A
sr. sub. notes 9 3/4s, 2007 (Switzerland) 2,741,025
....................................................................................................
660,000 Pioneer Americas Acquisition 144A
sr. notes 9 1/4s, 2007 650,100
....................................................................................................
992,500 Pioneer Americas Acquisition Bank Loan
FRN 8.47s, 2006 992,500
....................................................................................................
3,035,000 Polytama International notes 11 1/4s,
2007 (Indonesia) 1,062,250
....................................................................................................
1,730,000 Sovereign Specialty Chemical 144A
company guaranty Ser. A, 9 1/2s, 2007 1,773,250
....................................................................................................
1,900,000 Sterling Chemicals Holdings sr. disc. notes
stepped-coupon zero %
(13 1/2s, 8/15/01), 2008 (STP) 1,102,000
....................................................................................................
1,400,000 Trikem S.A. 144A bonds 10 5/8s, 2007
(Brazil) 1,134,000
....................................................................................................
1,670,000 UCAR Global Enterprises sr. sub. notes
Ser. B, 12s, 2005 1,816,125
- ----------------------------------------------------------------------------------------------------
18,187,750
- ----------------------------------------------------------------------------------------------------
Coal (0.2%)
....................................................................................................
1,850,000 Lodestar Holding, Inc. 144A sr. notes
11 1/2s, 2005 1,840,750
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (0.1%)
....................................................................................................
660,000 Concentric Network Corp. sr. notes
12 3/4s, 2007 702,900
- ----------------------------------------------------------------------------------------------------
Conglomerates (0.2%)
....................................................................................................
365,000 Axia, Inc. sr. sub. notes Ser. B, 11s, 2001 368,650
....................................................................................................
1,915,000 Maxxam Group Holdings, Inc. sr. notes
Ser. B, 12s, 2003 2,135,225
- ----------------------------------------------------------------------------------------------------
2,503,875
- ----------------------------------------------------------------------------------------------------
Consumer Durable Goods (0.1%)
....................................................................................................
1,400,000 Sealy Mattress Co. 144A sr. disc. notes
stepped-coupon zero %
(10 7/8s, 12/15/02), 2007 (STP) 924,000
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (--%)
....................................................................................................
330,000 Hedstrom Holdings, Inc. 144A sr. disc.
notes stepped-coupon zero %
(12s, 6/1/02), 2009 (STP) 207,900
- ----------------------------------------------------------------------------------------------------
Containers (0.1%)
....................................................................................................
1,125,000 AEP Industries, Inc. sr. sub. notes
9 7/8s, 2007 1,155,938
- ----------------------------------------------------------------------------------------------------
Cosmetics (0.7%)
....................................................................................................
840,000 Carson, Inc. 144A sr. sub. notes
10 3/8s, 2007 837,900
....................................................................................................
1,140,000 Chattem, Inc. 144A sr. sub. notes
8 7/8s, 2008 1,125,750
....................................................................................................
1,470,000 French Fragrances, Inc. sr. notes, Ser. B,
10 3/8s, 2007 1,558,200
....................................................................................................
4,175,000 Revlon Consumer Products sr. sub. notes
8 5/8s, 2008 4,185,438
- ----------------------------------------------------------------------------------------------------
7,707,288
- ----------------------------------------------------------------------------------------------------
Electric Utilities (3.6%)
....................................................................................................
9,700,000 AES China Generating Co. sr. notes
10 1/8s, 2006 (China) 9,069,500
....................................................................................................
1,350,000 Calpine Corp. sr. notes 10 1/2s, 2006 1,491,750
....................................................................................................
1,520,000 Calpine Corp. sr. notes 9 1/4s, 2004 1,565,600
....................................................................................................
967,000 First PV Funding deb. 10.15s, 2016 1,030,039
....................................................................................................
18,000 First PV Funding Corp. deb. Ser. 86A,
10.3s, 2014 19,180
....................................................................................................
4,535,879 Midland Cogeneration Ventures LP deb.
10.33s, 2002 4,904,601
....................................................................................................
7,775,000 Midland Funding Corp. deb. Ser. A,
11 3/4s, 2005 9,352,859
....................................................................................................
2,480,000 Midland Funding II Corp. deb. Ser. B,
13 1/4s, 2006 3,207,706
....................................................................................................
3,660,000 Niagara Mohawk Power Corp. sr. disc.
notes stepped-coupon Ser. H, zero %
(8.5s, 7/1/03), 2010 (STP) 2,507,100
....................................................................................................
1,135,000 Niagara Mohawk Power Corp. sr. notes
Ser. G, 7 3/4s, 2008 1,162,819
....................................................................................................
436,000 North Atlantic Energy Corp. 1st mtge.
Ser. A, 9.05s, 2002 448,160
....................................................................................................
1,743,012 Northeast Utilities System notes Ser. A,
8.58s, 2006 1,794,274
....................................................................................................
5,700,000 Panda Global Energy Co. company
guaranty 12 1/2s, 2004 5,187,000
- ----------------------------------------------------------------------------------------------------
41,740,588
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (1.8%)
....................................................................................................
1,000,000 Celestica International Ltd. 144A sr. sub.
notes 10 1/2s, 2006 (Canada) 1,102,500
....................................................................................................
752,625 Cirent Semiconductor sr. sub. notes
10.22s, 2002 780,849
....................................................................................................
870,857 Cirent Semiconductor 144A sr. sub. notes
10.14s, 2004 905,691
....................................................................................................
915,000 Details Inc. sr. discount notes
stepped-coupon Ser. B, zero %
(12 1/2s, 11/15/02), 2007 (STP) 562,725
....................................................................................................
1,340,000 DII Group, Inc. (The) sr. sub. notes
8 1/2s, 2007 1,313,200
....................................................................................................
785,000 HCC Industries, Inc. company guaranty
10 3/4s, 2007 832,100
....................................................................................................
770,000 Moog, Inc. sr. sub. notes Ser. B, 10s, 2006 823,900
....................................................................................................
3,225,000 Motors and Gears Inc. sr. notes Ser. D,
10 3/4s, 2006 3,450,750
....................................................................................................
1,060,000 Samsung Electronics 144A company
guaranty 9 3/4s, 2003 975,200
....................................................................................................
1,260,000 Telecom Tech, Inc. 144A sr. sub. notes
9 3/4s, 2008 1,282,050
....................................................................................................
2,690,000 Viasystems, Inc. 144A sr. notes 9 3/4s, 2007 2,636,200
....................................................................................................
1,650,000 Viasystems, Inc. sr. sub notes 9 3/4s, 2007 1,716,000
....................................................................................................
2,315,000 Wavetek Corp. company guaranty
10 1/8s, 2007 2,338,150
....................................................................................................
3,200,000 Zilog Inc. 144A sr. notes 9 1/2s, 2005 2,272,000
- ----------------------------------------------------------------------------------------------------
20,991,315
- ----------------------------------------------------------------------------------------------------
Energy-Related (0.1%)
....................................................................................................
1,270,000 RAM Energy Inc. sr. notes 11 1/2s, 2008 1,289,050
- ----------------------------------------------------------------------------------------------------
Entertainment (0.6%)
....................................................................................................
2,150,000 Premier Parks, Inc.144A sr. disc. notes
stepped-coupon zero %,
(10s, 4/1/03), 2008 (STP) 1,424,375
....................................................................................................
2,450,000 Six Flags Corp. sr. notes 8 7/8s, 2006 2,474,500
....................................................................................................
1,500,000 Six Flags Corp. sr. sub. notes
stepped-coupon Ser. A, zero %
(12 1/4s, 6/15/00), 2005 (STP) 1,706,250
....................................................................................................
1,750,000 United Artists Theatre 144A sr. sub. notes
9 3/4s, 2008 1,745,625
- ----------------------------------------------------------------------------------------------------
7,350,750
- ----------------------------------------------------------------------------------------------------
Environmental Control (0.5%)
....................................................................................................
2,295,000 Allied Waste Industries, Inc. company
guaranty 10 1/4s, 2006 2,518,763
....................................................................................................
4,385,000 Allied Waste Industries, Inc. sr. disc.
notes stepped-coupon zero %
(11.3s, 6/1/02), 2007 (STP) 3,222,975
- ----------------------------------------------------------------------------------------------------
5,741,738
- ----------------------------------------------------------------------------------------------------
Financial Services (2.5%)
....................................................................................................
4,000,000 Aames Financial Corp. sr. notes 9 1/8s, 2003 4,000,000
....................................................................................................
1,550,000 Advanta Corp. company guaranty Ser. B,
8.99s, 2026 1,244,170
....................................................................................................
1,250,000 Advanta Corp. med. term notes Ser. B,
7s, 2001 1,172,000
....................................................................................................
1,500,000 Advanta Corp. med. term notes Ser. C,
7.02s, 1999 1,477,245
....................................................................................................
1,165,000 Colonial Capital II 144A company guaranty
8.92s, 2027 1,291,876
....................................................................................................
3,730,000 Delta Financial Corp. sr. notes 9 1/2s, 2004 3,692,700
....................................................................................................
1,010,000 Dine S.A. de C.V. 144A company guaranty
8 3/4s, 2007 (Mexico) 929,200
....................................................................................................
2,230,000 Imperial Credit Capital Trust I 144A
company guaranty 10 1/4s, 2002 2,252,300
....................................................................................................
1,655,000 Imperial Credit Industries, Inc. sr. notes
9 7/8s, 2007 1,646,725
....................................................................................................
1,275,000 Investors Capital Trust I company guaranty
Ser. B, 9.77s, 2027 1,453,500
....................................................................................................
830,000 Nationwide Credit Inc. 144A sr. notes
10 1/4s, 2008 834,150
....................................................................................................
2,090,000 Resource America Inc. 144A sr. notes
12s, 2004 2,236,300
....................................................................................................
2,000,000 Reliance Group Holdings, Inc. sr. notes
9s, 2000 2,088,500
....................................................................................................
2,250,000 SRI Receivables Purchase 144A notes
12 1/2s, 2000 2,373,750
....................................................................................................
1,350,000 Superior FInancial 144A sr. notes
8.65s, 2003 1,380,375
- ----------------------------------------------------------------------------------------------------
28,072,791
- ----------------------------------------------------------------------------------------------------
Food and Beverages (2.1%)
....................................................................................................
2,165,000 Ameriserve Food Co. company guaranty
10 1/8s, 2007 2,240,775
....................................................................................................
1,950,000 Ameriserve Food Co. company guaranty
8 7/8s, 2006 1,959,750
....................................................................................................
3,725,000 Aurora Foods, Inc. 144A ser. sub. notes
Ser. D, 9 7/8s, 2007 3,948,500
....................................................................................................
1,250,000 Aurora Foods, Inc. 144A sr. sub. notes
8 3/8s, 2006 1,250,000
....................................................................................................
1,320,000 Canandaigua Wine Co. sr. sub. notes
Ser. C, 8 3/4s, 2003 1,356,300
....................................................................................................
2,350,000 Eagle Family Foods 144A sr. sub. notes
8 3/4s, 2008 2,303,000
....................................................................................................
2,560,000 Fleming Companies, Inc. company guaranty
Ser. B, 10 5/8s, 2007 2,700,800
....................................................................................................
1,258,547 Imperial Holly Term Loan A 7.656s, 2003 1,252,254
....................................................................................................
1,217,659 Imperial Holly Term Loan B 7.906s, 2005 1,214,615
....................................................................................................
1,200,000 Nebco Evans Holding Co. sr. disc.
notes stepped-coupon zero %
(12 3/8s, 7/15/02), 2007 (STP) 816,000
....................................................................................................
1,600,000 RAB Enterprises, Inc. 144A sr. notes
10 1/2s, 2005 1,608,000
....................................................................................................
1,940,000 RAB Food Holdings, Inc. 144A sr. notes
13s, 2008 1,949,700
....................................................................................................
1,230,000 Windy Hill Pet Food Co. sr. sub. notes
9 3/4s, 2007 1,285,350
- ----------------------------------------------------------------------------------------------------
23,885,044
- ----------------------------------------------------------------------------------------------------
Gaming (3.8%)
....................................................................................................
1,220,000 Argosy Gaming Co. company guaranty
13 1/4s, 2004 1,369,450
....................................................................................................
2,650,000 Autotote Corp. company guaranty Ser. B,
10 7/8s, 2004 2,862,000
....................................................................................................
4,095,000 Coast Hotels & Casinos, Inc. company
guaranty Ser. B, 13s, 2002 4,739,962
....................................................................................................
5,061,328 Colorado Gaming & Entertainment Co.
sr. notes 12s, 2003 5,491,541
....................................................................................................
3,700,000 Fitzgeralds Gaming Corp. 144A company
guaranty 12 1/4s, 2004 3,589,000
....................................................................................................
4,570,000 Hollywood Casino Corp. sr. notes
12 3/4s, 2003 5,004,150
....................................................................................................
2,500,000 Isle of Capri Black Hawk LLC 144A
1st mortgage Ser. B, 13s, 2004 2,637,500
....................................................................................................
5,060,000 Lady Luck Gaming Corp. 1st mtge.
11 7/8s, 2001 5,249,750
....................................................................................................
3,451,000 Louisiana Casino Cruises Corp. 1st mtge.
11 1/2s, 1998 3,485,510
....................................................................................................
1,410,000 Penn National Gaming, Inc. 144A sr. notes
10 5/8s, 2004 1,480,500
....................................................................................................
4,230,000 Trump Castle Funding 144A sub. notes
10 1/4s, 2003 4,272,300
....................................................................................................
1,815,000 Trump Holdings & Funding Corp. sr. notes
15 1/2s, 2005 2,041,875
....................................................................................................
2,275,000 PRT Funding Corp. sr. notes 11 5/8s, 2004 (NON) 1,638,000
- ----------------------------------------------------------------------------------------------------
43,861,538
- ----------------------------------------------------------------------------------------------------
Health Care (3.3%)
....................................................................................................
5,070,000 Extendicare Health Services Inc. company
guaranty 9.35s, 2007 5,120,700
....................................................................................................
2,830,000 Fresenius Medical Capital Trust II company
guaranty 7 7/8s, 2008 2,780,475
....................................................................................................
1,870,000 Global Health Sciences 144A sr. notes
11s, 2008 1,846,625
....................................................................................................
2,160,000 Integrated Health Services, Inc. sr. sub.
notes Ser. A, 9 1/4s, 2008 2,243,700
....................................................................................................
2,370,000 Magellan Health Services, Inc. 144A
sr. sub. notes 9s, 2008 2,352,225
....................................................................................................
2,530,000 MedPartners, Inc. sr. notes 7 3/8s, 2006 2,267,639
....................................................................................................
3,780,000 Multicare Cos., Inc. sr. sub. notes 9s, 2007 3,742,200
....................................................................................................
2,815,000 NBTY Inc. 144A sr. sub. notes 8 5/8s, 2007 2,857,225
....................................................................................................
4,580,000 Paracelsus Healthcare sr. sub. notes
10s, 2006 4,534,200
....................................................................................................
1,130,000 Paragon Corp. Holdings Inc. 144A sr. notes
9 5/8s, 2008 1,017,000
....................................................................................................
5,720,000 Paragon Health Networks, Inc. sr. sub
notes stepped-coupon Ser. B, zero %
(10.5s, 11/1/02), 2007 (STP) 3,775,200
....................................................................................................
4,950,000 Sun Healthcare Group Inc. 144A sr. sub.
notes 9 1/2s, 2007 5,011,875
- ----------------------------------------------------------------------------------------------------
37,549,064
- ----------------------------------------------------------------------------------------------------
Lodging (0.1%)
....................................................................................................
1,560,000 Epic Resorts LLP 144A sr. notes 13s, 2005 1,560,000
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (1.5%)
....................................................................................................
2,885,000 ALARIS Medical Systems, Inc. company
guaranty 9 3/4s, 2006 2,978,763
....................................................................................................
2,650,000 Dade International, Inc. sr. sub. notes
Ser. B, 11 1/8s, 2006 2,994,500
....................................................................................................
2,748,000 Graphic Controls Corp. sr. sub. notes
Ser. A, 12s, 2005 3,050,280
....................................................................................................
425,000 Imagyn Medical Technologies company
guaranty 12 1/2s, 2004 148,750
....................................................................................................
1,275,000 Kinetic Concepts, Inc. company guaranty
Ser. B, 9 5/8s, 2007 1,290,938
....................................................................................................
2,790,000 Mediq, Inc. 144A sr. sub. notes 11s, 2008 2,859,750
....................................................................................................
3,636,000 Wright Medical Technology, Inc. 144A
notes Ser. C, 11 3/4s, 2000 3,599,640
- ----------------------------------------------------------------------------------------------------
16,922,621
- ----------------------------------------------------------------------------------------------------
Metals and Mining (0.5%)
....................................................................................................
3,020,000 Anker Coal Group, Inc. sr. notes Ser. B,
9 3/4s, 2007 2,718,000
....................................................................................................
1,270,000 Continental Global Group sr. notes Ser. B,
11s, 2007 1,320,800
....................................................................................................
1,560,000 WHX Corp. sr. notes 10 1/2s, 2005 1,563,900
- ----------------------------------------------------------------------------------------------------
5,602,700
- ----------------------------------------------------------------------------------------------------
Motion Picture Exibition (0.4%)
....................................................................................................
2,125,000 AMC Entertainment, Inc. sr. sub. notes
9 1/2s, 2009 2,146,250
....................................................................................................
1,305,000 Cinemark USA, Inc. sr. sub. notes
9 5/8s, 2008 1,344,150
....................................................................................................
630,000 Tri State Media, Inc. 144A sr. sub. notes
11s, 2008 640,238
- ----------------------------------------------------------------------------------------------------
4,130,638
- ----------------------------------------------------------------------------------------------------
Office Equipment (0.3%)
....................................................................................................
1,098,000 United Stationer Supply, Inc. sr. sub. notes
12 3/4s, 2005 1,251,720
....................................................................................................
2,640,000 U.S. Office Products Co. 144A sr. sub
notes 9 3/4s, 2008 2,659,800
- ----------------------------------------------------------------------------------------------------
3,911,520
- ----------------------------------------------------------------------------------------------------
Oil and Gas (4.4%)
....................................................................................................
5,670,000 Abraxas Petrolem Corp. 144A
11 1/2s, 2004 5,868,450
....................................................................................................
3,210,000 Chesapeake Energy Corp. 144A sr. notes
9 5/8s, 2005 3,218,025
....................................................................................................
1,310,000 Coho Energy, Inc. sr. sub. notes 8 7/8s, 2007 1,234,675
....................................................................................................
2,595,000 Costilla Energy, Inc. sr. notes 10 1/4s, 2006 2,633,925
....................................................................................................
1,620,000 Dailey Petroleum Services Corp. company
guaranty 9 1/2s, 2008 1,583,550
....................................................................................................
1,250,000 Gothic Production 144A sr. notes
11 1/8s, 2005 1,200,000
....................................................................................................
1,430,000 Michael Ptroleum Corp. 144A sr. notes
11 1/2s, 2005 1,430,000
....................................................................................................
1,770,000 Northern Offshore 144A company
guaranty 10s, 2007 1,734,600
....................................................................................................
1,880,000 Panaco, Inc. company guaranty Ser. B,
10 5/8s, 2004 1,870,600
....................................................................................................
810,000 Seven Seas Petroleum 144A sub. notes
12 1/2s, 2005 810,000
....................................................................................................
850,000 Southwest Royalties, Inc. company
guaranty 10 1/2s, 2004 714,000
....................................................................................................
27,430,000 Transamerican Energy sr. disc. notes
stepped-coupon Ser. B, zero %
(13s, 6/15/99), 2002 (STP) 22,492,600
....................................................................................................
2,310,000 Transamerican Energy sr. notes Ser. B,
11 1/2s, 2002 2,125,200
....................................................................................................
3,494,000 TransTexas Gas Corp. sr. sub. notes
Ser. D, 13 3/4s, 2001 3,843,400
- ----------------------------------------------------------------------------------------------------
50,759,025
- ----------------------------------------------------------------------------------------------------
Packaging and Containers (1.0%)
....................................................................................................
1,165,000 Radnor Holdings Corp. company guaranty
10s, 2003 1,211,600
....................................................................................................
590,000 Radnor Holdings Inc. sr. notes 10s, 2003 613,600
....................................................................................................
3,300,000 Riverwood International company guaranty
10 7/8s, 2008 3,361,875
....................................................................................................
3,360,000 Riverwood International company guaranty
10 1/4s, 2006 3,427,200
....................................................................................................
3,230,000 Vicap SA. 144A company guaranty
11 3/8s, 2007 (Mexico) 3,310,750
- ----------------------------------------------------------------------------------------------------
11,925,025
- ----------------------------------------------------------------------------------------------------
Paging (0.5%)
....................................................................................................
2,000,000 Metrocall, Inc. sr. sub. notes 9 3/4s, 2007 2,040,000
....................................................................................................
2,050,000 Mobile Telecommunications Tech. sr. notes
13 1/2s, 2002 2,347,250
....................................................................................................
1,300,000 Paging Network Do Brasil sr. notes
13 1/2s, 2005 (Brazil) 1,144,000
- ----------------------------------------------------------------------------------------------------
5,531,250
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (2.2%)
....................................................................................................
2,290,000 Alabama River Newsprint Bank Loan
7 1/2s, 2002 2,106,800
....................................................................................................
2,350,000 APP Finance II Mauritius Ltd. bonds
stepped-coupon 12s, (16s, 2/15/04),
2049 (Indonesia) (STP) 1,645,000
....................................................................................................
190,000 APP International Finance Co. notes
11 3/4s, 2005 (Netherlands) 169,100
....................................................................................................
1,075,000 Florida Coast Paper LLC 1st mtge.
Ser. B, 12 3/4s, 2003 1,204,000
....................................................................................................
6,980,000 Indah Kiat Financial Mauritius Ltd.
company guaranty 10s, 2007 (Indonesia) 4,955,800
....................................................................................................
5,250,000 Pindo Deli Finance Mauritius Ltd. company
guaranty 10 3/4s, 2007 (Indonesia) 3,675,000
....................................................................................................
5,180,000 PT Pabrik Kertas Tjiwi Kimia company
guaranty 10s, 2004 (Indonesia) 3,626,000
....................................................................................................
5,315,000 Repap New Brunswick sr. notes 10 5/8s,
2005 (Canada) 5,368,150
....................................................................................................
995,000 Repap New Brunswick 144A sr. notes
9s, 2004 (Canada) 999,975
....................................................................................................
1,275,000 Stone Container Corp. sr. notes
12.58s, 2016 1,437,562
- ----------------------------------------------------------------------------------------------------
25,187,387
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (0.5%)
....................................................................................................
3,940,000 ICN Pharmaceuticals, Inc. 144A sr. notes
9 1/4s, 2005 4,196,100
....................................................................................................
1,680,000 PharMerica, Inc. 144A sr. sub. notes
8 3/8s, 2008 1,684,200
- ----------------------------------------------------------------------------------------------------
5,880,300
- ----------------------------------------------------------------------------------------------------
Photography (--%)
....................................................................................................
650,000 Panavision Inc. 144A sr. disc. notes
stepped-coupon zero % (9 5/8s, 2/1/02),
2006 (STP) 468,000
- ----------------------------------------------------------------------------------------------------
Publishing (1.1%)
....................................................................................................
2,295,000 Affinity Group Holdings sr. notes 11s, 2007 2,455,650
....................................................................................................
4,750,000 American Media Operation, Inc. sr. sub.
notes 11 5/8s, 2004 5,130,000
....................................................................................................
2,775,000 Perry-Judd 144A sr. sub. notes 10 5/8s, 2007 2,899,875
....................................................................................................
1,505,000 Von Hoffman Press Inc. 144A sr. sub. notes
10 3/8s, 2007 1,587,775
- ----------------------------------------------------------------------------------------------------
12,073,300
- ----------------------------------------------------------------------------------------------------
Railroads (0.3%)
....................................................................................................
2,105,000 TFM S.A. de C.V. company guaranty
10 1/4s, 2007 (Mexico) 2,131,312
....................................................................................................
2,545,000 TFM S.A. de C.V. company guaranty
stepped-coupon zero %, (11 3/4s,
6/15/02), 2009 (Mexico) (STP) 1,698,788
- ----------------------------------------------------------------------------------------------------
3,830,100
- ----------------------------------------------------------------------------------------------------
Real Estate (0.2%)
....................................................................................................
380,000 Bluegreen Corp. 144A sr. notes
10 1/2s, 2008 374,300
....................................................................................................
2,000,000 Patriot American Hospital Term Loan
8 18s, 2003 2,000,000
- ----------------------------------------------------------------------------------------------------
2,374,300
- ----------------------------------------------------------------------------------------------------
Restaurants (0.1%)
....................................................................................................
1,000,000 FRD Acquisition Co. sr. notes Ser. B,
12 1/2s, 2004 1,095,000
- ----------------------------------------------------------------------------------------------------
Retail (1.1%)
....................................................................................................
4,260,000 Amazon.com Inc. 144A sr. disc. notes
stepped-coupon zero % (10s, 5/1/03),
2008 (STP) 2,619,900
....................................................................................................
930,000 Color Spot Nurseries sr. sub. notes
10 1/2s, 2007 874,200
....................................................................................................
880,000 Home Interiors & Gifts, Inc. 144A sr. sub.
notes 10 1/8s, 2008 899,800
....................................................................................................
4,000,000 K mart Corp. pass-thru certificates
Ser. 95K4, 9.35s, 2020 4,355,600
....................................................................................................
2,035,000 Mothers Work, Inc. sr. notes 12 5/8s, 2005 2,223,238
....................................................................................................
1,750,000 William Carter Co. sr. sub. notes Ser. A,
10 3/8s, 2006 1,855,000
- ----------------------------------------------------------------------------------------------------
12,827,738
- ----------------------------------------------------------------------------------------------------
Satellite Services (1.2%)
....................................................................................................
4,350,000 Echostar Satellite Broadcast Corp. sr. disc.
notes stepped-coupon zero %
(13 1/8s, 3/15/00), 2004 (STP) 3,996,562
....................................................................................................
3,975,000 Iridium LLC/Capital Corp. company
guaranty Ser. B, 14s, 2005 4,412,250
....................................................................................................
2,300,000 Primestar Bank Loan 10.4023s, 2008 2,277,000
....................................................................................................
1,240,000 TCI Satellite Entertainment, Inc. sr. sub.
notes 10 7/8s, 2007 1,240,000
....................................................................................................
2,190,000 TCI Satellite Entertainment, Inc. sr. disc.
notes stepped-coupon zero %
(12 1/4s, 2/102), 2007 (STP) 1,478,250
- ----------------------------------------------------------------------------------------------------
13,404,062
- ----------------------------------------------------------------------------------------------------
Semiconductors (0.6%)
....................................................................................................
3,040,000 Fairchild Semiconductor Corp. sr. sub.
notes 10 1/8s, 2007 3,131,200
....................................................................................................
3,305,000 Fairchild Semiconductor Corp. 144A
sr. sub. notes 11.74s, 2008 3,784,225
- ----------------------------------------------------------------------------------------------------
6,915,425
- ----------------------------------------------------------------------------------------------------
Steel (0.3%)
....................................................................................................
510,000 Acindar Industria Argentina de Aceros
S.A. bonds 11 1/4s, 2004 (Argentina) 511,275
....................................................................................................
2,750,000 Hylsa S.A. de C.V. 144A bonds 9 1/4s,
2007 (Mexico) 2,557,500
- ----------------------------------------------------------------------------------------------------
3,068,775
- ----------------------------------------------------------------------------------------------------
Telecommunications (8.2%)
....................................................................................................
3,200,000 Barak I.T.C. sr. disc. notes stepped-coupon
Ser. B, zero % (12 1/2s, 11/15/02), 2007 (STP) 1,920,000
....................................................................................................
675,000 Consorcio Ecuatoiano notes 14s,
2002 (Ecuador) 641,250
....................................................................................................
4,700,000 Econophone Inc. company guaranty
13 1/2s, 2007 5,405,000
....................................................................................................
490,000 Econophone, Inc. 144A notes
stepped-coupon zero % (11s, 2/15/03),
2008 (STP) 284,200
....................................................................................................
1,345,000 Esat Holdings Ltd. 144A sr. notes
stepped-coupon zero % (12 1/2s,
2/01/02), 2007 (Ireland) (STP) 988,575
....................................................................................................
1,190,000 Esprit Teleom Group PLC sr. notes
11 1/2s, 2007 (United Kingdom) 1,261,400
....................................................................................................
1,370,000 Facilicom International 144A sr. notes
10 1/2s, 2008 1,342,600
....................................................................................................
4,875,000 Flag Ltd. 144A sr. notes 8 1/4s,
2008 (Bermuda) 4,911,563
....................................................................................................
4,040,000 Focal Communications Corp. 144A
sr. disc. notes stepped-coupon zero %
(12 1/8s, 2/15/03), 2008 (STP) 2,424,000
....................................................................................................
9,720,000 Global Crossing Holdings 144A sr. notes
9 5/8s, 2008 10,133,100
....................................................................................................
2,355,000 GST Equipment Funding sr. notes
13 1/4s, 2007 2,690,588
....................................................................................................
5,996,000 GST Telecommunications, Inc. company
guaranty stepped-coupon zero %
(13 7/8s, 15/15/00), 2005 (STP) 4,856,760
....................................................................................................
2,600,000 GST Telecommunications, Inc. 144A
sr. disc. notes stepped-coupon zero %
(10 1/2s, 5/1/03), 2008 (STP) 1,560,000
....................................................................................................
1,340,000 Hermes Europe Railtel sr. notes
11 1/2s, 2007 1,514,200
....................................................................................................
2,895,000 Hyperion Telecommunications , Inc.
sr. notes Ser. B, 12 1/4s, 2004 3,126,600
....................................................................................................
2,925,000 ICG Holdings, Inc. sr. disc. notes
stepped-coupon zero %
(13 1/2s, 9/15/00), 2005 (STP) 2,500,875
....................................................................................................
5,000,000 Intermedia Communications, Inc. sr. disc.
notes stepped-coupon Ser. B, zero %
(11 1/4s, 7/15/02), 2007 (STP) 3,650,000
....................................................................................................
3,960,000 Intermedia Communications, Inc. 144A
sr. notes 8.6s, 2008 3,989,700
....................................................................................................
1,630,000 Ionica Group PLC sr. notes 13 1/2s, 2006
(United Kingdom) 1,043,200
....................................................................................................
4,460,000 IPC Information Systems sr. disc. notes
stepped-coupon zero %
(10 7/8s, 11/1/01), 2008 (STP) 3,255,800
....................................................................................................
2,590,000 IXC Communications, Inc. 144A sr. sub.
notes 9s, 2008 2,602,950
....................................................................................................
765,000 MetroNet Communications 12s, 2007 879,750
....................................................................................................
1,030,000 MetroNet Communications Corp. sr. disc.
notes stepped-coupon zero %
(10 3/4s, 11/1/02), 2007 (Canada) (STP) 684,950
....................................................................................................
1,350,000 Microcell Telecommunications sr. disc.
notes stepped-coupon Ser. B, zero %
(14s, 12/1/01), 2006 (Canada) (STP) 1,009,125
....................................................................................................
430,000 Netia Holdings B.V. 144A company
guaranty stepped-coupon zero %
(11 1/4s, 11/1/02), 2007 (Poland) (STP) 291,325
....................................................................................................
755,000 Netia Holdings B.V. 144A company
guaranty 10 1/4s, 2007 (Poland) 722,912
....................................................................................................
1,610,000 Primus Telecom Group 144A sr. notes
9 7/8s, 2008 1,577,800
....................................................................................................
2,440,000 Qwest Communications International Inc.
sr. disc. notes stepped-coupon zero %
(9.47s, 10/15/02), 2007 (STP) 1,830,000
....................................................................................................
1,000,000 Telesystem International Wireless Inc.
sr. disc. notes stepped-coupon Ser. C,
zero %, (10 1/2s, 11/1/02), 2007 (STP) 592,500
....................................................................................................
8,870,000 Teligent, Inc. 144A sr. disc. notes
stepped-coupon zero %
(11 1/2s, 3/1/03), 2008 (STP) 4,900,675
....................................................................................................
2,750,000 Teligent, Inc. sr. notes 11 1/2s, 2007 2,784,375
....................................................................................................
1,972,000 USN Communications, Inc. sr. disc. notes
stepped-coupon Ser. B, zero %
(14 5/8s, 8/15/00), 2004 (STP) 1,459,280
....................................................................................................
990,000 Vialog Corp. company guaranty
12 3/4s, 2001 1,019,700
....................................................................................................
5,370,000 Winstar Communications, Inc. sr. sub.
notes 15s, 2007 7,061,550
....................................................................................................
7,800,000 Winstar Communications. Inc. 144A
sr. sub. notes 11s, 2008 7,741,500
....................................................................................................
1,295,000 Winstar Equipment Corp. company
guaranty 12 1/2s, 2004 1,476,300
- ----------------------------------------------------------------------------------------------------
94,134,103
- ----------------------------------------------------------------------------------------------------
Telephone Services (4.8%)
....................................................................................................
4,160,000 Allegiance Telecom, Inc. sr. disc. notes
stepped-coupon Ser. B, zero %
(11 3/4s, 2/15/03), 2008 (STP) 2,215,200
....................................................................................................
3,360,000 BTI Telecom Corp. sr. notes 10 1/2s, 2007 3,376,800
....................................................................................................
8,805,000 Colt Telecommunications Group PLC
sr. disc. notes stepped-coupon zero %,
(12s, 12/15/01), 2006 (United Kingdom) (STP) 6,955,950
....................................................................................................
3,360,000 Dobson Wireline Co. 144A sr. notes
12 1/4s, 2008 3,393,600
....................................................................................................
3,165,000 E. Spire Communications, Inc. sr. disc.
notes stepped-coupon zero %
(12 3/4s, 4/1/01), 2006 (STP) 2,484,525
....................................................................................................
1,305,000 E. Spire Communications, Inc. sr. notes
13 3/4s, 2007 1,487,700
....................................................................................................
3,750,000 Intermedia Communications, Inc. sr. notes
Ser. B, 8 1/2s, 2008 3,759,375
....................................................................................................
4,000,000 Ionica Group PLC sr. disc. notes
stepped-coupon zero % (15s, 5/1/02),
2007 (United Kingdom) (STP) 840,000
....................................................................................................
9,050,000 ICG Services Inc. 144A sr. disc. notes
stepped-coupon zero % (10s, 2/15/03),
2008 (STP) 5,384,750
....................................................................................................
5,690,000 ICG Services, Inc. 144A sr. discount notes
stepped-coupon zero % (9 7/8s, 5/1/03),
2008 (STP) 3,520,688
....................................................................................................
3,609,000 ITC Deltacom, Inc. sr. notes 11s, 2007 4,042,080
....................................................................................................
550,000 Level 3 Communication, Inc. 144A
sr. notes 9 1/8s, 2008 534,875
....................................................................................................
3,770,000 MetroNet Communications Corp. 144A
sr. disc. notes stepped-coupon zero %
(9.95s, 6/15/03), 2008 (STP) 2,332,688
....................................................................................................
500,000 MGC communications, Inc. sr. notes
Ser. B, 13s, 2004 505,000
....................................................................................................
830,000 MJD Communications Inc. 144A FRN
10s, 2008 838,300
....................................................................................................
770,000 MJD Communications Inc. 144A sr. sub.
notes 9 1/2s, 2008 787,325
....................................................................................................
640,000 NEXTLINK Communications, Inc. 144A
sr. disc. notes stepped-coupon zero %,
(9.45s, 4/15/03), 2008 (STP) 393,600
....................................................................................................
1,310,000 RSL Communications, Ltd. company
guaranty 12 1/4s, 2006 1,275,612
....................................................................................................
5,075,000 RSL Communications, Ltd. company
guaranty 12 1/4s, 2006 5,734,750
....................................................................................................
1,970,000 RSL Communications, Ltd. 144A sr. disc.
notes stepped-coupon zero %
(10 1/8s, 3/1/03) 2008 1,162,300
....................................................................................................
1,865,000 Transtel S.A. 144A pass through certificates
12 1/2s, 2007 (Colombia) 1,697,150
....................................................................................................
1,550,000 WorldCom, Inc. bonds 7 3/4s, 2027 1,730,389
- ----------------------------------------------------------------------------------------------------
54,452,657
- ----------------------------------------------------------------------------------------------------
Textiles (0.5%)
....................................................................................................
1,630,000 Polymer Group, Inc. company guaranty
Ser. B, 9s, 2007 1,646,300
....................................................................................................
1,190,000 Polymer Group, Inc. 144A sr. sub.notes
8 3/4s, 2008 1,187,025
....................................................................................................
1,510,000 Polysindo Inernational Eka company
guaranty 13s, 2001 (Indonesia) 573,800
....................................................................................................
3,000,000 Polysindo International Finance company
guaranty 11 3/8s, 2006 (Indonesia) 1,020,000
....................................................................................................
2,000,000 PT Polysindo Eka Perkasa notes
12.031s, 1998 (Indonesia) 1,000,000
- ----------------------------------------------------------------------------------------------------
5,427,125
- ----------------------------------------------------------------------------------------------------
Transportation (0.8%)
....................................................................................................
4,100,000 GS Superhighway Holdings sr. notes
9 7/8s, 2004 3,485,000
....................................................................................................
5,380,000 Kitty Hawk, Inc. company guaranty
9.95s, 2004 5,662,450
- ----------------------------------------------------------------------------------------------------
9,147,450
- ----------------------------------------------------------------------------------------------------
Trucking (0.2%)
....................................................................................................
1,590,000 Johnstown America Industries, Inc.
company guaranty Ser. C, 11 3/4s, 2005 1,760,925
....................................................................................................
750,000 Johnstown America Industries, Inc. sr. sub.
notes 11 3/4s, 2005 830,625
- ----------------------------------------------------------------------------------------------------
2,591,550
- ----------------------------------------------------------------------------------------------------
Utilities (0.4%)
....................................................................................................
1,800,000 CMS Energy Corp. pass through
certificates 7s, 2005 1,757,268
....................................................................................................
3,450,000 Cathay International Ltd. 144A sr. notes
13s, 2008 3,053,250
....................................................................................................
270,000 Telefonica de Argentina S.A. ADR
9 1/8s, 2008 258,525
- ----------------------------------------------------------------------------------------------------
5,069,043
- ----------------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $875,803,014) $898,618,621
- ----------------------------------------------------------------------------------------------------
PREFERRED STOCKS (8.8%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
Apparel (--%)
....................................................................................................
468 Anvil Holdings Ser. B, $3.25 pfd. (PIK) $11,466
- ----------------------------------------------------------------------------------------------------
Banks (0.9%)
....................................................................................................
230,000 California Federal Bancorp Inc. Ser. A,
$2.281 pfd. 6,238,750
....................................................................................................
56,820 Chevy Chase Capital Corp. Ser. A,
$5.188 pfd. 3,153,510
....................................................................................................
20,000 Chevy Chase Savings Bank $3.25 pfd. 620,000
- ----------------------------------------------------------------------------------------------------
10,012,260
- ----------------------------------------------------------------------------------------------------
Broadcasting (2.0%)
....................................................................................................
25,871 Capstar Broadcasting Inc. 144A
$12.00 pfd. (PIK) 2,936,359
....................................................................................................
20,298 Citadel Broadcasting Inc. 144A
$13.25 cum. pfd. (PIK) 2,395,164
....................................................................................................
3,285 Granite Broadcasting 144A $12.75 pfd. (PIK) 3,843,450
....................................................................................................
369 Paxson Communications Corp. 144A
13.25% pfd. (PIK) 3,690,000
....................................................................................................
25,940 SFX Broadcasting, Inc. Ser. E, $12.625 pfd. (PI 3,086,860
....................................................................................................
12,500 Sinclair Capital $11.625 cum. pfd. 1,365,625
....................................................................................................
5,178 Spanish Broadcasting Systems
$14.25 cum. pfd. 5,488,680
- ----------------------------------------------------------------------------------------------------
22,806,138
- ----------------------------------------------------------------------------------------------------
Building and Construction (0.1%)
....................................................................................................
21,620 Brand Scaffold Services, Inc. 144A
$3.625 cum. pfd. 789,130
- ----------------------------------------------------------------------------------------------------
Cable Television (0.6%)
....................................................................................................
57,994 CSC Holdings, Inc. Ser. M, $11.125 cum. (PIK) 6,669,310
- ----------------------------------------------------------------------------------------------------
Cellular Communications (0.2%)
....................................................................................................
2,377 NEXTEL Communications, Inc. 144A
Ser. E, $11.125 pfd. (PIK) 2,460,195
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (0.1%)
....................................................................................................
1,170 Concentric Network Corp. 144A
$13.50 pfd. (PIK) 1,164,150
- ----------------------------------------------------------------------------------------------------
Electric Utilities (0.1%)
....................................................................................................
23,997 Public Service Co. of New Hampshire
$2.65 1st mtge. pfd. 635,921
- ----------------------------------------------------------------------------------------------------
Financial Services (0.1%)
....................................................................................................
790,000 CSBI Capital Trust I 144A $11.75 pfd. 845,300
- ----------------------------------------------------------------------------------------------------
Food and Beverages (0.1%)
....................................................................................................
16,732 Nebco Evans Holding Co. 144A
11.25% pfd. 1,706,664
- ----------------------------------------------------------------------------------------------------
Health Care (0.2%)
....................................................................................................
2,405,000 Fresenius Medical Care AG Ser. D,
$9.00 pfd. (Germany) 2,507,213
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (0.3%)
....................................................................................................
122,819 CGA Group Ltd. 144A Ser. A, $13.75 pfd. (PIK) 3,438,932
- ----------------------------------------------------------------------------------------------------
Motion Picture Distribution (0.1%)
....................................................................................................
45,835 Diva Systems Corp. Ser. C, $6.00 pfd. 733,360
- ----------------------------------------------------------------------------------------------------
Publishing (--%)
....................................................................................................
16,175 Von Hoffman Corp. 144A $13.50 pfd. 533,775
- ----------------------------------------------------------------------------------------------------
Restaurants (0.1%)
....................................................................................................
36,318 AmeriKing, Inc. $3.25 pfd. (PIK) 980,586
- ----------------------------------------------------------------------------------------------------
Satellite Services (0.1%)
....................................................................................................
761 Echostar Communications, Inc. $12.125 pfd. 844,710
- ----------------------------------------------------------------------------------------------------
Supermarkets (0.1%)
....................................................................................................
8,410 Jitney-Jungle Stores 144A Ser. A, $4.95
sr. exchange pfd. 1,370,830
- ----------------------------------------------------------------------------------------------------
Telecommunications (3.7%)
....................................................................................................
200 21st Century Telecom Group
144A 12.25% (PIK) 202,000
....................................................................................................
755 E. Spire Communications, Inc.
12.25% pfd. (PIK) 821,063
....................................................................................................
7,636 ICG Holdings, Inc. $14.00 pfd. (Canada) (PIK) 9,239,560
....................................................................................................
3,189 ICG Holdings, Inc. $14.25 pfd. (Canada) 3,874,635
....................................................................................................
4,584 Intermedia Communications Ser. B,
13.50% pfd. 5,409,120
....................................................................................................
3,760 IXC Communications, Inc. $12.50 pfd. (PIK) 4,361,600
....................................................................................................
9,061 NEXTEL Communications, Inc. Ser. D,
$13.00 cum. pfd. (PIK) 10,306,888
....................................................................................................
94,554 Nextlink Communications, Inc. 144A
$7.00 pfd. 5,602,325
....................................................................................................
2,990 WinStar Communications, Inc. 144A
$14.25 pfd. 3,558,100
- ----------------------------------------------------------------------------------------------------
43,375,291
- ----------------------------------------------------------------------------------------------------
Total Preferred Stocks
(cost $91,691,436) $100,885,231
- ----------------------------------------------------------------------------------------------------
UNITS (5.8%) *
- ----------------------------------------------------------------------------------------------------
Number of Units Value
....................................................................................................
1,770,000 American Mobile Satellite Corp. 144A
units 12 1/4s, 2008 $1,646,100
....................................................................................................
990,000 Bell Tech Ltd. 144A units 13s, 2005 999,900
....................................................................................................
1,680,000 Bestel S.A. de C.V. units, stepped-coupon
zero % (12 3/4s,5/15/03), 2005 (STP) 1,134,000
....................................................................................................
1,550,000 Birch Telecom Inc., 144A units 14s, 2008 1,551,938
....................................................................................................
273,000 Celcaribe S.A. 144A units 13 1/2s, 2004
(Columbia) 5,773,950
....................................................................................................
1,840,000 Conecel Holdings 144A notes Ser. A,
14s, 2000 1,748,000
....................................................................................................
2,175,000 Club Regina/CS Resort, Inc. 144A units
13s, 2004 2,316,375
....................................................................................................
6,910,000 Covad Communications Group 144A
units, stepped-coupon zero %
(13 1/2s, 3/15/03), 2008 (STP) 3,524,100
....................................................................................................
6,117,000 Diva Systems Corp. 144A units
stepped-coupon zero % (12 5/8s, 3/1/03),
2008 (STP) 2,874,990
....................................................................................................
7,680,000 DTI Holdings Inc. units stepped-coupon
zero % (12 1/2s, 3/1/03), 2008 (STP) 4,147,200
....................................................................................................
6,930,000 Firstworld Communication units
stepped-coupon zero % (13s,4/15/03),
2008 (STP) 3,083,850
....................................................................................................
6,794,000 KMC Telecom Holdings, Inc. units
stepped-coupon zero % (12 1/2s,
2/15/03), 2008 (STP) 4,059,415
....................................................................................................
4,440,000 Long Distance International Inc. 144A
units 12 1/4s, 2008 4,517,700
....................................................................................................
2,430,000 Mediq 144A units, stepped-coupon
zero % (13s, 6/1/09), 2009 (STP) 1,336,500
....................................................................................................
970,000 Onepoint Communications, Inc. units
14 1/2s, 2008 911,800
....................................................................................................
1,990 Orbital Imaging Corp. 144A sr. notes
11 5/8s, 2005 2,049,700
....................................................................................................
3,170,000 Pathnet, Inc. 144A units 12 1/4s, 2008 3,360,200
....................................................................................................
4,620,000 Rhythms Netcon 144A units
stepped-coupon zero % (13 1/2s,
5/15/03), 2008 (STP) 2,263,800
....................................................................................................
1,790,000 Startec Global Communications Corp.
units 12s, 2008 1,740,775
....................................................................................................
1,305,000 Stone Container Corp. units sr. sub.
12 1/4s, 2002 1,350,675
....................................................................................................
2,580,000 Transam Refinance, Inc. 144A units
16s, 2003 2,657,400
....................................................................................................
1,770,000 Versatel Teleco units 13 1/4s, 2008 1,858,500
....................................................................................................
3,610,000 Viatel, Inc., 144A units 11 1/4s, 2008 3,790,500
....................................................................................................
3,500,000 Viatel, Inc. units, stepped-coupon zero %
(12 1/2s, 4/15/03), 2008 (STP) 2,117,500
....................................................................................................
1,520,000 WAM!NET, Inc. 144A units
stepped-coupon zero % (13 1/4s,
3/1/02), 2005 (STP) 957,600
....................................................................................................
1,970,000 Wireless One, Inc. units stepped-coupon
zero %, (13 1/2s, 8/1/01), 2006 (STP) 197,000
....................................................................................................
2,695,000 XCL Ltd 144A units 13 1/2s, 2004 3,045,350
....................................................................................................
13,850 XCL Ltd. 144A units cum. cv. pfd.
9 1/2s, 2006 (PIK) 1,495,800
- ----------------------------------------------------------------------------------------------------
Total Units (cost $80,128,240) $66,510,618
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (1.8%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$6,965,000 APP Global Finance (V) Ltd. 144A
cv. sec. 2s, 2000 (United Kingdom) $6,094,375
....................................................................................................
930,000 APP Global Finance Ltd. 144A cv.
company guaranty 3 1/2s, 2003 737,025
....................................................................................................
665,000 Argosy Gaming cv. sub. notes 12s, 2001 660,012
....................................................................................................
3,500,000 Corporate Express, Inc. cv. notes
4 1/2s, 2000 3,220,000
....................................................................................................
652,000 GST Telecommunications, Inc. cv. sr. disc.
notes stepped-coupon zero %
(13 7/8s, 12/15/00), 2005 (STP) 1,036,680
....................................................................................................
1,030,000 Integrated Device Technology, Inc. cv.
sub. notes 5 1/2s, 2002 849,750
....................................................................................................
1,140,000 Jacor Communications, Inc. cv. sr. notes
zero %, 2011 947,625
....................................................................................................
1,000,000 Lam Research Corp. 5s, 2002 805,000
....................................................................................................
900,000 LAM Research Corp. 144A cv. sub. notes
5s, 2002 724,500
....................................................................................................
700,000 National Semiconductor Corp. 144A
cv. deb. 6 1/2s, 2002 638,750
....................................................................................................
4,000,000 NovaCare, Inc. cv. sub. deb. 5 1/2s, 2000 3,810,000
....................................................................................................
2,000,000 Plolymax 144A cv. notes 2s, 2006 1,070,000
- ----------------------------------------------------------------------------------------------------
Total Convertible Bonds and Notes
(cost $21,823,037) $20,593,717
- ----------------------------------------------------------------------------------------------------
COMMON STOCKS (1.0%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
68,030 American Mobile Satellite Corp. (NON) $663,292
....................................................................................................
750 AmeriKing, Inc. (NON) 39,000
....................................................................................................
4,275 Axia Holding Inc. 144A (NON) 342,000
....................................................................................................
50,680 CellNet Data Systems, Inc. (NON) 490,962
....................................................................................................
162,600 Celcaribe S.A. 144A 1,105,680
....................................................................................................
16,000 French Fragrances Inc. (NON) 250,000
....................................................................................................
20,016 Hedstrom Holdings, Inc. 144A 25,020
....................................................................................................
99,875 NBTY, Inc. 1,835,202
....................................................................................................
146,466 NEXTEL Communications, Inc. Class A (NON) 3,643,342
....................................................................................................
1,500 Paging Do Brazil Holdings Co., LLC 144A
Class B 15
....................................................................................................
665 Premium Holdings (L.P.) 144A (NON) 2,659
....................................................................................................
157,853 PSF Holdings LLC (acquired various
dates from 2/8/93 to 4/3/95
cost $5,779,844) (RES) 2,765,584
....................................................................................................
50,000 PsiNet, Inc. (NON) 650,000
....................................................................................................
15,000 Specialty Foods Acquisition Corp. (NON) 1,500
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $13,128,603) $11,814,256
- ----------------------------------------------------------------------------------------------------
WARRANTS (0.7%) *(NON)
- ----------------------------------------------------------------------------------------------------
Number of Warrants Expiration Date Value
....................................................................................................
200 21st Century Telecom
Group 144A 2/14/06 $18,000
....................................................................................................
4,160 Allegiance Telecom, Inc. 2/2/04 10,400
....................................................................................................
40,000 Becker Gaming Corp. 144A 11/14/16 400
....................................................................................................
8,867 Cellnet Data Systems, Inc. 9/14/03 496,552
....................................................................................................
122,500 CGA Group Ltd. 144A 6/15/03 2,450
....................................................................................................
8,805 Colt Telecommunications
Group PLC 12/30/02 2,201,250
....................................................................................................
660 Concentric Network Corp.
144A 12/14/03 89,100
....................................................................................................
24,840 Consorcio Ecuatoriano 144A
(Equador) 9/30/96 12,420
....................................................................................................
2,725 County Seat Holdings, Inc. 10/14/94 55
....................................................................................................
2,145 Diva Systems Corp. 5/14/02 686,400
....................................................................................................
30 E. Spire Communications, Inc.
144A 10/31/01 4,530
....................................................................................................
4,700 Econophone Inc. 1/3/96 282,000
....................................................................................................
1,560 Epic Resorts 6/14/01 16
....................................................................................................
1,345 Esat Holdings, Inc. (Ireland) 9/8/95 47,075
....................................................................................................
1,890 Globalstar Telecom 144A 2/14/00 207,900
....................................................................................................
2,799 Grand Union Co. 6/16/00 28
....................................................................................................
1,399 Grand Union Co. 6/15/96 14
....................................................................................................
4,735 Hyperion Telecommunications 4/14/97 459,295
....................................................................................................
24,750 Intelcom Group 144A 10/15/05 792,000
....................................................................................................
2,590 Interact Systems, Inc. 8/1/03 648
....................................................................................................
3,240 Intermedia Communications 5/31/96 502,200
....................................................................................................
1,360 International Wireless
Communications Holdings 144A 8/15/01 1,360
....................................................................................................
1,500 Iridium World Com 144A 7/15/05 322,500
....................................................................................................
6,100 Knology Holdings, Inc. 144A 10/14/03 9,150
....................................................................................................
6,789 Louisiana Casino Cruises, Inc.
144A 11/30/94 359,816
....................................................................................................
6,920 McCaw International Ltd. 4/15/07 17,300
....................................................................................................
765 Metronet Communications 144A 8/15/07 30,600
....................................................................................................
500 MGC Communications, Inc. 144A 9/30/00 30,000
....................................................................................................
3,086 NEXTEL Communications Inc. 12/14/94 31
....................................................................................................
1,990 Orbital Imaging Corp. 144A 2/28/01 89,550
....................................................................................................
3,895 Orion Network Systems 1/14/03 46,740
....................................................................................................
7,130 Pagemart, Inc. 144A 12/30/99 57,040
....................................................................................................
3,200 Paxson Communications Corp.
144A 6/29/99 32
....................................................................................................
14,880 Powertel, Inc. 1/31/02 141,360
....................................................................................................
3,500 RSL Communications Ltd. 144A 11/14/02 354,150
....................................................................................................
1,625 Spanish Broadcasting Systems
144A 6/29/95 333,125
....................................................................................................
960 Sterling Chemicals Holdings 8/14/04 23,040
....................................................................................................
6,950 UIH Australia/Pacific, Inc. 144A 5/14/02 104,250
....................................................................................................
19,720 USN Communications Inc. 8/14/00 236,640
....................................................................................................
990 Vialog Corp. 11/14/97 39,600
....................................................................................................
1,650 Wireless One, Inc. 10/18/96 17
....................................................................................................
305 Wright Medical Technology, Inc.
144A 6/29/99 30,470
- ----------------------------------------------------------------------------------------------------
Total Warrants (cost $2,844,022) $8,039,504
- ----------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BONDS AND NOTES (0.3%) *
(cost $4,015,633)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
USD 4,070,000 Korea (Republic of) unsub.
8 7/8s, 2008 $3,734,225
- ----------------------------------------------------------------------------------------------------
BRADY BONDS (0.1%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$6,680,000 Ivory Coast - 144A FLIRB collateralized
FRB 2s, 2018 $326,586
....................................................................................................
6,680,000 Ivory Coast - 144A PDI Bonds
FRB 1.9s, 2018 380,328
- ----------------------------------------------------------------------------------------------------
Total Brady Bonds (cost $897,577) $706,914
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.1%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
11,670 Chesapeake Energy Corp. 144A
$3.50 cv. cum. pfd. $493,058
....................................................................................................
100 Paxson Communications Corp. 144A
13.25% cv. pfd. (PIK) 1,000,000
....................................................................................................
684 XCL Ltd $8.075 cv. pfd. 73,872
- ----------------------------------------------------------------------------------------------------
Total Convertible Preferred Stocks
(cost $1,669,067) $1,566,930
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (1.4%) * (cost $15,948,569)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$15,946,000 Interest in $750,000,000 joint repurchase
agreement dated June 30, 1998 with
Goldman, Sachs & Co. due July 1,1998 with
respect to various U.S. Treasury
obligations - maturity value of
$15,948,569 for an effective yield
of 5.8% $15,948,569
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $1,107,949,198) *** $1,128,418,585
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell at June 30, 1998
- ----------------------------------------------------------------------------------------------------
Market Aggregate Delivery Unrealized
Value Face Value Date Appreciation
....................................................................................................
French Francs $910,887 $931,901 9/16/98 $21,014
- ----------------------------------------------------------------------------------------------------
See page 113 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT International Growth Fund
Portfolio of investments owned
June 30, 1998 (Unaudited)
<CAPTION>
COMMON STOCKS (93.6%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Australia (0.4%)
....................................................................................................
265,114 QBE Insurance Group Ltd. $933,891
- ----------------------------------------------------------------------------------------------------
Brazil (0.7%)
....................................................................................................
4,900 Telecomunicacoes de Sao Paulo S.A. 1,152,443
....................................................................................................
8,300 Telesp Celular S.A. (NON) 696,152
....................................................................................................
230 Telesp Rights (expiration date 07/02/98 ) (NON) 3,679
- ----------------------------------------------------------------------------------------------------
1,852,274
- ----------------------------------------------------------------------------------------------------
Canada (6.3%)
....................................................................................................
157,171 Bank of Nova Scotia 3,897,952
....................................................................................................
109,703 BCE, Inc. (NON) 4,660,341
....................................................................................................
42,600 BCE Mobile Communications, Inc. (NON) 1,110,206
....................................................................................................
93,344 Bombardier, Inc. 2,543,953
....................................................................................................
107,876 National Bank 2,113,126
....................................................................................................
39,087 Northern Telecom Ltd. 2,221,042
- ----------------------------------------------------------------------------------------------------
16,546,620
- ----------------------------------------------------------------------------------------------------
Denmark (0.4%)
....................................................................................................
11,159 Unidanmark AS 1,002,145
- ----------------------------------------------------------------------------------------------------
Finland (2.3%)
....................................................................................................
9,600 Huhtamaki I Free 548,781
....................................................................................................
68,269 Oy Nokia AB Class A 5,014,936
....................................................................................................
8,000 Sampo Insurance Co., Ltd. Class A 378,671
- ----------------------------------------------------------------------------------------------------
5,942,388
- ----------------------------------------------------------------------------------------------------
France (14.7%)
....................................................................................................
26,339 AGF (Assurances Generales de France) 1,487,016
....................................................................................................
12,264 Alcatel Alsthom CGE S.A. 2,491,457
....................................................................................................
62,404 Banque Nationale de Paris 5,087,479
....................................................................................................
12,784 Bouygues S.A. 2,316,500
....................................................................................................
19,683 Credit Commercial de France 1,653,379
....................................................................................................
16,784 Elf Aquitaine S.A. 2,354,386
....................................................................................................
53,683 Michelin Corp. Class B 3,091,900
....................................................................................................
61,171 SCOR 3,871,455
....................................................................................................
22,078 Societe Generale 4,579,923
....................................................................................................
15,244 Societe Television Francaise 1 2,357,229
....................................................................................................
41,055 STMicroelectronics N.V. ADR (NON) 2,868,718
....................................................................................................
5,613 Total S.A. Class B 728,083
....................................................................................................
27,071 Vivendi 5,767,582
- ----------------------------------------------------------------------------------------------------
38,655,107
- ----------------------------------------------------------------------------------------------------
Germany (8.2%)
....................................................................................................
33,688 Bayer AG ADR 1,740,780
....................................................................................................
850 Bayerishe Motoren Werke (BMW) 846,473
....................................................................................................
2,484 Bayerische Motoren Werke (BMW) AG 2,508,050
....................................................................................................
23,970 Bayerische Vereinsbank AG 2,028,996
....................................................................................................
40,969 Deutsche Bank AG 3,458,849
....................................................................................................
99,856 Deutsche Lufthansa AG 2,510,902
....................................................................................................
65,670 Deutsche Telekom AG (NON) 1,794,798
....................................................................................................
41,789 Mannesmann AG 4,288,719
....................................................................................................
36,547 Veba (Vereinigte Elektrizitaets
Bergwerks) AG 2,453,653
- ----------------------------------------------------------------------------------------------------
21,631,220
- ----------------------------------------------------------------------------------------------------
Greece (0.2%)
....................................................................................................
22,220 Hellenic Telecommunication
Organization S.A. 569,033
- ----------------------------------------------------------------------------------------------------
Hong Kong (1.2%)
....................................................................................................
961,000 China Telecom Ltd. 1,668,554
....................................................................................................
94,000 Dao Heng Bank Group Ltd. 133,480
....................................................................................................
205,000 Guoco Group Ltd. 215,678
....................................................................................................
492,000 HSBC Holdings (NON) 1,200,387
- ----------------------------------------------------------------------------------------------------
3,218,099
- ----------------------------------------------------------------------------------------------------
Ireland (4.2%)
....................................................................................................
254,889 Allied Irish Banks PLC 3,673,292
....................................................................................................
188,066 Bank of Ireland 3,836,294
....................................................................................................
244,314 CRH PLC 3,459,659
- ----------------------------------------------------------------------------------------------------
10,969,245
- ----------------------------------------------------------------------------------------------------
Italy (1.8%)
....................................................................................................
654,900 Telecom Italia SPA 4,812,642
- ----------------------------------------------------------------------------------------------------
Japan (8.3%)
....................................................................................................
15,500 AFLAC, Inc. 469,844
....................................................................................................
94,000 Canon, Inc. 2,128,225
....................................................................................................
1,100 Circle K Japan Co. Ltd. 38,187
....................................................................................................
36,000 Fuji Photo Film Co. 1,249,766
....................................................................................................
86,000 Fujitsu Ltd. 902,465
....................................................................................................
24,000 Honda Motor Co., Ltd. 852,152
....................................................................................................
19,700 Mabuchi Motor 1,246,028
....................................................................................................
31,000 Matsushita-Kotobuki Electronics
Industries, Ltd. 770,933
....................................................................................................
48,000 Mitsumi Electric Company, Ltd. 845,252
....................................................................................................
986,000 Nikko Securities Co. Ltd. 4,074,964
....................................................................................................
3,830 Nippon Television Network Corp. 1,106,634
....................................................................................................
29,800 Promise Co., Ltd. 1,223,014
....................................................................................................
104,000 Ricoh Co., Ltd. (NON) 1,092,101
....................................................................................................
54,000 Shiseido Co., Ltd. 611,687
....................................................................................................
60,700 Sony Corp. 5,213,575
- ----------------------------------------------------------------------------------------------------
21,824,827
- ----------------------------------------------------------------------------------------------------
Mexico (0.6%)
....................................................................................................
80,100 Coca-Cola Femsa S.A. ADR 1,391,738
- ----------------------------------------------------------------------------------------------------
Netherlands (8.0%)
....................................................................................................
114,912 ABN AMRO Holding N.V. (NON) 2,683,911
....................................................................................................
17,994 Akzo-Nobel N.V. 3,992,584
....................................................................................................
800 Gucci Group N.V. 42,400
....................................................................................................
106,164 Internationale Nederlanden Groep 6,938,687
....................................................................................................
57,894 Philips Electronics N.V. 4,857,642
....................................................................................................
12,859 Koninklijke KPN N.V. 494,043
....................................................................................................
12,859 TNT Post Group NV (NON) 328,100
....................................................................................................
26,720 Vedior NV (NON) 753,876
....................................................................................................
27,078 Vendex International N.V. 1,016,421
- ----------------------------------------------------------------------------------------------------
21,107,664
- ----------------------------------------------------------------------------------------------------
Poland (0.1%)
....................................................................................................
17,289 Bank Handlowy 144A (NON) 329,952
- ----------------------------------------------------------------------------------------------------
Portugal (1%)
....................................................................................................
21,530 Cimpor-Cimentos de Portugal,
SGPS, S.A. 755,133
....................................................................................................
76,964 Electricidade de Portugal S.A. 1,786,012
- ----------------------------------------------------------------------------------------------------
2,541,145
- ----------------------------------------------------------------------------------------------------
Singapore (1.6%)
....................................................................................................
154,000 Development Bank of Singapore Ltd. 854,540
....................................................................................................
444,000 Overseas Chinese Banking Corp. 1,515,134
....................................................................................................
406,000 Overseas Union Bank Ltd. 891,513
....................................................................................................
293,000 United Overseas Bank Ltd. 912,908
- ----------------------------------------------------------------------------------------------------
4,174,095
- ----------------------------------------------------------------------------------------------------
South Korea (1.1%)
....................................................................................................
263,600 Korea Electric Power Corp. 2,818,800
- ----------------------------------------------------------------------------------------------------
Spain (1.2%)
....................................................................................................
68,654 Telfonica de Espana 3,172,297
- ----------------------------------------------------------------------------------------------------
Sweden (5.4%)
....................................................................................................
3,578 Fastightetspartner NF AB (NON) 35,592
....................................................................................................
52,418 ForeningsSparbanken AB 1,574,114
....................................................................................................
236,479 Nordbanken Holding AG 1,730,984
....................................................................................................
102,400 Pharmacia & Upjohn, Inc. ADS 4,702,302
....................................................................................................
40,134 Svenska Handelsbanken 1,858,056
....................................................................................................
97,459 Telefonaktiebolaget LM Ericsson Class B 2,841,335
....................................................................................................
45,372 Volvo AB Class B 1,348,330
- ----------------------------------------------------------------------------------------------------
14,090,713
- ----------------------------------------------------------------------------------------------------
Switzerland (10.2%)
....................................................................................................
1,933 Edipresse S.A. 530,652
....................................................................................................
4,145 Georg Fischer AG 1,609,974
....................................................................................................
1,232 Julius Baer Holdings AG 3,848,479
....................................................................................................
982 Liechtenstein Global Trust AG 1,073,153
....................................................................................................
2,910 Nestle S.A. 6,218,473
....................................................................................................
2,214 Novartis AG ADR 3,678,826
....................................................................................................
304 Publicitas Holding S.A. 94,062
....................................................................................................
1,730 Sairgroup (NON) 568,315
....................................................................................................
18,855 UBS AG (NON) 7,000,800
....................................................................................................
3,289 Zurich Versicherungs-Gesellschaft 2,095,953
- ----------------------------------------------------------------------------------------------------
26,718,687
- ----------------------------------------------------------------------------------------------------
United Kingdom (15.4%)
....................................................................................................
289,366 Avis Europe PLC 144A ADR (NON) 1,308,758
....................................................................................................
464,912 B A T Industries PLC 4,649,771
....................................................................................................
158,600 Bass PLC 2,968,879
....................................................................................................
243,103 British Airways PLC 2,627,906
....................................................................................................
55,573 British Petroleum Co. PLC 809,627
....................................................................................................
128,491 Dixons Group PLC 1,023,788
....................................................................................................
68,379 Glaxo Wellcome PLC 2,050,517
....................................................................................................
135,300 Granada Group PLC 2,485,358
....................................................................................................
58,700 Molins PLC 213,307
....................................................................................................
171,261 National Westminster Bancorp Inc. 3,057,437
....................................................................................................
178,500 Orange PLC ADR (NON) 1,889,389
....................................................................................................
52,202 Premier Farnell PLC 264,527
....................................................................................................
127,486 Rio Tinto Ltd. 1,434,418
....................................................................................................
414,054 Securicor Group PLC Class A 3,368,111
....................................................................................................
128,803 Siebe PLC 2,569,980
....................................................................................................
301,276 Smithkline Beecham PLC ADR 3,673,571
....................................................................................................
185,094 Smiths Industries PLC 2,560,825
....................................................................................................
96,367 Tomkins PLC 522,463
....................................................................................................
241,318 Vodafone Group PLC 3,059,134
- ----------------------------------------------------------------------------------------------------
40,537,766
- ----------------------------------------------------------------------------------------------------
United States (0.3%)
....................................................................................................
26,200 DSC Communications Corp. (NON) 786,000
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $211,990,876) $245,626,348
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (9.9%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$2,000,000 Morgan (J.P.) & Co. Inc. effective yield of
5.51%, August 6,1998 $1,988,980
....................................................................................................
23,999,000 Interest in $11,687,000 joint repurchase
agreement dated June 30, 1998 with
S.B.C. Warburg Inc. due July 1, 1998
with respect to various U.S. Treasury
obligations - maturity value of
$24,002,867 for an effective yield
of 5.8% 24,002,867
- ----------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $25,991,847) $25,991,847
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $237,982,723) *** $271,618,195
- ----------------------------------------------------------------------------------------------------
The fund had the following industry group concentrations greater than 10% at June 30, 1998
(as a percentage of market value):
Insurance and Finance 29.8%
Telecommunications 13.4
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell at June 30,1998 (Unaudited)
- ----------------------------------------------------------------------------------------------------
Market Aggregate Delivery Unrealized
Value Face Value Date Depreciation
....................................................................................................
Japanese Yen $17,747,095 $17,328,058 9/14/98 ($419,037)
- ----------------------------------------------------------------------------------------------------
See page 113 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT International Growth and Income Fund
Portfolio of investments owned
June 30, 1998 (Unaudited)
<CAPTION>
COMMON STOCKS (97.1%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Aerospace and Defense (0.8%)
....................................................................................................
608,808 Rolls-Royce PLC (United Kingdom) $2,511,685
- ----------------------------------------------------------------------------------------------------
Airlines (1.9%)
....................................................................................................
304,632 British Airways PLC (United Kingdom) 3,293,025
....................................................................................................
91,446 Deutsche Lufthansa AG 144A (Germany) 2,299,431
- ----------------------------------------------------------------------------------------------------
5,592,456
- ----------------------------------------------------------------------------------------------------
Automobiles (1.9%)
....................................................................................................
91,000 Honda Motor Co., Ltd. (Japan) 3,231,078
....................................................................................................
79,236 Volvo AB (Germany) 2,354,674
- ----------------------------------------------------------------------------------------------------
5,585,752
- ----------------------------------------------------------------------------------------------------
Banks (17.9%)
....................................................................................................
124,629 ABN AMRO Holding N.V. (Netherlands) 2,910,864
....................................................................................................
171,126 Allied Irish Banks PLC (Ireland) 2,466,155
....................................................................................................
191,508 Bank of Nova Scotia (Canada) 4,749,534
....................................................................................................
1,148,000 Dao Heng Bank Group Ltd. (Hong Kong) 1,630,156
....................................................................................................
894,351 Den Norske Bank ASA (Norway) 4,692,979
....................................................................................................
39,283 Deutsche Bank AG (Germany) 3,316,507
....................................................................................................
563,600 Development Bank of Singapore Ltd.
(Singapore) 3,127,395
....................................................................................................
49,567 ForeningsSparbanken AB (Sweden) 1,488,499
....................................................................................................
159,887 HSBC Holdings PLC (United Kingdom) 3,911,261
....................................................................................................
643 Julius Baer Holdings AG (Switzerland) 2,008,581
....................................................................................................
163,087 National Bank (Canada) 3,194,625
....................................................................................................
255,262 National Westminster Bancorp Inc.
(United Kingdom) 4,557,065
....................................................................................................
23,523 Societe Generale (France) 4,879,678
....................................................................................................
546,990 Westpac Banking Corp. (Australia) 3,329,692
....................................................................................................
18,384 UBS AG 6,826,008
- ----------------------------------------------------------------------------------------------------
53,088,999
- ----------------------------------------------------------------------------------------------------
Brewing (2.2%)
....................................................................................................
214,768 Bass PLC (United Kingdom) 4,020,304
....................................................................................................
76,182 Fomento Economico Mexicano, S.A.
de C.V. (Mexico) (NON) 2,415,506
....................................................................................................
22,300 Fomento Economico Mexicano, S.A.
de C.V. Class B (Mexico) 104,566
- ----------------------------------------------------------------------------------------------------
6,540,376
- ----------------------------------------------------------------------------------------------------
Broadcasting (0.7%)
....................................................................................................
13,210 Societe Television Francaise 1 (France) 2,042,705
- ----------------------------------------------------------------------------------------------------
Building Products (3.3%)
....................................................................................................
632,969 Cemex, S.A. de C.V. (Mexico) 2,385,029
....................................................................................................
312,211 CRH PLC (Ireland) (NON) 4,421,129
....................................................................................................
1,305,300 Pioneer International Ltd. (Australia) 3,105,700
- ----------------------------------------------------------------------------------------------------
9,911,858
- ----------------------------------------------------------------------------------------------------
Business Equipment (1.0%)
....................................................................................................
288,000 Ricoh Co., Ltd. (Japan) (NON) 3,024,278
- ----------------------------------------------------------------------------------------------------
Chemicals (4.0%)
....................................................................................................
115,188 Akzo-Nobel N.V. (Netherlands) (NON) 6,389,599
....................................................................................................
104,685 Bayer AG (Germany) 5,409,449
- ----------------------------------------------------------------------------------------------------
11,799,048
- ----------------------------------------------------------------------------------------------------
Conglomerates (7.2%)
....................................................................................................
2,212,527 BTR PLC (United Kingdom) 6,269,704
....................................................................................................
13,184 Thyssen AG (Germany) 3,347,970
....................................................................................................
820,227 Tomkins PLC (United Kingdom) 4,446,936
....................................................................................................
33,829 Vivendi (France) 7,207,400
- ----------------------------------------------------------------------------------------------------
21,272,010
- ----------------------------------------------------------------------------------------------------
Consumer Products (2.5%)
....................................................................................................
328,000 KAO Corp. (Japan) 5,045,064
....................................................................................................
219,088 Unilever Group (United Kingdom) 2,329,962
- ----------------------------------------------------------------------------------------------------
7,375,026
- ----------------------------------------------------------------------------------------------------
Electric Utilities (5.3%)
....................................................................................................
9,391 Electrabel S.A. (Belgium) 2,657,592
....................................................................................................
1,060,000 Hong Kong Electric Holdings Ltd.
(Hong Kong) 3,284,064
....................................................................................................
102,827 Iberdola S.A. (Spain) 1,668,661
....................................................................................................
101,900 Iberdrola II (Spain) (NON) 1,653,618
....................................................................................................
333,496 Scottish Power PLC (United Kingdom) 2,918,499
....................................................................................................
55,382 Veba (Vereinigte Elektrizitaets Bergwerks)
AG (Germany) (NON) 3,718,177
- ----------------------------------------------------------------------------------------------------
15,900,611
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (6.2%)
....................................................................................................
108,000 Canon, Inc. (Japan) 2,445,194
....................................................................................................
1,083,449 Cookson Group PLC (United Kingdom) 3,720,362
....................................................................................................
76,459 Philips Electronics N.V. (Netherlands) 6,415,353
....................................................................................................
67,800 Sony Corp. (Japan) 5,823,401
- ----------------------------------------------------------------------------------------------------
18,404,310
- ----------------------------------------------------------------------------------------------------
Financial Services (3.2%)
....................................................................................................
1,195,000 Nikko Securities Co. Ltd. (Japan) 4,938,725
....................................................................................................
114,600 Promise Co., Ltd. (Japan) 4,703,269
- ----------------------------------------------------------------------------------------------------
9,641,994
- ----------------------------------------------------------------------------------------------------
Food and Beverages (2.3%)
....................................................................................................
3,143 Nestle S.A. (Switzerland) 6,716,378
- ----------------------------------------------------------------------------------------------------
Insurance (2.9%)
....................................................................................................
24,315 AGF (Assurances Generales de France)
(France) 1,372,747
....................................................................................................
77,867 Internationale Nederlanden Groep
(Netherlands) 5,089,246
....................................................................................................
34,666 SCOR (France) 2,193,978
- ----------------------------------------------------------------------------------------------------
8,655,971
- ----------------------------------------------------------------------------------------------------
Machinery (1.6%)
....................................................................................................
108,100 Siebe PLC (United Kingdom) 2,156,897
....................................................................................................
148,996 SKF AB Class B (Sweden) 2,703,256
- ----------------------------------------------------------------------------------------------------
4,860,153
- ----------------------------------------------------------------------------------------------------
Metals and Mining (1.5%)
....................................................................................................
401,121 Rio Tinto Ltd. (Australia) 4,513,243
- ----------------------------------------------------------------------------------------------------
Oil and Gas (9.2%)
....................................................................................................
313,307 British Petroleum Co. PLC
(United Kingdom) 4,564,478
....................................................................................................
44,591 Elf Aquitaine S.A. (France) 6,255,029
....................................................................................................
923,303 Ente Nazionale Idrocarburi (ENI) SPA
(Italy) (NON) 6,040,947
....................................................................................................
332,107 Shell Transportation & Trading
(United Kingdom) 2,336,146
....................................................................................................
38,288 Total S.A. Class B (France) 4,966,477
....................................................................................................
104,719 YPF S.A. ADR (Argentina) 3,148,115
- ----------------------------------------------------------------------------------------------------
27,311,192
- ----------------------------------------------------------------------------------------------------
Paper (2.0%)
....................................................................................................
236,109 Abitibi-Consolidated Inc. (Canada) (NON) 3,048,488
....................................................................................................
117,643 Svenska Cellulosa AB Class B (Sweden) 3,039,700
- ----------------------------------------------------------------------------------------------------
6,088,188
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (4.1%)
....................................................................................................
91,962 Glaxo Wellcome PLC (United Kingdom) 2,757,713
....................................................................................................
142,802 Pharmacia & Upjohn, Inc. ADS (Sweden) 6,557,600
....................................................................................................
127,000 Sankyo Co., Ltd. (Japan) 2,884,496
- ----------------------------------------------------------------------------------------------------
12,199,809
- ----------------------------------------------------------------------------------------------------
Photography (1.1%)
....................................................................................................
92,000 Fuji Photo Film Co. (Japan) 3,193,846
- ----------------------------------------------------------------------------------------------------
REIT's (Real Estate Investment Trust) (1.3%)
....................................................................................................
1,143,000 Henderson Land Development Co. Ltd.
(Hong Kong) 3,769,914
- ----------------------------------------------------------------------------------------------------
Semiconductors (2.6%)
....................................................................................................
68,395 STMicroelectronics N.V. ADR (France) (NON) 4,836,580
....................................................................................................
99,000 Tokyo Electron Ltd. (Japan) 3,024,149
- ----------------------------------------------------------------------------------------------------
7,860,729
- ----------------------------------------------------------------------------------------------------
Telephone Utilities (5.9%)
....................................................................................................
140,513 Deutsche Telekom AG (Germany) (NON) 3,840,300
....................................................................................................
123,952 Hellenic Telecommunication
Organization S.A. (Greece) 3,174,291
....................................................................................................
309,200 Mahanager Telephone Nigam Ltd. (India) 3,240,416
....................................................................................................
26,614 Portugal Telecom S.A. (Portugal) 1,408,080
....................................................................................................
352,100 Telecom Corp. of New Zealand Ltd.
(New Zealand) 1,446,202
....................................................................................................
618,800 Telecom Corp. of New Zealand Ltd.
ADR (New Zealand) 1,315,633
....................................................................................................
427,030 Telecom Italia (SPA) (Italy) 3,138,101
- ----------------------------------------------------------------------------------------------------
17,563,023
- ----------------------------------------------------------------------------------------------------
Tire and Rubber (1.3%)
....................................................................................................
65,179 Michelin Corp. Class B (France) 3,754,018
- ----------------------------------------------------------------------------------------------------
Tobacco (2.1%)
....................................................................................................
621,399 B A T Industries PLC (United Kingdom) 6,214,860
- ----------------------------------------------------------------------------------------------------
Transportation (1.1%)
....................................................................................................
222,408 Peninsular and Oriental Steam
Navigation Co. (United Kingdom) 3,199,417
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $259,709,837) $288,591,849
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.6%) * (cost $1,715,050)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
34,700 St George Bank Ltd. 144A $4.50 cv. pfd. $1,665,600
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (2.3%) * (cost $6,970,123)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$6,969,000 Interest in $750,000,000 joint repurchase
agreement dated June 30, 1998 with
Goldman, Sachs & Co. due July 1,1998
with respect to various U.S. Treasury
obligations - maturity value of
$6,970,123 for an effective yield
of 5.8% $6,970,123
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $268,395,010) *** $297,227,572
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell at June 30, 1998 (unaudited)
- ----------------------------------------------------------------------------------------------------
Market Aggregate Delivery Unrealized
Value Face Value Date Depreciation
....................................................................................................
Japanese Yen $27,293,162 $26,634,311 9/14/98 $(658,851)
- ----------------------------------------------------------------------------------------------------
Diversification by Country (unaudited)
- ----------------------------------------------------------------------------------------------------
Distribution of investments by country of issue at
June 30, 1998: (as percentage of Market Value)
- ----------------------------------------------------------------------------------------------------
Argentina 1.1%
....................................................................................................
Australia 4.2%
....................................................................................................
Canada 3.7%
....................................................................................................
France 12.6%
....................................................................................................
Germany 8.2%
....................................................................................................
Greece 1.1%
....................................................................................................
Hong Kong 2.9%
....................................................................................................
India 1.1%
....................................................................................................
Ireland 2.3%
....................................................................................................
Italy 3.1%
....................................................................................................
Japan 12.9%
....................................................................................................
Mexico 1.7%
....................................................................................................
Netherlands 7.0%
....................................................................................................
Norway 1.6%
....................................................................................................
Singapore 1.1%
....................................................................................................
Spain 1.1%
....................................................................................................
Sweden 4.6%
....................................................................................................
Switzerland 5.2%
....................................................................................................
United Kingdom 19.9%
....................................................................................................
United States 2.4%
....................................................................................................
Other 2.2%
- ----------------------------------------------------------------------------------------------------
Total 100.0%
- ----------------------------------------------------------------------------------------------------
See page 113 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT International New Opportunities Fund
Portfolio of investments owned
June 30, 1998 (Unaudited)
<CAPTION>
COMMON STOCKS (99.3%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Aerospace and Defense (1.3%)
....................................................................................................
62,600 Bombardier, Inc. (Canada) $1,706,071
- ----------------------------------------------------------------------------------------------------
Airlines (0.3%)
....................................................................................................
9,800 Ryanair Holdings, PLC ADR (Ireland) (NON) 349,125
- ----------------------------------------------------------------------------------------------------
Automobiles (1.1%)
....................................................................................................
1,116 Bayerische Motoren Werke (BMW) AG
(Germany) 1,126,805
....................................................................................................
305 Bayerische Motoren Werke (BMW) AG
(New) (Germany) (NON) 303,299
- ----------------------------------------------------------------------------------------------------
1,430,104
- ----------------------------------------------------------------------------------------------------
Automotive Parts (0.7%)
....................................................................................................
114,900 Kwik-Fit Holdings PLC (Untied Kingdom) 930,820
- ----------------------------------------------------------------------------------------------------
Banks (8.3%)
....................................................................................................
156,300 ABSA Group Ltd. (South Africa) 960,648
....................................................................................................
829,100 Banca di Roma (Italy) (NON) 1,722,834
....................................................................................................
94,100 Banca San Paolo di Brescia SPA (Italy) 507,336
....................................................................................................
26,370 Banco de Bilbao Vizcaya (BBV) (Spain) 1,352,529
....................................................................................................
45,700 Banco Frances del Rio de la Plata ADR
(Argentina) 1,048,244
....................................................................................................
7,200 Bank Of Greece, S.A. (Greece) 921,689
....................................................................................................
276,200 Credito Italiano SPA (Italy) 1,443,361
....................................................................................................
21,500 Dao Heng Bank Group Ltd. (Hong Kong) 30,530
....................................................................................................
52,724 HSBC Holdings PLC (United Kingdom) 1,336,753
....................................................................................................
46,890 Skandinaviska Enskilda Bank Class A,
(Sweden) 800,862
....................................................................................................
240,000 Thai Farmers Bank Public Co. Ltd.
(Thailand) 212,100
....................................................................................................
50,000 Turkiye Is Bankasi (Isbank)
(Turkey) 202,500
....................................................................................................
111 Verwaltungs-und Privat-Bank AG
(Switzerland) 330,296
- ----------------------------------------------------------------------------------------------------
10,869,682
- ----------------------------------------------------------------------------------------------------
Broadcasting (0.8%)
....................................................................................................
2,081 EM.TV & Merchandising AG (Germany) 1,024,669
- ----------------------------------------------------------------------------------------------------
Building and Construction (0.5%)
....................................................................................................
23,300 NBM-Amsetlland N.V. (Netherlands) (NON) 720,265
- ----------------------------------------------------------------------------------------------------
Business Equipment (0.3%)
....................................................................................................
2,500 Prolion Holding NV (Netherlands) (NON) 380,275
- ----------------------------------------------------------------------------------------------------
Business Services (11.7%)
....................................................................................................
9,800 Bellsystem 24, Inc. (Japan) 1,465,104
....................................................................................................
18,826 Brunel International NV (Netherlands) 780,568
....................................................................................................
32,700 Celestica, Inc. (Canada) 618,263
....................................................................................................
80,100 CGI Group, Inc. (Canada) (NON) 1,713,661
....................................................................................................
324,200 Compass Group PLC (United Kingdom) 3,723,418
....................................................................................................
85,200 Hays PLC (United Kingdom) 1,427,300
....................................................................................................
34,500 Securitas AB Class B, (Sweden) 1,685,717
....................................................................................................
30,300 Select Appointments Holdings PLC ADR
(United Kingdom) 893,850
....................................................................................................
69,600 Serco Group PLC (United Kingdom) (NON) 1,603,344
....................................................................................................
8,067 Sodexho Alliance S.A. (France) 1,521,674
- ----------------------------------------------------------------------------------------------------
15,432,899
- ----------------------------------------------------------------------------------------------------
Cable Television (0.5%)
....................................................................................................
75,300 Flextech PLC (United Kingdom) (NON) 695,367
- ----------------------------------------------------------------------------------------------------
Cellular Communications (4.7%)
....................................................................................................
11,776 Telecel-Comunicacaoes Pessoais, S.A.
(Portugal) (NON) 2,087,403
....................................................................................................
94,900 Telecom Italia Mobile SPA (Italy) 579,336
....................................................................................................
280,145 Vodafone Group PLC (United Kingdom) 3,551,335
- ----------------------------------------------------------------------------------------------------
6,218,074
- ----------------------------------------------------------------------------------------------------
Computer Services (9.0%)
....................................................................................................
6,000 Atos S.A. (France) (NON) 1,435,762
....................................................................................................
97,900 Capita Group PLC (United Kingdom) 844,098
....................................................................................................
50,300 CMG PLC (United Kingdom) 1,547,502
....................................................................................................
19,100 Enator AB (Sweden) 566,404
....................................................................................................
9,200 Enator AB 144A (Sweden) 272,823
....................................................................................................
29,189 Getronics Electric N.V. (Netherlands) 1,511,011
....................................................................................................
46,430 Merkantildata ASA (Norway) 587,875
....................................................................................................
30,142 Misys PLC (United Kingdom) 1,710,798
....................................................................................................
285,600 SEMA Group PLC (United Kingdom) 3,356,270
- ----------------------------------------------------------------------------------------------------
11,832,543
- ----------------------------------------------------------------------------------------------------
Computer Software (4.4%)
....................................................................................................
48,300 Fuji Soft ABC, Inc. (Japan) 1,638,582
....................................................................................................
20,500 Meitec (Japan) 707,252
....................................................................................................
5,660 SAP AG (Germany) 3,428,880
- ----------------------------------------------------------------------------------------------------
5,774,714
- ----------------------------------------------------------------------------------------------------
Conglomerates (1.2%)
....................................................................................................
4,000 Preussag AG (Germany) 1,429,599
....................................................................................................
256,000 YTL Corp. Berhad (Malaysia) 193,841
- ----------------------------------------------------------------------------------------------------
1,623,440
- ----------------------------------------------------------------------------------------------------
Consumer Durable Goods (0.5%)
....................................................................................................
16,800 Hindustan Lever Ltd. (India) 599,518
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (1.8%)
....................................................................................................
61,230 Centros Comerciales Continente, S.A.
(Spain) 1,396,671
....................................................................................................
277,900 Kimberly-Clark de Mexico, S.A. de C.V.
Class A, (Mexico) 989,730
- ----------------------------------------------------------------------------------------------------
2,386,401
- ----------------------------------------------------------------------------------------------------
Electric Utilities (1.1%)
....................................................................................................
48,950 Companhia Energetica de Minas Gerais
ADR (Brazil) 1,492,975
- ----------------------------------------------------------------------------------------------------
Electronic Components (0.6%)
....................................................................................................
23,700 Aiwa Co., Ltd. (Japan) 740,997
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (3.0%)
....................................................................................................
22,000 Assa Abloy AB Class B, (Sweden) 862,988
....................................................................................................
173,000 Delta Electronics, Inc. (Taiwan) 579,168
....................................................................................................
122,000 NEC Corp. (Japan) 1,133,803
....................................................................................................
9,959 Samsung Electronics Co. (South Korea) 308,948
....................................................................................................
12,300 Sony Corp. (Japan) 1,056,458
- ----------------------------------------------------------------------------------------------------
3,941,365
- ----------------------------------------------------------------------------------------------------
Entertainment (0.1%)
....................................................................................................
109,200 Hoyts Cinemas Group (Australia) 141,720
- ----------------------------------------------------------------------------------------------------
Financial Services (4.7%)
....................................................................................................
7,800 Aiful Corp. (Japan) 379,544
....................................................................................................
988,400 Grupo Financiero Bancomer, S.A. de C.V.
Class B, (Mexico) (NON) 369,671
....................................................................................................
27,200 Newcourt Credit Group Inc. (Canada) 1,338,966
....................................................................................................
36,600 Power Corporation of Canada (Canada) 1,720,651
....................................................................................................
4,200 Shohkoh Fund & Co., Ltd. (Japan) 1,029,397
....................................................................................................
178,100 Telecom Italia SPA (Italy) 1,308,798
- ----------------------------------------------------------------------------------------------------
6,147,027
- ----------------------------------------------------------------------------------------------------
Food and Beverages (3.7%)
....................................................................................................
12,100 Itoen, Ltd. (Japan) 373,967
....................................................................................................
1,618 Nestle S.A. (Switzerland) 3,457,556
....................................................................................................
17,800 Panamerican Beverages, Inc. Class A,
(Mexico) 559,588
....................................................................................................
42,000 TelePizza, S.A. (Spain) (NON) 444,800
- ----------------------------------------------------------------------------------------------------
4,835,911
- ----------------------------------------------------------------------------------------------------
Gaming (0.1%)
....................................................................................................
52,000 Berjaya Sports Toto Berhad (Malaysia) 77,612
- ----------------------------------------------------------------------------------------------------
Insurance (3.6%)
....................................................................................................
21,041 Aegon N.V. (Netherlands) 1,827,408
....................................................................................................
7,800 Housing Development Finance
Corporation Ltd. (India) 551,901
....................................................................................................
16,140 Mapfre Vida Seguros (Spain) 769,974
....................................................................................................
15,300 Sampo Insurance Co., Ltd. Class A,
(Finland) 724,208
....................................................................................................
59,000 Skandia Forsakrings AB (Sweden) 841,592
- ----------------------------------------------------------------------------------------------------
4,715,083
- ----------------------------------------------------------------------------------------------------
Media (0.3%)
....................................................................................................
257,000 Aegis Group 144A (United Kingdom) 415,542
....................................................................................................
7,700 Aegis Group PLC (United Kingdom) 12,450
- ----------------------------------------------------------------------------------------------------
427,992
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (0.2%)
....................................................................................................
141 Disetronic Holding AG (Switzerland) 319,315
- ----------------------------------------------------------------------------------------------------
Metals and Mining (0.5%)
....................................................................................................
107,460 Sasol Ltd. (South Africa) 613,165
- ----------------------------------------------------------------------------------------------------
Oil and Gas (1.9%)
....................................................................................................
13,570 Coflexip S.A. (France) 1,657,199
....................................................................................................
7,600 MOL Magyar Olaj-es Gazipari Rt. (Hungary) 203,300
....................................................................................................
5,295 Total Corp. S.A. Class B, ADR (France) 686,834
- ----------------------------------------------------------------------------------------------------
2,547,333
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (5.7%)
....................................................................................................
22,200 Elan Corp. PLC ADR (Ireland) (NON) 1,427,738
....................................................................................................
26,300 Gehe AG (Germany) 1,407,759
....................................................................................................
9,100 Novo Nordisk A.S. Class B (Denmark) 1,253,622
....................................................................................................
127,115 Smithkline Beecham PLC ADR
(United Kingdom) 1,549,961
....................................................................................................
44,700 Zeneca Group PLC (United Kingdom) 1,916,408
- ----------------------------------------------------------------------------------------------------
7,555,488
- ----------------------------------------------------------------------------------------------------
Publishing (0.1%)
....................................................................................................
22,900 Gruppo Editoriale (Italy) 189,698
- ----------------------------------------------------------------------------------------------------
Restaurants (2.7%)
....................................................................................................
285,200 Autogrill SPA (Italy) 2,011,750
....................................................................................................
190,000 KFC Holdings Berhad (Malaysia) 101,444
....................................................................................................
95,630 PizzaExpress PLC (United Kingdom) 1,374,077
- ----------------------------------------------------------------------------------------------------
3,487,271
- ----------------------------------------------------------------------------------------------------
Retail (2.0%)
....................................................................................................
516,297 Cifra S.A. de CV (Mexico) 778,163
....................................................................................................
185,840 La Rinascente SPA (Italy) 1,847,342
- ----------------------------------------------------------------------------------------------------
2,625,505
- ----------------------------------------------------------------------------------------------------
Satellite Services (2.5%)
....................................................................................................
129,765 Hellenic Telecommunication Organization
S.A. (Greece) 3,323,152
- ----------------------------------------------------------------------------------------------------
Semiconductors (0.9%)
....................................................................................................
14,200 ASM Lithography Holding N.V.
(Netherlands) (NON) 419,450
....................................................................................................
900 Rohm Co. Ltd. (Japan) 92,180
....................................................................................................
36,300 Taiwan Semiconductor
Manufacturing Co. (Taiwan) (NON) 612,563
- ----------------------------------------------------------------------------------------------------
1,124,193
- ----------------------------------------------------------------------------------------------------
Specialty Consumer Products (0.6%)
....................................................................................................
41,900 Bodycote International PLC
(United Kingdom) 740,337
- ----------------------------------------------------------------------------------------------------
Steel (0.4%)
....................................................................................................
25,400 Ispat International NV (Netherlands) (NON) 489,804
- ----------------------------------------------------------------------------------------------------
Supermarkets (3.9%)
....................................................................................................
13,400 Companhia Brasileira de Distribuicao
Grupo Pao de Acucar ADR (Brazil) 303,175
....................................................................................................
36,400 Distribucion y Servicio D&S S.A. ADR
(Chile) (NON) 546,000
....................................................................................................
68,368 Koninklijke Ahold N.V. (Netherlands) 2,190,594
....................................................................................................
3,859 Promodes (France) 2,133,452
- ----------------------------------------------------------------------------------------------------
5,173,221
- ----------------------------------------------------------------------------------------------------
Telecommunications (6.6%)
....................................................................................................
6,320 Alcatel Alsthom CGE S.A. (France) 1,283,921
....................................................................................................
71,100 Cable & Wireless PLC ADR
(United Kingdom) 719,396
....................................................................................................
17,400 Global Telesystems Group Inc. (NON) 848,250
....................................................................................................
11,000 Helsinki Telephone Corp. (Finland) 510,659
....................................................................................................
12,900 Helsinki Telephone Corp. 144A (Finland) 598,864
....................................................................................................
146,000 Mahanagar Telephone Nigam Ltd.
(India) (NON) 615,754
....................................................................................................
27,000 NetCom Systems AB Class B,
(Sweden) (NON) 1,032,095
....................................................................................................
123,000 Orange PLC ADR (United Kingdom) (NON) 1,301,932
....................................................................................................
10,600 STET Hellas Telecommunications S.A.
ADR (Greece) (NON) 439,900
....................................................................................................
29,500 Telfonica de Espana (Spain) 1,363,107
- ----------------------------------------------------------------------------------------------------
8,713,878
- ----------------------------------------------------------------------------------------------------
Telecommunications Equipment (3.2%)
....................................................................................................
34,571 Northern Telecom Ltd. (Canada) (NON) 1,964,462
....................................................................................................
20,480 Oy Nokia AB Class A, (Finland) 1,504,429
....................................................................................................
23,578 Telefonaktiebolaget LM Ericsson
Class B, (Sweden) 687,397
- ----------------------------------------------------------------------------------------------------
4,156,288
- ----------------------------------------------------------------------------------------------------
Telephone Services (1.4%)
....................................................................................................
38,900 Compania Anonima Nacional Telefonos
de Venezuela (CANTV) ADR (Venezuela) 972,500
....................................................................................................
21,000 Royal PTT (United Kingdom) 806,820
- ----------------------------------------------------------------------------------------------------
1,779,320
- ----------------------------------------------------------------------------------------------------
Telephone Utilities (0.5%)
....................................................................................................
373,600 Hong Kong Telecommunications Ltd.
(Hong Kong) 701,721
- ----------------------------------------------------------------------------------------------------
Transportation (1.9%)
....................................................................................................
8,700 Finnliness OY (Finland) 538,513
....................................................................................................
74,300 TNT Post Group NV (Netherlands) (NON) 1,895,780
- ----------------------------------------------------------------------------------------------------
2,434,293
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $111,553,677) $130,468,631
- ----------------------------------------------------------------------------------------------------
PREFERRED STOCKS (0.5%) * (cost $777,295)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
1,230 Banco Itau S.A. BRC 6.86 No par value
(NPV) pfd. (Brazil) $701,946
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (2.7%) * (cost $3,586,578)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$3,586,000 Interest in $750,000,000 joint repurchase
agreement dated June 30, 1998 with
Goldman, Sachs & Co. due July 1, 1998
with respect to various U.S. Treasury
obligations - maturity value of
$3,586,578 for an effective yield
of 5.8% $3,586,578
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $115,917,550) *** $134,757,155
- ----------------------------------------------------------------------------------------------------
Diversification by Country (unaudited)
- ----------------------------------------------------------------------------------------------------
Distribution of investments by country of issue at
June 30, 1998: (as percentage of Market Value)
- ----------------------------------------------------------------------------------------------------
Brazil 1.9%
....................................................................................................
Canada 6.7
....................................................................................................
Finland 2.9
....................................................................................................
France 6.5
....................................................................................................
Germany 6.5
....................................................................................................
Greece 3.5
....................................................................................................
India 1.3
....................................................................................................
Ireland 1.3
....................................................................................................
Italy 7.1
....................................................................................................
Japan 6.4
....................................................................................................
Mexico 2.0
....................................................................................................
Netherlands 7.6
....................................................................................................
Portugal 1.5
....................................................................................................
South Africa 1.2
....................................................................................................
Spain 4.0
....................................................................................................
Sweden 5.0
....................................................................................................
Switzerland 3.0
....................................................................................................
United Kingdom 22.6
....................................................................................................
United States 3.3
....................................................................................................
Venezuela 5.7
- ----------------------------------------------------------------------------------------------------
Total 100.0%
- ----------------------------------------------------------------------------------------------------
See page 113 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT Investors Fund
Portfolio of investments owned
June 30, 1998 (Unaudited)
<CAPTION>
COMMON STOCKS (90.9%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Apparel (0.6%)
....................................................................................................
5,400 Jones Apparel Group, Inc. (NON) $197,438
- ----------------------------------------------------------------------------------------------------
Banks (6.8%)
....................................................................................................
8,800 BankAmerica Corp. 760,650
....................................................................................................
3,600 Chase Manhattan Corp. 271,800
....................................................................................................
4,900 Comerica, Inc. 324,625
....................................................................................................
3,800 Fifth Third Bancorp 239,400
....................................................................................................
8,200 Freddie Mac 385,913
....................................................................................................
1,300 Morgan (J.P.) & Co., Inc. 152,263
....................................................................................................
4,100 Norwest Corp. 153,238
....................................................................................................
2,300 Southtrust Corp. 100,050
- ----------------------------------------------------------------------------------------------------
2,387,939
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (1.6%)
....................................................................................................
8,800 Ingersoll-Rand Co. 387,750
....................................................................................................
3,700 Owens-Illinois, Inc. (NON) 165,575
- ----------------------------------------------------------------------------------------------------
553,325
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (1.4%)
....................................................................................................
10,600 Cendant Corp. (NON) 221,275
....................................................................................................
5,700 Pitney Bowes, Inc. 274,313
- ----------------------------------------------------------------------------------------------------
495,588
- ----------------------------------------------------------------------------------------------------
Cellular Communications (1.9%)
....................................................................................................
5,000 Airtouch Communications, Inc. (NON) 292,188
....................................................................................................
9,800 Tele-Communications, Inc. Class A, (NON) 376,688
- ----------------------------------------------------------------------------------------------------
668,876
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (11.1%)
....................................................................................................
2,000 America Online, Inc. (NON) 212,000
....................................................................................................
10,300 BMC Software, Inc. (NON) 534,956
....................................................................................................
7,800 Computer Associates International, Inc. 433,388
....................................................................................................
4,600 Compuware Corp. (NON) 235,175
....................................................................................................
2,200 Dell Computer Corp. (NON) 204,188
....................................................................................................
8,900 EMC Corp. (NON) 398,831
....................................................................................................
13,100 HBO & Co. 461,775
....................................................................................................
9,200 Microsoft Corp. (NON) 997,050
....................................................................................................
6,300 Parametric Technology Corp. (NON) 170,888
....................................................................................................
5,200 PeopleSoft, Inc. (NON) 244,400
- ----------------------------------------------------------------------------------------------------
3,892,651
- ----------------------------------------------------------------------------------------------------
Conglomerates (3.2%)
....................................................................................................
17,700 Tyco International Ltd. (NON) 1,115,100
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (3.5%)
....................................................................................................
2,100 Clorox Co. 200,288
....................................................................................................
3,700 Colgate-Palmolive Co. 325,600
....................................................................................................
3,800 Estee Lauder Cos. Class A 264,813
....................................................................................................
4,800 Procter & Gamble Co. 437,100
- ----------------------------------------------------------------------------------------------------
1,227,801
- ----------------------------------------------------------------------------------------------------
Consumer Services (0.8%)
....................................................................................................
4,800 Interpublic Group Cos. Inc. 291,300
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (4.2%)
....................................................................................................
15,500 CBS Corp. 492,125
....................................................................................................
10,700 General Electric Co. 973,700
- ----------------------------------------------------------------------------------------------------
1,465,825
- ----------------------------------------------------------------------------------------------------
Entertainment (0.9%)
....................................................................................................
3,800 Time Warner, Inc. 324,663
- ----------------------------------------------------------------------------------------------------
Environmental Control (0.8%)
....................................................................................................
5,400 USA Waste Services, Inc. (NON) 266,625
- ----------------------------------------------------------------------------------------------------
Food and Beverages (2.6%)
....................................................................................................
9,500 Coca-Cola Enterprises, Inc. 372,875
....................................................................................................
5,100 Masco Corp. 308,550
....................................................................................................
4,100 Sara Lee Corp. 229,344
- ----------------------------------------------------------------------------------------------------
910,769
- ----------------------------------------------------------------------------------------------------
Health Care Services (1.6%)
....................................................................................................
3,100 Cardinal Health, Inc. 290,625
....................................................................................................
10,400 HEALTHSOUTH Corp. (NON) 277,550
- ----------------------------------------------------------------------------------------------------
568,175
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (12.8%)
....................................................................................................
6,400 American Express Co. 729,600
....................................................................................................
4,000 American International Group, Inc. 584,000
....................................................................................................
2,200 Associates First Capital Corp. 169,125
....................................................................................................
5,700 Conseco Inc. 266,475
....................................................................................................
4,800 Equitable Companies, Inc. (The) 359,700
....................................................................................................
10,700 MBNA Corp. 353,100
....................................................................................................
5,100 Morgan Stanley, Dean Witter,
Discover and Co. 466,013
....................................................................................................
5,000 SunAmerica, Inc. 287,188
....................................................................................................
15,500 Tele-Communications TCI ventures
Group Class A (NON) 310,969
....................................................................................................
15,500 Travelers Group Inc. 939,678
- ----------------------------------------------------------------------------------------------------
4,465,848
- ----------------------------------------------------------------------------------------------------
Lodging (1.7%)
....................................................................................................
10,400 Carnival Corp. Class A 412,100
....................................................................................................
5,300 Marriott International, Inc. Class A 171,588
- ----------------------------------------------------------------------------------------------------
583,688
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (0.3%)
....................................................................................................
1,300 McKesson Corp. 105,625
- ----------------------------------------------------------------------------------------------------
Oil and Gas (1.6%)
....................................................................................................
2,500 Cooper Cameron Corp. (NON) 127,500
....................................................................................................
4,100 Exxon Corp. 292,381
....................................................................................................
1,800 Western Atlas, Inc. (NON) 152,775
- ----------------------------------------------------------------------------------------------------
572,656
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (10.5%)
....................................................................................................
5,700 Bristol-Myers Squibb Co. 655,144
....................................................................................................
5,400 Lilly (Eli) & Co. 356,738
....................................................................................................
2,700 Merck & Co., Inc. 361,125
....................................................................................................
6,000 Pfizer, Inc. 652,125
....................................................................................................
3,400 Quintiles Transnational Corp. (NON) 167,238
....................................................................................................
6,800 Schering-Plough Corp. 623,050
....................................................................................................
12,500 Warner-Lambert Co. 867,188
- ----------------------------------------------------------------------------------------------------
3,682,608
- ----------------------------------------------------------------------------------------------------
Publishing (1.7%)
....................................................................................................
8,600 Gannett Co., Inc. 611,138
- ----------------------------------------------------------------------------------------------------
Retail (12.2%)
....................................................................................................
9,600 Costco Companies, Inc. (NON) 605,400
....................................................................................................
17,700 CVS Corp. 689,194
....................................................................................................
9,700 Dayton Hudson Corp. 470,450
....................................................................................................
2,500 Fred Meyer, Inc. (NON) 106,250
....................................................................................................
4,500 Home Depot, Inc. (The) 373,781
....................................................................................................
4,700 Office Depot, Inc. (NON) 148,344
....................................................................................................
8,300 Safeway, Inc. (NON) 337,706
....................................................................................................
14,800 TJX Cos., Inc. (The) 357,050
....................................................................................................
13,500 Wal-Mart Stores, Inc. 820,125
....................................................................................................
9,000 Walgreen Co. 371,813
- ----------------------------------------------------------------------------------------------------
4,280,113
- ----------------------------------------------------------------------------------------------------
Telecommunications (4.9%)
....................................................................................................
4,800 Cisco Systems, Inc. (NON) 441,900
....................................................................................................
8,800 Lucent Technologies, Inc. 732,050
....................................................................................................
3,200 Northern Telecom Ltd. (Canada) 181,600
....................................................................................................
4,800 Tellabs, Inc. (NON) 343,800
- ----------------------------------------------------------------------------------------------------
1,699,350
- ----------------------------------------------------------------------------------------------------
Transportation (0.8%)
....................................................................................................
3,400 AMR Corp. (NON) 283,050
- ----------------------------------------------------------------------------------------------------
Utilities (3.4%)
....................................................................................................
7,400 American Telephone & Telegraph Co. 422,725
....................................................................................................
6,300 Sprint Corp. 444,150
....................................................................................................
6,600 WorldCom, Inc. (NON) 319,688
- ----------------------------------------------------------------------------------------------------
1,186,563
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $30,327,086) $31,836,714
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (14.8%) * (cost $5,164,832)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$5,164,000 Interest in $750,000,000 joint repurchase
agreement dated June 30, 1998 with
Goldman, Sachs & Co. due July 1, 1998
with respect to various U.S. Treasury
obligations - maturity value of
$5,164,832 for an effective yield
of 5.8% $5,164,832
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $35,491,918) *** $37,001,546
- ----------------------------------------------------------------------------------------------------
See page 113 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT Money Market Fund
Portfolio of investments owned
June 30, 1998 (Unaudited)
<CAPTION>
COMMERCIAL PAPER (90.3%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Maturity Date Value
....................................................................................................
<S> <C> <C> <C> <C>
Domestic (63.7%)
....................................................................................................
$5,000,000 Asset Securitization
Cooperative Corp. 5.51s 8/12/98 $4,967,093
....................................................................................................
5,000,000 Bank of New York Co. 5.50s 2/17/99 4,990,153
....................................................................................................
4,000,000 Bellsouth Capital Funding
Corp. 5.52s 7/28/98 3,982,827
....................................................................................................
5,000,000 Chevron Transport Corp. 5.54s 7/13/98 4,989,997
....................................................................................................
5,000,000 Chevron Transport Corp. 5.51s 8/3/98 4,973,981
....................................................................................................
4,000,000 Ciesco L.P. 5.50s 7/29/98 3,982,278
....................................................................................................
10,000,000 Corporate Asset Funding
Corp. 5.52s 8/10/98 9,937,133
....................................................................................................
4,500,000 Corporate Asset Funding
Corp. 5.52s 7/24/98 4,483,440
....................................................................................................
7,755,000 Corporate Receivables
Corp. 5.54s 8/11/98 7,704,877
....................................................................................................
10,000,000 Corporate Receivables
Corp. 5.54s 7/23/98 9,964,606
....................................................................................................
5,000,000 CXC Inc. 5.55s 8/18/98 4,962,229
....................................................................................................
10,000,000 CXC Inc. 5.54s 8/31/98 9,904,589
....................................................................................................
5,000,000 Delaware Funding Corp.5.53s 9/21/98 4,936,251
....................................................................................................
5,000,000 Delaware Funding Corp.5.52s 7/16/98 4,987,733
....................................................................................................
7,190,000 Eureka Securitization Corp. 5.55s 8/27/98 7,125,709
....................................................................................................
6,000,000 Eureka Securitization Corp. 5.54s 8/13/98 5,959,373
....................................................................................................
7,382,000 Falcon Asset Securitization
Corp. 6.50s 7/1/98 7,380,667
....................................................................................................
2,784,000 Falcon Asset Securitization
Corp. 5.55s 7/20/98 2,775,416
....................................................................................................
6,000,000 First National Bank
of Boston 5.65s 11/10/98 6,000,000
....................................................................................................
5,000,000 First National Bank
of Boston 5.57s 7/1/98 5,000,000
....................................................................................................
10,000,000 Florens Container, Inc. (Bank
of America Line of Credit
(LOC)) 5.50s 12/15/98 9,743,333
....................................................................................................
6,000,000 Ford Motor Credit Co. 5.52s 7/15/98 5,986,200
....................................................................................................
5,000,000 Ford Motor Credit Co.
of Puerto Rico 5.53s 7/2/98 4,998,464
....................................................................................................
5,000,000 Ford Motor Credit Co.
of Puerto Rico 5.51s 8/17/98 4,963,267
....................................................................................................
7,000,000 General Electric Capital
Corp. 5.52s 7/14/98 6,984,973
....................................................................................................
5,000,000 General Electric Capital
Corp. 5.50s 10/23/98 4,912,153
....................................................................................................
5,000,000 General Electric Capital
Corp. 5.46s 9/9/98 4,946,158
....................................................................................................
6,000,000 General Motors Acceptance
Corp. 5.53s 7/31/98 5,971,428
....................................................................................................
17,500,000 Goldman Sachs Group 6.25s 7/1/98 17,496,962
....................................................................................................
5,000,000 Household Finance Corp. 5.52s 8/5/98 4,972,400
....................................................................................................
7,000,000 International Business
Machines Co. 5.51s 7/9/98 6,990,358
....................................................................................................
4,000,000 Morgan (J.P.) & Co., Inc. 5.51s 11/5/98 3,921,636
....................................................................................................
6,000,000 Morgan (J.P.) & Co., Inc. 5.50s 11/17/98 5,871,667
....................................................................................................
5,000,000 National Rural Utilities
Cooperative Finance Corp. 5.47s 7/9/98 4,993,163
....................................................................................................
5,000,000 Nationsbank Corp. 5.42s 10/8/98 4,924,722
....................................................................................................
5,000,000 Nationsbank Corp. 5.38s 8/27/98 4,957,353
....................................................................................................
4,000,000 Orix America, Inc. (Bank
of America (LOC)) 5.33s 10/9/98 3,940,186
....................................................................................................
5,000,000 Pemex Capital, Inc. 5.53s 8/12/98 4,966,974
....................................................................................................
5,000,000 Pemex Capital, Inc. 5.47s 7/8/98 4,993,922
....................................................................................................
5,000,000 Preferred Receivable
Fundings Corp. 5.52s 8/11/98 4,967,800
....................................................................................................
10,000,000 Preferred Receivable
Fundings Corp. 5.51s 7/10/98 9,984,694
....................................................................................................
7,000,000 Sheffield Receivables
Corp. 5.52s 8/20/98 6,945,260
....................................................................................................
8,000,000 Sheffield Receivables
Corp. 5.52s 7/7/98 7,991,413
....................................................................................................
3,310,000 Walt Disney Co. 5.5s 8/3/98 3,292,806
....................................................................................................
10,000,000 Windmill Funding Corp. 6.50s 7/1/98 9,998,194
....................................................................................................
5,000,000 Windmill Funding Corp. 5.6s 7/29/98 4,977,444
- ----------------------------------------------------------------------------------------------------
283,701,282
- ----------------------------------------------------------------------------------------------------
Foreign (26.6%)
....................................................................................................
5,000,000 Abbey National North
America Corp. 5.42s
(United Kingdom) 8/24/98 4,958,829
....................................................................................................
5,000,000 ABN AMRO North American
Finance 5.435s (Netherlands) 9/25/98 4,934,682
....................................................................................................
4,500,000 Banco Nacional de Mexico
(Barclays Bank (LOC)) 5.50s
(United Kingdom) 8/4/98 4,475,938
....................................................................................................
3,000,000 Banco Nacional de Mexico
(Barclays Bank (LOC)) 5.46s
(United Kingdom) 10/13/98 2,952,225
....................................................................................................
5,000,000 Banco Nacional de Mexico
(Barclays Bank (LOC)) 5.47s
(United KIngdom) 10/13/98 4,920,229
....................................................................................................
3,000,000 Banco Nacional de Mexico
(Barclays Bank (LOC)) 5.52s
(United Kingdom) 10/28/98 2,944,800
....................................................................................................
6,000,000 Commerzbank AG 5.68s
(Germany) 3/4/99 5,996,202
....................................................................................................
5,000,000 Commonwealth Bank
of Australia 5.51s (Australia) 8/28/98 4,954,849
....................................................................................................
4,000,000 Commonwealth Bank
of Australia 5.45s (Australia) 10/19/98 3,932,783
....................................................................................................
5,000,000 Contifinancial Corp.
(Dresdner Bank AG (LOC))
5.49s (Germany) 7/21/98 4,983,988
....................................................................................................
5,000,000 Contifinancial Corp.
(Dresdner Bank AG (LOC))
5.48s, (Germany) 7/15/98 4,988,583
....................................................................................................
5,000,000 Credit Suisse First Boston
5.54s (Switzerland) 7/16/98 4,987,689
....................................................................................................
5,000,000 Credit Suisse First Boston
5.52s (Switzerland) 7/17/98 4,986,967
....................................................................................................
8,000,000 Demir Funding Corp.
(Bayerische Vereinsbank
(LOC)) 5.52s (Germany) 7/13/98 7,984,053
....................................................................................................
6,000,000 Den Danske Corp. Inc. 5.50s
(Denmark) 7/22/98 5,980,281
....................................................................................................
5,000,000 Den Danske Corp. Inc. 5 .47s
(Denmark) 9/28/98 4,931,625
....................................................................................................
5,000,000 Diageo Capital PLC 5.52
(United Kingdom) 8/6/98 4,971,633
....................................................................................................
7,000,000 Garanti Funding Corp.
(Bayerische Vereinsbank BVB
(LOC)) 5.46s (Germany) 7/30/98 6,967,858
....................................................................................................
7,000,000 Glencore Finance Services
(Union Bank (LOC)) 5.57s
(Switzerland) 7/10/98 6,989,169
....................................................................................................
6,000,000 Svenska Handelsbanken
5.51s (Sweden) 11/16/98 5,872,352
....................................................................................................
5,000,000 Svenska Handelsbanken
5.44s (Sweden) 8/24/98 4,958,444
....................................................................................................
5,000,000 Toronto Dominion Holdings
5.71s (Canada) 5/24/99 4,996,099
....................................................................................................
5,000,000 Transportation De Gas del
Sur S.A. (Dresdner Bank AG
(LOC)) 5.55s (Germany) 7/22/98 4,983,042
- ----------------------------------------------------------------------------------------------------
$118,652,320
- ----------------------------------------------------------------------------------------------------
Total Commercial Paper
(cost $402,353,602) $402,353,602
- ----------------------------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT (10.3%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Maturity Date Value
....................................................................................................
Domestic (1.1%)
....................................................................................................
$5,000,000 Morgan (J.P.) & Co., Inc. 5.55s 8/7/98 $4,997,075
- ----------------------------------------------------------------------------------------------------
Foreign (9.2%)
....................................................................................................
5,000,000 ABN AMRO Bank NV 5.60s
(Netherlands) 9/3/98 4,999,992
....................................................................................................
5,000,000 Banque Nationale De Paris
5.61s (France) 9/3/98 4,999,992
....................................................................................................
5,000,000 Canadian Imperial Bank
of Commerce 5.66s (Canada) 2/26/99 4,998,413
....................................................................................................
5,000,000 Deutsche Bank 5.65s (Germany) 7/6/98 5,000,076
....................................................................................................
4,000,000 Deutsche Bank 5.50s (Germany) 7/8/98 3,995,111
....................................................................................................
4,000,000 Societe Generale 5.785s
(France) 5/12/99 3,998,787
....................................................................................................
3,000,000 Societe Generale 5.70s (France) 3/3/99 2,998,563
....................................................................................................
10,000,000 Westpac Banking Corp 5.97s
(Australia) 8/13/98 9,999,657
- ----------------------------------------------------------------------------------------------------
$40,990,591
- ----------------------------------------------------------------------------------------------------
Total Certificates of Deposit
(cost $45,987,666) $45,987,666
- ----------------------------------------------------------------------------------------------------
BANK NOTES (1.1%) * (cost $5,000,000)
- ----------------------------------------------------------------------------------------------------
Principal Amount Maturity Date Value
....................................................................................................
$5,000,000 Westpac Banking Corp
6.00s (Australia) 12/11/98 $5,000,000
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $453,341,268) *** $453,341,268
- ----------------------------------------------------------------------------------------------------
Diversification by Country
- ----------------------------------------------------------------------------------------------------
Distribution of investments by country of issue at
June 30, 1998: (as a percentage of Market Value)
- ----------------------------------------------------------------------------------------------------
Australia 5.3%
....................................................................................................
Canada 2.2
....................................................................................................
Denmark 2.4
....................................................................................................
France 2.6
....................................................................................................
Germany 9.9
....................................................................................................
Netherlands 2.2
....................................................................................................
Sweden 2.4
....................................................................................................
Switzerland 3.7
....................................................................................................
United Kingdom 5.6
....................................................................................................
United States 63.7
- ----------------------------------------------------------------------------------------------------
Total 100.0%
- ----------------------------------------------------------------------------------------------------
See page 113 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT New Opportunities Fund
Portfolio of investments owned
June 30, 1998 (Unaudited)
<CAPTION>
COMMON STOCKS (96.2%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Advertising (1.6%)
....................................................................................................
406,650 Lamar Advertising Co. (NON) $14,588,569
....................................................................................................
1,326,513 Outdoor Systems, Inc. (NON) 37,142,350
- ----------------------------------------------------------------------------------------------------
51,730,919
- ----------------------------------------------------------------------------------------------------
Apparel (0.2%)
....................................................................................................
345,800 Wolverine World Wide, Inc. 7,499,538
- ----------------------------------------------------------------------------------------------------
Banks (0.8%)
....................................................................................................
145,900 BankAmerica Corp. 12,611,231
....................................................................................................
510,400 TCF Financial Corp. 15,056,800
- ----------------------------------------------------------------------------------------------------
27,668,031
- ----------------------------------------------------------------------------------------------------
Broadcasting (6.8%)
....................................................................................................
2,025,700 CBS Corp. 64,315,975
....................................................................................................
766,400 Chancellor Media Corp. (NON) 38,056,550
....................................................................................................
669,215 Clear Channel Communications, Inc. (NON) 73,028,087
....................................................................................................
151,400 Heftel Broadcasting Corp. Class A (NON) 6,775,150
....................................................................................................
795,800 Sinclair Broadcast Group, Inc. Class A (NON) 22,879,250
....................................................................................................
330,600 Univision Communications Inc. Class A (NON) 12,314,850
....................................................................................................
253,000 Westwood One, Inc. (NON) 6,380,344
- ----------------------------------------------------------------------------------------------------
223,750,206
- ----------------------------------------------------------------------------------------------------
Building Products (0.1%)
....................................................................................................
169,500 Barnett, Inc. (NON) 3,432,375
- ----------------------------------------------------------------------------------------------------
Business Services (6.2%)
....................................................................................................
669,200 Accustaff, Inc. (NON) 20,912,500
....................................................................................................
291,800 Affiliated Computer Services, Inc.
Class A (NON) 11,234,300
....................................................................................................
116,400 Airgas, Inc. (NON) 1,673,250
....................................................................................................
179,100 Applied Graphics Technologies, Inc. (NON) 8,193,825
....................................................................................................
342,400 Interim Services Inc. (NON) 10,999,600
....................................................................................................
318,700 Metamor Worldwide, Inc. (NON) 11,214,256
....................................................................................................
131,100 NOVA Corp./Georgia (NON) 4,686,825
....................................................................................................
707,925 Paychex, Inc. 28,803,698
....................................................................................................
267,200 Pitney Bowes, Inc. 12,859,000
....................................................................................................
396,800 PMT Services, Inc. (NON) 10,093,600
....................................................................................................
329,400 Renaissance Worldwide, Inc. 7,164,450
....................................................................................................
2,923,700 Rentokil Group PLC (United Kingdom) 21,004,852
....................................................................................................
547,700 Robert Half International, Inc. (NON) 30,602,738
....................................................................................................
210,711 Select Appointments Holdings PLC ADR
(United Kingdom) 6,215,975
....................................................................................................
378,900 Snyder Communications, Inc. (NON) 16,671,600
- ----------------------------------------------------------------------------------------------------
202,330,469
- ----------------------------------------------------------------------------------------------------
Cable Television (2.0%)
....................................................................................................
239,900 Tele-Comm Liberty Media Group, Inc.
Class A (NON) 9,311,119
....................................................................................................
1,459,300 Tele-Communications, Inc. Class A, (NON) 56,091,844
- ----------------------------------------------------------------------------------------------------
65,402,963
- ----------------------------------------------------------------------------------------------------
Communications (0.9%)
....................................................................................................
685,000 MediaOne Group Inc. (NON) 30,097,188
- ----------------------------------------------------------------------------------------------------
Computer Services (5.2%)
....................................................................................................
949,600 America Online, Inc. (NON) 100,657,600
....................................................................................................
296,200 Cambridge Technology Partners, Inc. (NON) 16,179,925
....................................................................................................
148,700 CheckFree Holdings Corp. (NON) 4,377,356
....................................................................................................
301,600 Ciber, Inc. (NON) 11,460,800
....................................................................................................
159,100 Computer Horizons Corp. (NON) 5,896,644
....................................................................................................
134,900 Sapient Corp. (NON) 7,115,975
....................................................................................................
476,200 Sterling Commerce, Inc. (NON) 23,095,700
....................................................................................................
85,500 Whittman-Hart, Inc. (NON) 4,136,063
- ----------------------------------------------------------------------------------------------------
172,920,063
- ----------------------------------------------------------------------------------------------------
Computer Software (11.1%)
....................................................................................................
63,800 Aspect Development, Inc. (NON) 4,824,875
....................................................................................................
263,300 BMC Software, Inc. (NON) 13,675,144
....................................................................................................
1,074,000 Cadence Design Systems, Inc. (NON) 33,562,500
....................................................................................................
387,000 CBT Group Public Ldt. Co. ADR
(Ireland) (NON) 20,704,500
....................................................................................................
1,182,200 Computer Associates International, Inc. 65,685,988
....................................................................................................
596,400 Compuware Corp. (NON) 30,490,950
....................................................................................................
352,000 Electronic Arts, Inc. (NON) 19,008,000
....................................................................................................
1,202,200 EMC Corp. (NON) 53,873,588
....................................................................................................
304,400 Harbinger Corp. (NON) 7,362,675
....................................................................................................
117,700 Intuit, Inc. (NON) 7,209,125
....................................................................................................
395,000 Microsoft Corp. (NON) 42,808,125
....................................................................................................
952,600 Parametric Technology Corp. (NON) 25,839,275
....................................................................................................
183,800 Remedy Corp. (NON) 3,124,600
....................................................................................................
331,600 Saville Systems Ireland PLC ADR
(Ireland) (NON) 16,621,450
....................................................................................................
117,000 Software AG Systems, Inc. (NON) 3,422,250
....................................................................................................
337,600 Synopsys, Inc. (NON) 15,445,200
....................................................................................................
77,500 Viasoft, Inc. (NON) 1,254,531
- ----------------------------------------------------------------------------------------------------
364,912,776
- ----------------------------------------------------------------------------------------------------
Conglomerates (1.3%)
....................................................................................................
658,600 Tyco International Ltd. (NON) 41,491,800
- ----------------------------------------------------------------------------------------------------
Consumer Products (1.5%)
....................................................................................................
264,300 American Brands, Inc. 23,258,400
....................................................................................................
163,500 Central Garden and Pet Co. (NON) 5,088,938
....................................................................................................
224,100 Procter & Gamble Co. 20,407,106
- ----------------------------------------------------------------------------------------------------
48,754,444
- ----------------------------------------------------------------------------------------------------
Consumer Services (1.6%)
....................................................................................................
2,488,085 Cendant Corp. (NON) 51,938,769
- ----------------------------------------------------------------------------------------------------
Cosmetics (0.6%)
....................................................................................................
294,600 Estee Lauder Cos. Class A 20,529,938
- ----------------------------------------------------------------------------------------------------
Education Services (0.2%)
....................................................................................................
221,350 Apollo Group, Inc. Class A (NON) 7,318,384
- ----------------------------------------------------------------------------------------------------
Electric Utilities (0.1%)
....................................................................................................
124,873 CalEnergy, Inc. (NON) 3,753,995
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (2.4%)
....................................................................................................
443,400 General Electric Co. 40,349,400
....................................................................................................
315,800 Illinois Tool Works, Inc. 21,059,913
....................................................................................................
162,300 Sanmina Corp. (NON) 7,039,763
....................................................................................................
98,300 Uniphase Corp. (NON) 6,171,397
....................................................................................................
63,100 Waters Corp. (NON) 3,718,956
- ----------------------------------------------------------------------------------------------------
78,339,429
- ----------------------------------------------------------------------------------------------------
Energy-Related (0.6%)
....................................................................................................
100,600 AES Corp. (NON) 5,287,788
....................................................................................................
421,200 Thermo Electron Corp. (NON) 14,399,775
- ----------------------------------------------------------------------------------------------------
19,687,563
- ----------------------------------------------------------------------------------------------------
Entertainment (1.2%)
....................................................................................................
324,200 Time Warner, Inc. 27,698,838
....................................................................................................
198,500 Viacom, Inc. Class B (NON) 11,562,625
- ----------------------------------------------------------------------------------------------------
39,261,463
- ----------------------------------------------------------------------------------------------------
Environmental Control (0.2%)
....................................................................................................
70,200 American Disposal Services, Inc. (NON) 3,290,625
....................................................................................................
133,400 Eastern Environmental Services, Inc. (NON) 4,535,600
- ----------------------------------------------------------------------------------------------------
7,826,225
- ----------------------------------------------------------------------------------------------------
Environmental Services (1.1%)
....................................................................................................
307,100 Allied Waste Industries, Inc. (NON) 7,370,400
....................................................................................................
558,900 USA Waste Services, Inc. (NON) 27,595,688
- ----------------------------------------------------------------------------------------------------
34,966,088
- ----------------------------------------------------------------------------------------------------
Financial Services (4.5%)
....................................................................................................
196,120 American Express Co. 22,357,680
....................................................................................................
237,900 AMRESCO, Inc. (NON) 6,928,838
....................................................................................................
337,800 Finova Group, Inc. 19,127,925
....................................................................................................
281,500 FIRSTPLUS Financial Group, Inc. (NON) 10,134,000
....................................................................................................
610,700 MBNA Corp. 20,153,100
....................................................................................................
222,200 Merrill Lynch & Co., Inc. 20,497,950
....................................................................................................
283,200 Morgan Stanley, Dean Witter,
Discover and Co. 25,877,400
....................................................................................................
299,900 Sirrom Capital Corp. 7,797,400
....................................................................................................
795,900 Tele-Communications TCI ventures
Group Class A (NON) 15,967,744
- ----------------------------------------------------------------------------------------------------
148,842,037
- ----------------------------------------------------------------------------------------------------
Food and Beverages (1.0%)
....................................................................................................
537,000 Coca-Cola Enterprises, Inc. 21,077,250
....................................................................................................
246,800 Twinlab Corp. (NON) 10,782,075
- ----------------------------------------------------------------------------------------------------
31,859,325
- ----------------------------------------------------------------------------------------------------
Funeral/Cemetery Services (1.7%)
....................................................................................................
510,100 Service Corp. International 21,870,538
....................................................................................................
1,271,000 Stewart Enterprises, Inc. Class A 33,840,375
- ----------------------------------------------------------------------------------------------------
55,710,913
- ----------------------------------------------------------------------------------------------------
Health Care Information Systems (2.2%)
....................................................................................................
2,078,800 HBO & Co. 73,277,700
- ----------------------------------------------------------------------------------------------------
Health Care Services (5.0%)
....................................................................................................
157,200 ABR Information Services, Inc. (NON) 3,733,500
....................................................................................................
290,150 Cardinal Health, Inc. 27,201,563
....................................................................................................
155,796 CareMatrix Corp. (NON) 4,196,755
....................................................................................................
467,900 Concentra Managed Care, Inc. (NON) 12,165,400
....................................................................................................
1,265,100 HEALTHSOUTH Corp. (NON) 33,762,356
....................................................................................................
193,600 Henry Schein, Inc. (NON) 8,929,800
....................................................................................................
476,900 Lincare Holdings, Inc. (NON) 20,059,606
....................................................................................................
470,200 Omnicare, Inc. 17,926,375
....................................................................................................
120,400 Parexel International Corp. (NON) 4,379,550
....................................................................................................
138,600 Quintiles Transnational Corp. (NON) 6,817,388
....................................................................................................
727,539 Total Renal Care Holdings, Inc. (NON) 25,100,096
- ----------------------------------------------------------------------------------------------------
164,272,389
- ----------------------------------------------------------------------------------------------------
Hospital Management (1.4%)
....................................................................................................
1,402,100 Health Management Assoc., Inc. (NON) 46,882,719
- ----------------------------------------------------------------------------------------------------
Information Systems (0.2%)
....................................................................................................
220,300 Mastech Corp. (NON) 6,195,938
- ----------------------------------------------------------------------------------------------------
Insurance (1.5%)
....................................................................................................
131,300 American International Group, Inc. 19,169,800
....................................................................................................
471,800 Travelers Group Inc. 28,602,875
- ----------------------------------------------------------------------------------------------------
47,772,675
- ----------------------------------------------------------------------------------------------------
Leisure (0.1%)
....................................................................................................
163,400 Signature Resorts, Inc. (NON) 2,696,100
- ----------------------------------------------------------------------------------------------------
Lodging (1.4%)
....................................................................................................
892,068 Extended Stay America, Inc. (NON) 10,035,765
....................................................................................................
183,400 Marriott International, Inc. Class A 5,937,575
....................................................................................................
361,000 Prime Hospitality Corp. (NON) 6,294,938
....................................................................................................
658,105 Promus Hotel Corp. (NON) 25,337,043
- ----------------------------------------------------------------------------------------------------
47,605,321
- ----------------------------------------------------------------------------------------------------
Medical Management Services (0.3%)
....................................................................................................
73,300 NCS HealthCare, Inc. Class A (NON) 2,089,050
....................................................................................................
165,600 Pediatrix Medical Group, Inc. (NON) 6,158,250
- ----------------------------------------------------------------------------------------------------
8,247,300
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (1.2%)
....................................................................................................
207,300 Boston Scientific Corp. (NON) 14,847,863
....................................................................................................
197,800 Centocor, Inc. (NON) 7,170,250
....................................................................................................
658,700 Sybron International Corp. (NON) 16,632,175
- ----------------------------------------------------------------------------------------------------
38,650,288
- ----------------------------------------------------------------------------------------------------
Networking (0.5%)
....................................................................................................
176,300 CIENA Corp. (NON) 12,274,888
....................................................................................................
166,200 Teleglobe Inc. 4,404,300
- ----------------------------------------------------------------------------------------------------
16,679,188
- ----------------------------------------------------------------------------------------------------
Networking and Communications Equipment (1.6%)
....................................................................................................
513,500 Ascend Communications, Inc. (NON) 25,450,344
....................................................................................................
238,600 Cisco Systems, Inc. (NON) 21,966,113
....................................................................................................
227,700 FORE Systems, Inc. (NON) 6,034,050
- ----------------------------------------------------------------------------------------------------
53,450,507
- ----------------------------------------------------------------------------------------------------
Nursing Homes (0.4%)
....................................................................................................
360,400 Health Care & Retirement Corp. (NON) 14,213,275
- ----------------------------------------------------------------------------------------------------
Office Equipment (0.5%)
....................................................................................................
492,100 Viking Office Products, Inc. (NON) 15,439,638
- ----------------------------------------------------------------------------------------------------
Oil and Gas (0.2%)
....................................................................................................
112,500 National-Oilwell, Inc. (NON) 3,016,406
....................................................................................................
66,600 Smith International, Inc. (NON) 2,318,513
- ----------------------------------------------------------------------------------------------------
5,334,919
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (7.5%)
....................................................................................................
279,300 Bristol-Myers Squibb Co. 32,102,044
....................................................................................................
284,400 Dura Pharmaceuticals, Inc. (NON) 6,363,450
....................................................................................................
652,500 Elan Corp. PLC ADR (Ireland) (NON) 41,963,906
....................................................................................................
284,500 Gilead Sciences, Inc. (NON) 9,121,781
....................................................................................................
153,100 Jones Medical Industries, Inc. 5,071,438
....................................................................................................
163,200 Medicis Pharmaceutical Corp. Class A (NON) 5,956,800
....................................................................................................
363,100 Pfizer, Inc. 39,464,431
....................................................................................................
504,100 Schering-Plough Corp. 46,188,144
....................................................................................................
102,900 Sepracor, Inc. (NON) 4,270,350
....................................................................................................
125,400 Transkaryotic Therapies, Inc. (Malaysia) (NON) 3,229,050
....................................................................................................
91,600 Vertex Pharmaceuticals, Inc. (NON) 2,061,000
....................................................................................................
750,600 Warner-Lambert Co. 52,072,875
- ----------------------------------------------------------------------------------------------------
247,865,269
- ----------------------------------------------------------------------------------------------------
Restaurants (1.0%)
....................................................................................................
1,796,398 J.D. Wetherspoon PLC (United Kingdom) 8,623,918
....................................................................................................
303,400 Landry's Seafood Restaurants, Inc. (NON) 5,489,644
....................................................................................................
305,300 Papa Johns International, Inc. (NON) 12,040,269
....................................................................................................
122,400 Starbucks Corp. (NON) 6,540,750
- ----------------------------------------------------------------------------------------------------
32,694,581
- ----------------------------------------------------------------------------------------------------
Retail (8.9%)
....................................................................................................
591,500 Bed Bath & Beyond, Inc. (NON) 30,647,094
....................................................................................................
425,800 Borders Group, Inc. (NON) 15,754,600
....................................................................................................
751,300 Costco Companies, Inc. (NON) 47,378,856
....................................................................................................
659,600 CVS Corp. 25,683,175
....................................................................................................
255,525 Dollar Tree Stores, Inc. (NON) 10,380,703
....................................................................................................
105,600 Fred Meyer, Inc. (NON) 4,488,000
....................................................................................................
374,000 Home Depot, Inc. (The) 31,065,375
....................................................................................................
85,700 Kohls Corp. (NON) 4,445,688
....................................................................................................
447,100 Office Depot, Inc. (NON) 14,111,594
....................................................................................................
518,300 Officemax, Inc. (NON) 8,551,950
....................................................................................................
554,900 Rexall Sundown, Inc. (NON) 19,560,225
....................................................................................................
536,000 Rite Aid Corp. 20,133,500
....................................................................................................
197,000 Stage Stores, Inc. (NON) 8,914,250
....................................................................................................
753,000 TJX Cos., Inc. (The) 18,166,125
....................................................................................................
561,900 Wal-Mart Stores, Inc. 34,135,425
- ----------------------------------------------------------------------------------------------------
293,416,560
- ----------------------------------------------------------------------------------------------------
Semiconductors (1.5%)
....................................................................................................
545,000 Analog Devices, Inc. (NON) 13,386,563
....................................................................................................
147,200 Galileo Technology Ltd. (Israel) (NON) 1,987,200
....................................................................................................
268,000 Linear Technology Corp. 16,163,750
....................................................................................................
533,900 Maxim Integrated Products Inc. (NON) 16,917,956
- ----------------------------------------------------------------------------------------------------
48,455,469
- ----------------------------------------------------------------------------------------------------
Telecommunications (2.7%)
....................................................................................................
222,000 Advanced Fibre Communications (NON) 8,893,875
....................................................................................................
354,600 Aspect Telecommunications Corp. (NON) 9,707,175
....................................................................................................
266,800 E. Spire Communications, Inc. (NON) 6,019,675
....................................................................................................
119,600 Global Telesystems Group Inc. (NON) 5,830,500
....................................................................................................
379,100 Northern Telecom Ltd. (Canada) 21,513,925
....................................................................................................
201,400 P-Com, Inc. (NON) 1,844,069
....................................................................................................
355,450 PanAmSat Corp. (NON) 20,216,219
....................................................................................................
200,000 Tellabs, Inc. (NON) 14,325,000
....................................................................................................
1 U S West, Inc. 59
- ----------------------------------------------------------------------------------------------------
88,350,497
- ----------------------------------------------------------------------------------------------------
Telephone Services (3.8%)
....................................................................................................
347,800 Intermedia Communications, Inc. (NON) 14,585,863
....................................................................................................
451,400 Lucent Technologies, Inc. 37,550,840
....................................................................................................
139,700 McLeod, Inc. Class A (NON) 5,430,838
....................................................................................................
95,300 Metromedia Fiber Network, Inc. Class A (NON) 4,443,363
....................................................................................................
247,000 NEXTLINK Communications, Inc. Class A (NON) 9,355,125
....................................................................................................
364,200 Qwest Communications International, Inc. (NON) 12,701,475
....................................................................................................
117,000 RSL Communications, Ltd. Class A (NON) 3,510,000
....................................................................................................
305,300 Sprint Corp. 21,523,650
....................................................................................................
109,700 Tel-Save Holdings, Inc. (NON) 1,618,075
....................................................................................................
310,000 WorldCom, Inc. (NON) 15,015,625
- ----------------------------------------------------------------------------------------------------
125,734,854
- ----------------------------------------------------------------------------------------------------
Telephone Utilities (0.5%)
....................................................................................................
264,400 American Telephone & Telegraph Co. 15,103,850
- ----------------------------------------------------------------------------------------------------
Wireless Communications (0.9%)
....................................................................................................
407,000 AirTouch Communications, Inc. (NON) 23,784,063
....................................................................................................
153,000 Clearnet Communications, Inc. Class A,
(Canada) (NON) 1,683,000
....................................................................................................
208,000 NEXTEL Communications, Inc. Class A (NON) 5,174,000
- ----------------------------------------------------------------------------------------------------
30,641,063
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $2,186,855,752) $3,163,005,001
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (3.1%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$25,000,000 Ciesco L.P. effective yield of 5.52%,
July 16, 1998 $24,942,500
....................................................................................................
78,116,000 Interest in $511,687,000 joint repurchase
agreement dated June 30, 1998 with
S.B.C. Warburg Inc. due July 1, 1998 wiith
respect to various U.S. Treasury
obligations - maturity value of
$78,128,585 for an effective yield
of 5.8% 78,128,585
- ----------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $103,071,085) $103,071,085
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $2,289,926,837) *** $3,266,076,086
- ----------------------------------------------------------------------------------------------------
See page 113 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT New Value Fund
Portfolio of investments owned
June 30, 1998 (Unaudited)
<CAPTION>
COMMON STOCKS (92.9%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Aerospace and Defense (1.0%)
....................................................................................................
58,100 Boeing Co. $2,589,081
- ----------------------------------------------------------------------------------------------------
Automotive (4.3%)
....................................................................................................
107,900 Ford Motor Co. 6,366,100
....................................................................................................
85,000 Lear Corp. (NON) 4,361,563
- ----------------------------------------------------------------------------------------------------
10,727,663
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (2.6%)
....................................................................................................
196,200 New Holland N.V. (Netherlands) 3,850,425
....................................................................................................
57,300 Owens-Illinois, Inc. (NON) 2,564,175
- ----------------------------------------------------------------------------------------------------
6,414,600
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (4.5%)
....................................................................................................
33,000 IBM Corp. 3,788,813
....................................................................................................
71,400 NCR Corp. (NON) 2,320,500
....................................................................................................
50,000 Xerox Corp. 5,081,250
- ----------------------------------------------------------------------------------------------------
11,190,563
- ----------------------------------------------------------------------------------------------------
Chemicals (1.7%)
....................................................................................................
55,000 du Pont (E.I.) de Nemours & Co., Ltd. 4,104,375
- ----------------------------------------------------------------------------------------------------
Communications (1.2%)
....................................................................................................
65,000 MediaOne Group, Inc. (NON) 2,855,938
- ----------------------------------------------------------------------------------------------------
Computer Equipment (1.0%)
....................................................................................................
101,100 Seagate Technology, Inc. (NON) 2,407,444
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (1.1%)
....................................................................................................
49,000 Computer Associates International, Inc. 2,722,563
- ----------------------------------------------------------------------------------------------------
Conglomerates (2.2%)
....................................................................................................
195,500 Ogden Corp. 5,412,906
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (2.4%)
....................................................................................................
90,000 Philip Morris Cos., Inc. 3,543,750
....................................................................................................
101,100 RJR Nabisco Holdings Corp. 2,401,125
- ----------------------------------------------------------------------------------------------------
5,944,875
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (1.1%)
....................................................................................................
45,200 Texas Instruments, Inc. 2,635,725
- ----------------------------------------------------------------------------------------------------
Entertainment (3.6%)
....................................................................................................
32,000 Time Warner, Inc. 2,734,000
....................................................................................................
107,000 Viacom, Inc. Class B (NON) 6,232,750
- ----------------------------------------------------------------------------------------------------
8,966,750
- ----------------------------------------------------------------------------------------------------
Food and Beverages (5.7%)
....................................................................................................
48,000 Heinz (H.J.) Co. 2,694,000
....................................................................................................
65,900 Nabisco Holdings Corp. Class A 2,376,510
....................................................................................................
53,500 The Quaker Oats Co. 2,939,156
....................................................................................................
267,200 Whitman Corp. 6,128,900
- ----------------------------------------------------------------------------------------------------
14,138,566
- ----------------------------------------------------------------------------------------------------
Health Care (2.2%)
....................................................................................................
73,000 Wellpoint Health Networks, Inc. (NON) 5,402,000
- ----------------------------------------------------------------------------------------------------
Hospital Management and Medical Services (1.1%)
....................................................................................................
90,000 Tenet Healthcare Corp. (NON) 2,812,500
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (20.5%)
....................................................................................................
28,500 Allstate Corp. 2,609,531
....................................................................................................
39,000 American General Corp. 2,776,313
....................................................................................................
67,800 BankAmerica Corp. 5,860,463
....................................................................................................
82,000 Charter One Financial, Inc. 2,762,375
....................................................................................................
15,900 Chase Manhattan Corp. 1,200,450
....................................................................................................
37,500 CIGNA Corp. 2,587,500
....................................................................................................
16,100 Citicorp 2,402,925
....................................................................................................
55,000 First Chicago NBD Corp. 4,874,375
....................................................................................................
65,400 KeyCorp 2,329,875
....................................................................................................
58,600 Lehman Brothers Holding, Inc. 4,545,163
....................................................................................................
21,000 Morgan (J.P.) & Co., Inc. 2,459,625
....................................................................................................
10,000 Reliastar Financial Corp. 480,000
....................................................................................................
67,000 The Equitable Companies, Inc. 5,020,813
....................................................................................................
23,800 Transamerica Corp. 2,739,975
....................................................................................................
39,300 Travelers Group, Inc. 2,382,563
....................................................................................................
63,000 Washington Mutual, Inc. 2,736,563
....................................................................................................
7,700 Wells Fargo & Co. 2,841,300
- ----------------------------------------------------------------------------------------------------
50,609,809
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (3.4%)
....................................................................................................
60,000 U.S. Surgical Corp. 2,737,500
....................................................................................................
105,000 Baxter International, Inc. 5,650,313
- ----------------------------------------------------------------------------------------------------
8,387,813
- ----------------------------------------------------------------------------------------------------
Oil and Gas (11.3%)
....................................................................................................
138,000 Amoco Corp. 5,744,250
....................................................................................................
35,700 Atlantic Richfield Co. 2,789,063
....................................................................................................
53,500 British Petroleum PLC ADR
(United Kingdom) 4,721,375
....................................................................................................
55,900 Burlington Resources, Inc. 2,407,194
....................................................................................................
70,000 Elf Aquitane ADR (France) 4,970,000
....................................................................................................
63,000 Halliburton Co. 2,807,438
....................................................................................................
145,000 YPF S.A. ADR (Argentina) 4,359,063
- ----------------------------------------------------------------------------------------------------
27,798,383
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (1.4%)
....................................................................................................
80,000 Boise Cascade Corp. 2,620,000
....................................................................................................
84,600 Unisource Worldwide, Inc. 914,738
- ----------------------------------------------------------------------------------------------------
3,534,738
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (2.9%)
....................................................................................................
152,800 Pharmacia & Upjohn, Inc. 7,047,900
- ----------------------------------------------------------------------------------------------------
Publishing (1.1%)
....................................................................................................
44,000 Times Mirror Co. Class A 2,766,500
- ----------------------------------------------------------------------------------------------------
REIT's (2.9%)
....................................................................................................
55,900 Equity Residential Properties Trust 2,651,756
....................................................................................................
95,000 Starwood Lodging Trust 4,589,688
- ----------------------------------------------------------------------------------------------------
7,241,444
- ----------------------------------------------------------------------------------------------------
Retail (3.6%)
....................................................................................................
260,000 K mart Corp. (NON) 5,005,000
....................................................................................................
241,800 Officemax, Inc. (NON) 3,989,700
- ----------------------------------------------------------------------------------------------------
8,994,700
- ----------------------------------------------------------------------------------------------------
Transportation (1.1%)
....................................................................................................
27,400 Burlington Northern Santa Fe Corp. (NON) 2,690,338
- ----------------------------------------------------------------------------------------------------
Utilities (8.9%)
....................................................................................................
65,100 American Telephone & Telegraph Co. 3,718,838
....................................................................................................
150,000 DPL, Inc. 2,718,750
....................................................................................................
50,000 Entergy Corp. 1,437,500
....................................................................................................
50,000 GTE Corp. 2,781,250
....................................................................................................
120,000 Potomac Electric Power Co. 3,007,500
....................................................................................................
35,700 Sprint Corp. 2,516,850
....................................................................................................
70,000 Texas Utilities Co. 2,913,750
....................................................................................................
63,512 U S West, Inc. 2,985,064
- ----------------------------------------------------------------------------------------------------
22,079,502
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $219,906,363) $229,476,676
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (6.0%) * (cost $14,938,406)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$14,936,000 Interest in $750,000,000 joint repurchase
agreement dated June 30, 1998 with
Goldman, Sachs & Co. due July 1, 1998
with respect to various U.S. Treasury
obligations - maturity value of
$14,938,406 for an effective yield
of 5.8% $14,938,406
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $234,844,769) *** $244,415,082
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell at June 30, 1998 (Unaudited)
- ----------------------------------------------------------------------------------------------------
Market Aggregate Delivery Unrealized
Value Face Value Date Appreciation
....................................................................................................
French Franc $2,083,829 $2,088,859 8/8/98 $5,030
- ----------------------------------------------------------------------------------------------------
See page 113 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT OTC & Emerging Growth Fund
Portfolio of investments owned
June 30, 1998 (Unaudited)
<CAPTION>
COMMON STOCKS (68.6%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Advertising (3.0%)
....................................................................................................
3,207 Lamar Advertising Co. (NON) $115,052
....................................................................................................
5,567 Outdoor Systems, Inc. (NON) 155,876
- ----------------------------------------------------------------------------------------------------
270,928
- ----------------------------------------------------------------------------------------------------
Apparel (1.5%)
....................................................................................................
285 Bebe Stores, Inc. (NON) 3,741
....................................................................................................
412 Stage Stores, Inc. (NON) 18,643
....................................................................................................
1,613 Timberland Co. (The) (NON) 116,035
- ----------------------------------------------------------------------------------------------------
138,419
- ----------------------------------------------------------------------------------------------------
Beverages (0.1%)
....................................................................................................
268 Celestial Seasonings, Inc. (NON) 13,266
- ----------------------------------------------------------------------------------------------------
Biotechnology (0.2%)
....................................................................................................
671 Serologicals Corp. 21,640
- ----------------------------------------------------------------------------------------------------
Broadcasting (3.6%)
....................................................................................................
3,774 Chancellor Media Corp. (NON) 187,403
....................................................................................................
400 Citadel Communications Corp. (NON) 6,400
....................................................................................................
309 Clear Channel Communications, Inc. (NON) 33,720
....................................................................................................
506 Heftel Broadcasting Corp. Class A (NON) 22,644
....................................................................................................
790 Sinclair Broadcast Group, Inc. Class A (NON) 22,713
....................................................................................................
1,518 Univision Communications Inc. Class A (NON) 56,546
- ----------------------------------------------------------------------------------------------------
329,426
- ----------------------------------------------------------------------------------------------------
Business Services (1.6%)
....................................................................................................
141 Abacus Direct Corp. (NON) 7,323
....................................................................................................
560 AnswerThink Consulting Group, Inc. (NON) 12,041
....................................................................................................
300 Charles River Associates Inc. (NON) 7,500
....................................................................................................
1,316 Data Dimensions, Inc. (NON) 22,454
....................................................................................................
1,873 Renaissance Worldwide, Inc. (NON) 40,738
....................................................................................................
57 Robert Half International, Inc. (NON) 3,185
....................................................................................................
1,664 Romac International, Inc. (NON) 50,554
- ----------------------------------------------------------------------------------------------------
143,795
- ----------------------------------------------------------------------------------------------------
Computer Services (8.2%)
....................................................................................................
2,658 Ciber, Inc. (NON) 101,004
....................................................................................................
4,207 Complete Business Solutions, Inc. (NON) 151,189
....................................................................................................
2,050 Computer Management Sciences (NON) 48,688
....................................................................................................
1,350 ECsoft Group PLC ADR
(United Kingdom) (NON) 43,706
....................................................................................................
4,233 Keane, Inc. (NON) 237,048
....................................................................................................
619 Pegasus Systems, Inc. (NON) 15,862
....................................................................................................
781 Rent-Way, Inc. 23,821
....................................................................................................
1,458 SPR Inc. (NON) 45,380
....................................................................................................
639 VeriSign, Inc. 23,883
....................................................................................................
817 Whittman-Hart, Inc. (NON) 39,522
- ----------------------------------------------------------------------------------------------------
730,103
- ----------------------------------------------------------------------------------------------------
Computer Software (10.9%)
....................................................................................................
435 Advent Software, Inc. (NON) 18,292
....................................................................................................
427 Aspect Development, Inc. (NON) 32,292
....................................................................................................
988 Evolving Systems, Inc. (NON) 10,930
....................................................................................................
1,892 CBT Group Public Ltd. Co. ADR
(Ireland) (NON) 101,222
....................................................................................................
756 Citrix Systems, Inc. (NON) 51,692
....................................................................................................
1,659 Computer Learning Centers, Inc. (NON) 41,268
....................................................................................................
5,264 Compuware Corp. (NON) 269,122
....................................................................................................
3,463 Information Management Resources, Inc. 117,093
....................................................................................................
200 ISS Group, Inc. (NON) 7,525
....................................................................................................
1,487 Legato Systems, Inc. (NON) 57,993
....................................................................................................
1,422 Midway Games Inc. (NON) 22,219
....................................................................................................
824 New Era of Networks, Inc. (NON) 25,132
....................................................................................................
1,511 Peregrine Systems, Inc. (NON) 43,064
....................................................................................................
348 Pinnacle Systems, Inc. (NON) 11,267
....................................................................................................
894 Remedy Corp. (NON) 15,198
....................................................................................................
1,200 TSI International Software, Ltd. (NON) 27,450
....................................................................................................
1,459 Viasoft, Inc. (NON) 23,618
....................................................................................................
2,091 Visual Networks, Inc. (NON) 76,583
....................................................................................................
1,635 Walker Interactive Systems, Inc. (NON) 24,116
- ----------------------------------------------------------------------------------------------------
976,076
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (0.1%)
....................................................................................................
340 Wesley Jessen VisionCare, Inc. (NON) 7,863
- ----------------------------------------------------------------------------------------------------
Consumer Services (0.4%)
....................................................................................................
376 Central Parking Corp. 17,484
....................................................................................................
631 MemberWorks Inc. (NON) 20,350
- ----------------------------------------------------------------------------------------------------
37,834
- ----------------------------------------------------------------------------------------------------
Education Services (0.7%)
....................................................................................................
749 Education Management Corp. 24,623
....................................................................................................
1,021 Strayer Education, Inc. (NON) 37,011
- ----------------------------------------------------------------------------------------------------
61,634
- ----------------------------------------------------------------------------------------------------
Electronic Components (0.9%)
....................................................................................................
1,836 Metromedia Fiber Network, Inc. Class A (NON) 85,604
- ----------------------------------------------------------------------------------------------------
Electronics (1.7%)
....................................................................................................
25 Flextronics International Ltd. (NON) 1,088
....................................................................................................
2,385 Uniphase Corp. (NON) 149,733
- ----------------------------------------------------------------------------------------------------
150,821
- ----------------------------------------------------------------------------------------------------
Energy-Related (0.5%)
....................................................................................................
348 AES Corp. (NON) 18,292
....................................................................................................
449 CalEnergy, Inc. (NON) 13,498
....................................................................................................
680 KTI, Inc. (NON) 14,705
- ----------------------------------------------------------------------------------------------------
46,495
- ----------------------------------------------------------------------------------------------------
Entertainment (0.2%)
....................................................................................................
345 Coach USA, Inc. (NON) 15,741
- ----------------------------------------------------------------------------------------------------
Environmental Control (0.6%)
....................................................................................................
717 American Disposal Services, Inc. (NON) 33,609
....................................................................................................
705 Eastern Environmental Services, Inc. (NON) 23,970
- ----------------------------------------------------------------------------------------------------
57,579
- ----------------------------------------------------------------------------------------------------
Financial Services (3.3%)
....................................................................................................
370 Finova Group, Inc. 20,951
....................................................................................................
1,856 FIRSTPLUS Financial Group, Inc. (NON) 66,816
....................................................................................................
1,933 Franchise Mortgage Acceptance Co.
L.L.C. (NON) 50,379
....................................................................................................
484 HealthCare Financial Partners, Inc. (NON) 29,675
....................................................................................................
1,734 Resource America, Inc. 51,370
....................................................................................................
3,170 Sirrom Capital Corp. 82,420
- ----------------------------------------------------------------------------------------------------
301,611
- ----------------------------------------------------------------------------------------------------
Food and Beverages (1.5%)
....................................................................................................
1,372 Hain Food Group, Inc.(The) (NON) 35,501
....................................................................................................
1,562 Twinlab Corp. (NON) 68,240
....................................................................................................
548 Whole Foods Market, Inc. (NON) 33,154
- ----------------------------------------------------------------------------------------------------
136,895
- ----------------------------------------------------------------------------------------------------
Health Care (0.8%)
....................................................................................................
2,399 Concentra Managed Care, Inc. (NON) 62,374
....................................................................................................
400 SteriGenics International, Inc. (NON) 10,400
- ----------------------------------------------------------------------------------------------------
72,774
- ----------------------------------------------------------------------------------------------------
Health Care Information Services (0.4%)
....................................................................................................
468 DAOU Systems, Inc. (NON) 10,706
....................................................................................................
860 First Consulting Group, Inc. (NON) 22,575
- ----------------------------------------------------------------------------------------------------
33,281
- ----------------------------------------------------------------------------------------------------
Information Systems (0.6%)
....................................................................................................
1,856 Mastech Corp. (NON) 52,200
- ----------------------------------------------------------------------------------------------------
Insurance (0.2%)
....................................................................................................
637 Inspire Insurance Solutions, Inc. (NON) 21,180
- ----------------------------------------------------------------------------------------------------
Lodging (1.1%)
....................................................................................................
2,494 Extended Stay America, Inc. (NON) 28,058
....................................................................................................
841 Four Seasons Hotels, Inc. (Canada) 29,645
....................................................................................................
1,265 Prime Hospitality Corp. (NON) 22,058
....................................................................................................
450 Promus Hotel Corp. (NON) 17,325
- ----------------------------------------------------------------------------------------------------
97,086
- ----------------------------------------------------------------------------------------------------
Medical Management Services (2.6%)
....................................................................................................
119 IMPATH, Inc. (NON) 2,893
....................................................................................................
1,326 NCS HealthCare, Inc. Class A (NON) 37,791
....................................................................................................
1,483 Renal Care Group, Inc. (NON) 65,345
....................................................................................................
3,614 Total Renal Care Holdings, Inc. (NON) 124,683
- ----------------------------------------------------------------------------------------------------
230,712
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (4.0%)
....................................................................................................
645 Cooper Companies, Inc. (NON) 23,502
....................................................................................................
1,074 Cyberonics, Inc. (NON) 11,411
....................................................................................................
295 Henry Schein, Inc. (NON) 13,607
....................................................................................................
1,048 Perclose, Inc. (NON) 29,606
....................................................................................................
831 Sabratek Corp. (NON) 18,905
....................................................................................................
4,268 Safeskin, Corp. (NON) 175,522
....................................................................................................
348 Sofamor Danek Group, Inc. (NON) 30,124
....................................................................................................
692 Steris Corp. (NON) 44,007
....................................................................................................
665 Ventana Medical Systems, Inc. (NON) 18,620
- ----------------------------------------------------------------------------------------------------
365,304
- ----------------------------------------------------------------------------------------------------
Networking (0.5%)
....................................................................................................
957 Exodus Communications, Inc. (NON) 42,826
- ----------------------------------------------------------------------------------------------------
Oil and Gas (0.9%)
....................................................................................................
518 Cal Dive International, Inc. (NON) 14,277
....................................................................................................
1,242 Global Industries, Ltd. (NON) 20,959
....................................................................................................
2,486 Newpark Resources, Inc. (NON) 27,657
....................................................................................................
844 Varco International, Inc. (NON) 16,722
- ----------------------------------------------------------------------------------------------------
79,615
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (1.6%)
....................................................................................................
1,268 Coulter Pharmaceutical, Inc. (NON) 38,516
....................................................................................................
856 Medicis Pharmaceutical Corp. Class A (NON) 31,244
....................................................................................................
489 Medimmune, Inc. (NON) 30,501
....................................................................................................
2,319 NBTY, Inc. (NON) 42,612
- ----------------------------------------------------------------------------------------------------
142,873
- ----------------------------------------------------------------------------------------------------
Restaurants (0.4%)
....................................................................................................
1,231 Dave & Buster's, Inc. (NON) 30,621
....................................................................................................
216 Papa Johns International, Inc. (NON) 8,519
- ----------------------------------------------------------------------------------------------------
39,140
- ----------------------------------------------------------------------------------------------------
Retail (6.4%)
....................................................................................................
2,219 Bed Bath & Beyond, Inc. (NON) 114,972
....................................................................................................
3,705 Linens 'N Things, Inc. (NON) 113,234
....................................................................................................
2,407 Michaels Stores, Inc. 84,922
....................................................................................................
1,295 Rexall Sundown, Inc. (NON) 45,649
....................................................................................................
1,213 The North Face, Inc. (NON) 29,112
....................................................................................................
5,749 Williams-Sonoma, Inc. (NON) 182,866
....................................................................................................
255 Wolverine World Wide, Inc. 5,530
- ----------------------------------------------------------------------------------------------------
576,285
- ----------------------------------------------------------------------------------------------------
Semiconductors (0.4%)
....................................................................................................
458 Galileo Technology Ltd. (Israel) (NON) 6,183
....................................................................................................
492 Integrated Process Equipment Corp. (NON) 5,535
....................................................................................................
710 QLogic Corp. (NON) 25,338
- ----------------------------------------------------------------------------------------------------
37,056
- ----------------------------------------------------------------------------------------------------
Specialty Consumer Products (1.6%)
....................................................................................................
1,962 Central Garden and Pet Co. (NON) 61,068
....................................................................................................
2,773 Guitar Center, Inc. (NON) 83,537
- ----------------------------------------------------------------------------------------------------
144,605
- ----------------------------------------------------------------------------------------------------
Telecommunication Equipment (2.9%)
....................................................................................................
2,729 Advanced Fibre Communications (NON) 109,331
....................................................................................................
721 GeoTel Communications, Corp. (NON) 29,381
....................................................................................................
2,158 Premisys Communications, Inc. (NON) 53,680
....................................................................................................
1,582 Tekelec (NON) 70,795
- ----------------------------------------------------------------------------------------------------
263,187
- ----------------------------------------------------------------------------------------------------
Telecommunications (0.9%)
....................................................................................................
3,673 E. Spire Communications, Inc. (NON) 82,872
- ----------------------------------------------------------------------------------------------------
Telephone Services (4.0%)
....................................................................................................
2,918 Intermedia Communications, Inc. (NON) 122,374
....................................................................................................
2,268 McLeod, Inc. Class A (NON) 88,169
....................................................................................................
2,929 NEXTLINK Communications, Inc.
Class A (NON) 110,936
....................................................................................................
1,436 RSL Communications, Ltd. Class A (NON) 43,080
- ----------------------------------------------------------------------------------------------------
364,559
- ----------------------------------------------------------------------------------------------------
Wireless Communications (0.3%)
....................................................................................................
848 ICG Communications, Inc. (NON) 31,005
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $5,770,897) $6,202,290
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (29.8%) * (cost $2,695,563)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$2,696,000 Federal Home Loan Mortgage Corp.,
effective yield of 5.85%, July 1, 1998 $2,695,563
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $8,466,459) *** $8,897,853
- ----------------------------------------------------------------------------------------------------
See page 113 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT U.S. Government and High Quality Bond Fund
Portfolio of investments owned
June 30, 1998 (Unaudited)
<CAPTION>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (40.7%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
<S> <C> <C> <C> <C>
U.S. Government Agency Mortgage Obligations (22.9%)
....................................................................................................
Federal National Mortgage Association
....................................................................................................
$4,160,000 7s, TBA, July 15, 2028 $4,218,490
....................................................................................................
2,311,000 6 1/2s, TBA, July 15, 2028 2,301,594
....................................................................................................
9,220,000 5.94s, December 12, 2005 9,289,150
....................................................................................................
9,486,615 Federal Home Loan Mortgage Corp.
Pass-through Certificates 5 1/2s, with
due dates from March 1, 2011 to
April 1, 2011 9,204,957
....................................................................................................
Government National Mortgage Association
....................................................................................................
1,394,000 7 1/2s, TBA, July 15, 2028 1,432,767
....................................................................................................
30,820,000 6 1/2s, TBA, July 15, 2028 30,752,504
....................................................................................................
Government National Mortgage Association
Adjustable Rate Mortgages
....................................................................................................
7,925,292 7 3/8s, with due dates from
June 20, 2022 to May 20, 2024 8,117,790
....................................................................................................
15,063,448 7s, with due dates from July 15, 2023
to October 20, 2024 15,443,846
....................................................................................................
3,190,939 6s, July 20, 2024 3,268,718
....................................................................................................
1,190,460 5 1/2s, with due dates from
August 20, 2027 to April 20, 2028 1,204,475
....................................................................................................
Government National Mortgage Association
Pass-through Certificates
....................................................................................................
21,504,887 8s, with due dates from July 15, 2024
to February 15, 2028 22,338,376
....................................................................................................
28,359,932 7 1/2s, with due dates from
January 15, 2023 to October 15, 2027 29,284,237
....................................................................................................
52,160,781 7s, with due dates from
August 15, 2025 to May 15, 2028 52,993,572
- ----------------------------------------------------------------------------------------------------
189,850,476
- ----------------------------------------------------------------------------------------------------
U.S. Treasury Obligations (17.8%)
....................................................................................................
U.S. Treasury Bonds
....................................................................................................
6,290,000 7 1/2s, November 15, 2024 7,804,506
....................................................................................................
28,915,000 6 1/8s, November 15, 2027 30,984,157
....................................................................................................
10,345,000 5 7/8s, July 31, 1999 10,382,139
....................................................................................................
U.S. Treasury Notes
....................................................................................................
4,860,000 7s, July 15, 2006 5,307,266
....................................................................................................
5,560,000 5 7/8s, September 30, 2002 5,629,500
....................................................................................................
51,760,000 5 3/4s, November 15, 2000 52,018,800
....................................................................................................
4,455,000 5 5/8s, May 15, 2008 4,515,543
....................................................................................................
4,350,000 5 1/2s, May 31, 2003 4,350,696
....................................................................................................
9,335,000 5 1/2s, March 31, 2003 9,329,119
....................................................................................................
17,425,000 5 1/2s, January 31, 2003 # 17,411,409
- ----------------------------------------------------------------------------------------------------
147,733,135
- ----------------------------------------------------------------------------------------------------
Total U.S. Government and
Agency Obligations
(cost $334,666,422) $337,583,611
- ----------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES (36.5%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
Advertising (0.1%)
....................................................................................................
$1,000,000 Lamar Advertising Co. company guaranty
8 5/8s, 2007 $1,022,500
- ----------------------------------------------------------------------------------------------------
Aerospace and Defense (0.3%)
....................................................................................................
1,000,000 BE Aerospace sr. sub. notes Ser. B,
8s, 2008 997,500
....................................................................................................
1,000,000 United Defense Industries Inc. company
guaranty 8 3/4s, 2007 1,013,750
- ----------------------------------------------------------------------------------------------------
2,011,250
- ----------------------------------------------------------------------------------------------------
Agriculture (0.1%)
....................................................................................................
1,000,000 Purina Mills, Inc. 144A sr. sub. notes
9s, 2010 1,027,500
- ----------------------------------------------------------------------------------------------------
Airlines (0.1%)
....................................................................................................
1,000,000 Continental Airlines, Inc. sr. notes
9 1/2s, 2001 1,062,500
- ----------------------------------------------------------------------------------------------------
Automotive (0.8%)
....................................................................................................
1,000,000 Accuride Corp. 144A sr. sub. notes
9 1/4s, 2008 1,000,000
....................................................................................................
800,000 Chrysler Corp. deb. 7.45s, 2027 887,584
....................................................................................................
2,150,000 Chrysler Corp. deb. Ser. B, 7.45s, 2097 2,380,609
....................................................................................................
1,000,000 Lear Corp. sub. notes 9 1/2s, 2006 1,097,500
....................................................................................................
750,000 Navistar International Corp. sr. notes
Ser. B, 8s, 2008 753,750
- ----------------------------------------------------------------------------------------------------
6,119,443
- ----------------------------------------------------------------------------------------------------
Banks (4.8%)
....................................................................................................
8,500,000 Abbey National First Capital PLC sub.
notes 8.2s, 2004 (United Kingdom) 9,359,180
....................................................................................................
2,585,000 Abbey National First Capital PLC sub.
notes 7.35s, 2006 (United Kingdom) 2,744,908
....................................................................................................
1,000,000 Chevy Chase Savings Bank Inc. sub. deb.
9 1/4s, 2008 1,015,000
....................................................................................................
1,000,000 First Nationwide Holdings sr. sub. notes
10 5/8s, 2003 1,130,000
....................................................................................................
3,055,000 Firstar Bank Milwaukee sr. bank notes
6 1/4s, 2002 3,059,491
....................................................................................................
3,790,000 Firstar Capital Trust I company guaranty
Ser. B, 8.32s, 2026 4,223,311
....................................................................................................
4,200,000 Merita Bank Ltd. sub. notes 6 1/2s, 2006
(Finland) 4,213,692
....................................................................................................
7,000,000 Scotland International Finance 144A
sub. notes 8.85s, 2006 (Netherlands) 8,128,120
....................................................................................................
3,410,000 Sparbanken Sverige AB (Swedbank)
144A sub. 7 1/2s, 2049 (Sweden) 3,556,630
....................................................................................................
2,100,000 Sumitomo Bank Treasury Co. 144A bonds
Ser. A, FRB, 9.4s, 2049 (Japan) 2,087,064
- ----------------------------------------------------------------------------------------------------
39,517,396
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (0.1%)
....................................................................................................
755,000 American Standard Companies, Inc.
sr. notes 7 3/8s, 2008 743,675
- ----------------------------------------------------------------------------------------------------
Broadcasting (1.1%)
....................................................................................................
1,000,000 Capstar Broadcasting sr. sub. notes
9 1/4s, 2007 1,046,250
....................................................................................................
1,000,000 Fox/Liberty Networks LLC sr. notes
8 7/8s, 2007 1,020,000
....................................................................................................
1,000,000 Jacor Communications, Inc. company
guaranty Ser. B, 8 3/4s, 2007 1,040,000
....................................................................................................
1,000,000 Paramount Communications Inc.
deb. 7 1/2s, 2023 1,002,910
....................................................................................................
5,000,000 Paramount Communications Inc. sr. notes
7 1/2s, 2002 5,135,050
- ----------------------------------------------------------------------------------------------------
9,244,210
- ----------------------------------------------------------------------------------------------------
Building Products (0.1%)
....................................................................................................
1,000,000 Southdown, Inc. sr. sub. notes Ser. B,
10s, 2006 1,113,750
- ----------------------------------------------------------------------------------------------------
Cable Television (0.4%)
....................................................................................................
1,000,000 Adelphia Communications Corp. sr. notes
Ser. B, 9 7/8s, 2007 1,082,500
....................................................................................................
1,000,000 CSC Holdings, Inc. sr. notes 7 7/8s, 2007 1,052,500
....................................................................................................
1,000,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(10 3/4s, 2/15/02), 2007
(United Kingdom) (STP) 740,000
- ----------------------------------------------------------------------------------------------------
2,875,000
- ----------------------------------------------------------------------------------------------------
Cellular Communications (0.4%)
....................................................................................................
3,750,000 NEXTEL Communications, Inc. 144A
sr. disc. notes stepped-coupon zero %
(9.95s, 2/15/03), 2008 (STP) 2,390,625
....................................................................................................
1,000,000 Price Communications Wireless Inc.
144A sr. notes 9 1/8s, 2006 1,000,000
- ----------------------------------------------------------------------------------------------------
3,390,625
- ----------------------------------------------------------------------------------------------------
Coal (0.1%)
....................................................................................................
500,000 P & I Coal Holdings Corp. 144A sr notes
8 7/8s, 2008 514,375
- ----------------------------------------------------------------------------------------------------
Computer Services (0.1%)
....................................................................................................
1,000,000 Unisys Corp. sr. notes 7 7/8s, 2008 1,020,000
- ----------------------------------------------------------------------------------------------------
Computers (0.5%)
....................................................................................................
4,120,000 IBM Corp. deb. 6 1/2s, 2028 4,120,989
- ----------------------------------------------------------------------------------------------------
Conglomerates (1.5%)
....................................................................................................
3,411,180 Allied Corp. notes 6 1/8s, 2005 3,824,956
....................................................................................................
4,410,000 Tyco International Ltd. company guaranty
6 3/8s, 2005 4,421,201
....................................................................................................
3,715,000 Tyco International Ltd. company guaranty
6 1/4s, 2003 3,705,973
- ----------------------------------------------------------------------------------------------------
11,952,130
- ----------------------------------------------------------------------------------------------------
Cosmetics (0.1%)
....................................................................................................
1,000,000 Revlon Consumer Products sr. sub. notes
8 5/8s, 2008 1,002,500
- ----------------------------------------------------------------------------------------------------
Electric Utilities (0.4%)
....................................................................................................
500,000 Long Island Lighting Co. deb. 9s, 2022 570,295
....................................................................................................
2,000,000 Midland Cogeneration Ventures LP deb.
10.33s, 2002 2,162,580
....................................................................................................
894,769 Northeast Utilities System notes Ser. A,
8.58s, 2006 921,084
- ----------------------------------------------------------------------------------------------------
3,653,959
- ----------------------------------------------------------------------------------------------------
Electronic Components (0.2%)
....................................................................................................
1,000,000 Flag Ltd. 144A sr. notes 8 1/4s, 2008
(Bermuda) 1,007,500
....................................................................................................
500,000 Flextronics International Ltd. sr. sub. notes
Ser. B, 8 3/4s, 2007 503,125
- ----------------------------------------------------------------------------------------------------
1,510,625
- ----------------------------------------------------------------------------------------------------
Energy-Related (0.7%)
....................................................................................................
4,985,000 CalEnergy, Inc. sr. notes 7.63s, 2007 5,011,620
....................................................................................................
370,000 Niagara Mohawk Power Corp. sr. notes
Ser. F, 7 5/8s, 2005 371,569
....................................................................................................
460,000 Niagara Mohawk Power Corp. sr. notes
Ser. G, 7 3/4s, 2008 471,275
- ----------------------------------------------------------------------------------------------------
5,854,464
- ----------------------------------------------------------------------------------------------------
Entertainment (0.8%)
....................................................................................................
1,040,000 Empress Entertainment, Inc. 144A sr. sub
notes 8 1/8s, 2006 1,042,600
....................................................................................................
2,000,000 Viacom International, Inc. sub. deb. 8s, 2006 2,065,000
....................................................................................................
600,000 Viacom International, Inc. sub. deb. Ser. A,
7s, 2003 591,168
....................................................................................................
2,830,000 Walt Disney Co. sr. notes Ser. B,
6 3/4s, 2006 2,957,237
- ----------------------------------------------------------------------------------------------------
6,656,005
- ----------------------------------------------------------------------------------------------------
Finance (1.2%)
....................................................................................................
5,145,000 American General Institute 144A
company guaranty 8 1/8s, 2046 5,878,471
....................................................................................................
4,000,000 International Lease Finance Corp. notes
6 1/2s, 1999 4,023,560
- ----------------------------------------------------------------------------------------------------
9,902,031
- ----------------------------------------------------------------------------------------------------
Financial Services (4%)
....................................................................................................
1,595,000 Allstate Financing II company guaranty
7.83s, 2045 1,690,541
....................................................................................................
6,730,000 Ford Motor Credit Corp. notes 8.2s, 2002 7,157,355
....................................................................................................
5,350,000 Ford Motor Credit Corp. sr. notes 6s, 2003 5,319,719
....................................................................................................
2,520,000 Merrill Lynch & Co., Inc. med. term notes
6.13s, 2003 2,532,348
....................................................................................................
1,470,000 Orange Cogen Funding 144A company
guaranty 8.175s, 2022 1,621,704
....................................................................................................
2,660,000 Salomon, Inc. sr. notes 6 3/4s, 2003 2,713,386
....................................................................................................
3,090,000 Southern Investments Service Co.
sr. notes 6.8s, 2006 (United Kingdom) 3,156,188
....................................................................................................
2,070,000 State Street Institution 144A company
guaranty 7.94s, 2026 2,287,578
....................................................................................................
6,005,000 Tig Capital Trust I 144A bonds 8.597s, 2027 6,566,167
- ----------------------------------------------------------------------------------------------------
33,044,986
- ----------------------------------------------------------------------------------------------------
Food (0.1%)
....................................................................................................
1,000,000 Ameriserve Food Co. company guaranty
8 7/8s, 2006 1,005,000
- ----------------------------------------------------------------------------------------------------
Food and Beverages (0.5%)
....................................................................................................
4,100,000 McDonald's Corp. notes 6s, 2002 4,102,337
- ----------------------------------------------------------------------------------------------------
Health Care (0.8%)
....................................................................................................
1,000,000 Fresenius Medical Capital Trust II company
guaranty 7 7/8s, 2008 (Germany) 982,500
....................................................................................................
1,000,000 Integrated Health Services, Inc. sr. sub.
notes Ser. A, 9 1/4s, 2008 1,038,750
....................................................................................................
1,000,000 Quorum Health Group, Inc. sr. sub. notes
8 3/4s, 2005 1,035,000
....................................................................................................
3,430,000 Tenet Healthcare Corp. sr. notes 8s, 2005 3,524,325
- ----------------------------------------------------------------------------------------------------
6,580,575
- ----------------------------------------------------------------------------------------------------
Health Care Services (0.1%)
....................................................................................................
1,000,000 Multicare Cos., Inc. sr. sub. notes 9s, 2007 990,000
- ----------------------------------------------------------------------------------------------------
Insurance (4.7%)
....................................................................................................
2,420,000 AFC Capital Trust I company guaranty
Ser. B, 8.207s, 2027 2,776,974
....................................................................................................
8,000,000 AMBAC Indemnity Corp. deb. 9 3/8s, 2011 10,088,720
....................................................................................................
2,000,000 Fletcher Challenge Finance USA Ltd.
gtd. notes 9s, 1999 (New Zealand) 2,061,840
....................................................................................................
10,765,000 Hartford Life, Inc. 7.1s, 2007 11,326,610
....................................................................................................
1,495,000 Hartford Life, Inc. deb. 7.65s, 2027 1,660,153
....................................................................................................
4,655,000 Phoenix Home Life Mutual Insurance Co.
144A notes 6.95s, 2006 4,789,716
....................................................................................................
1,000,000 Reliance Group Holdings, Inc. sr. notes
9s, 2000 1,044,250
....................................................................................................
4,555,000 Travelers Property Casualty Corp.
sr. notes 7 3/4s, 2026 5,139,361
- ----------------------------------------------------------------------------------------------------
38,887,624
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (0.8%)
....................................................................................................
6,580,000 Cincinnati Financial Corp. deb. 6.9s, 2028 6,763,385
- ----------------------------------------------------------------------------------------------------
Lodging (0.1%)
....................................................................................................
140,000 Epic Resorts LLP 144A sr. notes 13s, 2005 140,000
....................................................................................................
500,000 Host Marriott Travel Plaza sr. notes Ser. B,
9 1/2s, 2005 533,125
- ----------------------------------------------------------------------------------------------------
673,125
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (0.1%)
....................................................................................................
500,000 Leiner Health Products sr. sub. notes
9 5/8s, 2007 531,250
- ----------------------------------------------------------------------------------------------------
Motion Picture Distribution (0.1%)
....................................................................................................
1,000,000 Cinemark USA, Inc. sr. sub. notes
9 5/8s, 2008 1,030,000
- ----------------------------------------------------------------------------------------------------
Nursing Homes (0.1%)
....................................................................................................
1,000,000 Sun Healthcare Group Inc. 144A sr. sub.
notes 9 1/2s, 2007 1,012,500
- ----------------------------------------------------------------------------------------------------
Office Equipment (0.1%)
....................................................................................................
1,000,000 U.S. Office Products Co. 144A sr.sub
notes 9 3/4s, 2008 1,007,500
- ----------------------------------------------------------------------------------------------------
Oil and Gas (2.5%)
....................................................................................................
1,000,000 Chesapeake Energy Corp. 144A sr. notes
9 5/8s, 2005 1,002,500
....................................................................................................
1,000,000 Gulf Canada Resources Ltd. sr. sub. notes
9 5/8s, 2005 (Canada) 1,090,000
....................................................................................................
2,000,000 Imperial Oil Ltd. deb. 8 3/4s, 2019 (Canada) 2,119,940
....................................................................................................
10,000,000 Norsk Hydro AS deb. 7.15s, 2025
(Norway) 10,687,500
....................................................................................................
5,000,000 Trans-Canada PipeLines Ltd. deb. 8 5/8s,
2012 (Canada) 5,987,750
- ----------------------------------------------------------------------------------------------------
20,887,690
- ----------------------------------------------------------------------------------------------------
Oil Services (0.1%)
....................................................................................................
1,000,000 Snyder Oil Corp. sr. sub. notes 8 3/4s, 2007 1,005,000
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (0.2%)
....................................................................................................
660,000 Repap New Brunswick 144A sr. notes
9s, 2004 (Canada) 663,300
....................................................................................................
1,000,000 Riverwood International Corp. company
guaranty 10 1/4s, 2006 1,020,000
- ----------------------------------------------------------------------------------------------------
1,683,300
- ----------------------------------------------------------------------------------------------------
Recreation (0.1%)
....................................................................................................
1,000,000 Premier Parks, Inc. sr. notes 9 1/4s, 2006 1,035,000
- ----------------------------------------------------------------------------------------------------
Satellite Services (0.2%)
....................................................................................................
2,000,000 ICG Services, Inc. 144A sr. disc. notes
stepped-coupon zero %, (9 7/8s, 5/1/03),
2008 (STP) 1,237,500
....................................................................................................
110,000 TCI Satellite Entertainment Inc. sr. sub.
notes 10 7/8s, 2007 110,000
....................................................................................................
30,000 TCI Satellite Entertainment, Inc. sr. disc.
notes stepped-coupon zero %
(12 1/4s, 2/102), 2007 (STP) 20,250
- ----------------------------------------------------------------------------------------------------
1,367,750
- ----------------------------------------------------------------------------------------------------
Shipping (--%)
....................................................................................................
100,000 Stena Line AB sr. notes 10 5/8s, 2008
(Sweden) 101,500
- ----------------------------------------------------------------------------------------------------
Specialty Consumer Products (0.6%)
....................................................................................................
4,980,000 US West Capital Funding, Inc. company
guaranty 6 1/4s, 2005 4,976,863
- ----------------------------------------------------------------------------------------------------
Telecommunications (0.8%)
....................................................................................................
1,500,000 Intermedia Communications, Inc. 144A
sr. notes 8.6s, 2008 1,511,250
....................................................................................................
4,140,000 Lucent Technologies, Inc. deb. 6 1/2s, 2028 4,179,123
....................................................................................................
1,000,000 Qwest Communications International, Inc.
sr. disc. notes stepped-coupon zero %
(8.29s, 2/1/03), 2008 (STP) 720,000
....................................................................................................
500,000 Telecom Tech, Inc. 144A sr. sub. notes
9 3/4s, 2008 508,750
- ----------------------------------------------------------------------------------------------------
6,919,123
- ----------------------------------------------------------------------------------------------------
Telephone Services (0.7%)
....................................................................................................
4,025,000 Bell South Telecommunications notes
6s, 2002 4,027,214
....................................................................................................
1,000,000 Level 3 Communication, Inc. 144A
sr. notes 9 1/8s, 2008 972,500
....................................................................................................
1,000,000 NTL Inc. sr. notes Ser. B, 10s, 2007
(United Kingdom) 1,070,000
- ----------------------------------------------------------------------------------------------------
6,069,714
- ----------------------------------------------------------------------------------------------------
Television (0.1%)
....................................................................................................
1,000,000 Granite Broadcasting Corp. 144A sr. sub.
notes 8 7/8s, 2008 1,011,250
- ----------------------------------------------------------------------------------------------------
Tobacco (1.0%)
....................................................................................................
840,000 Philip Morris Cos., Inc. notes
7 1/2s, 2004 882,235
....................................................................................................
2,705,000 Philip Morris Cos., Inc. notes 7 1/4s, 2003 2,788,774
....................................................................................................
1,750,000 Philip Morris Cos., Inc. notes 7 1/8s, 2004 1,802,728
....................................................................................................
4,395,000 Sampoerna International Finance Co.
144A company guaranty 8 3/8s, 2006
(Indonesia) 2,417,250
- ----------------------------------------------------------------------------------------------------
7,890,987
- ----------------------------------------------------------------------------------------------------
Utilities (4.7%)
....................................................................................................
3,610,000 Arizona Public Service Co. sr. notes
6 3/4s, 2006 3,680,070
....................................................................................................
1,415,000 CMS Energy Corp. sr. notes 8 1/8s, 2002 1,455,625
....................................................................................................
3,550,000 Connecticut Light & Power Co. 1st mtge.
Ser. A, 7 7/8s, 2001 3,633,780
....................................................................................................
2,035,000 Enersis S.A. ADR notes 6.6s, 2026 (Chile) 1,951,646
....................................................................................................
3,550,000 Israel Electric Corp., Ltd. 144A sr. notes
7 1/4s, 2006 (Israel) 3,686,569
....................................................................................................
3,000,000 Monongahela Power Co. 1st mtge.
8 5/8s, 2021 3,177,630
....................................................................................................
7,750,000 Ohio Edison Co. med. term notes
7 3/8s, 2023 8,128,433
....................................................................................................
3,000,000 Pacificorp secd. med. term notes
8.95s, 2011 3,700,110
....................................................................................................
4,000,000 Southwestern Public Service Co.
1st mtge. 8.2s, 2022 4,286,080
....................................................................................................
5,000,000 West Penn. Power Co. 1st mtge.
7 7/8s, 2022 5,302,200
- ----------------------------------------------------------------------------------------------------
39,002,143
- ----------------------------------------------------------------------------------------------------
Wireless Communications (0.1%)
....................................................................................................
1,000,000 Allbritton Communications Co. sr. sub.
notes Ser. B, 8 7/8s, 2008 1,080,000
- ----------------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $293,349,138) $302,973,529
- ----------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (13.4%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
Chase Mortgage Finance Corp.
....................................................................................................
$1,680,000 Ser. 98-52, Class A14, 6 3/4s, 2028 $1,691,025
....................................................................................................
3,204,384 Ser. 94-1, Class B2, 6.601s, 2025 3,224,661
....................................................................................................
Chase Mortgage Finance Corp. 144A
....................................................................................................
4,113,247 Ser. 94-1, Class B3, 6.601s, 2025 4,139,276
....................................................................................................
5,026,358 Ser. 94-1, Class B4, 6.601s, 2025 5,058,165
....................................................................................................
Commercial Mortgage Acceptance Corp.
....................................................................................................
2,000,000 Ser. 97-ML1, Class A2, 6.53s, 2030 2,045,938
....................................................................................................
7,710,000 Ser. 97-ML1, Class A3, 6.57s, 2030 7,909,978
....................................................................................................
Fannie Mae
....................................................................................................
4,720,726 Interest Only Strip Ser. 240, Class 2,
7s, 2023 1,063,639
....................................................................................................
7,662,861 Principal Only Strip Ser. 294, Class 1,
zero %, 2028 5,996,189
....................................................................................................
First Union-Lehman Brothers
Commercial Mortgage Co.
....................................................................................................
5,090,000 Ser. 98-C2, Class D, 6.778s, 2013 4,991,381
....................................................................................................
3,750,000 Ser. 97-C2, Class A3, 6.65s, 2008 3,849,023
....................................................................................................
70,505,000 Ser. 98-C2, Interest Only, 0.816s, 2028 3,205,774
....................................................................................................
10,736,967 Freddie Mac Interest Only Strip Ser. 194,
61/2s, 2028 3,051,647
....................................................................................................
GMAC Commercial Mortgage Securities Inc.
....................................................................................................
2,932,000 Ser. 98-C1, Class E, 7.153s, 2030 3,007,133
....................................................................................................
1,867,000 Ser. 98-C1, Class A2, 6.7s, 2030 1,926,511
....................................................................................................
4,185,000 Ser. 98-C1, Class A1, 6.44s, 2030 4,245,159
....................................................................................................
GS Mortgage Securities Corp. II
....................................................................................................
2,395,000 Ser. 98-GLII, Class A2, 6.562s, 2031 2,445,145
....................................................................................................
1,310,000 Ser. 98-GLII, Class D, 7.191s, 2031 1,331,697
....................................................................................................
4,622,000 Merrill Lynch Mortgage Investors, Inc.
Ser. 98-C2, Class D, 14.045s, 2030 4,693,497
....................................................................................................
1,450,000 Morgan Stanley Capital I Ser. 96-WF1,
Class A2, 7.218s, 2006 1,508,906
....................................................................................................
300,105 Morgan Stanley Mortgage Trust Ser. W,
Class 5, 9.05s, 2018 318,627
....................................................................................................
2,705,058 Paine Webber Mortgage Acceptance Corp.
Ser. 94-3, Class M1, 6 1/2s, 2024 2,667,864
....................................................................................................
Prudential Home Mortgage
Securities Co. 144A
....................................................................................................
4,899,601 Ser. 95-C, Class 2B, 7.84s, 2001 4,869,744
....................................................................................................
3,200,000 Ser. 94-A, Class 3B3, 6.803s, 2024 3,169,095
....................................................................................................
4,774,982 Ser. 94-28, Class B1, 6.803s, 2001 4,810,794
....................................................................................................
9,000,000 Ser. 94-A, Class 1B3, 6.802s, 2024 9,046,406
....................................................................................................
4,911,143 Ser. 93-31, Class B1, 6s, 2000 4,824,431
....................................................................................................
1,620,000 Residential Funding Mortgage Exchange
Corp. Ser. 98, Class B, 6 3/4s, 2008 1,618,995
....................................................................................................
14,024,605 Securitized Asset Sales, Inc. Ser. 93-J,
Class 1B1, 6.808s, November 28, 2023 13,919,421
....................................................................................................
372,001 Travelers Mortgage Securities Corp. coll.
oblig. Ser. 1, Class Z2, 12s, March 1, 2014 424,081
- ----------------------------------------------------------------------------------------------------
Total Collateralized Mortgage Obligations
(cost $102,842,512) $111,054,202
- ----------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BONDS AND NOTES (5.6%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
DEM 5,520,000 Germany (Federal Republic of)
Unity Fund bonds 8s, 2002 $3,418,888
....................................................................................................
DEM 18,045,000 Germany (Federal Republic of) bonds
Ser. 98, 5 5/8s, 2028 10,367,763
....................................................................................................
USD 5,715,000 Quebec (Province of) deb. Ser. NM,
7 1/8s, 2024 6,116,993
....................................................................................................
GBP 14,350,000 United Kingdom Treasury bonds 8s, 2007 26,300,056
- ----------------------------------------------------------------------------------------------------
Total Foreign Government Bonds
and Notes (cost $44,379,994) $46,203,700
- ----------------------------------------------------------------------------------------------------
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 $25,601,500
....................................................................................................
10,000,000 Green Tree Financial Corp. Ser. 93-3,
Class A5, 5 3/4s, 2018 9,953,100
....................................................................................................
3,180,688 Green Tree Recreational, Equipment &
Consumer Trust Ser. 98-A, Class A1C,
6.18s, 2019 3,183,670
- ----------------------------------------------------------------------------------------------------
Total Asset-Backed Securities
(cost $37,171,314) $38,738,270
- ----------------------------------------------------------------------------------------------------
MUNICIPAL BONDS AND NOTES (0.5%) * (cost $3,520,000)
- ----------------------------------------------------------------------------------------------------
Principal Amount Ratings Value
....................................................................................................
$3,520,000 NJ Econ. Dev. Auth. Municipal
Bond Investors Assurance
Corporation Rev. Bonds, Ser. A,
7.425s, 2/15/29 Aaa $4,002,240
- ----------------------------------------------------------------------------------------------------
UNITS (--%) * (cost $140,000)
- ----------------------------------------------------------------------------------------------------
Number of Units Value
....................................................................................................
140,000 Birch Telecom Inc., 144A units 14s, 2008 $140,175
- ----------------------------------------------------------------------------------------------------
WARRANTS (--%) * (NON) (cost $--)
- ----------------------------------------------------------------------------------------------------
Number of Warrants Expiration Date Value
....................................................................................................
140 Epic Resorts 6/15/05 $1
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (2.5%) * (cost $20,798,350)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$20,795,000 Interest in $750,000,000 joint repurchase
agreement dated June 30, 1998 with
Goldman, Sachs & Co. due July 1, 1998
with respect to various U.S. Treasury
obligations - maturity value of
$20,798,350 for an effective yield
of 5.8% $20,798,350
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $836,867,730) *** $861,494,078
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Buy at June 30, 1998 (Unaudited)
(aggregate face value $60,860,925)
- ----------------------------------------------------------------------------------------------------
Aggregate Delivery Unrealized
Market Value Face Value Date (Depreciation)
....................................................................................................
Australian Dollars $186,424 $187,724 9/16/98 $(1,300)
....................................................................................................
Deutschemarks 59,475,316 60,673,201 9/16/98 (1,197,885)
- ----------------------------------------------------------------------------------------------------
$(1,199,185)
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell at June 30, 1998 (Unaudited)
(aggregate face value $100,120,305)
- ----------------------------------------------------------------------------------------------------
Unrealized
Market Aggregate Delivery Appreciation/
Value Face Value Date (Depreciation)
....................................................................................................
British Pounds $26,221,347 $25,620,914 9/16/98 $(600,433)
....................................................................................................
Deutschemarks 73,107,710 74,499,391 9/16/98 1,391,681
- ----------------------------------------------------------------------------------------------------
$791,248
- ----------------------------------------------------------------------------------------------------
Futures Contracts Outstanding at June 30, 1998 (Unaudited)
- ----------------------------------------------------------------------------------------------------
Unrealized
Aggregate Expiration Appreciation/
Total Value Face Value Date (Depreciation)
....................................................................................................
U.S. Treasury Note
10 Yr (Long) $37,226,906 $36,869,250 Sep-98 $357,656
....................................................................................................
U.S. Treasury Bond
20 Yr (Long) 39,673,594 39,107,484 Sep-98 566,110
....................................................................................................
U.S. Treasury Note
5 Yr (Short) 103,654,688 103,082,840 Sep-98 (571,918)
- ----------------------------------------------------------------------------------------------------
$351,918
- ----------------------------------------------------------------------------------------------------
TBA Sales Commitments Outstanding at June 30, 1998 (Unaudited)
(proceeds receivable $30,659,537)
- ----------------------------------------------------------------------------------------------------
Principal Settlement Market
Description Amount Date Value
....................................................................................................
GNMA 7 1/2s, July 15, 2028 $29,753,000 7/21/98 $30,580,431
- ----------------------------------------------------------------------------------------------------
See page 113 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT Utilities Growth and Income Fund
Portfolio of investments owned
June 30, 1998 (Unaudited)
<CAPTION>
COMMON STOCKS (84.4%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Banks (0.4%)
....................................................................................................
27,500 Bankers Trust New York Corp. (CUS) $3,191,719
- ----------------------------------------------------------------------------------------------------
Building and Construction (0.6%)
....................................................................................................
53,000 Centrais Electricas Bras S. A. (Brazil) 1,558,150
....................................................................................................
245,800 Willbros Group, Inc. (NON) 3,840,625
- ----------------------------------------------------------------------------------------------------
5,398,775
- ----------------------------------------------------------------------------------------------------
Cellular Communications (0.2%)
....................................................................................................
180,000 PT Indosat ADR (Indonesia) 2,002,500
- ----------------------------------------------------------------------------------------------------
Conglomerates (0.5%)
....................................................................................................
82,500 Ogden Corp. 2,284,219
....................................................................................................
298,333 Telecom Italia SPA (Italy) 2,192,350
- ----------------------------------------------------------------------------------------------------
4,476,569
- ----------------------------------------------------------------------------------------------------
Electric Utilities (33.2%)
....................................................................................................
79,400 Ameren Corp. 3,156,150
....................................................................................................
158,200 Carolina Power & Light Co. 6,861,925
....................................................................................................
13,050 Chilectra S.A. 144A ADR (Chile) 280,575
....................................................................................................
45,400 CILCORP, Inc. 2,179,200
....................................................................................................
225,300 CiNergy Corp. 7,885,500
....................................................................................................
125,900 CMS Energy Corp. Class G 3,100,288
....................................................................................................
64,789 Companhia Energetica de Minas
Gerais ADR (Brazil) 1,976,049
....................................................................................................
171,000 Companhia Paranaense de
Energia-Copel ADR (Brazil) 1,581,750
....................................................................................................
156,500 Conectiv, Inc. 3,208,250
....................................................................................................
159,500 Consolidated Edison, Inc. 7,346,969
....................................................................................................
95,200 Dominion Resources, Inc. 3,879,400
....................................................................................................
436,000 DPL, Inc. 7,902,500
....................................................................................................
635,902 Duke Energy Corp. 37,677,194
....................................................................................................
53,000 Edison International 1,566,813
....................................................................................................
31,700 EDP-Electricidade de Portugal, S.A.
ADR (Portugal) (NON) 1,460,181
....................................................................................................
9,010 Empresa Bandeirante de Energia S.A.
(Brazil) (NON) 142,571
....................................................................................................
9,010 Empresa Paulista de Transmissao de
Energia Electrica S.A. (Brazil) 31,864
....................................................................................................
171,000 Energy East Corp. 7,117,875
....................................................................................................
454,100 Entergy Corp. 13,055,375
....................................................................................................
144,100 Florida Progress Corp. 5,926,113
....................................................................................................
134,100 GPU, Inc. 5,070,656
....................................................................................................
53,000 Hawaiian Electric Industries, Inc. 2,103,438
....................................................................................................
250,000 Houston Industries, Inc. 7,718,750
....................................................................................................
328,200 Iberdola S.A. (Spain) 5,325,981
....................................................................................................
328,200 Korea Electric Power Corp.
(South Korea) 3,509,598
....................................................................................................
5,300 Light Participacoes, S.A. (Brazil) (NON) 1,879
....................................................................................................
54,700 MidAmerican Energy Holdings Co. 1,182,888
....................................................................................................
262,400 New Century Energies, Inc. 11,922,800
....................................................................................................
139,600 New England Electric Systems Inc. 6,037,700
....................................................................................................
390,400 NIPSCO Industries, Inc. 10,931,200
....................................................................................................
607,000 Northeast Utilities Co. (NON) 10,281,063
....................................................................................................
218,400 OGE Energy Corp. 5,896,800
....................................................................................................
326,200 P P & L Resources, Inc. 7,400,663
....................................................................................................
53,000 PacifiCorp 1,199,125
....................................................................................................
243,400 Peco Energy Co. 7,104,238
....................................................................................................
83,000 Pinnacle West Capital Corp. 3,735,000
....................................................................................................
230,800 Potomac Electric Power Co. 5,784,425
....................................................................................................
148,280 Puget Sound Energy, Inc. 3,975,758
....................................................................................................
206,900 Scana Corp. 6,168,206
....................................................................................................
306,598 Scottish Power PLC (United Kingdom) 2,683,108
....................................................................................................
304,700 Sierra Pacific Resources 11,064,419
....................................................................................................
74,400 Southern Co. 2,059,950
....................................................................................................
137,600 Teco Energy, Inc. 3,689,400
....................................................................................................
227,600 Texas Utilities Co. 9,473,850
....................................................................................................
286,500 TNP Enterprises, Inc. 8,845,688
....................................................................................................
185,300 Union Electrica Fenosa S.A. (Spain) 2,385,087
....................................................................................................
53,000 UniSource Energy Corp. (NON) 834,750
....................................................................................................
106,100 United Illuminating Co. 5,371,313
....................................................................................................
86,300 Utilicorp United, Inc. 3,252,431
....................................................................................................
14,800 Viag AG (Germany) 10,169,627
....................................................................................................
391,700 Wisconsin Energy Corp. 11,897,888
- ----------------------------------------------------------------------------------------------------
293,414,221
- ----------------------------------------------------------------------------------------------------
Gas Pipelines (5.9%)
....................................................................................................
172,700 Coastal Corp. 12,056,619
....................................................................................................
299,600 El Paso Natural Gas Co. 11,459,700
....................................................................................................
328,200 Enron Corp. 17,743,313
....................................................................................................
127,000 Sonat, Inc. 4,905,375
....................................................................................................
164,200 Transportadora de Gas del S.A. ADR
(Argentina) 1,888,300
....................................................................................................
125,000 Williams Cos., Inc. 4,218,750
- ----------------------------------------------------------------------------------------------------
52,272,057
- ----------------------------------------------------------------------------------------------------
Gas Utilities (18.7%)
....................................................................................................
224,000 AGL Resources, Inc. 4,452,000
....................................................................................................
263,600 Atmos Energy Corp. 8,039,800
....................................................................................................
131,500 Bay State Gas Co. 5,038,094
....................................................................................................
122,900 Cascade Natural Gas Corp. 1,927,994
....................................................................................................
131,200 Central Hudson Gas & Electric 6,002,400
....................................................................................................
202,800 Columbia Gas System, Inc. 11,280,750
....................................................................................................
87,500 Connecticut Energy Corp. 2,439,063
....................................................................................................
232,800 Eastern Enterprises 9,981,300
....................................................................................................
344,000 Energen Corp. 6,923,000
....................................................................................................
63,700 Equitable Resources, Inc. 1,942,850
....................................................................................................
40,100 Indiana Energy, Inc. 1,197,988
....................................................................................................
195,400 K N Energy, Inc. 10,588,238
....................................................................................................
77,300 Laclede Gas Co. 1,893,850
....................................................................................................
224,400 Marketspan Corp. 6,717,975
....................................................................................................
190,600 MCN Corp. 4,741,175
....................................................................................................
195,600 National Fuel Gas Co. 8,520,825
....................................................................................................
40,000 New Jersey Resources Corp. 1,427,500
....................................................................................................
178,200 NICOR Inc. 7,150,275
....................................................................................................
80,450 North Carolina Natural Gas Corp. 2,041,419
....................................................................................................
263,800 Northwest Natural Gas Co. 7,378,156
....................................................................................................
134,400 NUI Corp. 3,418,800
....................................................................................................
183,100 ONEOK, Inc. 7,301,113
....................................................................................................
127,000 Peoples Energy Corp. 4,905,375
....................................................................................................
108,800 Piedmont Natural Gas Co., Inc. 3,658,400
....................................................................................................
37,100 Providence Energy Corp. 781,419
....................................................................................................
115,000 Public Service Co. of North Carolina, Inc. 2,501,250
....................................................................................................
137,600 Questar Corp. 2,700,400
....................................................................................................
474,955 Sempra Energy (NON) 13,180,001
....................................................................................................
43,600 South Jersey Industries, Inc. 1,204,450
....................................................................................................
115,000 Southwest Gas Corp. 2,810,313
....................................................................................................
109,500 Washington Gas Light Co. 2,929,125
....................................................................................................
148,200 Westcoast Energy, Inc. 3,306,713
....................................................................................................
168,200 WICOR, Inc. 3,889,625
....................................................................................................
111,700 Yankee Energy System, Inc. 2,750,613
- ----------------------------------------------------------------------------------------------------
165,022,249
- ----------------------------------------------------------------------------------------------------
Oil and Gas (0.5%)
....................................................................................................
15,900 Mitchell Energy & Development Corp.
Class B 306,075
....................................................................................................
354,600 NGC Corp. 4,432,500
- ----------------------------------------------------------------------------------------------------
4,738,575
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (1.2%)
....................................................................................................
228,100 Pharmacia & Upjohn, Inc. 10,521,113
- ----------------------------------------------------------------------------------------------------
REIT's (1.1%)
....................................................................................................
188,433 Equity Office Properties Trust 5,346,786
....................................................................................................
94,700 Equity Residential Properties Trust 4,492,331
- ----------------------------------------------------------------------------------------------------
9,839,117
- ----------------------------------------------------------------------------------------------------
Retail (0.2%)
....................................................................................................
70,600 Toys "R" Us, Inc. (NON) 1,663,513
- ----------------------------------------------------------------------------------------------------
Telephone Services (1.1%)
....................................................................................................
280,700 Cincinnati Bell, Inc. 8,035,038
....................................................................................................
53,000 Philippine Long Distance
Telephone Co. ADR (Philippines) 1,199,125
....................................................................................................
116,500 PT Telekomunikasi Indonesia ADR
(Indonesia) (NON) 677,156
- ----------------------------------------------------------------------------------------------------
9,911,319
- ----------------------------------------------------------------------------------------------------
Telephone Utilities (20.3%)
....................................................................................................
630,300 American Telephone & Telegraph Co. 36,005,888
....................................................................................................
371,900 Ameritech Corp. 16,689,013
....................................................................................................
363,956 Bell Atlantic Corp. 16,605,493
....................................................................................................
321,900 BellSouth Corp. 21,607,538
....................................................................................................
54,700 Cable & Wireless PLC ADR
(United Kingdom) 2,017,063
....................................................................................................
222,200 GTE Corp. 12,359,875
....................................................................................................
47,700 Portugal Telecom S.A. (Portugal) 2,525,119
....................................................................................................
868,000 SBC Communications, Inc. 34,720,000
....................................................................................................
206,000 Sprint Corp. 14,523,000
....................................................................................................
65,000 Telebras Co. ADR (Brazil) 7,097,188
....................................................................................................
53,000 Telecom Argentina S.A. ADR
(Argentina) 1,580,063
....................................................................................................
25,630 Telecom Corp. of New Zealand Ltd.
(New Zealand) 430,904
....................................................................................................
47,700 Telecom Corp. of New Zealand Ltd. ADR
(New Zealand) 1,562,175
....................................................................................................
10,900 Telefonica de Argentina S.A. ADR
(Argentina) 353,569
....................................................................................................
169,800 Telefonica del Peru S.A. ADR (Peru) 3,470,288
....................................................................................................
164,200 U S West, Inc. 7,717,400
- ----------------------------------------------------------------------------------------------------
179,264,576
- ----------------------------------------------------------------------------------------------------
Tobacco (--%)
....................................................................................................
33,900 Dimon Inc. 381,375
- ----------------------------------------------------------------------------------------------------
Water Utilities (0.3%)
....................................................................................................
55,900 American Water Works, Inc. 1,732,900
....................................................................................................
51,900 Centrais Geradoras do Sul do Brasil
S.A. (Brazil) (NON) 70,905
....................................................................................................
9,010 Empresa Metropolitana de Aguas Energia
S.A. (Brazil) (NON) 677,795
....................................................................................................
9,010 Empresa Metropolitana de Aguas Energia
S.A. (Brazil) (NON) 7,012
- ----------------------------------------------------------------------------------------------------
2,488,612
- ----------------------------------------------------------------------------------------------------
Wireless Communications (0.2%)
....................................................................................................
63,500 360 Communications Co. (NON) 2,032,000
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $563,168,175) $746,618,290
- ----------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES (11.4%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
Cellular Communications (0.2%)
....................................................................................................
$2,000,000 AirTouch Communications, Inc. notes
6.65s, 2008 $2,007,500
- ----------------------------------------------------------------------------------------------------
Electric Utilities (7.3%)
....................................................................................................
1,000,000 Allegheny Generating Co. deb.
6 7/8s, 2023 995,910
....................................................................................................
2,000,000 Arizona Public Service Co. notes
6 1/4s, 2005 1,984,620
....................................................................................................
709,000 Arkansas Electric Corp. bonds
7.33s, 2008 739,934
....................................................................................................
1,000,000 Australian Gas Light Co. Ltd. 144A
sr. notes 6 3/8s, 2003 (Australia) 1,010,150
....................................................................................................
1,000,000 Chugach Electric Co. 1st mtge. Ser. A,
9.14s, 2022 1,205,240
....................................................................................................
1,000,000 Cleveland Electric Co. med. term notes
8.33s, 1998 1,006,310
....................................................................................................
1,200,000 CMS Energy Corp. pass through
certificates 7s, 2005 1,171,511
....................................................................................................
1,000,000 Commonwealth Edison Co. 1st mtge.
Ser. 83, 8s, 2008 1,123,770
....................................................................................................
1,000,000 Connecticut Light & Power Co. 1st mtge.
Ser. D, 7 7/8s, 2024 1,020,300
....................................................................................................
1,005,000 Connecticut Light & Power Co. 1st mtge.
Ser. A, 5 1/2s, 1999 998,176
....................................................................................................
2,000,000 Consolidated Edison, Inc. deb. 6.45s, 2007 2,028,500
....................................................................................................
1,500,000 Duquesne Light Co. deb. 8.7s, 2016 1,656,885
....................................................................................................
2,000,000 Edison Mission Energy 144A company
guaranty 7.33s, 2008 2,120,320
....................................................................................................
3,000,000 Hydro Quebec (Government of) guaranty
8.4s, 2022 (Canada) 3,662,910
....................................................................................................
1,000,000 Iberdrola S.A. notes 7 1/2s, 2002
(Spain) (NON) 1,046,330
....................................................................................................
1,468,788 Indiana-Michigan Power Co. deb.
9.82s, 2022 1,907,134
....................................................................................................
2,898,109 Indiana-Michigan Power Co. deb. Ser. E,
9.81s, 2022 3,791,480
....................................................................................................
2,000,000 Israel Electric Corp., Ltd. 144A sr. notes
7 1/4s, 2006 (Israel) 2,076,940
....................................................................................................
1,000,000 Kansas Gas & Electric deb. 8.29s, 2016 1,084,620
....................................................................................................
1,000,000 Kentucky Utilities Co. 1st mtge. Ser. R,
7.55s, 2025 1,074,600
....................................................................................................
1,500,000 Midwest Power Systems mtge.
6 3/4s, 2000 1,519,290
....................................................................................................
1,500,000 Ohio Edison Co. 1st mtge. 8 1/4s, 2002 1,596,045
....................................................................................................
1,146,000 Otter Tail Power Co. 1st mtge.
7 1/4s, 2002 1,202,601
....................................................................................................
2,000,000 Pacific Gas & Electric Co. sr. notes
7.1s, 2005 2,108,360
....................................................................................................
1,000,000 Philadelphia Electric Co. 1st ref. mtge.
8 5/8s, 2022 1,053,440
....................................................................................................
2,000,000 Potomac Electric Power Co. 1st mtge.
8 1/2s, 2027 2,144,260
....................................................................................................
2,000,000 Public Service Co. of Colorado coll. trust
6 3/8s, 2005 2,037,020
....................................................................................................
1,500,000 Sierra Pacific Power Co. med. term notes
Ser. C, 6.82s, 2006 1,562,055
....................................................................................................
3,000,000 South Carolina Electric & Gas Co. 1st mtge.
7 5/8s, 2025 3,285,030
....................................................................................................
3,830,000 Southern Investments Service Co. sr. notes
6.8s, 2006 (United Kingdom) 3,912,039
....................................................................................................
1,000,000 Southwestern Public Service Co. 1st mtge.
8.2s, 2022 1,071,520
....................................................................................................
3,000,000 System Energy Resources, Inc. deb.
7.38s, 2000 3,029,760
....................................................................................................
1,000,000 Texas Utilities Co. secd. lease fac. bonds
7.46s, 2015 1,051,240
....................................................................................................
1,600,000 Texas Utilities Electric Capital Trust V
company guaranty 8.175s, 2037 1,678,272
....................................................................................................
2,000,000 Utilicorp United, Inc. sr. notes 8.2s, 2007 2,199,720
....................................................................................................
1,000,000 West Penn. Power Co. 1st mtge.
7 7/8s, 2022 1,060,440
....................................................................................................
2,000,000 Western Resources, Inc. sr. notes
6 7/8s, 2004 2,044,380
- ----------------------------------------------------------------------------------------------------
64,261,112
- ----------------------------------------------------------------------------------------------------
Energy-Related (0.5%)
....................................................................................................
1,000,000 CalEnergy, Inc. sr. notes 7.63s, 2007 1,005,340
....................................................................................................
1,400,000 Niagara Mohawk Power Corp. sr. notes
Ser. F, 7 5/8s, 2005 1,405,936
....................................................................................................
1,575,000 Puget Sound Energy, Inc. med. term
sr. notes Ser. A, 7.02s, 2027 1,629,290
- ----------------------------------------------------------------------------------------------------
4,040,566
- ----------------------------------------------------------------------------------------------------
Gas Utilities (0.9%)
....................................................................................................
1,500,000 Columbia Gas System, Inc. notes Ser. E,
7.32s, 2010 1,571,355
....................................................................................................
1,850,000 K N Energy, Inc. sr. notes 6.45s, 2003 1,851,961
....................................................................................................
2,000,000 ONEOK Inc. deb. 9.7s, 2019 2,170,360
....................................................................................................
825,000 Salton Sea Funding Corp. company
guaranty Ser. E, 8.3s, 2011 915,478
....................................................................................................
1,500,000 Southwest Gas Corp. deb. 7 1/2s, 2006 1,626,780
- ----------------------------------------------------------------------------------------------------
8,135,934
- ----------------------------------------------------------------------------------------------------
Oil and Gas (0.6%)
....................................................................................................
1,250,000 Louis Dreyfus Natural Gas notes
6 7/8s, 2007 1,260,963
....................................................................................................
2,100,000 Oklahoma Gas & Electric Co. sr. notes
6.65s, 2027 2,217,033
....................................................................................................
2,000,000 Transcontinental Gas Pipeline Corp.
deb. 7 1/4s, 2026 2,080,660
- ----------------------------------------------------------------------------------------------------
5,558,656
- ----------------------------------------------------------------------------------------------------
Telephone Services (1.0%)
....................................................................................................
2,000,000 Century Telephone Enterprises, Inc. deb.
Ser. G, 6 7/8s, 2028 1,999,200
....................................................................................................
2,650,000 LCI International, Inc. sr. notes
7 1/4s, 2007 2,694,335
....................................................................................................
3,650,000 WorldCom, Inc. notes 7 3/4s, 2007 3,959,009
- ----------------------------------------------------------------------------------------------------
8,652,544
- ----------------------------------------------------------------------------------------------------
Telephone Utilities (0.7%)
....................................................................................................
2,000,000 Bell Atlantic Corp. deb. 7 7/8s, 2029 2,364,100
....................................................................................................
3,000,000 Bell South Telecommunication deb.
6 3/4s, 2033 2,934,960
....................................................................................................
1,000,000 Pacific Bell Co. deb. 7 3/4s, 2032 1,078,070
- ----------------------------------------------------------------------------------------------------
6,377,130
- ----------------------------------------------------------------------------------------------------
Water Utilities (0.2%)
....................................................................................................
1,500,000 Pennsylvania American Water Co.
144A mtge. 7.8s, 2026 1,682,130
- ----------------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $97,083,235) $100,715,572
- ----------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (1.7%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
U.S. Treasury Obligations (1.7%)
....................................................................................................
$2,290,000 U.S. Treasury Bonds 6 1/8s,
November 15, 2027 $2,453,872
....................................................................................................
U.S. Treasury Notes
....................................................................................................
8,260,000 6 1/4s, June 30, 2002 8,467,822
....................................................................................................
2,390,000 6s, July 31, 2002 2,430,301
....................................................................................................
2,050,000 5 1/2s, February 15, 2008 2,048,709
- ----------------------------------------------------------------------------------------------------
Total U.S. Government and
Agency Obligations
(cost $15,175,236) $15,400,704
- ----------------------------------------------------------------------------------------------------
PREFERRED STOCKS (0.3%) * (cost $2,750,000)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
110,000 Bankers Trust New York Corp. Ser. Q,
$1.395 ARP (CUS) $2,763,750
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (1.5%) * (cost $13,038,100)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$13,036,000 Interest in $750,000,000 joint repurchase
agreement dated June 30, 1998 with
Goldman, Sachs & Co. due July 1, 1998
with respect to various U.S. Treasury
obligations - maturity value of
$13,038,100 for an effective yield
of 5.8% $13,038,100
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $691,214,746) *** $878,536,416
- ----------------------------------------------------------------------------------------------------
See page 113 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT Vista Fund
Portfolio of investments owned
June 30, 1998 (Unaudited)
<CAPTION>
COMMON STOCKS (96.3%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Advertising (1.4%)
....................................................................................................
72,200 Omnicom Group, Inc. $3,600,975
- ----------------------------------------------------------------------------------------------------
Apparel (2.4%)
....................................................................................................
87,800 Jones Apparel Group, Inc. (NON) 3,210,188
....................................................................................................
47,100 Tommy Hilfiger Corp. (NON) 2,943,750
- ----------------------------------------------------------------------------------------------------
6,153,938
- ----------------------------------------------------------------------------------------------------
Banks (4.6%)
....................................................................................................
46,100 Northern Trust Corp. 3,515,125
....................................................................................................
62,550 Southtrust Corp. 2,720,925
....................................................................................................
49,000 State Street Corp. 3,405,500
....................................................................................................
47,600 Summit Bancorp 2,261,000
- ----------------------------------------------------------------------------------------------------
11,902,550
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (1.0%)
....................................................................................................
69,900 Danaher Corp. 2,564,456
- ----------------------------------------------------------------------------------------------------
Broadcasting (3.6%)
....................................................................................................
86,200 Chancellor Media Corp. (NON) 4,280,369
....................................................................................................
23,500 Clear Channel Communications, Inc. (NON) 2,564,438
....................................................................................................
86,400 Sinclair Broadcast Group, Inc. Class A (NON) 2,484,000
- ----------------------------------------------------------------------------------------------------
9,328,807
- ----------------------------------------------------------------------------------------------------
Business Services (3.9%)
....................................................................................................
78,600 Accustaff, Inc. (NON) 2,456,250
....................................................................................................
39,900 Cintas Corp. 2,034,900
....................................................................................................
64,750 Fiserv, Inc.(NON) 2,749,852
....................................................................................................
49,300 Robert Half International, Inc. (NON) 2,754,638
- ----------------------------------------------------------------------------------------------------
9,995,640
- ----------------------------------------------------------------------------------------------------
Cable Television (3.8%)
....................................................................................................
101,800 Comcast Corp. Special Class A 4,132,444
....................................................................................................
55,800 Tele-Comm Liberty Media Group, Inc.
Class A (NON) 2,165,738
....................................................................................................
173,400 Tele-Communications TCI Ventures
Group Class A (NON) 3,478,838
- ----------------------------------------------------------------------------------------------------
9,777,020
- ----------------------------------------------------------------------------------------------------
Cellular Communications (0.7%)
....................................................................................................
37,350 Cellular Communications International, Inc. (NO 1,862,831
- ----------------------------------------------------------------------------------------------------
Computer Distribution (0.5%)
....................................................................................................
30,900 Ingram Micro, Inc. Class A (NON) 1,367,325
- ----------------------------------------------------------------------------------------------------
Computer Services (2.4%)
....................................................................................................
45,300 America Online, Inc. (NON) 4,801,800
....................................................................................................
14,600 Lycos, Inc. (NON) 1,100,475
- ----------------------------------------------------------------------------------------------------
5,902,275
- ----------------------------------------------------------------------------------------------------
Computer Software (11.3%)
....................................................................................................
19,100 Aspect Development, Inc. (NON) 1,444,438
....................................................................................................
82,400 BMC Software, Inc. (NON) 4,279,650
....................................................................................................
94,000 Cadence Design Systems, Inc. (NON) 2,937,500
....................................................................................................
61,900 Compuware Corp. (NON) 3,164,638
....................................................................................................
77,500 EMC Corp. (NON) 3,472,969
....................................................................................................
52,800 Intuit, Inc. (NON) 3,234,000
....................................................................................................
65,100 PeopleSoft, Inc. (NON) 3,059,700
....................................................................................................
53,400 Sterling Commerce, Inc. (NON) 2,589,900
....................................................................................................
98,200 VERITAS Software Corp. (NON) 4,063,025
....................................................................................................
5,900 Yahoo, Inc. (NON) 929,250
- ----------------------------------------------------------------------------------------------------
29,175,070
- ----------------------------------------------------------------------------------------------------
Cosmetics (0.9%)
....................................................................................................
33,500 Estee Lauder Cos. Class A 2,334,531
- ----------------------------------------------------------------------------------------------------
Education Services (0.9%)
....................................................................................................
70,300 Apollo Group, Inc. Class A (NON) 2,324,294
- ----------------------------------------------------------------------------------------------------
Financial Services (9.1%)
....................................................................................................
22,400 Capital One Financial Corp. 2,781,800
....................................................................................................
54,100 Finova Group, Inc. 3,063,413
....................................................................................................
55,000 Greenpoint Finanacial Corp. 2,069,375
....................................................................................................
41,700 Lehman Brothers Holding, Inc. 3,234,356
....................................................................................................
59,700 Paine Webber Group, Inc. 2,567,100
....................................................................................................
48,700 Providian Financial Corp. 3,825,994
....................................................................................................
71,300 Schwab (Charles) Corp. 2,317,250
....................................................................................................
63,300 SunAmerica, Inc. 3,635,794
- ----------------------------------------------------------------------------------------------------
23,495,082
- ----------------------------------------------------------------------------------------------------
Food and Beverages (4.9%)
....................................................................................................
82,900 Coca Cola Enterprises, Inc. 3,253,825
....................................................................................................
105,000 International Home Foods Inc. 2,388,750
....................................................................................................
80,500 Rexall Sundown, Inc. (NON) 2,837,625
....................................................................................................
44,749 Suiza Foods Corp. 2,670,956
....................................................................................................
32,000 Twinlab Corp. (NON) 1,398,000
- ----------------------------------------------------------------------------------------------------
12,549,156
- ----------------------------------------------------------------------------------------------------
Gas Pipelines (0.9%)
....................................................................................................
69,900 Williams Cos., Inc. 2,359,125
- ----------------------------------------------------------------------------------------------------
Health Care Information Systems (0.7%)
....................................................................................................
54,600 Incyte Pharmaceuticals, Inc. (NON) 1,863,225
- ----------------------------------------------------------------------------------------------------
Health Care Services (0.8%)
....................................................................................................
76,500 HEALTHSOUTH Corp. (NON) 2,041,594
- ----------------------------------------------------------------------------------------------------
Hospital Management (1.3%)
....................................................................................................
98,850 Health Management Assoc., Inc. (NON) 3,305,297
- ----------------------------------------------------------------------------------------------------
Hotels (0.7%)
....................................................................................................
53,200 Marriott International, Inc. Class A 1,722,350
- ----------------------------------------------------------------------------------------------------
Insurance (3.7%)
....................................................................................................
39,150 AON Corp. 2,750,288
....................................................................................................
23,500 Hartford Financial Services Group (ITT) 2,687,813
....................................................................................................
39,700 Reliastar Financial Corp. 1,905,600
....................................................................................................
30,700 The PMI Group, Inc. 2,252,613
- ----------------------------------------------------------------------------------------------------
9,596,314
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (5.5%)
....................................................................................................
60,000 Henry Schein, Inc. (NON) 2,767,500
....................................................................................................
35,700 McKesson Corp. 2,900,625
....................................................................................................
78,100 Omnicare, Inc. 2,977,563
....................................................................................................
34,100 Sofamor Danek Group, Inc. (NON) 2,951,781
....................................................................................................
41,300 Steris Corp. (NON) 2,626,422
- ----------------------------------------------------------------------------------------------------
14,223,891
- ----------------------------------------------------------------------------------------------------
Networking Equipment (1.9%)
....................................................................................................
48,300 Ascend Communications, Inc. (NON) 2,393,869
....................................................................................................
97,200 FORE Systems, Inc. (NON) 2,575,800
- ----------------------------------------------------------------------------------------------------
4,969,669
- ----------------------------------------------------------------------------------------------------
Nursing Homes (0.6%)
....................................................................................................
27,400 Health Care & Retirement Corp. (NON) 1,080,588
....................................................................................................
10,100 Manor Care, Inc. 388,219
- ----------------------------------------------------------------------------------------------------
1,468,807
- ----------------------------------------------------------------------------------------------------
Office Equipment (1.6%)
....................................................................................................
100,200 Herman Miller, Inc. 2,436,113
....................................................................................................
46,300 HON INDUSTRIES, Inc. 1,574,200
- ----------------------------------------------------------------------------------------------------
4,010,313
- ----------------------------------------------------------------------------------------------------
Oil Services (1.2%)
....................................................................................................
29,300 Cooper Cameron Corp. (NON) 1,494,300
....................................................................................................
88,900 Global Industries, Ltd. (NON) 1,500,188
- ----------------------------------------------------------------------------------------------------
2,994,488
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (4.7%)
....................................................................................................
70,200 Centocor, Inc. (NON) 2,544,750
....................................................................................................
45,200 Elan Corp. PLC ADR (Ireland) (NON) 2,906,925
....................................................................................................
54,500 ICN Pharmaceuticals, Inc. 2,489,969
....................................................................................................
53,800 Quintiles Transnational Corp. (NON) 2,646,288
....................................................................................................
31,400 Watson Pharmaceuticals, Inc. (NON) 1,465,988
- ----------------------------------------------------------------------------------------------------
12,053,920
- ----------------------------------------------------------------------------------------------------
Publishing (0.8%)
....................................................................................................
85,500 Belo (A.H.) Corp. 2,084,063
- ----------------------------------------------------------------------------------------------------
Recreation (1.0%)
....................................................................................................
33,400 Royal Caribbean Cruises Ltd. 2,655,300
- ----------------------------------------------------------------------------------------------------
Retail (13.3%)
....................................................................................................
49,500 Abercrombie & Fitch Co. Class A (NON) 2,178,000
....................................................................................................
45,400 Bed Bath & Beyond, Inc. (NON) 2,352,288
....................................................................................................
81,500 Borders Group, Inc. (NON) 3,015,500
....................................................................................................
75,400 Costco Companies, Inc. (NON) 4,754,913
....................................................................................................
67,500 Family Dollar Stores, Inc. 1,248,750
....................................................................................................
69,700 Fred Meyer, Inc. (NON) 2,962,250
....................................................................................................
68,300 Kohls Corp. (NON) 3,543,063
....................................................................................................
67,500 Linens 'N Things, Inc. (NON) 2,062,969
....................................................................................................
92,000 Office Depot, Inc. (NON) 2,903,750
....................................................................................................
33,200 Payless Shoesource, Inc. (NON) 2,446,425
....................................................................................................
129,300 Pier 1 Imports, Inc. 3,087,038
....................................................................................................
148,400 TJX Cos., Inc. (The) 3,580,150
- ----------------------------------------------------------------------------------------------------
34,135,096
- ----------------------------------------------------------------------------------------------------
Supermarkets (0.7%)
....................................................................................................
39,900 Dominick's Supermarkets, Inc. (NON) 1,778,044
- ----------------------------------------------------------------------------------------------------
Telecommunication Equipment (3.1%)
....................................................................................................
57,000 Advanced Fibre Communications (NON) 2,283,563
....................................................................................................
44,300 Comverse Technology, Inc. (NON) 2,298,063
....................................................................................................
47,500 Tellabs, Inc. (NON) 3,402,188
- ----------------------------------------------------------------------------------------------------
7,983,814
- ----------------------------------------------------------------------------------------------------
Textiles (2.0%)
....................................................................................................
76,600 Mohawk Industries, Inc. (NON) 2,427,248
....................................................................................................
84,200 Westpoint Stevens, Inc. (NON) 2,778,600
- ----------------------------------------------------------------------------------------------------
5,205,848
- ----------------------------------------------------------------------------------------------------
Transportation (0.4%)
....................................................................................................
25,400 Expeditors International of Washington, Inc. 1,117,600
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $197,713,004) $247,902,708
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (4.3%) * (cost $11,033,777)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$11,032,000 Interest in $750,000,000 joint repurchase
agreement dated June 30, 1998 with
Goldman, Sachs & Co. due July 1, 1998
with respect to various U.S. Treasury
obligations - maturity value of
$11,033,777 for an effective yield
of 5.8% $11,033,777
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $208,746,781) *** $258,936,485
- ----------------------------------------------------------------------------------------------------
See page 113 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT Voyager Fund
Portfolio of investments owned
June 30, 1998 (Unaudited)
<CAPTION>
COMMON STOCKS (95.9%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Advertising (1.4%)
....................................................................................................
383,303 Lamar Advertising Co. (NON) $13,750,995
....................................................................................................
423,968 Omnicom Group, Inc. 21,145,404
....................................................................................................
1,481,469 Outdoor Systems, Inc. (NON) 41,481,132
....................................................................................................
95,059 TMP Worldwide Inc. (NON) 3,315,183
- ----------------------------------------------------------------------------------------------------
79,692,714
- ----------------------------------------------------------------------------------------------------
Aerospace and Defense (0.1%)
....................................................................................................
135,712 Orbital Sciences Corp. (NON) 5,072,236
- ----------------------------------------------------------------------------------------------------
Apparel (0.6%)
....................................................................................................
101,200 Gucci Group N.V. (Netherlands) 5,363,600
....................................................................................................
308,200 Jones Apparel Group, Inc. (NON) 11,268,563
....................................................................................................
82,300 Nike, Inc. 4,006,981
....................................................................................................
285,161 Stage Stores, Inc. (NON) 12,903,535
....................................................................................................
110,076 Wolverine World Wide, Inc. 2,387,273
- ----------------------------------------------------------------------------------------------------
35,929,952
- ----------------------------------------------------------------------------------------------------
Automotive (0.2%)
....................................................................................................
354,700 Snap-On Inc. 12,857,875
- ----------------------------------------------------------------------------------------------------
Banks (4.0%)
....................................................................................................
718,700 Banc One Corp. 40,112,444
....................................................................................................
524,220 BankAmerica Corp. 45,312,266
....................................................................................................
546,925 Fifth Third Bancorp 34,456,275
....................................................................................................
270,000 First Chicago NBD Corp. 23,928,750
....................................................................................................
302,400 First Union Corp. 17,614,800
....................................................................................................
121,600 NationsBank Corp. 9,302,400
....................................................................................................
226,800 PNC Bank Corp. 12,204,675
....................................................................................................
828,375 Washington Mutual, Inc. 35,982,539
- ----------------------------------------------------------------------------------------------------
218,914,149
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (--%)
....................................................................................................
66,273 General Signal Corp. 2,385,828
- ----------------------------------------------------------------------------------------------------
Broadcasting (5.8%)
....................................................................................................
3,306,975 CBS Corp. 104,996,456
....................................................................................................
1,185,328 Chancellor Media Corp. (NON) 58,858,944
....................................................................................................
898,379 Clear Channel Communications, Inc. (NON) 98,035,608
....................................................................................................
258,505 Heftel Broadcasting Corp. Class A (NON) 11,568,099
....................................................................................................
731,770 Sinclair Broadcast Group, Inc. Class A (NON) 21,038,388
....................................................................................................
262,900 Univision Communications Inc. Class A (NON) 9,793,025
....................................................................................................
417,183 Westwood One, Inc. (NON) 10,520,834
- ----------------------------------------------------------------------------------------------------
314,811,354
- ----------------------------------------------------------------------------------------------------
Building Products (0.3%)
....................................................................................................
315,200 Masco Corp. 19,069,600
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (0.6%)
....................................................................................................
499,000 Cintas Corp. 25,449,000
....................................................................................................
244,358 Renaissance Worldwide, Inc. (NON) 5,314,787
- ----------------------------------------------------------------------------------------------------
30,763,787
- ----------------------------------------------------------------------------------------------------
Business Services (5.1%)
....................................................................................................
75,855 Abacus Direct Corp. (NON) 3,939,719
....................................................................................................
369,504 Accustaff, Inc. (NON) 11,547,000
....................................................................................................
157,201 Affiliated Computer Services, Inc.
Class A (NON) 6,052,239
....................................................................................................
83,881 Airgas, Inc. (NON) 1,205,789
....................................................................................................
105,382 Applied Graphics Technologies, Inc. (NON) 4,821,227
....................................................................................................
2,802,159 Cendant Corp. (NON) 58,495,069
....................................................................................................
337,543 Interim Services Inc. (NON) 10,843,569
....................................................................................................
361,401 Interpublic Group Cos. Inc. 21,932,523
....................................................................................................
192,400 Metamor Worldwide, Inc. (NON) 6,770,075
....................................................................................................
74,500 NOVA Corp./Georgia (NON) 2,663,375
....................................................................................................
351,840 Paychex, Inc. 14,315,490
....................................................................................................
234,174 Payment Services., Inc. (NON) 5,956,801
....................................................................................................
7,553,800 Rentokil Group PLC (United Kingdom) 54,269,060
....................................................................................................
882,796 Robert Half International, Inc. (NON) 49,326,227
....................................................................................................
90,600 Select Appointments Holdings PLC
ADR (United Kingdom) 2,672,700
....................................................................................................
562,938 Serco Group PLC (United Kingdom) (NON) 12,968,154
....................................................................................................
205,274 Snyder Communications, Inc. (NON) 9,032,056
- ----------------------------------------------------------------------------------------------------
276,811,073
- ----------------------------------------------------------------------------------------------------
Cable Television (6.3%)
....................................................................................................
1,693,200 MediaOne Group Inc. (NON) 74,394,975
....................................................................................................
777,100 Tele-Comm Liberty Media Group, Inc.
Class A (NON) 30,161,194
....................................................................................................
5,833,778 Tele-Communications TCI ventures
Group Class A (NON) 117,040,171
....................................................................................................
2,776,037 Tele-Communications, Inc. Class A (NON) 106,703,922
....................................................................................................
558,200 USA Networks, Inc. (NON) 14,024,775
- ----------------------------------------------------------------------------------------------------
342,325,037
- ----------------------------------------------------------------------------------------------------
Computer Services (4.3%)
....................................................................................................
716,960 America Online, Inc. (NON) 75,997,760
....................................................................................................
627,891 Capita Group PLC (United Kingdom) 5,413,701
....................................................................................................
97,931 CheckFree Holdings Corp. (NON) 2,882,844
....................................................................................................
809,500 Electronic Data Systems Corp. 32,380,000
....................................................................................................
380,050 Getronics Electric N.V. (Netherlands) 19,673,834
....................................................................................................
204,573 IDT Corp. (NON) 6,149,976
....................................................................................................
800,850 Keane, Inc. (NON) 44,847,600
....................................................................................................
104,845 Misys PLC (United Kingdom) 5,950,787
....................................................................................................
809,991 Sterling Commerce, Inc. (NON) 39,284,564
....................................................................................................
25,107 Whittman-Hart, Inc. (NON) 1,214,551
- ----------------------------------------------------------------------------------------------------
233,795,617
- ----------------------------------------------------------------------------------------------------
Computer Software (9.8%)
....................................................................................................
853,889 BMC Software, Inc. (NON) 44,348,860
....................................................................................................
860,218 Cadence Design Systems, Inc. (NON) 26,881,813
....................................................................................................
180,400 CBT Group Public Ltd. Co. ADR
(Ireland) (NON) 9,651,400
....................................................................................................
116,503 Cerner Corp. (NON) 3,298,491
....................................................................................................
1,780,596 Computer Associates International, Inc. 98,934,365
....................................................................................................
1,451,091 Compuware Corp. (NON) 74,187,027
....................................................................................................
739,277 Electronic Arts, Inc. (NON) 39,920,958
....................................................................................................
832,275 EMC Corp. (NON) 37,296,323
....................................................................................................
445,818 Intuit, Inc. (NON) 27,306,353
....................................................................................................
36,300 Legato Systems, Inc. (NON) 1,415,700
....................................................................................................
349,562 Lernout & Hauspie Speech Products
N.V. (Belgium) (NON) 20,864,482
....................................................................................................
421,096 Microsoft Corp. (NON) 45,636,279
....................................................................................................
2,014,223 Parametric Technology Corp. (NON) 54,635,799
....................................................................................................
170,300 Saville Systems Ireland PLC ADR
(Ireland) (NON) 8,536,288
....................................................................................................
2,228,000 SEMA Group PLC (United Kingdom) 26,182,665
....................................................................................................
335,662 Synopsys, Inc. (NON) 15,356,537
....................................................................................................
51,119 Viasoft, Inc. (NON) 827,489
- ----------------------------------------------------------------------------------------------------
535,280,829
- ----------------------------------------------------------------------------------------------------
Conglomerates (1.4%)
....................................................................................................
1,243,800 Tyco International Ltd. (NON) 78,359,400
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (0.3%)
....................................................................................................
991,125 Luxottica Group S.P.A. ADR (Italy) 15,362,438
- ----------------------------------------------------------------------------------------------------
Consumer Services (0.3%)
....................................................................................................
423,150 The ServiceMaster Co. 16,106,147
- ----------------------------------------------------------------------------------------------------
Cosmetics (--%)
....................................................................................................
70,547 Thermolase Corp. (NON) 511,466
- ----------------------------------------------------------------------------------------------------
Educational Services (0.1%)
....................................................................................................
148,615 Apollo Group, Inc. Class A (NON) 4,913,583
- ----------------------------------------------------------------------------------------------------
Electric Utilities (0.3%)
....................................................................................................
237,804 CalEnergy, Inc. (NON) 7,148,983
....................................................................................................
178,000 Duke Energy Corp. 10,546,500
- ----------------------------------------------------------------------------------------------------
17,695,483
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (2.0%)
....................................................................................................
625,800 General Electric Co. 56,947,800
....................................................................................................
303,000 Hewlett-Packard Co. 18,142,125
....................................................................................................
172,566 Sanmina Corp. (NON) 7,485,050
....................................................................................................
171,349 Solectron Corp. (NON) 7,207,367
....................................................................................................
443,000 Thermo Instrument Systems, Inc. (NON) 11,628,750
....................................................................................................
109,425 Uniphase Corp. (NON) 6,869,838
....................................................................................................
50,007 Waters Corp. (NON) 2,947,288
- ----------------------------------------------------------------------------------------------------
111,228,218
- ----------------------------------------------------------------------------------------------------
Energy-Related (1.0%)
....................................................................................................
156,839 AES Corp. (NON) 8,243,850
....................................................................................................
1,319,932 Thermo Electron Corp. (NON) 45,125,175
- ----------------------------------------------------------------------------------------------------
53,369,025
- ----------------------------------------------------------------------------------------------------
Entertainment (0.1%)
....................................................................................................
152,039 Coach USA, Inc. (NON) 6,936,779
- ----------------------------------------------------------------------------------------------------
Environmental Control (1.2%)
....................................................................................................
64,190 Allied Waste Industries, Inc. (NON) 1,540,560
....................................................................................................
1,118,932 Republic Industries, Inc. (NON) 27,477,200
....................................................................................................
720,556 USA Waste Services, Inc. (NON) 35,577,453
- ----------------------------------------------------------------------------------------------------
64,595,213
- ----------------------------------------------------------------------------------------------------
Financial Services (6.5%)
....................................................................................................
679,856 American Express Co. 77,503,584
....................................................................................................
129,863 AMRESCO, Inc. (NON) 3,782,260
....................................................................................................
233,000 Associates First Capital Corp. 17,911,875
....................................................................................................
184,100 Concord EFS, Inc. (NON) 4,809,599
....................................................................................................
971,187 Fannie Mae 58,999,610
....................................................................................................
208,200 Finova Group, Inc. 11,789,325
....................................................................................................
220,637 FIRSTPLUS Financial Group, Inc. (NON) 7,942,932
....................................................................................................
995,786 Freddie Mac 46,864,179
....................................................................................................
741,981 MBNA Corp. 24,485,373
....................................................................................................
86,700 Merrill Lynch & Co., Inc. 7,998,075
....................................................................................................
311,300 Morgan Stanley, Dean Witter,
Discover and Co. 28,445,038
....................................................................................................
226,200 Providian Financial Corp. 17,770,838
....................................................................................................
184,700 Sirrom Capital Corp. 4,802,200
....................................................................................................
155,800 Star Banc Corp. 9,951,725
....................................................................................................
678,086 TCF Financial Corp. 20,003,537
....................................................................................................
135,100 The Equitable Companies, Inc. 10,124,056
- ----------------------------------------------------------------------------------------------------
353,184,206
- ----------------------------------------------------------------------------------------------------
Food and Beverages (1.8%)
....................................................................................................
477,300 Coca-Cola Enterprises, Inc. 18,734,025
....................................................................................................
277,100 PepsiCo, Inc. 11,413,056
....................................................................................................
142,000 The Quaker Oats Co. 7,801,125
....................................................................................................
767,247 Sara Lee Corp. 42,917,879
....................................................................................................
887,300 Whitman Corp. 20,352,444
- ----------------------------------------------------------------------------------------------------
101,218,529
- ----------------------------------------------------------------------------------------------------
Funeral/Cemetery Services (0.2%)
....................................................................................................
492,516 Stewart Enterprises, Inc. Class A 13,113,239
- ----------------------------------------------------------------------------------------------------
Gas Pipelines (0.4%)
....................................................................................................
89,250 Columbia Gas System, Inc. 4,964,531
....................................................................................................
178,800 El Paso Natural Gas Co. 6,839,100
....................................................................................................
244,900 Williams Cos., Inc. 8,265,375
- ----------------------------------------------------------------------------------------------------
20,069,006
- ----------------------------------------------------------------------------------------------------
Health Care Information Systems (0.7%)
....................................................................................................
1,136,168 HBO & Co. 40,049,922
- ----------------------------------------------------------------------------------------------------
Health Care Services (1.6%)
....................................................................................................
77,407 ABR Information Services, Inc. (NON) 1,838,416
....................................................................................................
114,871 CareMatrix Corp. (NON) 3,094,338
....................................................................................................
99,400 Concentra Managed Care, Inc. (NON) 2,584,400
....................................................................................................
724,309 HEALTHSOUTH Corp. (NON) 19,329,996
....................................................................................................
267,200 Hillebrand Industries, Inc. 16,032,000
....................................................................................................
99,626 IMS Health, Inc. (NON) 5,927,747
....................................................................................................
339,494 Lincare Holdings, Inc. (NON) 14,279,966
....................................................................................................
117,109 Parexel International Corp. (NON) 4,259,840
....................................................................................................
586,745 Total Renal Care Holdings, Inc. (NON) 20,242,703
- ----------------------------------------------------------------------------------------------------
87,589,406
- ----------------------------------------------------------------------------------------------------
Hospital Management (0.6%)
....................................................................................................
925,146 Health Management Assoc., Inc. (NON) 30,934,569
- ----------------------------------------------------------------------------------------------------
Information Systems (0.2%)
....................................................................................................
264,000 Galileo International, Inc. (NON) 11,896,500
- ----------------------------------------------------------------------------------------------------
Insurance (1.8%)
....................................................................................................
372,200 AFLAC Inc. 11,282,313
....................................................................................................
588,300 American General Corp. 41,879,606
....................................................................................................
125,938 American International Group, Inc. 18,386,948
....................................................................................................
194,600 AON Corp. 13,670,650
....................................................................................................
176,100 Century Business Services, Inc. (NON) 3,522,000
....................................................................................................
178,000 Conseco Inc. 8,321,500
- ----------------------------------------------------------------------------------------------------
97,063,017
- ----------------------------------------------------------------------------------------------------
Lodging (0.6%)
....................................................................................................
704,438 Extended Stay America, Inc. (NON) 7,924,928
....................................................................................................
400,800 Prime Hospitality Corp. (NON) 6,988,950
....................................................................................................
441,634 Promus Hotel Corp. (NON) 17,002,909
- ----------------------------------------------------------------------------------------------------
31,916,787
- ----------------------------------------------------------------------------------------------------
Machinery (0.1%)
....................................................................................................
96,443 Sidel S.A. (France) 7,003,040
- ----------------------------------------------------------------------------------------------------
Medical Management Services (--%)
....................................................................................................
25,800 NCS HealthCare, Inc. Class A (NON) 735,300
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (2.9%)
....................................................................................................
262,700 Bergen Brunswig Corp. Class A 12,182,713
....................................................................................................
126,105 Centocor, Inc. (NON) 4,571,306
....................................................................................................
122,392 Henry Schein, Inc. (NON) 5,645,331
....................................................................................................
248,624 Johnson & Johnson 18,336,020
....................................................................................................
162,835 Lifecore Biomedical, Inc. (NON) 2,686,778
....................................................................................................
355,930 Medtronic, Inc. 22,690,538
....................................................................................................
104,400 Minimed, Inc. (NON) 5,467,950
....................................................................................................
391,815 Omnicare, Inc. 14,937,947
....................................................................................................
52,800 Sofamor Danek Group, Inc. (NON) 4,570,500
....................................................................................................
101,135 Steris Corp. (NON) 6,431,554
....................................................................................................
830,566 Stryker Corp. 31,872,970
....................................................................................................
469,061 Sybron International Corp. (NON) 11,843,790
....................................................................................................
544,591 Thermo Cardiosystems, Inc. (NON) 12,389,445
....................................................................................................
84,000 Thermotrex Corp. (NON) 1,438,500
....................................................................................................
6,570 Trex Medical Corp. (NON) 108,405
....................................................................................................
107,800 U.S. Surgical Corp. 4,918,375
- ----------------------------------------------------------------------------------------------------
160,092,122
- ----------------------------------------------------------------------------------------------------
Networking (0.1%)
....................................................................................................
109,857 CIENA Corp. (NON) 7,648,794
- ----------------------------------------------------------------------------------------------------
Networking Equipment (1.4%)
....................................................................................................
965,267 Ascend Communications, Inc. (NON) 47,841,046
....................................................................................................
219,700 Cisco Systems, Inc. (NON) 20,226,131
....................................................................................................
247,400 FORE Systems, Inc. (NON) 6,556,100
- ----------------------------------------------------------------------------------------------------
74,623,277
- ----------------------------------------------------------------------------------------------------
Nursing Homes (0.3%)
....................................................................................................
360,300 Health Care & Retirement Corp. (NON) 14,209,331
- ----------------------------------------------------------------------------------------------------
Office Equipment (0.6%)
....................................................................................................
130,800 Avery Dennison Corp. 7,030,500
....................................................................................................
780,188 Viking Office Products, Inc. (NON) 24,478,399
- ----------------------------------------------------------------------------------------------------
31,508,899
- ----------------------------------------------------------------------------------------------------
Oil and Gas (2.5%)
....................................................................................................
279,448 BJ Services Co. (NON) 8,121,458
....................................................................................................
1,919 British Petroleum PLC ADR
(United Kingdom) 169,352
....................................................................................................
232,150 Camco International, Inc. 18,078,681
....................................................................................................
198,600 Halliburton Co. 8,850,113
....................................................................................................
428,250 Nabors Industries, Inc. 8,484,703
....................................................................................................
730,580 National-Oilwell, Inc. (NON) 19,588,676
....................................................................................................
290,102 Newpark Resources, Inc. (NON) 3,227,385
....................................................................................................
287,292 Schlumberger Ltd. 19,625,635
....................................................................................................
110,715 Smith International, Inc. (NON) 3,854,266
....................................................................................................
555,824 Total Corp. ADR (France) 36,336,994
....................................................................................................
534,137 Varco International, Inc. (NON) 10,582,589
- ----------------------------------------------------------------------------------------------------
136,919,852
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (0.2%)
....................................................................................................
312,100 Fort James Corp. 13,888,450
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (6.0%)
....................................................................................................
541,400 American Home Products Corp. 28,017,450
....................................................................................................
272,800 Bristol-Myers Squibb Co. 31,354,950
....................................................................................................
260,074 Dura Pharmaceuticals, Inc. (NON) 5,819,156
....................................................................................................
354,689 Elan Corp. PLC ADR (Ireland) (NON) 22,810,936
....................................................................................................
238,069 Gilead Sciences, Inc. (NON) 7,633,087
....................................................................................................
444,700 Merck & Co., Inc. 59,478,625
....................................................................................................
22,800 Novartis AG ADR (Switzerland) 37,884,924
....................................................................................................
252,800 Pfizer, Inc. 27,476,200
....................................................................................................
613,459 Pharmacia & Upjohn, Inc. 28,295,796
....................................................................................................
175,912 Quintiles Transnational Corp. (NON) 8,652,672
....................................................................................................
290,500 Schering-Plough Corp. 26,617,063
....................................................................................................
207,540 Sepracor, Inc. (NON) 8,612,910
....................................................................................................
70,000 Transkaryotic Therapies, Inc. (Malaysia) (NON) 1,802,500
....................................................................................................
281,308 Vertex Pharmaceuticals, Inc. (NON) 6,329,430
....................................................................................................
298,700 Warner-Lambert Co. 20,722,313
- ----------------------------------------------------------------------------------------------------
321,508,012
- ----------------------------------------------------------------------------------------------------
Publishing (1.6%)
....................................................................................................
309,900 Harcourt General, Inc. 18,439,050
....................................................................................................
168,400 McGraw-Hill, Inc. 13,735,125
....................................................................................................
125,662 Peterson Companies, Inc. Class A (NON) 3,220,089
....................................................................................................
272,200 Tribune Co. 18,730,763
....................................................................................................
225,602 Wolters Kluwer N.V. (Netherlands) (NON) 30,906,810
- ----------------------------------------------------------------------------------------------------
85,031,837
- ----------------------------------------------------------------------------------------------------
Railroads (0.2%)
....................................................................................................
214,000 GATX Corp. 9,389,250
- ----------------------------------------------------------------------------------------------------
Restaurants (0.9%)
....................................................................................................
194,350 Cracker Barrel Old Country Store, Inc. 6,170,613
....................................................................................................
2,449,756 J.D. Wetherspoon PLC (United Kingdom) 11,760,475
....................................................................................................
207,700 Landry's Seafood Restaurants, Inc. (NON) 3,758,072
....................................................................................................
203,200 McDonald's Corp. 14,020,800
....................................................................................................
192,751 Papa Johns International, Inc. (NON) 7,601,618
....................................................................................................
244,424 PizzaExpress PLC (United Kingdom) 3,512,050
- ----------------------------------------------------------------------------------------------------
46,823,628
- ----------------------------------------------------------------------------------------------------
Retail (12.8%)
....................................................................................................
332,200 Albertsons, Inc. 17,212,113
....................................................................................................
329,062 Bed Bath & Beyond, Inc. (NON) 17,049,525
....................................................................................................
180,222 Borders Group, Inc. (NON) 6,668,214
....................................................................................................
10,000 CompUSA, Inc. (NON) 180,625
....................................................................................................
215,251 Consolidated Stores Corp. (NON) 7,802,849
....................................................................................................
1,609,800 Costco Companies, Inc. (NON) 101,518,013
....................................................................................................
632,056 CVS Corp. 24,610,681
....................................................................................................
784,000 Dayton Hudson Corp. 38,024,000
....................................................................................................
263,520 Dollar General Corp. 10,425,510
....................................................................................................
906,308 Dollar Tree Stores, Inc. (NON) 36,818,742
....................................................................................................
1,197,472 Fred Meyer, Inc. (NON) 50,892,560
....................................................................................................
803,969 General Nutrition Companies, Inc. (NON) 25,023,535
....................................................................................................
520,100 Home Depot, Inc. (The) 43,200,806
....................................................................................................
1,388,234 Kohls Corp. (NON) 72,014,639
....................................................................................................
631,600 Lowe's Cos., Inc. 25,619,275
....................................................................................................
336,448 Michaels Stores, Inc. 11,870,306
....................................................................................................
1,103,852 Office Depot, Inc. (NON) 34,840,329
....................................................................................................
1,638,299 Officemax, Inc. (NON) 27,031,934
....................................................................................................
273,200 Payless Shoesource, Inc. (NON) 20,131,425
....................................................................................................
1,201,500 Rite Aid Corp. 45,131,344
....................................................................................................
996,220 Starbucks Corp. (NON) 53,235,506
....................................................................................................
783,600 TJX Cos., Inc. (The) 18,904,350
....................................................................................................
384,838 Williams-Sonoma, Inc. (NON) 12,242,659
- ----------------------------------------------------------------------------------------------------
700,448,940
- ----------------------------------------------------------------------------------------------------
Semiconductors (1.6%)
....................................................................................................
1 Analog Devices, Inc. (NON) 25
....................................................................................................
70,584 Galileo Technology Ltd. (Israel) (NON) 952,884
....................................................................................................
112,900 Intel Corp. 8,368,713
....................................................................................................
547,451 Linear Technology Corp. 33,018,138
....................................................................................................
1,133,098 Maxim Integrated Products Inc. (NON) 35,905,043
....................................................................................................
215,398 Sipex Corp. (NON) 4,631,057
....................................................................................................
77,600 Texas Instruments, Inc. 4,525,050
- ----------------------------------------------------------------------------------------------------
87,400,910
- ----------------------------------------------------------------------------------------------------
Specialty Consumer Products (0.6%)
....................................................................................................
219,143 Central Garden and Pet Co. (NON) 6,820,826
....................................................................................................
171,893 Fastenal Co. 7,982,282
....................................................................................................
472,150 Mattel, Inc. 19,977,847
- ----------------------------------------------------------------------------------------------------
34,780,955
- ----------------------------------------------------------------------------------------------------
Steel (0.1%)
....................................................................................................
229,200 Lone Star Technologies, Inc. (NON) 3,495,300
- ----------------------------------------------------------------------------------------------------
Telecommunication Equipment (0.6%)
....................................................................................................
277,151 Advanced Fibre Communications (NON) 11,103,362
....................................................................................................
67,300 Oy Nokia AB Class A, (Finland) 4,943,755
....................................................................................................
159,528 P-Com, Inc. (NON) 1,460,678
....................................................................................................
119,334 Premisys Communications, Inc. (NON) 2,968,433
....................................................................................................
201,558 Tellabs, Inc. (NON) 14,436,592
- ----------------------------------------------------------------------------------------------------
34,912,820
- ----------------------------------------------------------------------------------------------------
Telecommunications (1.1%)
....................................................................................................
234,350 Global Telesystems Group Inc. (NON) 11,424,563
....................................................................................................
515,084 PanAmSat Corp. (NON) 29,295,403
....................................................................................................
437,841 Qwest Communications International, Inc. (NON) 15,269,705
....................................................................................................
82,200 Southern New England
Telecommunications Corp. 5,384,100
- ----------------------------------------------------------------------------------------------------
61,373,771
- ----------------------------------------------------------------------------------------------------
Telecommunication Services (0.3%)
....................................................................................................
228,816 E. Spire Communications, Inc. (NON) 5,162,661
....................................................................................................
190,878 Metromedia Fiber Network, Inc. Class A (NON) 8,899,687
- ----------------------------------------------------------------------------------------------------
14,062,348
- ----------------------------------------------------------------------------------------------------
Telephone Services (1.9%)
....................................................................................................
239,334 Intermedia Communications, Inc. (NON) 10,037,070
....................................................................................................
242,900 MCI Communications Corp. 14,118,570
....................................................................................................
343,200 McLeod, Inc. Class A (NON) 13,341,900
....................................................................................................
207,931 NEXTLINK Communications, Inc. Class A (NON) 7,875,387
....................................................................................................
87,700 RSL Communications, Ltd. Class A (NON) 2,631,000
....................................................................................................
493,600 Sprint Corp. 34,798,800
....................................................................................................
141,786 Teleglobe Inc. 3,757,329
....................................................................................................
33,907 Tel-Save Holdings, Inc. (NON) 500,128
....................................................................................................
324,100 WorldCom, Inc. (NON) 15,698,594
- ----------------------------------------------------------------------------------------------------
102,758,778
- ----------------------------------------------------------------------------------------------------
Trucking (0.2%)
....................................................................................................
280,800 Ryder System, Inc. 8,862,750
- ----------------------------------------------------------------------------------------------------
Wireless Communications (0.3%)
....................................................................................................
243,100 AirTouch Communications, Inc. (NON) 14,206,156
....................................................................................................
110,546 NEXTEL Communications, Inc. Class A (NON) 2,749,832
- ----------------------------------------------------------------------------------------------------
16,955,988
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $3,445,367,466) $5,238,257,336
- ----------------------------------------------------------------------------------------------------
UNITS (--%) * (cost $1,590,499)
- ----------------------------------------------------------------------------------------------------
Number of Units Value
....................................................................................................
51,222 Thermolase Corp. $832,358
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (3.9%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$25,000,000 Delaware Funding Corp., effective yield
of 5.52%, July 6, 1998 $24,980,833
....................................................................................................
25,000,000 Eureka Securitization effective yield
of 5.56%, July 15, 1998 24,945,944
....................................................................................................
25,000,000 Federal Home Loan Mortgage Corp.,
effective yield of 5.44%, August 27, 1998 24,784,667
....................................................................................................
99,152,000 Goldman Sachs Group effective yield
of 6.25%, July 1, 1998 99,152,000
....................................................................................................
25,000,000 HJ Heinz Co., effective yield of 5.53%,
August 5, 1998 24,865,590
....................................................................................................
15,000,000 Interest in $750,000,000 joint repurchase
agreement dated June 30, 1998 with
Goldman, Sachs & Co. due July 1, 1998
with respect to various U.S. Treasury
obligations - maturity value of
$15,002,417 for an effective yield
of 5.8% 15,002,417
- ----------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $213,731,451) $213,731,451
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $3,660,689,416) *** $5,452,821,145
- ----------------------------------------------------------------------------------------------------
See page 113 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Notes to the Portfolios
June 30, 1998 (Unaudited)
* Percentages indicated are based on net assets.
(NON) Non-income producing securities.
(STP) The interest or dividend rate and date shown parenthetically represents the new interest or dividend rate to be
paid and the date the fund will begin receiving interest or dividend income at this rate.
(POR) A portion of the income will be received in additional securities.
(RES) Restricted, excluding 144A securities, as to public resale. The total market value of restricted securities by
fund did not exceed 1% of each fund's net assets.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
# A portion of this securities were pledged and segregated with the custodian to cover margin requirements for
futures contracts on Putnam VT Diversified Fund, Putnam VT Global Asset Allocation Fund and Putnam VT U.S.
Government and High Quality Bond Fund at June 30, 1998.
(CUS) The entity provides subcustodian services to the fund.
(ITT) ITT Hartford, through its subsidiaries, offers variable annuity products which invest in the funds.
(R) Real Estate Investment Trust.
144A after the name of a security represents those exempt from registration under Rule 144A of the Securities
Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified
institutional buyers.
ADR, ADS or GDR after the name of a foreign holding stands for American Depository Receipts, American Depository
Shares and Global Depository Receipts, respectively, representing ownership of foreign securities on deposit with
a custodian bank.
TBA after the name of a security represents to be announced securities (Note 1).
MBIA represents Municipal Bond Investors Assurance Corporation.
FLIRB represents Front Loaded Interest Reduction Bond.
The rate shown on Floating Rate Bonds (FRB) and Floating Rate Notes (FRN) are the current interest rates shown at
June 30, 1998, which are subject to change based on the terms of the security.
*** On June 30, 1998, the composition of unrealized appreciation and (depreciation) of investment securities based on
the aggregate cost of investments on a tax basis was as follows:
<S> <C> <C> <C> <C>
Federal Tax
Appreciation Depreciation Net Cost
------------- ------------ ------------- -------------
Putnam VT Asia Pacific Growth Fund $4,339,730 $10,594,000 $(6,254,270) $100,008,124
Putnam VT Diversified Income Fund 64,352,755 62,094,299 2,258,456 670,904,367
Putnam VT The George Putnam Fund of Boston 249,377 264,253 (14,876) 17,781,363
Putnam VT Global Asset Allocation Fund 181,589,167 22,953,999 158,635,168 880,344,569
Putnam VT Global Growth Fund 413,775,238 43,201,8471 370,573,391 1,542,158,647
Putnam VT Growth & Income Fund 1,868,678,120 236,569,221 1,632,108,899 7,853,795,960
Putnam VT Health Sciences Fund 1,273,066 751,678 521,388 32,212,648
Putnam VT High Yield Fund 62,293,105 42,151,562 20,141,543 1,108,277,042
Putnam VT International Growth Fund 39,536,124 6,803,343 32,732,781 238,885,414
Putnam VT International Growth & Income Fund 44,228,031 15,816,928 28,411,103 268,816,469
Putnam VT International New Opportunities Fund 26,475,788 8,301,190 18,174,598 116,582,557
Putnam VT Investors Fund 1,832,788 323,159 1,509,629 35,491,917
Putnam VT Money Market Fund -- -- -- --
Putnam VT New Opportunities Fund 1,031,496,853 57,221,733 974,275,120 2,291,800,966
Putnam VT New Value Fund 19,318,098 9,757,385 9,560,713 234,854,369
Putnam VT OTC & Emerging Growth Fund 627,288 195,894 431,394 8,466,459
Putnam VT U.S. Government and High Quality Bond Fund 27,389,492 2,763,430 24,626,062 836,868,016
Putnam VT Utilities Growth and Income Fund 202,873,455 15,637,410 187,236,045 691,300,371
Putnam VT Vista Fund 53,354,189 3,261,595 50,092,594 208,843,891
Putnam VT Voyager Fund 1,897,063,349 108,790,188 1,788,273,161 3,664,547,984
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Assets and Liabilities
- ------------------------------------------------------------------------------------------------------------------------------------
June 30, 1998 (Unaudited)
Putnam VT Putnam VT Putnam VT Putnam VT
Asia Pacific Diversified The George Putnam Global Asset
Growth Fund Income Fund Fund of Boston Allocation Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments in securities, at value (Note 1).................. $ 92,156,597 $636,159,862 $13,989,879 $ 998,475,269
Repurchase agreements, at value (Note 1)...................... 1,597,257 37,002,961 3,776,608 40,504,468
Cash.......................................................... 9,944 7,579,962 62,807 51,407
Foreign currency, at value.................................... -- 344,793 -- 7,463,311
Dividends, interest, and other receivables.................... 224,140 9,706,916 50,942 5,529,842
Receivable for shares of the fund sold........................ -- 467,527 393,690 --
Receivable for securities sold................................ 2,475,806 5,059,881 170,572 17,676,308
Receivable for variation margin............................... -- 10,455 -- 569,922
Receivable for open forward currency contracts................ 315,434 1,968,542 -- 992,024
Receivable for closed forward currency contracts.............. -- 336,497 -- 724,939
Foreign tax reclaim........................................... 11,060 -- -- 136,714
....................................................................................................................................
Total assets.................................................. 96,790,238 698,637,396 18,444,498 1,072,124,204
....................................................................................................................................
Liabilities
Payable to subcustodian (Note 2).............................. -- -- -- --
Payable for securities purchased.............................. 3,271,383 27,083,720 1,011,323 20,534,611
Payable for shares of the fund repurchased.................... 66,365 -- -- 103,213
Payable for compensation of Manager (Note 2).................. 209,987 1,116,446 -- 1,681,467
Payable for investor servicing and custodian fees (Note 2).... 41,579 59,698 7,788 172,497
Payable for compensation of Trustees (Note 2)................. 5,670 15,911 729 18,179
Payable for administrative services (Note 2).................. 1,774 2,680 307 4,589
Payable for open forward currency contracts................... 774,613 2,529,297 -- 1,699,311
Payable for closed forward currency contracts................. -- 1,834,215 -- 140,581
Payable for swap contracts (Note 1)........................... -- -- -- --
TBA sale commitments, at value (Note 1)....................... -- -- -- --
Other accrued expenses........................................ 17,096 28,948 4,027 25,642
....................................................................................................................................
Total liabilities............................................. 4,388,467 32,670,915 1,024,174 23,380,090
....................................................................................................................................
Net assets.................................................... $ 92,401,771 $665,966,481 $17,420,324 $1,047,744,114
....................................................................................................................................
Represented by:
Paid-in capital (Notes 1, 4 and 5)............................ $124,051,480 $639,759,540 $17,395,629 $ 831,902,984
Undistributed net investment income (loss) (Note 1)............ (845,708) 25,612,863 46,408 11,610,549
Accumulated net realized gain (loss) on investments
and foreign currency transactions (Note 1).................. (25,185,891) (3,464,878) (6,837) 46,476,445
Net unrealized appreciation (depreciation) of
investments and assets and liabilities in
foreign currencies.......................................... (5,618,110) 4,058,956 (14,876) 157,754,136
....................................................................................................................................
Total--Representing net assets applicable to capital
shares outstanding.......................................... $ 92,401,771 $665,966,481 $17,420,324 $1,047,744,114
....................................................................................................................................
Computation of net asset value Class IA
Net Assets.................................................... $ 92,400,866 $665,950,843 $17,419,327 $1,047,740,892
Number of shares outstanding.................................. 11,927,665 60,900,841 1,747,228 56,831,485
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)...................................... $ 7.75 $ 10.94 $ 9.97 $ 18.44
....................................................................................................................................
Computation of net asset value Class IB
Net Assets.................................................... $ 905 $ 15,638 $ 997 $ 3,222
Number of shares outstanding.................................. 117 1,430 100 175
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)...................................... $7.75 $10.94 $9.97 $18.44
....................................................................................................................................
Cost of investments, including repurchase agreement (Note 1).. $ 98,900,270 $668,772,476 $17,781,363 $ 878,493,607
Cost of foreign currency (Note 1)............................. -- 345,730 -- 7,583,686
TBA sale commitments proceeds receivable (Note 1)............. -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Assets and Liabilities (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
June 30, 1998 (Unaudited)
Putnam VT Putnam VT Putnam VT Putnam VT
Global Growth Growth Health Sciences High Yield
Fund and Income Fund Fund Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments in securities, at value (Note 1).................. $1,875,360,070 $9,443,767,071 $27,171,140 $1,112,470,016
Repurchase agreements, at value (Note 1)...................... 37,371,968 42,137,788 5,562,896 15,948,569
Cash.......................................................... 938,541 -- 12,915 81,462
Foreign currency, at value.................................... 1,822,946 -- 23,005 367
Dividends, interest, and other receivables.................... 2,150,148 18,222,255 7,296 18,325,198
Receivable for shares of the fund sold........................ -- 1,980,441 875,346 185,341
Receivable for securities sold................................ 32,193,195 72,349,807 42,495 8,713,617
Receivable for variation margin............................... -- -- -- --
Receivable for open forward currency contracts................ 5,293 51,737 -- 21,014
Receivable for closed forward currency contracts.............. -- -- -- --
Foreign tax reclaim........................................... 927,803 190,926 -- --
....................................................................................................................................
Total assets.................................................. 1,950,769,964 9,578,700,025 33,695,093 1,155,745,584
....................................................................................................................................
Liabilities
Payable to subcustodian (Note 2).............................. -- 10,183 -- --
Payable for securities purchased.............................. 40,011,127 71,873,687 3,025,551 8,350,721
Payable for shares of the fund repurchased.................... 277,052 39,536 -- --
Payable for compensation of Manager (Note 2).................. 2,784,264 10,848,362 12,190 1,794,530
Payable for investor servicing and custodian fees (Note 2).... 313,093 295,568 7,037 30,023
Payable for compensation of Trustees (Note 2)................. 30,192 63,385 781 12,281
Payable for administrative services (Note 2).................. 5,094 9,902 328 4,703
Payable for open forward currency contracts................... 210,526 -- -- --
Payable for closed forward currency contracts................. 196,972 -- -- --
Payable for swap contracts (Note 1)........................... 99,729 -- -- --
TBA sale commitments, at value (Note 1)....................... -- -- -- --
Other accrued expenses........................................ 27,199 193,478 2,770 33,532
....................................................................................................................................
Total liabilities............................................. 43,955,248 83,334,101 3,048,657 10,225,790
....................................................................................................................................
Net assets.................................................... $1,906,814,716 $9,495,365,924 $30,646,436 $1,145,519,794
....................................................................................................................................
Represented by:
Paid-in capital (Notes 1, 4 and 5)............................ $1,465,090,211 $7,338,349,734 $30,152,621 $1,063,728,405
Undistributed net investment income(loss) (Note 1)............ 62,477 65,990,292 19,635 54,183,267
Accumulated net realized gain (loss) on investments
and foreign currency transactions (Note 1).................. 80,329,451 453,243,293 (47,084) 7,117,761
Net unrealized appreciation (depreciation) of
investments and assets and liabilities in
foreign currencies.......................................... 361,332,577 1,637,782,605 521,264 20,490,361
....................................................................................................................................
Total--Representing net assets applicable to capital
shares outstanding.......................................... $1,906,814,716 $9,495,365,924 $30,646,436 $1,145,519,794
....................................................................................................................................
Computation of net asset value Class IA
Net Assets.................................................... $1,906,813,669 $9,495,359,107 $30,645,429 $1,145,518,797
Number of shares outstanding.................................. 100,993,124 346,526,427 3,043,654 88,375,499
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)...................................... $ 18.88 $ 27.40 $ 10.07 $ 12.96
....................................................................................................................................
Computation of net asset value Class IB
Net Assets.................................................... $ 1,047 $ 6,817 $ 1,007 $ 997
Number of shares outstanding.................................. 55 249 100 77
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)...................................... $ 18.88 $ 27.40 $ 10.07 $ 12.96
....................................................................................................................................
Cost of investments, including repurchase agreement (Note 1).. $1,550,971,056 $7,848,174,968 $32,212,648 $1,107,949,198
Cost of foreign currency (Note 1)............................. 1,998,550 -- 23,129 364
TBA sale commitments proceeds receivable (Note 1)............. -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Assets and Liabilities (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
June 30, 1998 (Unaudited) Putnam VT
Putnam VT International Putnam VT Putnam VT
International Growth and International New Investors
Growth Fund Income Fund Opportunities Fund Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments in securities, at value (Note 1).................. $247,615,328 $290,257,449 $131,170,577 $31,836,714
Repurchase agreements, at value (Note 1)...................... 24,002,867 6,970,123 3,586,578 5,164,832
Cash.......................................................... 307,654 -- 55,224 623
Foreign currency, at value.................................... -- -- 316,961 --
Dividends, interest, and other receivables.................... 416,818 718,573 418,873 12,753
Receivable for shares of the fund sold........................ 587,801 567,318 59,639 883,222
Receivable for securities sold................................ 6,094,315 3,000,707 1,568,315 48,363
Receivable for variation margin............................... -- -- -- --
Receivable for open forward currency contracts................ -- -- -- --
Receivable for closed forward currency contracts.............. 109,846 171,510 -- --
Foreign tax reclaim........................................... 334,122 391,423 40,217 --
....................................................................................................................................
Total assets.................................................. 279,468,751 302,077,103 137,216,384 37,946,507
....................................................................................................................................
Liabilities
Payable to subcustodian (Note 2).............................. -- 215,834 -- --
Payable for securities purchased.............................. 15,958,613 3,388,691 5,336,822 2,916,695
Payable for shares of the fund repurchased.................... -- -- -- --
Payable for compensation of Manager (Note 2).................. 465,002 589,213 397,350 18,522
Payable for investor servicing and custodian fees (Note 2).... 66,429 71,361 45,193 2,717
Payable for compensation of Trustees (Note 2)................. 2,375 5,725 2,980 338
Payable for administrative services (Note 2).................. 1,795 1,826 1,774 142
Payable for open forward currency contracts................... 419,037 658,851 -- --
Payable for closed forward currency contracts................. -- -- -- --
Payable for swap contracts (Note 1)........................... -- -- -- --
TBA sale commitments, at value (Note 1)....................... -- -- -- --
Other accrued expenses........................................ 16,793 21,309 20,095 1,201
....................................................................................................................................
Total liabilities............................................. 16,930,044 4,952,810 5,804,214 2,939,615
....................................................................................................................................
Net assets.................................................... 262,538,707 297,124,293 131,412,170 35,006,892
....................................................................................................................................
Represented by:
Paid-in capital (Notes 1, 4 and 5)............................ $226,011,253 $257,721,892 $119,337,451 $33,536,697
Undistributed net investment income (loss) (Note 1)............ 1,919,185 4,149,774 8,531 24,075
Accumulated net realized gain (loss) on investments
and foreign currency transactions (Note 1).................. 1,398,560 7,080,388 (6,770,324) (63,508)
Net unrealized appreciation (depreciation) of
investments and assets and liabilities in
foreign currencies.......................................... 33,209,709 28,172,239 18,836,512 1,509,628
....................................................................................................................................
Total--Representing net assets applicable to capital
shares outstanding.......................................... $262,538,707 $297,124,293 $131,412,170 $35,006,892
....................................................................................................................................
Computation of net asset value Class IA
Net Assets.................................................... $262,527,666 $297,118,984 $131,411,155 $35,005,833
Number of shares outstanding.................................. 19,172,477 22,379,002 11,368,991 3,305,660
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)...................................... $ 13.69 $ 13.28 $ 11.56 $ 10.59
....................................................................................................................................
Computation of net asset value Class IB
Net Assets.................................................... $ 11,041 5,309 $ 1,015 $ 1,059
Number of shares outstanding.................................. 806 400 88 100
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)...................................... $ 13.69 $ 13.28 $ 11.56 $ 10.59
....................................................................................................................................
Cost of investments, including repurchase agreement (Note 1).. $237,982,723 $268,395,010 $115,917,550 $35,491,918
Cost of foreign currency (Note 1)............................. -- -- 332,476 --
TBA sale commitments proceeds receivable (Note 1)............. -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Assets and Liabilities (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
June 30, 1998 (Unaudited)
Putnam VT Putnam VT Putnam VT Putnam VT
Money New Opportunities New Value OTC & Emerging
Market Fund Fund Fund Growth Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments in securities, at value (Note 1).................. $453,341,268 $3,187,947,501 $229,476,676 $8,897,853
Repurchase agreements, at value (Note 1)...................... -- 78,128,585 14,938,406 --
Cash.......................................................... -- 1,159,074 76,742 1,722
Foreign currency, at value.................................... -- -- -- --
Dividends, interest, and other receivables.................... 1,583,054 612,062 517,552 13,557
Receivable for shares of the fund sold........................ -- 3,558,510 269,024 178,146
Receivable for securities sold................................ -- 31,270,659 5,622,466 78,285
Receivable for variation margin............................... -- -- -- --
Receivable for open forward currency contracts................ -- -- 5,030 --
Receivable for closed forward currency contracts.............. -- -- -- --
Foreign tax reclaim........................................... -- -- -- --
....................................................................................................................................
Total assets.................................................. 454,924,322 3,302,676,391 250,905,896 9,169,563
....................................................................................................................................
Liabilities
Payable to subcustodian (Note 2).............................. -- -- -- --
Payable for securities purchased.............................. 4,997,076 9,458,349 3,495,790 111,849
Payable for shares of the fund repurchased.................... 3,720,931 -- 73 --
Payable for compensation of Manager (Note 2).................. 501,845 4,312,093 422,285 --
Payable for investor servicing and custodian fees (Note 2).... 42,828 57,480 28,608 5,803
Payable for compensation of Trustees (Note 2)................. 7,576 26,811 1,700 1,833
Payable for administrative services (Note 2).................. 1,526 8,044 1,660 767
Payable for open forward currency contracts................... -- -- -- --
Payable for closed forward currency contracts................. -- -- -- --
Payable for swap contracts (Note 1)........................... -- -- -- --
TBA sale commitments, at value (Note 1)....................... -- -- -- --
Other accrued expenses........................................ 17,151 32,881 12,383 11,425
....................................................................................................................................
Total liabilities............................................. 9,288,933 13,895,658 3,962,499 131,677
....................................................................................................................................
Net assets.................................................... 445,635,389 3,288,780,733 246,943,397 9,037,886
....................................................................................................................................
Represented by:
Paid-in capital (Notes 1, 4 and 5)............................ $445,635,389 $2,256,694,954 $231,279,361 $8,731,309
Undistributed net investment income (loss) (Note 1)............ -- (1,885,167) 1,306,543 4,218
Accumulated net realized gain (loss) on investments
and foreign currency transactions (Note 1).................. -- 57,821,505 4,782,150 ($129,035)
Net unrealized appreciation (depreciation) of
investments and assets and liabilities in
foreign currencies.......................................... -- 976,149,441 9,575,343 431,394
....................................................................................................................................
Total--Representing net assets applicable to capital
shares outstanding.......................................... $445,635,389 $3,288,780,733 $246,943,397 $9,037,886
....................................................................................................................................
Computation of net asset value Class IA
Net Assets.................................................... $445,634,380 $3,288,779,696 $246,942,397 $9,036,863
Number of shares outstanding.................................. 445,634,380 132,476,697 20,735,973 883,436
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)...................................... $ 1.00 $ 24.83 $ 11.91 $ 10.23
....................................................................................................................................
Computation of net asset value Class IB
Net Assets.................................................... $ 1,009 $ 1,037 $ 1,000 $ 1,023
Number of shares outstanding.................................. 1,009 42 84 100
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)...................................... $ 1.00 $ 24.83 $ 11.91 $ 10.23
....................................................................................................................................
Cost of investments, including repurchase agreement (Note 1).. $453,341,268 $2,289,926,837 $234,844,769 $8,466,459
Cost of foreign currency (Note 1)............................. -- -- -- --
TBA sale commitments proceeds receivable (Note 1)............. -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Assets and Liabilities (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
June 30, 1998 (Unaudited) Putnam VT
U.S. Government and Putnam VT Putnam VT Putnam VT
High Quality Utilities Growth Vista Voyager
Bond Fund and Income Fund Fund Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments in securities, at value (Note 1).................. $840,695,728 $865,498,316 $247,902,708 $5,437,818,728
Repurchase agreements, at value (Note 1)...................... 20,798,350 13,038,100 11,033,777 15,002,417
Cash.......................................................... 2,054,360 36,378 85,437 594,156
Foreign currency, at value.................................... -- -- -- --
Dividends, interest, and other receivables.................... 9,304,796 3,597,540 77,844 1,614,326
Receivable for shares of the fund sold........................ -- 130,849 575,246 2,293,976
Receivable for securities sold................................ 36,594,691 4,252,733 127,620 61,562,994
Receivable for variation margin............................... 18,703 -- -- --
Receivable for open forward currency contracts................ 1,391,681 -- -- --
Receivable for closed forward currency contracts.............. -- -- -- --
Foreign tax reclaim........................................... -- 40,139 -- --
....................................................................................................................................
Total assets.................................................. 910,858,309 886,594,055 259,802,632 5,518,886,597
....................................................................................................................................
Liabilities
Payable to subcustodian (Note 2).............................. -- -- -- --
Payable for securities purchased.............................. 46,923,322 -- 2,028,661 51,611,764
Payable for shares of the fund repurchased.................... 43,510 54,502 -- --
Payable for compensation of Manager (Note 2).................. 1,238,756 1,438,347 377,328 6,966,923
Payable for investor servicing and custodian fees (Note 2).... 52,957 74,998 34,142 185,974
Payable for compensation of Trustees (Note 2)................. 13,203 28,976 1,635 54,744
Payable for administrative services (Note 2).................. 2,576 2,772 1,650 8,818
Payable for open forward currency contracts................... 1,799,618 -- -- --
Payable for closed forward currency contracts................. -- -- -- --
Payable for swap contracts (Note 1)........................... -- -- -- --
TBA sale commitments, at value (Note 1)....................... 30,580,431 -- -- --
Other accrued expenses........................................ 136,194 19,788 10,863 51,660
....................................................................................................................................
Total liabilities............................................. 80,790,567 1,619,383 2,454,279 58,879,883
....................................................................................................................................
Net assets.................................................... $830,067,742 $884,974,672 $257,348,353 $5,460,006,714
....................................................................................................................................
Represented by:
Paid-in capital (Notes 1, 4 and 5)............................ $774,178,856 $664,067,459 $205,749,952 $3,458,926,215
Undistributed net investment income(loss) (Note 1)............ 22,984,191 13,769,269 (150,390) 3,604,481
Accumulated net realized gain (loss) on investments
and foreign currency transactions (Note 1).................. 8,255,233 19,819,822 1,559,087 205,344,289
Net unrealized appreciation (depreciation) of
investments and assets and liabilities in
foreign currencies.......................................... 24,649,462 187,318,122 50,189,704 1,792,131,729
....................................................................................................................................
Total--Representing net assets applicable to capital
shares outstanding.......................................... $830,067,742 $884,974,672 $257,348,353 $5,460,006,714
....................................................................................................................................
Computation of net asset value Class IA
Net Assets.................................................... $830,066,716 $884,973,656 $257,335,551 $5,459,943,223
Number of shares outstanding.................................. 62,775,955 53,780,037 17,876,064 126,509,610
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)...................................... $ 13.22 $ 16.46 $ 14.40 $ 43.16
....................................................................................................................................
Computation of net asset value Class IB
Net Assets.................................................... $ 1,026 $ 1,016 $ 12,802 $ 63,491
Number of shares outstanding.................................. 78 62 889 1,471
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)...................................... $ 13.22 $ 16.46 $ 14.40 $ 43.16
....................................................................................................................................
Cost of investments, including repurchase agreement (Note 1).. $836,867,730 $691,214,746 $208,746,781 $3,660,689,416
Cost of foreign currency (Note 1)............................. -- -- -- --
TBA sale commitments proceeds receivable (Note 1)............. $ 30,659,537 -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Operations
- ------------------------------------------------------------------------------------------------------------------------------------
Six months ended June 30, 1998 (Unaudited)
Putnam VT Putnam VT Putnam VT Putnam VT
Asia Pacific Diversified The George Putnam Global Asset
Growth Fund Income Fund Fund of Boston** Allocation Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends..................................................... $ 1,276,600 $ 1,265,945 $19,791 $ 5,019,832
Interest...................................................... 53,783 28,488,662 39,476 12,612,042
Less: foreign taxes withheld.................................. (91,562) -- -- (119,692)
....................................................................................................................................
Total investment income....................................... 1,238,821 29,754,607 59,267 17,512,182
....................................................................................................................................
Expenses:
Compensation of Manager (Note 2).............................. 429,127 2,164,331 9,833 3,266,682
Investor servicing and custodian fees (Note 2)................ 121,472 332,906 8,008 627,167
Compensation of Trustees (Note 2)............................. 6,239 11,966 729 13,087
Administrative services (Note 2).............................. 3,491 5,264 307 9,081
Distribution fees--Class IB.................................... -- 2 -- --
Auditing...................................................... 12,386 28,334 3,874 21,945
Legal......................................................... 2,427 1,544 430 5,412
Other......................................................... 1,644 13,236 -- 1,241
Fees waived and reimbursed by Manager (Note 2)................ -- -- (10,322) --
....................................................................................................................................
Total expenses................................................ 576,786 2,557,583 12,859 3,944,615
....................................................................................................................................
Expense reduction (Note 2).................................... (25,589) (151,821) -- (147,273)
Net expenses.................................................. 551,197 2,405,762 12,859 3,797,342
....................................................................................................................................
Net investment income (loss).................................. 687,624 27,348,845 46,408 13,714,840
....................................................................................................................................
Net realized gain (loss) on investments (Notes 1 and 3)....... (13,702,157) 587,029 (6,837) 40,240,925
Net realized gain on futures contracts (Note 1)............... -- 731,942 -- 7,521,790
Net realized gain on written options (Notes 1 and 3).......... -- (171,124) -- (27,795)
Net realized gain (loss) on foreign currency transactions
(Note 1)..................................................... 2,814,198 (5,001,641) -- (2,035,950)
Net unrealized appreciation (depreciation) of assets and
liabilities in foreign currencies during the period.......... (1,853,741) 1,089,453 -- (805,592)
Net unrealized appreciation (depreciation) of investments,
futures contracts, written options, swap contracts and
TBA sale commitments during the period....................... (762,024) (7,164,409) (14,876) 40,738,495
....................................................................................................................................
Net gain (loss) on investments................................ (13,503,724) (9,928,750) (21,713) 85,631,873
....................................................................................................................................
Net increase (decrease) in net assets resulting
from operations.............................................. $(12,816,100) $17,420,095 $24,695 $99,346,713
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Operations (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
Six months ended June 30, 1998 (Unaudited)
Putnam VT Putnam VT Putnam VT Putnam VT
Global Growth Growth Health Sciences High Yield
Fund and Income Fund Fund** Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends..................................................... $ 12,442,011 $ 88,888,912 $ 12,584 $ 4,657,871
Interest...................................................... 853,523 4,265,955 30,564 54,360,282
Less: foreign taxes withheld.................................. (983,275) (464,240) -- --
....................................................................................................................................
Total investment income....................................... 12,312,259 92,690,627 43,148 59,018,153
....................................................................................................................................
Expenses:
Compensation of Manager (Note 2).............................. 5,276,068 20,858,393 18,824 3,503,045
Investor servicing and custodian fees (Note 2)................ 1,054,375 1,711,553 8,132 313,882
Compensation of Trustees (Note 2)............................. 24,267 62,759 781 8,886
Administrative services (Note 2).............................. 9,967 19,543 328 11,209
Distribution fees--Class IB.................................... -- -- -- --
Auditing...................................................... 28,535 33,506 2,310 16,871
Legal......................................................... 8,132 31,499 460 31,785
Other......................................................... 19,502 45,562 -- 5,420
Fees waived and reimbursed by Manager (Note 2)................ -- -- (6,634) --
....................................................................................................................................
Total expenses................................................ 6,420,846 22,762,815 24,201 3,891,098
....................................................................................................................................
Expense reduction (Note 2).................................... (132,029) (518,996) (688) (237,933)
Net expenses.................................................. 6,288,817 22,243,819 23,513 3,653,165
....................................................................................................................................
Net investment income (loss).................................. 6,023,442 70,446,808 19,635 55,364,988
....................................................................................................................................
Net realized gain (loss) on investments (Notes 1 and 3)....... 96,562,692 469,627,698 (47,105) 8,041,090
Net realized gain on futures contracts (Note 1)............... -- -- -- --
Net realized gain on written options (Notes 1 and 3).......... -- -- -- --
Net realized gain (loss) on foreign currency transactions
(Note 1)..................................................... 8,249,356 (491,427) 21 (385,839)
Net unrealized appreciation (depreciation) of assets and
liabilities in foreign currencies during the period.......... (5,397,225) 810,218 (124) 26,703
Net unrealized appreciation (depreciation) of investments,
futures contracts, written options, swap contracts and
TBA sale commitments during the period....................... 224,306,241 293,693,776 521,388 (17,409,864)
....................................................................................................................................
Net gain (loss) on investments................................ 323,721,064 763,640,265 474,180 (9,727,910)
....................................................................................................................................
Net increase (decrease) in net assets resulting
from operations.............................................. $329,744,506 $834,087,073 $493,815 $45,637,078
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Operations (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
Six months ended June 30, 1998 (Unaudited) Putnam VT Putnam VT
Putnam VT International International Putnam VT
International Growth and New Opportunities Investors
Growth Fund Income Fund Fund Fund**
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends..................................................... $ 2,902,371 $ 4,572,845 $ 1,139,438 $ 20,880
Interest...................................................... 389,017 1,527,903 184,762 26,509
Less: foreign taxes withheld.................................. (177,491) (317,940) (131,633) --
....................................................................................................................................
Total investment income....................................... 3,113,897 5,782,808 1,192,567 47,389
....................................................................................................................................
Expenses:
Compensation of Manager (Note 2).............................. 802,671 1,040,378 732,427 18,522
Investor servicing and custodian fees (Note 2)................ 241,987 220,656 171,934 3,348
Compensation of Trustees (Note 2)............................. 9,105 12,935 9,486 338
Administrative services (Note 2).............................. 3,542 3,615 3,491 142
Distribution fees--Class IB.................................... 4 -- -- --
Auditing...................................................... 17,103 14,997 16,103 1,001
Legal......................................................... 3,037 3,320 2,685 200
Other......................................................... 945 11,256 4,010 4
Fees waived and reimbursed by Manager (Note 2)................ -- (2,392) -- --
....................................................................................................................................
Total expenses................................................ 1,078,394 1,304,765 940,136 23,555
....................................................................................................................................
Expense reduction (Note 2).................................... (22,092) (18,121) (12,013) (241)
Net expenses.................................................. 1,056,302 1,286,644 928,123 23,314
....................................................................................................................................
Net investment income (loss).................................. 2,057,595 4,496,164 264,444 24,075
....................................................................................................................................
Net realized gain (loss) on investments (Notes 1 and 3)....... 1,859,671 6,297,283 (2,162,114) (63,508)
Net realized gain on futures contracts (Note 1)............... -- -- -- --
Net realized gain on written options (Notes 1 and 3).......... -- -- -- --
Net realized gain (loss) on foreign currency transactions
(Note 1)..................................................... 522,638 1,254,639 479,009 --
Net unrealized appreciation (depreciation) of assets and
liabilities in foreign currencies during the period.......... (491,092) (756,700) (248,126) --
Net unrealized appreciation (depreciation) of investments,
futures contracts, written options, swap contracts and
TBA sale commitments during the period....................... 29,101,420 22,593,793 19,549,145 1,509,628
....................................................................................................................................
Net gain (loss) on investments................................ 30,992,637 29,389,015 17,617,914 1,446,120
....................................................................................................................................
Net increase (decrease) in net assets resulting
from operations.............................................. $33,050,232 $33,885,179 $17,882,358 $1,470,195
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Operations (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
Six months ended June 30, 1998 (Unaudited)
Putnam VT Putnam VT Putnam VT Putnam VT
Money New Opportunities New Value OTC & Emerging
Market Fund Fund Fund Growth Fund**
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends................................................. $ -- $ 4,297,164 $2,105,996 $ 675
Interest.................................................. 11,744,125 2,506,581 285,903 10,039
Less: foreign taxes withheld.............................. -- (7,238) (26,978) --
....................................................................................................................................
Total investment income................................... 11,744,125 6,796,507 2,364,921 10,714
....................................................................................................................................
Expenses:
Compensation of Manager (Note 2).......................... 928,923 8,162,503 787,678 6,527
Investor servicing and custodian fees (Note 2)............ 144,536 590,180 101,768 15,939
Compensation of Trustees (Note 2)......................... 4,739 28,604 6,556 1,834
Administrative services (Note 2).......................... 2,977 22,225 3,276 767
Distribution fees--Class IB................................ -- -- -- --
Auditing.................................................. 14,806 29,414 15,532 10,234
Legal..................................................... 13,242 12,605 3,167 1,000
Other..................................................... 67,924 17,249 656 195
Fees waived and reimbursed by Manager (Note 2)............ -- -- -- (28,094)
....................................................................................................................................
Total expenses............................................ 1,177,147 8,862,780 918,633 8,402
....................................................................................................................................
Expense reduction (Note 2)................................ (10,243) (181,106) (28,565) (1,906)
Net expenses.............................................. 1,166,904 8,681,674 890,068 6,496
....................................................................................................................................
Net investment income (loss).............................. 10,577,221 (1,885,167) 1,474,853 4,218
....................................................................................................................................
Net realized gain (loss) on investments (Notes 1 and 3)... -- 62,639,280 4,986,227 (129,035)
Net realized gain on futures contracts (Note 1)........... -- -- -- --
Net realized gain on written options (Notes 1 and 3)...... -- -- -- --
Net realized gain (loss) on foreign currency transactions
(Note 1)................................................. -- -- (46,786) --
Net unrealized appreciation (depreciation) of assets and
liabilities in foreign currencies during the period...... -- -- 78,771 --
Net unrealized appreciation (depreciation) of investments,
futures contracts, written options, swap contracts and
TBA sale commitments during the period................... -- 434,260,773 1,872,940 431,394
....................................................................................................................................
Net gain (loss) on investments............................ -- 496,900,053 6,891,152 302,359
....................................................................................................................................
Net increase (decrease) in net assets resulting
from operations.......................................... $10,577,221 $495,014,886 $8,366,005 $306,577
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Operations (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
Six months ended June 30, 1998 (Unaudited) Putnam VT
U.S. Government and Putnam VT Putnam VT Putnam VT
High Quality Utilities Growth Vista Voyager
Bond Fund and Income Fund Fund Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends..................................................... $ -- $11,968,182 $ 389,429 $ 14,084,313
Interest...................................................... 27,229,658 5,084,045 269,823 4,315,941
Less: foreign taxes withheld.................................. -- (115,155) -- (343,078)
....................................................................................................................................
Total investment income....................................... 27,229,658 16,937,072 659,252 18,057,176
....................................................................................................................................
Expenses:
Compensation of Manager (Note 2).............................. 2,450,195 2,800,597 679,546 13,329,533
Investor servicing and custodian fees (Note 2)................ 241,749 263,813 117,648 936,089
Compensation of Trustees (Note 2)............................. 10,305 19,515 6,300 30,175
Administrative services (Note 2).............................. 5,067 5,467 3,266 14,871
Distribution fees--Class IB.................................... -- -- 3 8
Auditing...................................................... 16,342 12,235 15,443 17,175
Legal......................................................... 4,455 4,961 3,111 20,899
Other......................................................... 6,343 5,271 2,893 24,896
Fees waived and reimbursed by Manager (Note 2)................ -- -- -- --
....................................................................................................................................
Total expenses................................................ 2,734,456 3,111,859 828,210 14,373,646
....................................................................................................................................
Expense reduction (Note 2).................................... (49,493) (29,862) (18,568) (316,065)
Net expenses.................................................. 2,684,963 3,081,997 809,642 14,057,581
....................................................................................................................................
Net investment income (loss).................................. 24,544,695 13,855,075 (150,390) 3,999,595
....................................................................................................................................
Net realized gain (loss) on investments (Notes 1 and 3)....... 6,877,567 20,411,664 4,710,085 211,349,148
Net realized gain on futures contracts (Note 1)............... 774,939 -- -- --
Net realized gain on written options (Notes 1 and 3).......... -- -- -- --
Net realized gain (loss) on foreign currency transactions
(Note 1)..................................................... 1,031,470 (429) -- --
Net unrealized appreciation (depreciation) of assets and
liabilities in foreign currencies during the period.......... (1,731,008) -- -- --
Net unrealized appreciation (depreciation) of investments,
futures contracts, written options, swap contracts and
TBA sale commitments during the period....................... 2,011,883 (1,059,411) 28,105,944 566,816,970
....................................................................................................................................
Net gain (loss) on investments................................ 8,964,851 19,351,824 32,816,029 778,166,118
....................................................................................................................................
Net increase (decrease) in net assets resulting
from operations.............................................. $33,509,546 $33,206,899 $32,665,639 $782,165,713
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
Asia Pacific Growth Fund Diversified Income Fund
Six months ended Year ended Six months ended Year ended
June 30 December 31 June 30 December 31
1998 + 1997 1998 + 1997
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss)........................ $ 687,624 $ 941,178 $ 27,348,845 $ 41,048,375
Net realized gain (loss) on investments and
foreign currency transactions...................... (10,887,959) (8,695,246) (3,853,794) (1,694,515)
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies.................. (2,615,765) (11,278,930) (6,074,956) 888,492
....................................................................................................................................
Net increase (decrease) in net assets
resulting from operations.......................... (12,816,100) (19,032,998) 17,420,095 40,242,352
....................................................................................................................................
Distributions to shareholders:......................
From net investment income
Class IA.......................................... (4,643,577) (2,664,413) (26,682,103) (29,111,302)
Class IB.......................................... -- -- -- -
From net realized gain on investments
Class IA.......................................... -- -- (11,333,017) (4,589,202)
Class IB.......................................... -- -- -- --
Increase (decrease) from capital share
transactions (Note 4).............................. (3,040,625) 4,051,900 78,413,833 106,794,510
....................................................................................................................................
Total increase (decrease) in net assets............. (20,500,302) (17,645,511) 57,818,808 113,336,358
....................................................................................................................................
Net assets:
Beginning of period (Note 5) 112,902,073 130,547,584 608,147,673 494,811,315
....................................................................................................................................
End of period....................................... $92,401,771 $112,902,073 $665,966,481 $608,147,673
....................................................................................................................................
Undistributed net investment income (loss), end
of period.......................................... $ (845,708) $ 3,110,245 $ 25,612,863 $ 24,946,121
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
The George Putnam Fund of Boston Global Asset Allocation Fund
Period Ended Six Months Ended Year Ended
June 30 June 30 December 31
1998** + 1998 + 1997
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss)........................ $ 46,408 $ 13,714,840 $ 26,362,418
Net realized gain (loss) on investments and
foreign currency transactions...................... (6,837) 45,698,970 93,474,412
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies.................. (14,876) 39,932,903 32,963,374
....................................................................................................................................
Net increase (decrease) in net assets
resulting from operations.......................... 24,695 99,346,713 152,800,204
....................................................................................................................................
Distributions to shareholders:......................
From net investment income
Class IA.......................................... -- (21,801,279) (26,895,274)
Class IB.......................................... -- -- --
From net realized gain on investments
Class IA.......................................... -- (93,644,097) (45,515,619)
Class IB.......................................... -- -- --
Increase (decrease) from capital share
transactions (Note 4).............................. 15,394,629 107,310,618 128,408,589
....................................................................................................................................
Total increase (decrease) in net assets............. 15,419,324 91,211,955 208,797,900
....................................................................................................................................
Net assets:
Beginning of period (Note 5) 2,001,000 956,532,159 747,734,259
....................................................................................................................................
End of period....................................... $17,420,324 $1,047,744,114 $956,532,159
....................................................................................................................................
Undistributed net investment income (loss), end
of period.......................................... $ 46,408 $ 11,610,549 $ 19,696,988
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
Global Growth Fund Growth and Income Fund
Six Months Ended Year Ended Six months ended Year ended
June 30 December 31 June 30 December 31
1998 + 1997 1998 + 1997
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss)........................ $ 6,023,442 $ 12,009,717 $ 70,446,808 $ 151,064,527
Net realized gain (loss) on investments and
foreign currency transactions...................... 104,812,048 237,026,255 469,136,271 979,781,001
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies.................. 218,909,016 (49,925,874) 294,503,994 367,746,315
....................................................................................................................................
Net increase (decrease) in net assets
resulting from operations.......................... $329,744,506 $199,110,098 834,087,073 1,498,591,843
....................................................................................................................................
Distributions to shareholders:......................
From net investment income
Class IA.......................................... (45,115,988) (33,624,622) (149,956,847) (128,693,999)
Class IB.......................................... -- -- -- --
From net realized gain on investments
Class IA.......................................... (225,579,941) (36,166,971) (978,918,294) (313,245,625)
Class IB.......................................... -- -- -- --
Increase (decrease) from capital share
transactions (Note 4).............................. 236,262,681 137,298,121 1,452,819,919 1,601,582,252
....................................................................................................................................
Total increase (decrease) in net assets............. 295,311,258 266,616,626 1,158,031,851 2,658,234,471
....................................................................................................................................
Net assets:
Beginning of period (Note 5) 1,611,503,458 1,344,886,832 8,337,334,073 5,679,099,602
....................................................................................................................................
End of period....................................... $1,906,814,716 $1,611,503,458 $9,495,365,924 $8,337,334,073
....................................................................................................................................
Undistributed net investment income (loss), end
of period.......................................... $ 62,477 $ 39,155,023 $ 65,990,292 $ 145,500,331
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
Health Sciences Fund High Yield Fund
Period ended Six months ended Year ended
June 30 June 30 December 31
1998** + 1998 + 1997
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss)........................ $ 19,635 $ 55,364,988 $ 82,488,860
Net realized gain (loss) on investments and
foreign currency transactions...................... (47,084) 7,655,251 19,263,536
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies.................. 521,264 (17,383,161) 17,958,850
....................................................................................................................................
Net increase (decrease) in net assets
resulting from operations.......................... 493,815 45,637,078 119,711,246
....................................................................................................................................
Distributions to shareholders:......................
From net investment income
Class IA.......................................... -- (84,098,234) (58,024,885)
Class IB.......................................... -- -- --
From net realized gain on investments
Class IA.......................................... -- (13,196,471) (6,728,418)
Class IB.......................................... -- -- --
Increase (decrease) from capital share
transactions (Note 4).............................. 28,151,621 171,879,297 200,422,382
....................................................................................................................................
Total increase (decrease) in net assets............. 28,645,436 120,221,670 255,380,325
....................................................................................................................................
Net assets:
Beginning of period (Note 5) 2,001,000 1,025,298,124 769,917,799
....................................................................................................................................
End of period....................................... $30,646,436 $1,145,519,794 $1,025,298,124
....................................................................................................................................
Undistributed net investment income (loss), end
of period.......................................... $ 19,635 $ 54,183,267 $ 82,916,513
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
International Growth Fund International Growth and Income Fund
Six Months ended Period ended Six Months ended Period ended
June 30 December 31 June 30 December 31
1998 + 1997* 1998 + 1997*
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss)........................ $ 2,057,595 $ 598,784 $ 4,496,164 $ 1,211,873
Net realized gain (loss) on investments and
foreign currency transactions...................... 2,382,309 434,252 7,551,922 5,522,841
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies.................. 28,610,328 4,599,381 21,837,093 6,335,146
....................................................................................................................................
Net increase (decrease) in net assets
resulting from operations.......................... 33,050,232 5,632,417 33,885,179 13,069,860
....................................................................................................................................
Distributions to shareholders:......................
From net investment income
Class IA.......................................... -- (598,784) -- (1,211,873)
Class IB.......................................... -- -- -- --
In excess of net investment income
Class IA.......................................... -- (334,985) -- (760,143)
Class IB.......................................... -- -- -- --
From net realized gain on investments
Class IA.......................................... -- (434,252) (685,843) (4,894,779)
Class IB.......................................... -- -- -- --
In excess of net realized gain on investments
Class IA.......................................... -- (787,174) -- --
Class IB.......................................... -- -- -- --
Return of Capital................................... -- (105,318) -- --
Increase (decrease) from capital share
transactions (Note 4) 78,603,983 145,012,588 57,326,947 197,894,945
....................................................................................................................................
Total increase (decrease) in net assets 111,654,215 148,384,492 90,526,283 204,098,010
....................................................................................................................................
Net assets:
Beginning of period (Note 5) 150,884,492 2,500,000 206,598,010 2,500,000
....................................................................................................................................
End of period $262,538,707 $150,884,492 $297,124,293 $206,598,010
....................................................................................................................................
Undistributed net investment income (loss), end
of period $ 1,919,185 $ (138,410) $ 4,149,774 $ (346,390)
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT International Putnam VT
New Opportunities Fund Investors Fund
Six months ended Period ended Period ended
June 30 December 31 June 30
1998 + 1997* 1998** +
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss)........................ $ 264,444 $ 63,700 $ 24,075
Net realized gain (loss) on investments and
foreign currency transactions...................... (1,683,105) (4,862,745) (63,508)
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies.................. 19,301,019 (464,507) 1,509,628
....................................................................................................................................
Net increase (decrease) in net assets
resulting from operations.......................... 17,882,358 (5,263,552) 1,470,195
....................................................................................................................................
Distributions to shareholders:......................
From net investment income
Class IA.......................................... (235,886) (63,700) --
Class IB.......................................... -- -- --
In excess of net investment income
Class IA.......................................... -- (244,501) --
Class IB.......................................... -- -- --
Increase (decrease) from capital share
transactions (Note 4).............................. 6,765,214 110,072,237 31,535,697
....................................................................................................................................
Total increase (decrease) in net assets............. 24,411,686 104,500,484 33,005,892
....................................................................................................................................
Net assets:
Beginning of period (Note 5) 107,000,484 2,500,000 2,001,000
....................................................................................................................................
End of period....................................... $131,412,170 $107,000,484 $35,006,892
....................................................................................................................................
Undistributed net investment income (loss), end
of period.......................................... $ 8,531 $ (20,027) $ 24,075
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
Money Market Fund New Opportunities Fund
Six months ended Year ended Six months ended Year ended
June 30 December 31 June 30 December
1998 + 1997 1998 + 1997
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss)........................ $ 10,577,221 $ 23,808,416 $ (1,885,167) $ (168,377)
Net realized gain (loss) on investments and
foreign currency transactions...................... -- -- 62,639,280 68,314,810
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies.................. -- -- 434,260,773 376,452,164
....................................................................................................................................
Net increase (decrease) in net assets
resulting from operations.......................... 10,577,221 23,808,416 495,014,886 444,598,597
....................................................................................................................................
Distributions to shareholders:......................
From net investment income
Class IA.......................................... (10,577,212) (23,808,416) -- --
Class IB.......................................... (9) -- -- --
From net realized gain on investments
Class IA.......................................... -- -- (40,377,073) --
Class IB.......................................... -- -- -- --
Increase (decrease) from capital share
transactions (Note 4).............................. 40,058,241 (31,555,153) 243,899,062 471,448,564
....................................................................................................................................
Total increase (decrease) in net assets............. 40,058,241 (31,555,153) 698,536,875 916,047,161
....................................................................................................................................
Net assets:
Beginning of period (Note 5) 405,577,148 437,132,301 2,590,243,858 1,674,196,697
....................................................................................................................................
End of period....................................... $445,635,389 $405,577,148 $3,288,780,733 $2,590,243,858
....................................................................................................................................
Undistributed net investment income (loss), end
of period.......................................... $ -- $ -- $ (1,885,167) $ --
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
New Value Fund OTC & Emerging Growth Fund
Six months ended Period ended Period ended
June 30 December 31 June 30
1998 + 1997* 1998** +
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss)........................ $ 1,474,853 $ 1,720,282 $ 4,218
Net realized gain (loss) on investments and
foreign currency transactions...................... 4,939,441 3,630,551 (129,035)
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies.................. 1,951,711 7,623,632 431,394
....................................................................................................................................
Net increase (decrease) in net assets
resulting from operations.......................... 8,366,005 12,974,465 306,577
....................................................................................................................................
Distributions to shareholders:......................
From net investment income
Class IA.......................................... (1,729,244) -- --
Class IB.......................................... -- -- --
From net realized gain on investments
Class IA.......................................... (3,947,190) -- --
Class IB.......................................... -- -- --
Increase (decrease) from capital share
transactions (Note 4).............................. 48,862,975 182,166,386 6,730,309
....................................................................................................................................
Total increase (decrease) in net assets............. 51,552,546 195,140,851 7,036,886
....................................................................................................................................
Net assets:
Beginning of period (Note 5) 195,390,851 250,000 2,001,000
....................................................................................................................................
End of period....................................... $246,943,397 $195,390,851 $9,037,886
....................................................................................................................................
Undistributed net investment income (loss), end
of period.......................................... $ 1,306,543 $ 1,560,934 $ 4,218
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT U.S. Government Putnam VT
and High Quality Bond Fund Utilities Growth and Income Fund
Six months ended Year ended Six months ended Year ended
June 30 December 31 June 30 December 31
1998 + 1997 1998 + 1997
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss)........................ $ 24,544,695 $ 50,686,903 $ 13,855,075 $ 25,451,494
Net realized gain (loss) on investments and
foreign currency transactions...................... 8,683,976 (2,397,818) 20,411,235 42,912,552
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies.................. 280,875 15,536,395 (1,059,411) 106,798,904
....................................................................................................................................
Net increase (decrease) in net assets
resulting from operations.......................... 33,509,546 63,825,480 33,206,899 175,162,950
....................................................................................................................................
Distributions to shareholders:......................
From net investment income
Class IA.......................................... (42,868,771) (49,260,624) (25,052,399) (24,529,426)
Class IB.......................................... -- -- -- --
From net realized gain on investments
Class IA.......................................... (1,115,763) -- (43,178,545) (33,449,218)
Class IB.......................................... -- -- -- --
Increase (decrease) from capital share
transactions (Note 4).............................. 51,002,646 (3,948,335) 97,742,176 47,643,201
....................................................................................................................................
Total increase (decrease) in net assets............. 40,527,658 10,616,521 62,718,131 164,827,507
....................................................................................................................................
Net assets:
Beginning of period (Note 5) 789,540,084 778,923,563 822,256,541 657,429,034
....................................................................................................................................
End of period....................................... $830,067,742 $789,540,084 $884,974,672 $822,256,541
....................................................................................................................................
Undistributed net investment income (loss), end
of period.......................................... $ 22,984,191 $ 41,308,267 $ 13,769,269 $ 24,966,593
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
Vista Fund Voyager Fund
Six months ended Period ended Six months ended Year ended
June 30 December 31 June 30 December 31
1998 + 1997* 1998 + 1997
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss)........................ $ (150,390) $ 4,017 $ 3,999,595 $ 11,685,570
Net realized gain (loss) on investments and
foreign currency transactions...................... 4,710,085 (3,150,998) 211,349,148 297,725,044
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies.................. 28,105,944 22,083,760 566,816,970 601,292,487
....................................................................................................................................
Net increase (decrease) in net assets
resulting from operations.......................... 32,665,639 18,936,779 782,165,713 910,703,101
....................................................................................................................................
Distributions to shareholders:......................
From net investment income
Class IA.......................................... -- (4,017) (11,793,024) (7,180,496)
Class IB.......................................... -- -- -- --
From net realized gain on investments
Class IA.......................................... -- -- (287,749,794) (154,744,905)
Class IB.......................................... -- -- -- --
Return of capital
Class IA.......................................... -- (9,239) -- --
Class IB.......................................... -- -- -- --
Increase (decrease) from capital share
transactions (Note 5).............................. 54,022,294 149,236,897 438,848,677 508,267,410
....................................................................................................................................
Total increase (decrease) in net assets............. 86,687,933 168,160,420 921,471,572 1,257,045,110
....................................................................................................................................
Net assets:
Beginning of period (Note 5)........................ 170,660,420 2,500,000 4,538,535,142 3,281,490,032
....................................................................................................................................
End of period....................................... $257,348,353 $170,660,420 $5,460,006,714 $4,538,535,142
....................................................................................................................................
Undistributed net investment income (loss), end
of period........................................... $ (150,390) $ -- $ 3,604,481 $ 11,397,910
- ------------------------------------------------------------------------------------------------------------------------------------
+Unaudited
*From January 2, 1997 (commencement of operations) to December 31, 1997.
**From April 30, 1998 (commencent of operations) to June 30, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
Financial Highlights
<CAPTION>
CLASS IA
- ----------------------------------------------------------------------------------------------
Investment Operations
Net
Net Realized and
Asset Unrealized
Value, Net Gain (Loss) Total from
Beginning Investment on Investment
Period ended of Period Income (Loss) Investments Operations
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
June 30, 1998+ $ 9.20 $ .06(a) $(1.12) $(1.06)
December 31, 1997 11.01 .07 (1.66) (1.59)
December 31, 1996 10.23 .05 .88 .93
December 31, 1995**** 10.00 .06(a)(b) .17 .23
..............................................................................................
Putnam VT Diversified Income Fund
June 30, 1998+ $11.31 $ .48 $ (.16) $ .32
December 31, 1997 11.27 .82(a) (.05) .77
December 31, 1996 11.03 .80(a) .11 .91
December 31, 1995 9.74 .71 1.09 1.80
December 31, 1994 10.23 .61 (1.04) (.43)
December 31, 1993** 10.00 .06 .17 .23
..............................................................................................
Putnam VT The George Putnam Fund of Boston
June 30, 1998+******* $10.00 $ .05(a)(b) $ (.08)(g) $ (.03)
..............................................................................................
Putnam VT Global Asset Allocation Fund
June 30, 1998+ $18.76 $ .25 $ 1.71 $ 1.96
December 31, 1997 17.25 .50 2.63 3.13
December 31, 1996 16.15 .43 1.94 2.37
December 31, 1995 13.19 .47 2.74 3.21
December 31, 1994 14.29 .35 (.71) (.36)
December 31, 1993 12.92 .30 1.87 2.17
..............................................................................................
Putnam VT Global Growth Fund
June 30, 1998 $18.34 $ .08 $ 3.58 $ 3.66
December 31, 1997 16.88 .13 2.18 2.31
December 31, 1996 15.18 .17 2.35 2.52
December 31, 1995 13.48 .20 1.85 2.05
December 31, 1994 13.68 .13 (.26) (.13)
December 31, 1993 10.48 .08 3.28 3.36
..............................................................................................
Putnam VT Growth and Income Fund
June 30, 1998+ $28.32 $ .22(a) $ 2.62 $ 2.84
December 31, 1997 24.56 .48 5.07 5.55
December 31, 1996 21.47 .65(a) 3.84 4.49
December 31, 1995 16.44 .53 5.31 5.84
December 31, 1994 17.38 .50 (.48) .02
December 31, 1993 15.93 .38 1.83 2.21
..............................................................................................
Putnam VT Health Sciences Fund
June 30, 1998+******* $10.00 $ .01(a)(b) $ .06(g) $ .07
..............................................................................................
Putnam VT High Yield Fund
June 30, 1998+ $13.62 $ .67(a) $ (.08) $ .59
December 31, 1997 12.96 1.06 .65 1.71
December 31, 1996 12.37 1.18(a) .32 1.50
December 31, 1995 11.46 .91 1.05 1.96
December 31, 1994 12.53 1.05 (1.17) (.12)
December 31, 1993 11.17 .73 1.37 2.10
..............................................................................................
Putnam VT International Growth Fund
June 30, 1998+ $11.43 $ .13(a) $ 2.13 $ 2.26
December 31, 1997***** 10.00 .05(b) 1.56 1.61
..............................................................................................
Putnam VT International Growth and Income Fund
June 30, 1998+ $11.53 $ .22(b) $ 1.57 $ 1.79
December 31, 1997***** 10.00 .07 1.87 1.94
..............................................................................................
Putnam VT International New Opportunities Fund
June 30, 1998+ $ 9.96 $ .02 $ 1.60 $ 1.62
December 31, 1997***** 10.00 .01(b) (.02) (.01)
- ----------------------------------------------------------------------------------------------
<CAPTION>
Financial Highlights (continued)
CLASS IA
- ------------------------------------------------------------------------------------------------------------------
Less Distributions:
From In Excess
From In Excess Net of Net
Net of Net Realized Realized From
Investment Investment Gain on Gain on Return
Period Ended Income Income Investments Investments of Capital
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
June 30, 1998+ $ (.39) $ -- $ -- $ -- $ --
December 31, 1997 (.22) -- -- -- --
December 31, 1996 (.15) -- -- -- --
December 31, 1995**** -- -- -- -- --
..................................................................................................................
Putnam VT Diversified Income Fund
June 30, 1998+ $ (.48) $ -- $ (.21) $ -- $ --
December 31, 1997 (.63) -- (.10) -- --
December 31, 1996 (.67) -- -- -- --
December 31, 1995 (.51) -- -- -- --
December 31, 1994 (.06) -- -- -- --
December 31, 1993** -- -- -- -- --
..................................................................................................................
Putnam VT The George Putnam Fund of Boston
June 30, 1998+******* $ -- $ -- $ -- $ -- $ --
....................................................................................................................................
Putnam VT Global Asset Allocation Fund
June 30, 1998+ $ (.43) $ -- $(1.85) $ -- $ --
December 31, 1997 (.60) -- (1.02) -- --
December 31, 1996 (.44) -- (.83) -- --
December 31, 1995 (.25) -- -- -- --
December 31, 1994 (.29) -- (.43) (.02) --
December 31, 1993 (.55) -- (.25) -- --
..................................................................................................................
Putnam VT Global Growth Fund
June 30, 1998 $ (.52) $ -- $(2.60) $ -- $ --
December 31, 1997 (.41) -- (.44) -- --
December 31, 1996 (.25) -- (.57) -- --
December 31, 1995 (.11) -- (.24) -- --
December 31, 1994 (.05) -- (.02) -- --
December 31, 1993 (.16) -- -- -- --
..................................................................................................................
Putnam VT Growth and Income Fund
June 30, 1998+ $ (.50) $ -- $(3.26) $ -- $ --
December 31, 1997 (.52) -- (1.27) -- --
December 31, 1996 (.51) -- (.89) -- --
December 31, 1995 (.51) -- (.30) -- --
December 31, 1994 (.38) -- (.58) -- --
December 31, 1993 (.39) -- (.37) -- --
..................................................................................................................
Putnam VT Health Sciences Fund
June 30, 1998+******* $ -- $ -- $ -- $ -- $ --
....................................................................................................................................
Putnam VT High Yield Fund
June 30, 1998+ $(1.08) $ -- $ (.17) $ -- $ --
December 31, 1997 (.94) -- (.11) -- --
December 31, 1996 (.91) -- -- -- --
December 31, 1995 (1.05) -- -- -- --
December 31, 1994 (.79) -- (.14) (.02) --
December 31, 1993 (.74) -- -- -- --
..................................................................................................................
Putnam VT International Growth Fund
June 30, 1998+ $ -- $ -- $ -- $ -- $ --
December 31, 1997***** (.05) (.02) (.04) (.06) (.01)
..................................................................................................................
Putnam VT International Growth and Income Fund
June 30, 1998+ $ -- $ -- $ (.04) $ -- $ --
December 31, 1997***** (.08) (.05) (.28) -- --
..................................................................................................................
Putnam VT International New Opportunities Fund
June 30, 1998+ $ (.02) $ -- $ -- $ -- $ --
December 31, 1997***** (.01) (.02) -- -- --
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
Financial Highlights (continued)
CLASS IA
- --------------------------------------------------------------------------------------------------------
Total
Investment
Return at Net Assets,
Total Net Asset Value, Net Asset End of Period
Period ended Distributions End of Period Value (%)(c) (in thousands)
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
June 30, 1998+ $ (.39) $ 7.75 (12.07)* $ 92,401
December 31, 1997 (.22) 9.20 (14.66) 112,902
December 31, 1996 (.15) 11.01 9.10 130,548
December 31, 1995**** -- 10.23 2.30* 25,045
........................................................................................................
Putnam VT Diversified Income Fund
June 30, 1998+ $ (.69) $10.94 2.86* $ 665,951
December 31, 1997 (.73) 11.31 7.38 608,148
December 31, 1996 (.67) 11.27 8.81 494,811
December 31, 1995 (.51) 11.03 19.13 303,721
December 31, 1994 (.06) 9.74 (4.23) 215,935
December 31, 1993** -- 10.23 2.30* 80,449
........................................................................................................
Putnam VT The George Putnam Fund of Boston
June 30, 1998+******* $ -- $ 9.97 (.30)* $ 17,419
........................................................................................................
Putnam VT Global Asset Allocation Fund
June 30, 1998+ $(2.28) $18.44 10.47* $ 1,047,741
December 31, 1997 (1.62) 18.76 19.67 956,532
December 31, 1996 (1.27) 17.25 15.62 747,734
December 31, 1995 (.25) 16.15 24.71 535,666
December 31, 1994 (.74) 13.19 (2.50) 414,223
December 31, 1993 (.80) 14.29 17.48 297,307
........................................................................................................
Putnam VT Global Growth Fund
June 30, 1998 $(3.12) $18.88 20.76* $ 1,906,814
December 31, 1997 (.85) 18.34 14.33 1,611,503
December 31, 1996 (.82) 16.88 17.20 1,344,887
December 31, 1995 (.35) 15.18 15.67 831,593
December 31, 1994 (.07) 13.48 (.96) 669,821
December 31, 1993 (.16) 13.68 32.40 352,786
........................................................................................................
Putnam VT Growth and Income Fund
June 30, 1998+ $(3.76) $27.40 9.92* $ 9,495,359
December 31, 1997 (1.79) 28.32 24.15 8,337,334
December 31, 1996 (1.40) 24.56 21.92 5,679,100
December 31, 1995 (.81) 21.47 36.71 3,312,306
December 31, 1994 (.96) 16.44 .35 1,907,380
December 31, 1993 (.76) 17.38 14.27 1,407,382
........................................................................................................
Putnam VT Health Sciences Fund
June 30, 1998+******* $ -- $10.07 0.70* $ 30,645
........................................................................................................
Putnam VT High Yield Fund
June 30, 1998+ $(1.25) $12.96 4.28* $ 1,145,519
December 31, 1997 (1.05) 13.62 14.34 1,025,298
December 31, 1996 (.91) 12.96 12.81 769,918
December 31, 1995 (1.05) 12.37 18.32 498,467
December 31, 1994 (.95) 11.46 (.94) 327,119
December 31, 1993 (.74) 12.53 19.57 291,737
........................................................................................................
Putnam VT International Growth Fund
June 30, 1998+ $ -- $13.69 19.77* $ 262,528
December 31, 1997***** (.18) 11.43 16.13 150,884
........................................................................................................
Putnam VT International Growth and Income Fund
June 30, 1998+ $ (.04) $13.28 15.48* $ 297,119
December 31, 1997***** (.41) 11.53 19.43 206,598
........................................................................................................
Putnam VT International New Opportunities Fund
June 30, 1998+ $ (.02) $11.56 16.28* $ 131,411
December 31, 1997***** (.03) 9.96 (.10) 107,000
- --------------------------------------------------------------------------------------------------------
<CAPTION>
Financial Highlights (continued)
CLASS IA
- --------------------------------------------------------------------------------------------------------
Ratio of Net
Ratio of Investment Average
Expenses Income (Loss) commission
to Average Net to Average Net Portfolio rate
Period ended Assets (%)(d) Assets (%) Turnover (%) paid (e)
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
June 30, 1998+ .54* .65* 68.26* $.0107
December 31, 1997 1.07 .70 102.92 .0144
December 31, 1996 1.23 .84 66.10 .0197
December 31, 1995**** .81(b)* .72(b)* 67.72*
........................................................................................................
Putnam VT Diversified Income Fund
June 30, 1998+ .40* 4.28* 103.30*
December 31, 1997 .80 7.43 282.56
December 31, 1996 .83 7.45 235.53
December 31, 1995 .85 7.85 297.17
December 31, 1994 .80 7.60 165.17
December 31, 1993** .28* 1.45* 40.83*
........................................................................................................
Putnam VT The George Putnam Fund of Boston
June 30, 1998+******* .14(b)* .52(b)* 24.33* $.0237
........................................................................................................
Putnam VT Global Asset Allocation Fund
June 30, 1998+ .39* 1.35* 68.19* $.0203
December 31, 1997 .77 3.01 181.05 .0295
December 31, 1996 .83 3.08 165.03 .0475
December 31, 1995 .84 3.31 150.88
December 31, 1994 .76 3.19 150.21
December 31, 1993 .72 3.28 192.48
........................................................................................................
Putnam VT Global Growth Fund
June 30, 1998 .36* .34* 81.04* $.0262
December 31, 1997 .75 .77 158.37 .0245
December 31, 1996 .76 1.25 79.18 .0318
December 31, 1995 .75 1.49 82.53
December 31, 1994 .77 1.21 41.55
December 31, 1993 .75 1.38 47.00
........................................................................................................
Putnam VT Growth and Income Fund
June 30, 1998+ .26* .79* 36.12* $.0503
December 31, 1997 .51 2.08 64.96 .0497
December 31, 1996 .54 2.90 39.57 .0517
December 31, 1995 .57 3.34 50.87
December 31, 1994 .62 3.64 46.43
December 31, 1993 .64 3.49 62.63
........................................................................................................
Putnam VT Health Sciences Fund
June 30, 1998+******* 0.15(b)* .12(b)* 1.93* $.0289
........................................................................................................
Putnam VT High Yield Fund
June 30, 1998+ .35* 5.01* 31.54* $0.500
December 31, 1997 .72 9.26 84.61
December 31, 1996 .76 9.57 62.72
December 31, 1995 .79 9.42 69.78
December 31, 1994 .74 9.79 62.09
December 31, 1993 .67 9.88 85.59
........................................................................................................
Putnam VT International Growth Fund
June 30, 1998+ .53* 1.02* 53.10* $.0281
December 31, 1997***** 1.20(b) .79(b) 75.18 .0352
........................................................................................................
Putnam VT International Growth and Income Fund
June 30, 1998+ 0.51(b)* 1.74(b)* 28.49* $.0207
December 31, 1997***** 1.12 1.11 53.20 .0330
........................................................................................................
Putnam VT International New Opportunities Fund
June 30, 1998+ .76* .21* 65.70* $.0208
December 31, 1997***** 1.60(b) .09(b) 131.89 .0207
- --------------------------------------------------------------------------------------------------------
See page 140 for Notes to Financial Highlights.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
Financial Highlights
<CAPTION>
CLASS IA
- ----------------------------------------------------------------------------------------------
Investment Operations
Net
Net Realized and
Asset Unrealized
Value, Net Gain (Loss) Total from
Beginning Investment on Investment
Period ended of Period Income (Loss) Investments Operations
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Investors Fund
June 30, 1998+******* $10.00 $ .01(a) $ .58 $ .59
..............................................................................................
Putnam VT Money Market Fund
June 30, 1998+ $ 1.00 $.0256 $ -- $.0256
December 31, 1997 1.00 .0509 -- .0509
December 31, 1996 1.00 .0497 -- .0497
December 31, 1995 1.00 .0533 -- .0533
December 31, 1994 1.00 .0377 -- .0377
December 31, 1993 1.00 .0276 -- .0276
..............................................................................................
Putnam VT New Opportunities Fund
June 30, 1998+ $21.23 $ (.01) $ 3.93 $ 3.92
December 31, 1997 17.22 --(f) 4.01 4.01
December 31, 1996 15.63 (.01) 1.60 1.59
December 31, 1995 10.82 -- 4.84 4.84
December 31, 1994*** 10.00 --(b) .82 .82
..............................................................................................
Putnam VT New Value Fund
June 30, 1998+ $11.76 $ .08(a) $ .37 $ .45
December 31, 1997***** 10.00 .18(a) 1.58 1.76
..............................................................................................
Putnam VT OTC & Emerging Growth Fund
June 30, 1998+******* $10.00 $ .01(a)(b) $ .22(g) $ .23
..............................................................................................
Putnam VT U.S. Government and High
Quality Bond Fund
June 30, 1998+ $13.42 $ .40(a) $ .15 $ .55
December 31, 1997 13.21 .88 .18 1.06
December 31, 1996 13.74 .81 (.52) .29
December 31, 1995 12.22 .81 1.56 2.37
December 31, 1994 13.53 .81 (1.24) (.43)
December 31, 1993 12.85 .63 .78 1.41
..............................................................................................
Putnam VT Utilities Growth and
Income Fund
June 30, 1998+ $17.14 $ .25 $ .46 $ 71
December 31, 1997 14.80 .53 3.11 3.64
December 31, 1996 13.28 .54 1.49 2.03
December 31, 1995 10.68 .53 2.65 3.18
December 31, 1994 12.00 .60 (1.44) (.84)
December 31, 1993 10.71 .30 1.13 1.43
..............................................................................................
Putnam VT Vista Fund
June 30, 1998+ $12.32 $ (.01)(a) $ 2.09 $ 2.08
December 31, 1997***** 10.00 --(f) 2.32 2.32
..............................................................................................
Putnam VT Voyager Fund
June 30, 1998+ $39.08 $ .03(a) $ 6.59 $ 6.62
December 31, 1997 32.53 .10 8.01 8.11
December 31, 1996 30.50 .09 3.75 3.84
December 31, 1995 22.20 .10 8.76 8.86
December 31, 1994 22.41 .07 .14 .21
December 31, 1993 19.21 .04 3.50 3.54
- ----------------------------------------------------------------------------------------------
<CAPTION>
Financial Highlights (continued)
CLASS IA
- ----------------------------------------------------------------------------------------------
Less Distributions:
From In Excess
From Net of Net
Net Realized Realized From
Investment Gain on Gain on Return
Period Ended Income Investments Investments of Capital
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Investors Fund
June 30, 1998+******* $ -- $ -- $ -- $ --
..............................................................................................
Putnam VT Money Market Fund
June 30, 1998+ $(.0256) $ -- $ -- $ --
December 31, 1997 (.0509) -- -- --
December 31, 1996 (.0497) -- -- --
December 31, 1995 (.0533) -- -- --
December 31, 1994 (.0377) -- -- --
December 31, 1993 (.0276) -- -- --
..............................................................................................
Putnam VT New Opportunities Fund
June 30, 1998+ $ -- $ (.32) $ -- $ --
December 31, 1997 -- -- -- --
December 31, 1996 -- -- -- --
December 31, 1995 -- (.02) -- $(.01)
December 31, 1994*** -- -- -- --
..............................................................................................
Putnam VT New Value Fund
June 30, 1998+ $ (.09) $ (.21) $ -- $ --
December 31, 1997***** -- -- -- --
..............................................................................................
Putnam VT OTC & Emerging Growth Fund
June 30, 1998+******* $ -- $ -- $ -- $ --
..............................................................................................
Putnam VT U.S. Government and High
Quality Bond Fund
June 30, 1998+ $ (.73) $ (.02) $ -- $ --
December 31, 1997 (.85) -- -- --
December 31, 1996 (.82) -- -- --
December 31, 1995 (.85) -- -- --
December 31, 1994 (.66) (.22) -- --
December 31, 1993 (.61) (.12) -- --
..............................................................................................
Putnam VT Utilities Growth and
Income Fund
June 30, 1998+ $ (.51) $ (.88) $ -- $ --
December 31, 1997 (.55) (.75) -- --
December 31, 1996 (.51) -- -- --
December 31, 1995 (.58) -- -- --
December 31, 1994 (.35) (.12) (.01 ) --
December 31, 1993 (.12) (.02) -- --
..............................................................................................
Putnam VT Vista Fund
June 30, 1998+ $ -- $ -- $ -- $ --
December 31, 1997***** --(f) -- -- --(f)
..............................................................................................
Putnam VT Voyager Fund
June 30, 1998+ $ (.10) $(2.44) $ -- $ --
December 31, 1997 (.07) (1.49) -- --
December 31, 1996 (.13) (1.68) -- --
December 31, 1995 (.07) (.49) -- --
December 31, 1994 (.05) (.37) -- --
December 31, 1993 (.07) (.27) -- --
- ----------------------------------------------------------------------------------------------
<CAPTION>
Financial Highlights (continued)
CLASS IA
- ---------------------------------------------------------------------------------------------------
Total
Investment
Return at Net Assets,
Total Net Asset Value, Net Asset End of Period
Period ended Distributions End of Period Value (%)(c) (in thousands)
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Investors Fund
June 30, 1998+******* $ -- $10.59 5.90* $ 35,006
...................................................................................................
Putnam VT Money Market Fund
June 30, 1998+ $(.0256) $ 1.00 2.56* $ 445,634
December 31, 1997 (.0509) 1.00 5.22 405,577
December 31, 1996 (.0497) 1.00 5.08 437,132
December 31, 1995 (.0533) 1.00 5.46 263,213
December 31, 1994 (.0377) 1.00 3.82 244,064
December 31, 1993 (.0276) 1.00 2.79 129,329
...................................................................................................
Putnam VT New Opportunities Fund
June 30, 1998+ $ (.32) $24.83 18.51* $3,288,780
December 31, 1997 -- 21.23 23.29 2,590,244
December 31, 1996 -- 17.22 10.17 1,674,197
December 31, 1995 (.03) 15.63 44.87 515,109
December 31, 1994*** -- 10.82 8.20* 68,592
...................................................................................................
Putnam VT New Value Fund
June 30, 1998+ $ (.30) $11.91 3.80* $ 246,942
December 31, 1997***** -- 11.76 17.60 195,391
...................................................................................................
Putnam VT OTC & Emerging Growth Fund
June 30, 1998+******* $ -- $10.23 2.30* $ 9,037
...................................................................................................
Putnam VT U.S. Government and High
Quality Bond Fund
June 30, 1998+ $ (.75) $13.22 4.23* $ 830,067
December 31, 1997 (.85) 13.42 8.64 789,540
December 31, 1996 (.82) 13.21 2.42 778,924
December 31, 1995 (.85) 13.74 20.44 747,024
December 31, 1994 (.88) 12.22 (3.23) 640,458
December 31, 1993 (.73) 13.53 11.28 735,386
...................................................................................................
Putnam VT Utilities Growth and
Income Fund
June 30, 1998+ $ (1.39) $16.46 3.99* $ 884,974
December 31, 1997 (1.30) 17.14 27.10 822,257
December 31, 1996 (.51) 14.80 15.80 657,429
December 31, 1995 (.58) 13.28 31.08 530,461
December 31, 1994 (.48) 10.68 (7.02) 384,169
December 31, 1993 (.14) 12.00 13.42 443,281
...................................................................................................
Putnam VT Vista Fund
June 30, 1998+ $ -- $14.40 16.88* $ 257,336
December 31, 1997***** -- 12.32 23.21 170,660
...................................................................................................
Putnam VT Voyager Fund
June 30, 1998+ $ (2.54) $43.16 17.07* $5,459,943
December 31, 1997 (1.56) 39.08 26.51 4,538,535
December 31, 1996 (1.81) 32.53 12.97 3,281,490
December 31, 1995 (.56) 30.50 40.67 2,000,232
December 31, 1994 (.42) 22.20 1.04 1,026,972
December 31, 1993 (.34) 22.41 18.70 675,198
- ---------------------------------------------------------------------------------------------------
<CAPTION>
Financial Highlights (continued)
CLASS IA
- ---------------------------------------------------------------------------------------------------
Ratio of Net
Ratio of Investment Average
Expenses Income (Loss) commission
to Average Net to Average Net Portfolio rate
Period ended Assets (%)(d) Assets (%) Turnover (%) paid (e)
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Investors Fund
June 30, 1998+******* .14* .14* 3.63* $.0263
...................................................................................................
Putnam VT Money Market Fund
June 30, 1998+ .28* 2.54* --
December 31, 1997 .54 5.10 --
December 31, 1996 .53 4.93 --
December 31, 1995 .57 5.43 --
December 31, 1994 .55 3.90 --
December 31, 1993 .42 2.77 --
...................................................................................................
Putnam VT New Opportunities Fund
June 30, 1998+ .30* (.06)* 27.81* $.0452
December 31, 1997 .63 (.01) 71.78 .0472
December 31, 1996 .72 (.13) 57.94 .0488
December 31, 1995 .84 (.03) 30.87
December 31, 1994*** .47(b)* .03(b)* 32.77*
...................................................................................................
Putnam VT New Value Fund
June 30, 1998+ .40* .65* 85.19* $.0479
December 31, 1997***** .85 1.59 64.15 .0383
...................................................................................................
Putnam VT OTC & Emerging Growth Fund
June 30, 1998+******* .15(b)* .08(b)* 83.12* $.0249
...................................................................................................
Putnam VT U.S. Government and High
Quality Bond Fund
June 30, 1998+ .34* 3.04* 93.09*
December 31, 1997 .69 6.58 194.29
December 31, 1996 .69 6.48 142.49
December 31, 1995 .70 6.22 149.18
December 31, 1994 .67 6.24 118.34
December 31, 1993 .64 6.16 94.01
...................................................................................................
Putnam VT Utilities Growth and
Income Fund
June 30, 1998+ .36* 1.61* 13.19* $.0445
December 31, 1997 .74 3.63 42.46 .0452
December 31, 1996 .73 4.22 61.94 .0475
December 31, 1995 .68 4.72 60.33
December 31, 1994 .68 5.23 84.88
December 31, 1993 .69 5.02 50.79
...................................................................................................
Putnam VT Vista Fund
June 30, 1998+ .39* (.07)* 51.06* $.0452
December 31, 1997***** .87 -- 75.43 .0381
...................................................................................................
Putnam VT Voyager Fund
June 30, 1998+ .29* .08* 28.12* $.0494
December 31, 1997 .59 .30 82.00 .0524
December 31, 1996 .63 .36 63.87 .0544
December 31, 1995 .68 .49 57.51
December 31, 1994 .71 .40 62.44
December 31, 1993 .66 .33 55.85
- ---------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Financial Highlights
CLASS IB
- -----------------------------------------------------------------------------------------------------------------------
Investment Operations Less Distributions:
Net
Net Realized and From
Asset Unrealized From Net
Value, Net Gain (Loss) Total from Net Realized
Beginning Investment on Investment Investment Gain on
Period ended of Period Income Investments Operations Income Investments
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
June 30, 1998+******* $ 8.57 $ .01 $(0.83) $(0.82) $ -- $ --
.......................................................................................................................
Putnam VT Diversified Income Fund
June 30, 1998+****** $10.95 $ .13 $ (.14) $ (.01) $ -- $ --
.......................................................................................................................
Putnam VT The George Putnam Fund of Boston
June 30, 1998+******* $10.00 $ .05(a)(b) $ (.08)(g) $ (.03) $ -- $ --
.......................................................................................................................
Putnam VT Global Asset Allocation Fund
June 30, 1998+******* $18.16 $ .10 $ .18 $ .28 $ -- $ --
.......................................................................................................................
Putnam VT Global Growth Fund
June 30, 1998+******* $18.03 $ .04 $ .81 $ .85 $ -- $ --
.......................................................................................................................
Putnam VT Growth and Income Fund
June 30, 1998+****** $28.02 $ .08(a) $ (.70) $ (.62) $ -- $ --
.......................................................................................................................
Putnam VT Health Sciences Fund
June 30, 1998+******* $10.00 $ .01(a)(b) $ .06(g) $ .07 $ -- $ --
.......................................................................................................................
Putnam VT High Yield Fund
June 30, 1998+******* $12.99 $ .15(a) $ (.18) $ (.03) $ -- $ --
.......................................................................................................................
Putnam VT International Growth Fund
June 30, 1998+******* $13.44 $ .12(a) $ .13 $ .25 $ -- $ --
.......................................................................................................................
Putnam VT International Growth and Income Fund
June 30, 1998+****** $13.36 $ .15(b) $ (.23) $ (.08) $ -- $ --
.......................................................................................................................
Putnam VT International New Opportunities Fund
June 30, 1998+******* $11.39 $ .02 $ .15 $ .17 $ -- $ --
.......................................................................................................................
Putnam VT Investors Fund
June 30, 1998+******* $10.00 $ .01(a) $ .58 $ .59 $ -- $ --
.......................................................................................................................
Putnam VT Money Market Fund
June 30, 1998+******* $ 1.00 $.0090 $ -- $.0090 $(.0090) $ --
.......................................................................................................................
Putnam VT New Opportunities Fund
June 30, 1998+******* $23.94 $ (.02) $ .91 $ .89 $ -- $ --
.......................................................................................................................
Putnam VT New Value Fund
June 30, 1998+******* $11.91 $ .04(a) $ (.04) $ -- $ -- $ --
.......................................................................................................................
Putnam VT OTC & Emerging Growth Fund
June 30, 1998+******* $10.00 $ .01(a)(b) $ .22(g) $ .23 $ -- $ --
.......................................................................................................................
Putnam VT U.S. Government and High
Quality Bond Fund
June 30, 1998+******* $12.88 $ .11 $ .23 $ .34 $ -- $ --
.......................................................................................................................
Putnam VT Utilities Growth and
Income Fund
June 30, 1998+******* $16.19 $ .09 $ .18 $ .27 $ -- $ --
.......................................................................................................................
Putnam VT Vista Fund
June 30, 1998+******* $13.76 $ (.01)(a) $ .65 $ .64 $ -- $ --
.......................................................................................................................
Putnam VT Voyager Fund
June 30, 1998+******* $41.55 $ (.01)(a) $ 1.62 $ 1.61 $ -- $ --
- -----------------------------------------------------------------------------------------------------------------------
<CAPTION>
Financial Highlights (continued)
CLASS IB
- --------------------------------------------------------------------------------------------------------
Total
Investment
Return at Net Assets,
Total Net Asset Value, Net Asset End of Period
Period ended Distributions End of Period Value (%)(c) (in thousands)
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
June 30, 1998+******* $ -- $ 7.75 (9.57)* $ 1
........................................................................................................
Putnam VT Diversified Income Fund
June 30, 1998+****** $ -- $10.94 (0.09)* $16
........................................................................................................
Putnam VT The George Putnam Fund of Boston
June 30, 1998+******* $ -- $ 9.97 (.30)* $ 1
........................................................................................................
Putnam VT Global Asset Allocation Fund
June 30, 1998+******* $ -- $18.44 1.54* $ 3
........................................................................................................
Putnam VT Global Growth Fund
June 30, 1998+******* $ -- $18.88 4.71* $ 1
........................................................................................................
Putnam VT Growth and Income Fund
June 30, 1998+****** $ -- $27.40 (2.21)* $ 7
........................................................................................................
Putnam VT Health Sciences Fund
June 30, 1998+******* $ -- $10.07 0.70* $ 1
........................................................................................................
Putnam VT High Yield Fund
June 30, 1998+******* $ -- $12.96 (0.23)* $ 1
........................................................................................................
Putnam VT International Growth Fund
June 30, 1998+******* $ -- $13.69 1.86* $11
........................................................................................................
Putnam VT International Growth and Income Fund
June 30, 1998+****** $ -- $13.28 (0.60)* $ 5
........................................................................................................
Putnam VT International New Opportunities Fund
June 30, 1998+******* $ -- $11.56 1.49* $ 1
........................................................................................................
Putnam VT Investors Fund
June 30, 1998+******* $ -- $10.59 5.90* $ 1
........................................................................................................
Putnam VT Money Market Fund
June 30, 1998+******* $(.0090) $ 1.00 0.90 $ 1
........................................................................................................
Putnam VT New Opportunities Fund
June 30, 1998+******* $ -- $24.83 3.72* $ 1
........................................................................................................
Putnam VT New Value Fund
June 30, 1998+******* $ -- $11.91 --* $ 1
........................................................................................................
Putnam VT OTC & Emerging Growth Fund
June 30, 1998+******* $ -- $10.23 2.30* $ 1
........................................................................................................
Putnam VT U.S. Government and High
Quality Bond Fund
June 30, 1998+******* $ -- $13.22 2.64* $ 1
........................................................................................................
Putnam VT Utilities Growth and
Income Fund
June 30, 1998+******* $ -- $16.46 1.67* $ 1
........................................................................................................
Putnam VT Vista Fund
June 30, 1998+******* $ -- $14.40 4.65* $13
........................................................................................................
Putnam VT Voyager Fund
June 30, 1998+******* $ -- $43.16 3.87* $63
- --------------------------------------------------------------------------------------------------------
<CAPTION>
Financial Highlights (continued)
CLASS IB
- ---------------------------------------------------------------------------------------------------
Ratio of Net
Ratio of Investment Average
Expenses Income to commission
to Average Net Average Net Portfolio rate
Period ended Assets (%)(d) Assets (%) Turnover (%) paid (e)
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
June 30, 1998+******* .21* .12* 68.26* $.0107
...................................................................................................
Putnam VT Diversified Income Fund
June 30, 1998+****** .23* 1.29* 103.30*
...................................................................................................
Putnam VT The George Putnam Fund of Boston
June 30, 1998+******* .17(b)* .50(b)* 24.33* $.0237
...................................................................................................
Putnam VT Global Asset Allocation Fund
June 30, 1998+******* .16* .70* 68.19* $.0203
...................................................................................................
Putnam VT Global Growth Fund
June 30, 1998+******* .15* .15* 81.04* $.0262
...................................................................................................
Putnam VT Growth and Income Fund
June 30, 1998+****** .16* .37* 36.12* $.0503
...................................................................................................
Putnam VT Health Sciences Fund
June 30, 1998+******* .18(b)* .10(b)* 1.93* $.0289
...................................................................................................
Putnam VT High Yield Fund
June 30, 1998+******* .15* 1.39* 31.54* $.0500
...................................................................................................
Putnam VT International Growth Fund
June 30, 1998+******* .21* .61* 53.10* $.0281
...................................................................................................
Putnam VT International Growth and Income Fund
June 30, 1998+****** .20(b)* 1.15(b)* 28.49* $.0207
...................................................................................................
Putnam VT International New Opportunities Fund
June 30, 1998+******* .29* .01* 65.70* $.0208
...................................................................................................
Putnam VT Investors Fund
June 30, 1998+******* .17* .12* 3.63* $.0263
...................................................................................................
Putnam VT Money Market Fund
June 30, 1998+******* .12* .94* --
...................................................................................................
Putnam VT New Opportunities Fund
June 30, 1998+******* .13* (.03)* 27.81* $.0452
...................................................................................................
Putnam VT New Value Fund
June 30, 1998+******* .16* .24* 85.19* $.0479
...................................................................................................
Putnam VT OTC & Emerging Growth Fund
June 30, 1998+******* .18(b)* .05(b)* 83.12* $.0249
...................................................................................................
Putnam VT U.S. Government and High
Quality Bond Fund
June 30, 1998+******* .14* 1.06* 93.09*
...................................................................................................
Putnam VT Utilities Growth and
Income Fund
June 30, 1998+******* .15* .44* 13.19* $.0445
...................................................................................................
Putnam VT Vista Fund
June 30, 1998+******* .16* (.04)* 51.06* $.0452
...................................................................................................
Putnam VT Voyager Fund
June 30, 1998+******* .12* .02* 28.12* $.0494
- ---------------------------------------------------------------------------------------------------
See page 140 for Notes to Financial Highlights.
PUTNAM VARIABLE TRUST
Notes to Financial Highlights
+ Unaudited.
* Not annualized.
** For the period September 15, 1993 (commencement of operations) to December 31, 1993.
*** For the period May 2, 1994 (commencement of operations) to December 31, 1994.
**** For the period May 1, 1995 (commencement of operations) to December 31, 1995.
***** For the period January 2, 1997 (commencement of operations) to December 31, 1997.
****** For the period April 6, 1998 (commencement of operations) to June 30, 1998.
******* For the period April 30, 1998 (commencement of operations) to June 30, 1998.
(a) Per share net investment income (loss) 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 the
following funds reflect a reduction of approximately the amounts per share noted for the following periods:
6/30/98 12/31/97 12/31/95 12/31/94
------- -------- -------- --------
Putnam VT Asia Pacific Growth Fund Class IA 0.03
Putnam VT George Putnam of Boston Fund Class IA 0.01
Putnam VT George Putnam of Boston Fund Class IB 0.01
Putnam VT Health Sciences Fund Class IA less than .01
Putnam VT Health Sciences Fund Class IB less than .01
Putnam VT International Growth Fund Class IA 0.01
Putnam VT International New Opportunities Fund Class IA 0.02
Putnam VT International Growth and Income Fund Class IA less than .01
Putnam VT International Growth and Income Fund Class IB less than .01
Putnam VT New Opportunities Fund Class IA 0.02
Putnam VT OTC and Emerging Markets Fund Class IA 0.05
Putnam VT OTC and Emerging Markets Fund Class IB 0.05
(c) Total investment return assumes dividend reinvestment.
(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.
(f) Net investment income, distributions from net investment income and returns of capital were less than $0.01 per
share.
(g) The amount shown for a share outstanding does not correspond with the aggregate net gain/loss on investments for the
period due to timing of sales and repurchases of fund share in relation to fluctuating market values of the
investments of the fund.
</TABLE>
PUTNAM VARIABLE TRUST
Notes to Financial Statements
June 30, 1998 (Unaudited)
NOTE 1
SIGNIFICANT
ACCOUNTING
POLICIES
Putnam Variable Trust (the "Trust") is registered under the Investment
Company Act of 1940, as amended, as a diversified, open-end management
investment company (except for Putnam VT Health Sciences Fund and Putnam VT
Utilities Growth and Income Fund, which are non-diversified) which consists
of a series of investment portfolios (the "funds"), each of which is
represented by a separate series of class IA shares and class IB shares of
beneficial interest. The Trust currently offers the following twenty funds:
Putnam VT Asia Pacific Growth Fund, Putnam VT Diversified Income Fund,
Putnam VT The George Putnam Fund of Boston, Putnam VT Global Asset
Allocation Fund, Putnam VT Global Growth Fund, Putnam VT Growth and Income
Fund, Putnam VT Health Sciences Fund, Putnam VT High Yield Fund, Putnam VT
International Growth Fund, Putnam VT International Growth and Income Fund,
Putnam VT International New Opportunities Fund, Putnam VT Investors Fund,
Putnam VT Money Market Fund, Putnam VT New Opportunities Fund, Putnam VT
New Value Fund, Putnam VT OTC & Emerging Growth Fund, Putnam VT U.S.
Government and High Quality Bond Fund, Putnam VT Utilities Growth and
Income Fund, Putnam VT Vista Fund and Putnam VT Voyager Fund.
The Trust offers class IA and class IB shares. The Trust began offering
class IB shares on April 6, 1998 for Putnam VT Diversified Income Fund,
Putnam VT Growth and Income Fund, and Putnam VT International Growth and
Income fund. On April 30, 1998, the Trust began offering class IB shares
for Putnam VT Asia Pacific Growth Fund, Putnam VT Global Asset Allocation
Fund, Putnam VT Global Growth Fund, Putnam VT High Yield Fund, Putnam VT
International Growth Fund, Putnam VT International New Opportunities Fund,
Putnam VT Money Market Fund, Putnam VT New Opportunities Fund, Putnam VT
New Value Fund, Putnam VT U.S. Government and High Quality Bond Fund,
Putnam VT Utilities Growth and Income Fund, Putnam VT Vista Fund, Putnam VT
Voyager Fund and class IA and class IB shares for Putnam VT The George
Putnam Fund of Boston, Putnam VT Health Sciences Fund, Putnam VT Investors
Fund and Putnam VT OTC & Emerging Growth Fund. Class IA shares are offered
at net asset value and are not subject to a distribution fee. Class IB
shares are offered at net asset value and pay an ongoing distribution fee.
Expenses of the fund are borne pro-rata by the holders of each class of
shares, except that each class bears expenses unique to that class
(including the distribution fees applicable to such class). Each class
votes as a class only with respect to its own distribution plan or other
matters on which a class vote is required by law or determined by the
Trustees. Shares of each class would receive their pro-rata share of the
net assets of the fund, if the fund were liquidated. In addition, the
Trustees declare separate dividends on each class of shares.
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 certain debt obligations 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 F and G with respect to the valuation
of forward currency contracts, futures and options).
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 fund's
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
its custodian, receives 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. Collateral for
certain tri-party repurchase agreement is held at the counterparty's
custodian in a segregated account for the benefit of the fund and the
counterparty. 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 bonds,
stepped-coupon bonds, and payment in kind bonds are accreted according to
the yield-to-maturity basis. Any premium resulting from the purchase of
stepped-coupon bonds is amortized on a yield-to-maturity basis.
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) Foreign currency translation The accounting records of the Trust are
maintained in U.S. dollars. The market value of foreign securities,
currency holdings, and 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 gains and losses 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 appreciation and depreciation of
assets and liabilities in foreign currencies 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.
F) 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 current 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.
G) 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 may invest 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.
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. Realized gains and losses
on purchased options are included in realized gains and losses on
investment securities.
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.
H) Swap contracts Putnam VT Global Growth fund may engage in emerging
market swap contracts, which involve a commitment by one party to make
payments based on the terms of the contract in exchange for a market linked
return based on a notional amount. The fund enters into the swap contracts
to increase its exposure to different underlying instruments and to gain
access to markets that might be unavailable to foreign investors or only
accessible at a high excess premium.
The potential risk to the fund would be the nonperformance by the
counterparty involved in the swap contract. The loss incurred by the
failure of the counterparty is limited to the amount of the original
investment. In addition, losses may arise from changes in the value of the
underlying securities.
I) TBA purchase commitments Each fund, (except for Putnam VT Money Market
Fund), may enter into "TBA" (to be announced) purchase commitments to
purchase securities for a fixed unit price at a future date beyond
customary settlement time. Although the unit price has been established,
the principal value has not been finalized. However, the amount of the
commitments will not fluctuate more than 1.0% from the principal amount.
The fund holds, and maintains until settlement date, cash or high-grade
debt obligations in an amount sufficient to meet the purchase price, or the
fund may enter into offsetting contracts for the forward sale of other
securities it owns. Income on the securities will not be earned until
settlement date. TBA purchase commitments may be considered securities in
themselves, and involve a risk of loss if the value of the security to be
purchased declines prior to the settlement date, which risk is in addition
to the risk of decline in the value of the fund's other assets. Unsettled
TBA purchase commitments are valued at the current market value of the
underlying securities, 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 their 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.
J) TBA sale commitments Each fund, (except for 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 the 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
the fund delivers securities under the commitment, the fund realizes a gain
or a loss from the sale of the securities based upon the unit price
established at the date the commitment was entered into.
K) Line of credit All funds, (except Putnam VT The George Putnam Fund of
Boston, Putnam VT Health Sciences Fund, Putnam VT Investors Fund, Putnam VT
Money Market Fund, Putnam VT OTC & Emerging Growth Fund and Putnam VT U.S.
Governement and High Quality Bond Fund), have entered into a committed line
of credit with certain banks. This line of credit agreement includes
restrictions that the fund maintain an asset coverage ratio of at least
300% and borrowings must not exceed prospectus limitations. For the six
months ended June, 30, 1998, the funds had no borrowings against the line
of credit.
L) Federal income taxes Each fund of the Trust is created as a separate
entity for federal income tax purposes. It is the policy of each fund to
distribute all of its taxable income within the prescribed time and
otherwise comply with the provisions of the Internal Revenue Code
applicable to regulated investment companies. Therefore, no provision has
been made for federal taxes on income, capital gains or unrealized
appreciation on securities held and for excise tax on income and capital
gains.
At December 31, 1997 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
1,664,000 December 31, 2004
8,946,000 December 31, 2005
Putnam VT International
New Opportunities
Fund 1,359,000 December 31, 2005
Putnam VT Vista Fund 817,000 December 31, 2005
- ----------------------------------------------------------------
These capital loss carryovers may be used to offset realized gains, if any.
M) Distributions to shareholders Distributions to shareholders from net
investment income are recorded by the fund on the ex-dividend date. Capital
gain distributions, if any, are recorded on the ex-dividend date and paid
at least annually. The amount and character of income and gains to be
distributed are determined in accordance with income tax regulations which
may differ from generally accepted accounting principles. Reclassifications
are made to the fund's capital accounts to reflect income and gains
available for distribution (or available capital loss carryovers) under
income tax regulations.
N) 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.
O) Beneficial Interest At June 30, 1998, insurance companies or their
separate accounts were record owners of all but a de minimis number of the
shares of each fund. From 79% to almost 100% of each fund is owned by
accounts of one group of insurance companies.
<TABLE>
NOTE 2
MANAGEMENT FEE, ADMINISTRATIVE SERVICES,
AND OTHER TRANSACTIONS
Compensation of Putnam Management, for management and investment advisory services is paid quarterly based on the
average net assets of the funds. The following summarizes the management fee rates in effect at June 30, 1998:
<CAPTION>
Rate
- ------------------------------------------------------------------------------------------------------------------------
<S> <C>
Putnam VT Asia Pacific Growth Fund 0.80% of the first $500 million of average net assets,
Putnam VT International Growth Fund 0.70% of the next $500 million,
Putnam VT International Growth and Income Fund 0.65% of the next $500 million,
0.60% of the next $5 billion,
0.575% of the next $5 billion,
0.555% of the next $5 billion,
0.54% of the next $5 billion,
and 0.53% thereafter.
........................................................................................................................
Putnam VT Global Growth Fund 0.60% of average net assets.
........................................................................................................................
Putnam VT Money Market Fund 0.45% of the 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% thereafter.
........................................................................................................................
Putnam VT The George Putnam Fund of Boston 0.65% of first $500 million of average net assets,
Putnam VT Growth and Income Fund 0.55% of the next $500 million,
Putnam VT Investors Fund 0.50% of the next $500 million,
Putnam VT U.S. Government and High Quality Bond Fund 0.45% of the next $5 billion,
Putnam VT Vista Fund 0.425% of the next $5 billion,
0.405% of the next $5 billion,
0.39% of the next $5 billion,
and 0.38% 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 Health Sciences Fund 0.55% of the next $500 million,
Putnam VT High Yield Fund 0.50% of the next $5 billion,
Putnam VT New Opportunities Fund 0.475% of the next $5 billion,
Putnam VT New Value Fund 0.455% of the next $5 billion,
Putnam VT OTC & Emerging Growth Fund 0.44% of the next $5 billion,
Putnam VT Utilities Growth and Income Fund and 0.43% thereafter.
Putnam VT Voyager Fund
........................................................................................................................
Putnam VT International New Opportunities Fund 1.20% of the first $500 million of average net assets,
1.10% of the next $500 million,
1.05% of the next $500 million,
1.00% of the next $5 billion.
0.975% of the next $5 billion,
0.955% of the next $5 billion,
0.94% of the next $5 billion,
and 0.93% thereafter.
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
Putnam Management has voluntarily agreed to limit expenses of Putnam VT The
George Putnam Fund of Boston, Putnam VT Health Sciences Fund, Putnam VT
International Growth Fund, Putnam VT International Growth and Income Fund,
Putnam VT International New Opportunities Fund, Putnam VT Investors Fund,
Putnam VT New Value Fund, Putnam VT OTC & Emerging Growth Fund and Putnam
VT Vista Fund to an annual rate of 0.85%, 0.90%, 1.20%, 1.20%, 1.60%,
0.85%, 1.10%, 0.90% and 1.05%, respectively of the fund's average daily net
assets. The fund's expenses subject to this limitation are exclusive of
brokerage, interest, taxes, insurance, extraordinary expenses, payments
under the funds' distribution plan with respect to class IB shares and
credits from Putnam Fiduciary Trust Company ("PFTC"), a subsidiary of
Putnam Investments, Inc., if any. These limitations will expire on December
31, 1998.
As part of the subcustodian contract between the subcustodian bank and
PFTC, the subcustodian bank has a lien on the securities of the 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 June 30, 1998, the payable to the subcustodian
bank represents the amount due for cash advance for the settlement of
securities purchased.
The Trust reimburses Putnam Management an allocated amount for the
compensation and related expenses of certain officers of the fund and their
staff who provide administrative services to the fund. The aggregate amount
of all such reimbursements is determined annually by the Trustees
Custodial functions for the fund's assets are provided by PFTC. Investor
servicing agent functions are provided by Putnam Investor Services, a
division of PFTC.
For the six months ended June 30, 1998, 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 $ 25,589
Putnam VT Diversified Income Fund 151,821
Putnam VT The George Putnam Fund of Boston --
Putnam VT Global Asset Allocation Fund 147,273
Putnam VT Global Growth Fund 132,029
Putnam VT Growth and Income Fund 518,996
Putnam VT Health Sciences Fund 688
Putnam VT High Yield Fund 237,933
Putnam VT International Growth Fund 22,092
Putnam VT International Growth and Income Fund 18,121
Putnam VT International New Opportunities Fund 12,013
Putnam VT Investors Fund 241
Putnam VT Money Market Fund 10,243
Putnam VT New Opportunities Fund 181,106
Putnam VT New Value Fund 28,565
Putnam VT OTC & Emerging Growth Fund 1,906
Putnam VT U.S. Government and
High Quality Bond Fund 49,493
Putnam VT Utilities Growth and Income Fund 29,862
Putnam VT Vista Fund 18,568
Putnam VT Voyager Fund 316,065
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.
Each Trustee of the fund receives an annual Trustee fee, of which $21,770
has been allocated to the Trust, 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 "Deferral 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
the fund and are invested in certain Putnam funds until distribution in
accordance with the Deferral 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.
Each fund has adopted a distribution plan (the "Plan") with respect to its
class IB shares, pursuant to Rule 12b-1 under the Investment Company Act of
1940. The purpose of the Plan is to compensate Putnam Mutual Funds Corp., a
wholly-owned subsidiary of Putnam Investments, Inc., for services provided
and expenses incurred by it in distributing shares of the fund. The Plan
provides for payment by the fund to Putnam Mutual Funds Corp. at an annual
rate of up to 0.35% of the fund's average net assets. The Trustees
currently limit payment by the fund to an annual rate of 0.15% of the
average net assets.
<TABLE>
NOTE 3
PURCHASES AND SALES OF SECURITIES
During the six months ended June 30, 1998, purchases and sales of investment securities (other than short-term
investments) were as follows:
<CAPTION>
U.S. Government
Obligations Other Securities
- ------------------------------------------------------------------------------------------------------------------------
Purchases Sales Purchases Sales
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund $ -- $ -- $ 74,125,029 $ 69,491,754
Putnam VT Diversified Income Fund 242,065,495 234,994,883 428,142,156 390,494,126
Putnam VT The George Putnam Fund of Boston -- -- 16,443,585 2,432,168
Putnam VT Global Asset Allocation Fund 177,990,354 175,657,128 501,119,036 482,802,632
Putnam VT Global Growth Fund -- -- 1,414,125,603 1,450,920,395
Putnam VT Growth and Income Fund -- -- 3,733,781,992 3,209,109,779
Putnam VT Health Sciences Fund -- -- 20,655,343 389,812
Putnam VT High Yield Fund -- -- 448,887,119 340,329,122
Putnam VT International Growth Fund -- -- 180,560,684 101,391,549
Putnam VT International Growth and Income Fund -- -- 136,009,820 69,689,035
Putnam VT International New Opportunities Fund -- -- 88,070,852 75,349,852
Putnam VT Investors Fund -- -- 31,200,412 809,819
Putnam VT New Opportunities Fund -- -- 952,561,700 793,039,364
Putnam VT New Value Fund -- -- 213,463,641 181,658,940
Putnam VT OTC & Emerging Growth Fund -- -- 7,225,964 1,324,485
Putnam VT U.S. Government and
High Quality Bond Fund 454,095,664 428,749,463 314,014,982 250,048,909
Putnam VT Utilities Growth and Income Fund 19,519,834 15,247,780 134,751,528 92,029,269
Putnam VT Vista Fund -- -- 153,589,418 103,324,020
Putnam VT Voyager Fund -- -- 1,154,171,224 1,368,238,256
Putnam VT Money Market Fund: Purchases and sales (including maturities) of investment securities (all short-term
obligations) aggregated $4,480,633,460 and $4,424,225,569, respectively.
In determining net gain or loss on securities sold, the cost of securities has been determined on the identified
cost basis.
Written option transactions during the period are summarized as follows:
<CAPTION>
Contract Amounts Premiums Received
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT Diversified Income Fund
Written options outstanding at beginning of period 195,000 $111,848
Options opened -- --
Options closed (195,000) (111,848)
........................................................................................................................
Written options outstanding at end of period -- $ --
- ------------------------------------------------------------------------------------------------------------------------
Contract Amounts Premiums Received
- ------------------------------------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
Written options outstanding at beginning of period 110,000 $ 63,094
Options opened 8,700,000 68,730
Options expired (8,700,000) (68,730)
Options closed (110,000) (63,094)
........................................................................................................................
Written options outstanding at end of period $ -- $ --
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
NOTE 4
CAPITAL SHARES
At June 30, 1998, there was an unlimited number of shares of beneficial interest authorized. Transactions in capital
shares were as follows:
<CAPTION>
Six months ended June 30 Year ended December 31
- -----------------------------------------------------------------------------------------------------------------------------
Class IA 1998 1997
- -----------------------------------------------------------------------------------------------------------------------------
Shares Amount Shares Amount
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
Shares sold 9,204,521 $80,364,276 14,980,776 $159,622,762
Shares issued in connection with reinvestment of distributions 522,362 4,643,577 257,429 2,664,413
.............................................................................................................................
9,726,883 85,007,853 15,238,205 162,287,175
Shares repurchased (10,065,094) (88,049,478) (14,827,774) (158,235,275)
.............................................................................................................................
Net increase (decrease) (338,211) $(3,041,625) 410,431 $4,051,900
.............................................................................................................................
Putnam VT Diversified Income Fund
Shares sold 4,277,164 $47,389,359 9,541,469 $105,120,942
Shares issued in connection with reinvestment of distributions 3,487,558 38,015,120 3,243,553 33,700,504
.............................................................................................................................
7,764,722 85,404,479 12,785,022 138,821,446
Shares repurchased (623,918) (7,006,345) (2,918,154) (32,026,936)
.............................................................................................................................
Net increase 7,140,804 $78,398,134 9,866,868 $106,794,510
.............................................................................................................................
Putnam VT Global Asset Allocation Fund
Shares sold 992,937 $18,706,876 5,393,308 $96,152,920
Shares issued in connection with reinvestment of distributions 6,281,033 115,445,376 4,508,773 72,410,893
.............................................................................................................................
7,273,970 134,152,252 9,902,081 168,563,813
Shares repurchased (1,428,847) (26,844,821) (2,265,912) (40,155,224)
.............................................................................................................................
Net increase 5,845,123 $107,307,431 7,636,169 $128,408,589
.............................................................................................................................
Putnam VT Global Growth Fund
Shares sold 2,286,313 $43,086,526 15,785,671 $282,076,454
Shares issued in connection with reinvestment of distributions 15,013,640 270,695,929 4,289,449 69,791,593
.............................................................................................................................
17,299,952 313,782,455 20,075,120 351,868,047
Shares repurchased (4,176,364) (77,520,774) (11,889,504) (214,569,926)
.............................................................................................................................
Net increase 13,123,589 $236,261,681 8,185,616 $137,298,121
.............................................................................................................................
Putnam VT Growth and Income Fund
Shares sold 12,521,354 $364,002,778 47,137,172 $1,236,095,794
Shares issued in connection with reinvestment of distributions 40,815,316 1,128,875,141 18,862,126 441,939,624
.............................................................................................................................
53,336,670 1,492,877,919 65,999,298 1,678,035,418
Shares repurchased (1,167,154) (40,064,880) (2,856,470) (76,453,166)
.............................................................................................................................
Net increase 52,169,516 $1,452,813,039 63,142,828 $1,601,582,252
.............................................................................................................................
Putnam VT High Yield Fund
Shares sold 10,556,908 $141,690,110 25,952,072 $333,531,634
Shares issued in connection with reinvestment of distributions 7,489,969 97,294,705 5,432,325 64,753,303
.............................................................................................................................
18,046,877 238,984,815 31,384,397 398,284,937
Shares repurchased (4,959,109) (67,106,518) (15,521,671) (197,862,555)
.............................................................................................................................
Net increase 13,087,768 $171,878,297 15,862,726 $200,422,382
.............................................................................................................................
Putnam VT Money Market Fund*
Shares sold -- $524,137,102 -- $1,150,816,521
Shares issued in connection with reinvestment of distributions -- 10,577,212 -- 23,808,416
.............................................................................................................................
-- 534,714,314 -- 1,174,624,937
Shares repurchased -- (494,657,082) -- (1,206,180,090)
.............................................................................................................................
Net increase (decrease) -- $40,057,232 -- $(31,555,153)
.............................................................................................................................
Putnam VT New Opportunities Fund
Shares sold 14,212,413 $327,412,821 42,527,077 $825,207,792
Shares issued in connection with reinvestment of distributions 1,675,396 40,377,073 -- --
.............................................................................................................................
15,887,809 367,789,894 42,527,077 825,207,792
Shares repurchased (5,419,198) (123,891,832) (17,725,793) (353,759,228)
.............................................................................................................................
Net increase 10,468,611 $243,898,062 24,801,284 $471,448,564
.............................................................................................................................
Putnam VT U.S. Government and High Quality Bond Fund
Shares sold 3,728,180 $49,603,059 4,028,621 $52,586,470
Shares issued in connection with reinvestment of distributions 3,409,652 43,984,534 4,021,287 49,260,624
.............................................................................................................................
7,137,832 93,587,593 8,049,908 101,847,094
Shares repurchased (3,194,163) (42,585,947) (8,201,591) (105,795,429)
.............................................................................................................................
Net increase (decrease) 3,943,669 $51,001,646 (151,683) $(3,948,335)
.............................................................................................................................
Putnam VT Utilities Growth and Income Fund
Shares sold 2,655,555 $44,088,030 3,065,697 $46,150,502
Shares issued in connection with reinvestment of distributions 4,068,620 68,230,944 4,346,225 57,978,644
.............................................................................................................................
6,724,175 112,318,974 7,411,922 104,129,146
Shares repurchased (910,166) (14,577,798) (3,862,391) (56,485,945)
.............................................................................................................................
Net increase 5,814,009 $97,741,176 3,549,531 $47,643,201
.............................................................................................................................
Putnam VT Voyager Fund
Shares sold 6,034,938 $251,026,000 15,684,768 $548,622,563
Shares issued in connection with reinvestment of distributions 7,074,700 299,542,818 5,526,440 161,925,401
.............................................................................................................................
13,109,638 550,568,818 21,211,208 710,547,964
Shares repurchased (2,720,002) (111,780,670) (5,965,623) (202,280,554)
.............................................................................................................................
Net increase 10,389,636 $438,788,148 15,245,585 $508,267,410
.............................................................................................................................
<CAPTION>
For the period January 2, 1997
(commencement of operations)
Six months ended June 30 to December 31
- -----------------------------------------------------------------------------------------------------------------------------
Class IA 1998 1997
- -----------------------------------------------------------------------------------------------------------------------------
Shares Amount Shares Amount
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT International Growth Fund
Shares sold 8,898,875 $121,618,510 15,588,769 $176,706,662
Shares issued in connection with reinvestment of distributions -- -- 197,659 2,260,513
.............................................................................................................................
8,898,875 121,618,510 15,786,428 178,967,175
Shares repurchased (2,930,328) (43,025,527) (2,832,498) (33,954,587)
.............................................................................................................................
Net increase 5,968,547 $78,592,983 12,953,930 $145,012,588
.............................................................................................................................
Putnam VT International Growth and Income Fund
Shares sold 11,060,021 $141,319,424 21,411,817 $242,336,069
Shares issued in connection with reinvestment of distributions 51,155 685,843 601,961 6,866,795
.............................................................................................................................
11,111,176 142,005,267 22,013,778 249,202,864
Shares repurchased (6,643,353) (84,683,730) (4,352,599) (51,307,919)
.............................................................................................................................
Net increase 4,467,823 $57,321,537 17,661,179 $197,894,945
.............................................................................................................................
Putnam VT International New Opportunities Fund
Shares sold 4,515,441 $52,465,705 13,100,759 $137,247,387
Shares issued in connection with reinvestment of distributions 20,301 235,886 30,962 308,201
.............................................................................................................................
4,535,742 52,701,591 13,131,721 137,555,588
Shares repurchased (3,913,497) (45,937,377) (2,634,975) (27,483,351)
.............................................................................................................................
Net increase 622,245 $6,764,214 10,496,746 $110,072,237
.............................................................................................................................
Putnam VT New Value Fund
Shares sold 3,971,581 $47,033,957 16,943,165 $186,035,346
Shares issued in connection with reinvestment of distributions 467,237 5,676,434 -- --
.............................................................................................................................
4,438,818 52,710,391 16,943,165 186,035,346
Shares repurchased (322,501) (3,848,416) (348,509) (3,868,960)
.............................................................................................................................
Net increase 4,116,317 $48,861,975 16,594,656 $182,166,386
.............................................................................................................................
Putnam VT Vista Fund
Shares sold 4,443,076 $60,701,406 15,177,780 $166,041,176
Shares issued in connection with reinvestment of distributions -- -- 1,132 13,256
.............................................................................................................................
4,443,076 60,701,406 15,178,912 166,054,432
Shares repurchased (415,521) (6,691,522) (1,580,403) (16,817,535)
.............................................................................................................................
Net increase 4,027,555 $54,009,884 13,598,509 $149,236,897
.............................................................................................................................
<CAPTION>
For the period April 30, 1998
(commencement of operations)
to June 30
- -----------------------------------------------------------------------------------------------------------------------------
Class IA 1998
- -----------------------------------------------------------------------------------------------------------------------------
Shares Amount
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT The George Putnam Fund of Boston
Shares sold 1,549,891 $15,421,233
Shares issued in connection with reinvestment of distributions -- --
.............................................................................................................................
1,549,891 15,421,233
Shares repurchased (2,663) (26,604)
.............................................................................................................................
Net increase 1,547,228 $15,394,629
.............................................................................................................................
Putnam VT Health Sciences Fund
Shares sold 2,848,779 $28,201,545
Shares issued in connection with reinvestment of distributions -- --
.............................................................................................................................
2,848,779 28,201,545
Shares repurchased (5,125) (49,924)
.............................................................................................................................
Net increase 2,843,654 $28,151,621
.............................................................................................................................
Putnam VT Investors Fund
Shares sold 3,105,660 $31,535,697
Shares issued in connection with reinvestment of distributions -- --
.............................................................................................................................
3,105,660 31,535,697
Shares repurchased -- --
.............................................................................................................................
Net increase 3,105,660 $31,535,697
.............................................................................................................................
Putnam VT OTC & Emerging Growth Fund
Shares sold 866,163 $8,485,415
Shares issued in connection with reinvestment of distributions -- --
.............................................................................................................................
866,163 8,485,415
Shares repurchased (182,727) (1,755,106)
.............................................................................................................................
Net increase 683,436 $6,730,309
.............................................................................................................................
<CAPTION>
For the period April 6, 1998
(commencement of operations)
to June 30
- -----------------------------------------------------------------------------------------------------------------------------
Class IB 1998
- -----------------------------------------------------------------------------------------------------------------------------
Shares Amount
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT Diversified Income Fund
Shares sold 1,430 $15,699
Shares issued in connection with reinvestment of distributions -- --
.............................................................................................................................
1,430 15,699
Shares repurchased -- --
.............................................................................................................................
Net increase 1,430 $15,699
.............................................................................................................................
Putnam VT Growth and Income Fund
Shares sold 249 $6,880
Shares issued in connection with reinvestment of distributions -- --
.............................................................................................................................
249 6,880
Shares repurchased -- --
.............................................................................................................................
Net increase 249 $6,880
.............................................................................................................................
Putnam VT International Growth and Income Fund
Shares sold 400 $5,410
Shares issued in connection with reinvestment of distributions -- --
.............................................................................................................................
400 5,410
Shares repurchased -- --
.............................................................................................................................
Net increase 400 $5,410
.............................................................................................................................
<CAPTION>
For the period April 30, 1998
(commencement of operations)
to June 30
- -----------------------------------------------------------------------------------------------------------------------------
Class IB 1998
- -----------------------------------------------------------------------------------------------------------------------------
Shares Amount
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT Asia Pacific Growth Fund
Shares sold 117 $1,000
Shares issued in connection with reinvestment of distributions -- --
.............................................................................................................................
117 1,000
Shares repurchased -- --
.............................................................................................................................
Net increase 117 $1,000
.............................................................................................................................
Putnam VT Global Asset Allocation Fund
Shares sold 175 $3,187
Shares issued in connection with reinvestment of distributions -- --
.............................................................................................................................
175 3,187
Shares repurchased -- --
.............................................................................................................................
Net increase 175 $3,187
.............................................................................................................................
Putnam VT Global Growth Fund
Shares sold 55 $1,000
Shares issued in connection with reinvestment of distributions -- --
.............................................................................................................................
55 $1,000
Shares repurchased -- --
.............................................................................................................................
Net increase 55 $1,000
.............................................................................................................................
Putnam VT High Yield Fund
Shares sold 77 $1,000
Shares issued in connection with reinvestment of distributions -- --
.............................................................................................................................
77 1,000
Shares repurchased -- --
.............................................................................................................................
Net increase 77 $1,000
.............................................................................................................................
Putnam VT International Growth Fund
Shares sold 806 $11,000
Shares issued in connection with reinvestment of distributions -- --
.............................................................................................................................
806 11,000
Shares repurchased -- --
.............................................................................................................................
Net increase 806 $11,000
.............................................................................................................................
Putnam VT International New Opportunities Fund
Shares sold 88 $1,000
Shares issued in connection with reinvestment of distributions -- --
.............................................................................................................................
88 1,000
Shares repurchased -- --
.............................................................................................................................
Net increase 88 $1,000
.............................................................................................................................
Putnam VT Money Market Fund*
Shares sold -- $1,000
Shares issued in connection with reinvestment of distributions -- 9
.............................................................................................................................
-- 1,009
Shares repurchased -- --
.............................................................................................................................
Net increase -- $1,009
.............................................................................................................................
Putnam VT New Opportunities Fund
Shares sold 42 $1,000
Shares issued in connection with reinvestment of distributions -- --
.............................................................................................................................
42 1,000
Shares repurchased -- --
.............................................................................................................................
Net increase 42 $1,000
.............................................................................................................................
Putnam VT New Value Fund
Shares sold 84 $1,000
Shares issued in connection with reinvestment of distributions -- --
.............................................................................................................................
84 1,000
Shares repurchased -- --
.............................................................................................................................
Net increase 84 $1,000
.............................................................................................................................
Putnam VT U.S. Government and High Quality Bond Fund
Shares sold 78 $1,000
Shares issued in connection with reinvestment of distributions -- --
.............................................................................................................................
78 1,000
Shares repurchased -- --
.............................................................................................................................
Net increase 78 $1,000
.............................................................................................................................
Putnam VT Utilities Growth and Income Fund
Shares sold 62 $1,000
Shares issued in connection with reinvestment of distributions -- --
.............................................................................................................................
62 1,000
Shares repurchased -- --
.............................................................................................................................
Net increase 62 $1,000
.............................................................................................................................
Putnam VT Vista Fund
Shares sold 889 $12,410
Shares issued in connection with reinvestment of distributions -- --
.............................................................................................................................
889 12,410
Shares repurchased -- --
.............................................................................................................................
Net increase 889 $12,410
.............................................................................................................................
Putnam VT Voyager Fund
Shares sold 1,471 $60,529
Shares issued in connection with reinvestment of distributions -- --
.............................................................................................................................
1,471 $60,529
Shares repurchased -- --
.............................................................................................................................
Net increase 1,471 $60,529
.............................................................................................................................
*Putnam VT Money Market Fund transactions were at a constant net asset value of $1.00 per share.
</TABLE>
<TABLE>
NOTE 5
INITIAL CAPITALIZATION AND OFFERING OF SHARES
The following were established as Massachusetts business trusts on April 29, 1998. During the period April 29, 1998 to
April 30, 1998 the following funds had no operations other than those related to organizational matters including as
noted below the initial capital contributions and the issuance of shares for each fund.
<CAPTION>
Fund name Capital contribution Shares issued
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Class IA
Putnam VT The George Putnam Fund of Boston $2,000,000 200,000
Putnam VT Health Sciences Fund 2,000,000 200,000
Putnam VT Investors Fund 2,000,000 200,000
Putnam VT OTC & Emerging Growth Fund 2,000,000 200,000
Class IB
Putnam VT The George Putnam Fund of Boston $1,000 100
Putnam VT Health Sciences Fund 1,000 100
Putnam VT Investors Fund 1,000 100
Putnam VT OTC & Emerging Growth Fund 1,000 100
</TABLE>
Hartford Life Insurance Company
P.O. Box 2999
Hartford, CT 06104-2999
The Hartford Life Insurance Companies
Variable Insurance Separate Accounts
FUND INFORMATION
Investment Manager
Putnam Investment Management, Inc.
One Post Office Square
Boston, MA 02109
Marketing Services
Putnam Mutual Funds Corp.
One Post Office Square
Boston, MA 02109
Investor Servicing Agent
Putnam Investor Services
Mailing address:
P.O. Box 41203
Providence, RI 02940-1203
1-800-225-1581
Custodian
Putnam Fiduciary
Trust Company
Legal Counsel
Ropes & Gray
Independent Accountants
Arthur Andersen LLP
PricewaterhouseCoopers LLP
Separate Accounts
Hartford Life Insurance Companies
Underwriter
Hartford Securities Distribution Company, Inc.
Trustees
George Putnam, Chairman,
William F. Pounds, Vice Chairman,
Jameson Adkins Baxter, Hans H. Estin,
John A. Hill, Ronald J. Jackson,
Paul L. Joskow, Elizabeth T. Kennan,
Lawrence J. Lasser, John H. Mullin III,
Robert E. Patterson, Donald S. Perkins,
George Putnam, III, A.J.C. Smith,
W. Thomas Stephens, W. Nicholas Thorndike
PUTNAM INVESTMENTS
This report has been prepared for the contract owners of Putnam Capital
Manager variable insurance separate accounts issued by the Hartford Life
Insurance Companies. It is not authorized for other distribution unless
preceded or accompanied by an effective prospectus that describes the
separate accounts' policies, charges, and other matters of interest for the
prospective investor.
BOND PRINTED
MATTER
BULK RATE
U.S.POSTAGE
PAID
PERMIT NO. 20
HOLLISTON, MA
01746
44626 8/98
