Hartford Life Insurance Company--
Putnam Capital Manager Trust
Separate Account
Hartford Life Insurance Company--
Putnam Capital Manager Trust
Separate Account
Variable Life One
Hartford Life Insurance Company--
Putnam Capital Manager Trust
Separate Account
Variable Life Two
Hartford Life Insurance Company--
Putnam Capital Manager Trust
Separate Account Five
ITT Hartford Life and Annuity
Insurance Company--
Putnam Capital Manager Trust
Separate Account Two
ITT Hartford Life and Annuity
Insurance Company--
Putnam Capital Manager Trust
Separate Account Five
ITT Hartford Life and Annuity
Insurance Company--
Putnam Capital Manager Trust
Separate Account
Variable Life One
ITT Hartford Life and Annuity
Insurance Company--
Putnam Capital Manager Trust
Separate Account
Variable Life Two
The Funds Underlying the Sub-Accounts
of Putnam Capital Manager Trust
* Putnam VT Asia Pacific Growth Fund
* Putnam VT Diversified Income Fund
* Putnam VT Global Asset Allocation Fund
* Putnam VT Global Growth Fund
* Putnam VT Growth and Income Fund
* Putnam VT High Yield Fund
* Putnam VT International Growth Fund
* Putnam VT International Growth and Income Fund
* Putnam VT International New Opportunities Fund
* Putnam VT Money Market Fund
* Putnam VT New Opportunities Fund
* Putnam VT New Value Fund
* Putnam VT U.S. Government and High Quality
Bond Fund
* Putnam VT Utilities Growth and Income Fund
* Putnam VT Vista Fund
* Putnam VT Voyager Fund
A series of mutual fund portfolios for variable annuity plan investors
offered in conjunction with the Hartford Life Insurance Company
ANNUAL REPORT
December 31, 1997
[LOGO; BOSTON * LONDON * TOKYO]
To the contract-holders and policy-owners of
Putnam Capital Manager Trust Separate Accounts
Although a favorable environment of moderate economic growth, low
inflation, and relatively stable interest rates characterized global
markets for much of the year, October's financial turmoil in Southeast
Asia rattled investors around the world. While virtually every market
experienced some impact from the volatility, events were beginning to
settle down as the period drew to a close. Once again, U.S. stocks led
world equity markets, and U.S. bonds outperformed most foreign debt
issues.
EQUITIES
* United States Financial turmoil in Southeast Asia was a catalyst for
significant volatility in the U.S. stock market during October and
November, as disappointing earnings reports from technology companies
and multinationals fueled market corrections. The bull market roared
back, however, and the selloffs may have restored stock valuations to
more attractive levels. For the first time in its 101-year history, the
Dow Jones Industrial Average posted three consecutive annual gains of
more than 20%, finishing 1997 with a gain of 24.81%. The broader
Standard & Poor's 500(registered trademark) Index gained 33.36% during
1997. During the year, the market generally favored a narrow group of
large-company growth stocks, and among medium-sized and small-
capitalization companies, value stocks did better than growth stocks
overall.
* Europe European stock markets posted solid returns for most of the
period, with the peripheral countries such as Spain and Italy offering
the strongest gains. In the fourth quarter, however, Asian volatility
produced wide performance differences. The largest markets of the United
Kingdom, Germany, and France were all nearly flat, while Finland and
Sweden registered sharp declines because of their large exposure to
technology and paper, two sectors that were hit hard by the Asian
crisis.
* Pacific Rim Beginning in Thailand over the summer, currency
devaluations led to sharp equity market corrections throughout the
region. Other factors contributing to the area's financial difficulties
included a slowing of exports leading to deteriorating balance of trade
positions, a preponderance of growth based on shaky construction and
real estate sectors, production overcapacity in some basic products, and
serious competition from China's massive increase in production.
At the close of the period, the region remained volatile, although
International Monetary Fund bailouts and other measures appeared to be
helping some countries progress toward stabilization.
FIXED INCOME
* United States Despite falling interest rates, and because of low
inflation, U.S. fixed-income investors enjoyed a year of positive
performance. The Asian crisis and ensuing flight to quality further
energized the bull market in U.S. bonds that began in late summer,
helping bring benchmark 30-year Treasury yields just under 6% by the end
of the period. Economic conditions at the end of the period could lead
fixed-income investments to continue this positive trend for two
reasons. First, the U.S. bond market is now one of the most attractively
valued of the major bond markets. Second, it appears that Asian
difficulties will continue to have a disinflationary effect as cheaper
imports keep down prices on competitive U.S. goods.
* Global Fixed-income markets performed well during the period, with the
United Kingdom leading the way much of the time. Core European markets
turned in solid performances, although the surging value of the U.S.
dollar dampened dollar-adjusted returns. Budget improvements and the
probability of a broader Economic Monetary Union (EMU) in Europe helped
returns from the higher-yielding peripheral markets of Spain, Italy, and
Sweden surpass those of core markets. The Japanese bond market was
fairly stable throughout the period. Should the Japanese government's
economic stimulus package take hold, however, bond yields could rise in
coming months.
* High Yield The prevailing economic and business climate throughout
1997 was ideal for high-yield bonds. Extremely low default rates,
powerful equity markets, steady demand, and continued brisk
consolidation activity that often leads to credit upgrades fueled
strong high-yield performance during the period. Telecommunications,
broadcasting, and cable sectors turned in particularly strong returns,
largely the result of consolidations and the ongoing positive effects of
deregulation.
The views expressed here are exclusively those of Putnam Management.
They are not meant as investment advice and are subject to change.
<TABLE>
<CAPTION>
SUB-ACCOUNT PERFORMANCE SUMMARY
- ------------------------------------------------------------------------------------------------------------------------------------
Total return PCM PCM PCM PCM PCM PCM PCM PCM
at unit value Asia Diversified Global Global Growth High International International
(as of 12/31/97)* Pacific Income Asset Alloca- Growth and Income Yield Growth Growth and
Growth Fund tion Fund Fund Fund Fund Fund Income Fund
Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1 year -15.84% 5.88% 18.01% 12.74% 22.42% 12.75% -- --
....................................................................................................................................
5 years -- -- 84.29 89.51 121.24 68.56 -- --
....................................................................................................................................
annualized -- -- 13.01 13.64 17.21 11.01 -- --
....................................................................................................................................
Life (since 2/1/88) -8.24+ 28.41++ 170.26 94.98*** 300.36 155.75 14.51%** 17.76%**
....................................................................................................................................
annualized -3.17 6.00 10.55 9.10 15.02 9.94 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
PCM PCM PCM PCM PCM PCM PCM PCM
International Money New New U.S. Govt Utilities Vista Voyager
New Oppor- Market Opportunities Value and High Growth Fund Fund
tunities Fund Fund Fund Fund Quality and Income
Bond Fund Fund
- ------------------------------------------------------------------------------------------------------------------------------------
1 year -- 3.76% 21.57% -- 7.13% 25.33% -- 24.76%
....................................................................................................................................
5 years -- 16.13 -- -- 34.55 89.70 -- 124.84
....................................................................................................................................
annualized -- 3.04 -- -- 6.11 13.66 -- 17.59
....................................................................................................................................
Life (since 2/1/88) -1.50%** 48.27 102.23*** 15.97%** 99.59 101.43**** 21.51%** 351.97
....................................................................................................................................
annualized -- 4.05 21.15 -- 7.22 13.15 -- 16.44
- ------------------------------------------------------------------------------------------------------------------------------------
Total return PCM PCM PCM PCM PCM PCM PCM PCM
at CDSC Asia Diversified Global Global Growth High International International
(as of 12/31/97)* Pacific Income Asset Alloca- Growth and Income Yield Growth Growth and
Growth Fund tion Fund Fund Fund Fund Fund Income
Fund Fund
- ------------------------------------------------------------------------------------------------------------------------------------
1 year -20.29% 0.48% 12.61% 7.34% 17.02% 7.35% -- --
....................................................................................................................................
5 years -- -- 80.69 85.91 117.64 64.96 -- --
....................................................................................................................................
annualized -- -- 12.56 13.20 16.83 10.53 -- --
....................................................................................................................................
Life (since 2/1/88) -12.33+ 24.81++ 170.26 94.98+++ 300.36 155.75 9.11%** 12.36%**
....................................................................................................................................
annualized -4.81 5.30 10.55 9.10 15.02 9.94 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
PCM PCM PCM PCM PCM PCM PCM PCM
International Money New New U.S. Govt Utilities Vista Voyager
New Oppor- Market Opportunities Value and High Growth Fund Fund
tunities Fund Fund Fund Fund Quality and Income
Bond Fund Fund
- ------------------------------------------------------------------------------------------------------------------------------------
1 year -- -1.64% 16.17% -- 1.73% 19.93% -- 19.36%
....................................................................................................................................
5 years -- 12.53 -- -- 30.95 86.10 -- 121.24
....................................................................................................................................
annualized -- 2.39 -- -- 5.54 13.23 -- 17.21
....................................................................................................................................
Life (since 2/1/88) -6.81%** 48.27 97.73*** 10.57%** 99.59 98.73**** 16.11%** 351.97
....................................................................................................................................
annualized -- 4.05 20.41 -- 7.22 12.88 -- 16.44
- ------------------------------------------------------------------------------------------------------------------------------------
* 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, 1995. An expense limitation was in effect during the period; without the limitation, total
return would have been lower.
++ Commencement of operations: September 15, 1993.
+++ Commencement of operations: May 1, 1990.
** Commencement of operations: January 2, 1997. The short-term results of a relatively new fund, such as these funds, are not
necessarily indicative of their long-term prospects. Expense limitations were in effect for these funds during the period;
without the limitation, total return would have been lower.
*** Date of inception: May 2, 1994.
**** Commencement of operations: May 4, 1992.
</TABLE>
PCM Asia Pacific Growth Fund
Sub-Account
While significant volatility and major declines among many markets
around the Pacific Rim dampened returns for the PCM Asia Pacific Growth
Fund subaccount during the period, active portfolio management once
again helped mitigate the negative impact of these events on
performance. For the 12 months ended December 31, 1997, the fund
tallied returns of -15.84% at unit value.
The region's difficulties began with the floating of the Thai currency
in July and competitive pressures forced sharp reductions in the
exchange value of one currency after another. In turn, the stock markets
of Thailand, Singapore, Malaysia, Indonesia, Hong Kong, the Philippines,
and South Korea have suffered huge downturns. In the case of Thailand,
for example, the equity market fell by more than 60% in 1997 -- a bear
market by any definition.
Nevertheless, there have been some isolated bright spots. In Japan, the
underlying fund benefited from strong performance by blue-chip exporters
in the context of an otherwise lackluster Japanese economy. Fortunately
the portfolio had no exposure to the vulnerable Japanese banking sector
nor to the Thai currency collapse. Hong Kong utility and residential
property holdings also performed well. Strength in Australian
industrial, pharmaceutical, and banking holdings provided a welcome
counterbalance to the otherwise turbulent region. In Malaysia, the fund
has reduced its stake in response to that market's difficulties.
Management continues to believe that the full effects of the recent
turmoil in the smaller countries of Asia have yet to play themselves
out. Therefore, the portfolio's exposure to these markets remains
extremely low, and until currency stability returns we expect it to
remain so. Much of our attention is now focused on Japanese and
Australian markets, where the portfolio is well positioned to benefit
from strength.
- -----------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- -----------------------------------------------------------------------
PORTFOLIO
Common stocks of companies located in Asia and the Pacific Basin
- -----------------------------------------------------------------------
UNIT VALUE
December 31, 1997 $9.18
- -----------------------------------------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations, economic instability, and political developments, that are
not present with domestic investments.
PCM Diversified Income Fund
Sub-Account
While the backdrop for the world's fixed-income securities was generally
positive during the past 12 months, periods of volatility on the
interest-rate and currency fronts as well as persistent inflation fears
posed challenges for each of the sectors in PCM Diversified Income Fund
subaccount. Throughout the period the fund sought to maximize yield
potential. As a result, management emphasized high-yield bonds and
emerging-market securities, which provided the lion's share of
performance. The subaccount closed the annual period with a total return
of 5.88% at unit value.
Within the U.S. taxable investment-grade sector (formerly the U.S.
government sector), management emphasized mortgage-backed securities.
Higher yields, low prepayment risk, and favorable supply/demand dynamics
led these securities to outperform Treasury securities over the period.
Nevertheless, Treasury holdings also performed well, especially when we
extended the portfolio's duration in anticipation of declining bond
yields and rising prices.
The high-yield bond sector continued to benefit from the strong economy,
and holdings in three industry sectors -- telecommunications,
broadcasting, and cable -- dominated high-yield holdings and contributed
substantially to returns. Toward the end of the period, management also
increased exposure to foreign cellular phone issues and foreign dollar-
based corporate bonds, particularly paper companies.
Among international markets, core European markets remained a key area
of concentration, and while the portfolio's holdings performed well, the
surge in the value of the U.S. dollar relative to European currencies
made performance in dollar terms a bit flat. Performance of these core
markets was also overshadowed somewhat by the dramatic comeback of the
higher-yielding peripheral markets of Spain, Italy, and Sweden.
Significant holdings in the United Kingdom performed well, as did
holdings in Australia and Canada. A foray into the Japanese bond market
was successful, while a substantial increase in emerging-markets
exposure proved especially rewarding.
Going forward, management remains reasonably optimistic about prospects
for the world's fixed-income securities as moderate economic growth, low
inflation, and increased fiscal responsibility on the part of many
governments appear to bode well for bond investors.
- -----------------------------------------------------------------------
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. taxable investment-grade securities, high-yield
bonds, and international instruments
- -----------------------------------------------------------------------
UNIT VALUE
December 31, 1997 $12.84
- -----------------------------------------------------------------------
High-yield securities are rated lower than investment-grade securities
because there is a greater possibility that negative changes in the
issuer's financial condition, or in general economic conditions, may
hinder the issuer's ability to pay principal and interest on the
securities. Foreign investments may be subject to certain risks, such as
currency fluctuations and political developments, that are not present
with domestic investments. While U.S. government backing of individual
securities does not insure your principal, which will fluctuate with
market conditions, it does guarantee that the fund's government-backed
holdings will make timely payments of interest and principal.
PCM Global Asset Allocation Fund
Sub-Account
For most of the year, the world's major economies enjoyed a positive
environment of steady growth, falling interest rates, ample liquidity,
and low inflation. In October, the currency crisis in Southeast Asia
beset financial markets with substantial volatility. By the end of the
period, however, some of the turmoil had begun to subside. PCM Global
Asset Allocation Fund subaccount turned in positive performance of
18.01% at unit value for the 12 months ended December 31, 1997, as the
balanced, growth, and conservative sectors all benefited from active
portfolio management and widespread diversification.
In U.S. financial markets, the year concluded on a positive note. After
succumbing to Asian-inspired corrections during October and November,
the U.S. equity bull market roared back, with both the Dow Jones
Industrial Average and the S&P 500 posting strong advances for the year.
Among U.S. bonds, the Asian crisis stimulated a classic flight to
quality that further energized a market advance that began over the
summer. The U.S. bond market now appears to be the most attractively
valued of the major bond markets. With inflation low and even falling,
the outlook for U.S. bonds appears positive for the foreseeable future.
With the exception of Japan, foreign equity markets performed well
through October. Many were hurt by the October correction. Some, like
those of the United Kingdom and Mexico, where fundamentals remain strong
and economies are on the upswing, have created value. However, in the
markets of Hong Kong, Japan, and Brazil, among others, the selloff has
caused fundamentals to worsen and management continues to view these
markets with caution.
Foreign bonds performed well for much of the period, although valuations
became stretched as investors sought safe havens during the Asian
crisis. The Japanese bond market has been fairly stable, and a weak
economy will probably forestall the inevitable bear market in Japanese
bonds. European bond markets are now slightly overvalued, and with
economic activity still accelerating in Europe and central banks across
Europe and the United Kingdom raising rates, the outlook for
international bonds remains tepid.
- -----------------------------------------------------------------------
INVESTMENT OBJECTIVE
A high level of long-term total return consistent with preservation of
capital
- -----------------------------------------------------------------------
PORTFOLIO
A managed asset allocation portfolio spread across domestic and
international stock and bond markets
- -----------------------------------------------------------------------
UNIT VALUE
December 31, 1997 $27.03
- -----------------------------------------------------------------------
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
During a year characterized by bouts of market volatility and sector
rotation, PCM Global Growth Fund subaccount generally navigated the
world's financial landscape with aplomb. For the 12 months ended
December 31, 1997, the subaccount achieved a total return of 12.74% at
unit value.
Skillful stock selection and country allocations played a pivotal role
for much of the year in allowing the fund to sidestep some of the
pitfalls and seize some of the opportunities the world markets
presented. Additionally, a large position in top-performing U.S. growth
stocks bolstered performance, while defensive currency hedging
techniques shielded the fund from the continued weakness of the Japanese
yen. Unfortunately some of the portfolio's technology holdings came
under pressure just before the close of the year.
The U.S. stock market continued to post solid gains but not without some
turbulence. Prior to October's worldwide semiconductor stock selloff,
companies involved in all aspects of the computer industry contributed
significantly to fund returns. Financial holdings were also generally
strong, and going forward, management has identified pharmaceutical
companies as another attractive growth area.
European markets had solid returns during the period, and the underlying
fund benefited from overweight positions in the United Kingdom,
Switzerland, France, the Netherlands, Sweden, and Ireland. Across the
Atlantic, the fund sought opportunities in the improving Canadian
market.
Pacific Rim markets recorded some of the year's weakest returns, as
currency devaluations prompted sharp corrections. Fortunately, the
fund's global diversification mitigated the negative effects of these
events. Additionally, as downward earnings estimates were issued,
management reduced several regional positions. A relative underweighting
in Japanese and Malaysian stocks also shielded the fund from
difficulties in those markets, although several of the fund's Japanese
holdings produced positive returns.
While management is, of course, cognizant of certain risks in any
market, management believes that the current investment focus on high-
quality growth companies positioned for outperformance will continue to
generate solid returns during this unpredictable market uptrend.
- -----------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- -----------------------------------------------------------------------
PORTFOLIO
An internationally diversified common stock portfolio
- -----------------------------------------------------------------------
UNIT VALUE
December 31, 1997 $19.50
- -----------------------------------------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations, economic instability, and political developments, that are
not present with domestic investments.
PCM Growth and Income Fund
Sub-Account
The U.S. stock market packed more peaks and troughs into the 12 months
ended December 31, 1997 than it did during the previous two years
combined, ascending to numerous new highs and experiencing one of its
most dramatic drops on record. Thanks in part to a team of experienced
research analysts and especially to a strategy of focusing on cheaply
priced stocks of companies with the potential for positive change, the
subaccount sidestepped much of the year's turmoil while generating solid
returns. During the year, the PCM Growth and Income Fund subaccount
achieved a total return of 22.42% at unit value.
By focusing on bargain stocks, the underlying fund seeks to position
itself so as to gain a measure of resilience during periods of market
volatility. First, stocks generally become cheap when investors get
unfavorable news about a company. But the bad news and depressed price
often makes such stocks less vulnerable than more highly priced stocks
to volatility thereafter. Second, many of these stocks have generous
dividends, often higher than the market average -- because the
dividend's yield rises if the price of this stock falls. Not only do
dividends add to total return, but they also tend to attract investors
during periods of market turbulence.
While designed to provide competitive long-term returns, the investment
strategy occasionally has some drawbacks over shorter periods as
management waits for the stocks to live up to their potential. For
example, in 1997's choppy market, we were able to take advantage of
downturns in sectors including basic industries, energy, and technology.
Management believes all of the new, attractively priced holdings are
well positioned for the future but still face some short-term
difficulties. Therefore, they were unable to keep pace with the
relatively small group of growth-oriented large companies that led the
market's gains during 1997.
The pursuit of "cheapness and change" often leads the fund to companies
in the midst of an internal or industry-wide reorganization. During the
fiscal year, holdings in the financial services and health-care
industries both benefited from exactly these kinds of changes, resulting
in significant stock price increases. In a couple of cases, however,
reorganizations have not yet produced benefits. Perhaps the most
prominent is a large portfolio position in the pharmaceutical area,
which posted disappointing performance during 1997.
Although some holdings are likely to continue experiencing short-term
difficulties, management remains confident that the value-investing
strategy will continue to produce solid rewards over the long term.
- -----------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital growth and current income
- -----------------------------------------------------------------------
PORTFOLIO
Primarily common stocks and convertible securities
- -----------------------------------------------------------------------
UNIT VALUE
December 31, 1997 $40.04
- -----------------------------------------------------------------------
PCM High Yield Fund
Sub-Account
A Federal Reserve Board interest-rate increase and the near meltdown of
several developing Asian markets delivered a couple of high-profile
shocks to fixed-income markets this year, but high-yield bond investors
emerged comparatively unscathed. A combination of strong market
fundamentals and astute bond selection enabled PCM High Yield Fund
subaccount to achieve a total return of 12.75% at unit price for the
period.
In general, high-yield bond prices rose steadily this year, experiencing
only temporary setbacks in the weeks surrounding the Fed's March
interest-rate increase. Economic growth and corporate profits
consistently exceeded expectations, fueling a robust stock market and an
optimistic mood among investors. A record-breaking supply of new high-
yield issues came to market this year, but it was easily absorbed by
investors seeking higher yields than those available on other fixed-
income investments. The only drawback to such a healthy environment is
that investors have pushed the yields on below-investment-grade debt to
within three percentage points of comparable U.S. Treasuries.
Telecommunications, broadcasting, and cable television holdings all
helped drive performance over the past year. During the period, the
telecommunications industry represented the largest sector of the high-
yield market, as well as the largest sector of your portfolio. Typical
of this high-growth industry, many of the portfolio's telecommunications
holdings were in the midst of launching personal communications systems.
During the infrastructure development phase, these young companies
represent their greatest business risk, and their bonds are priced
accordingly with relatively high yields to attract investors.
In the broadcasting industry, companies have benefited from recent
deregulation legislation that has sparked a wave of merge and
acquisition activity over the past year. Although the securities of
cable companies languished in recent years, the sector has recently come
back into favor as cable operators have begun working to manage their
subscriber bases, introduce new products, and upgrade networks. Of
particular interest is the delivery of Internet technology through
conventional cable systems.
The outlook for high-yield bonds remains favorable, and management will
remain diligent on credit selection to seek overlooked issues that offer
the potential for income and price appreciation.
- -----------------------------------------------------------------------
INVESTMENT OBJECTIVE
High current income, with a secondary objective of capital appreciation
- -----------------------------------------------------------------------
PORTFOLIO
Primarily high-yielding, lower-rated corporate bonds and notes
- -----------------------------------------------------------------------
UNIT VALUE
December 31, 1997 $25.57
- -----------------------------------------------------------------------
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
International equity markets delivered mixed performance during the
fiscal period, as bouts of volatility and sector rotation proved
challenging. Nonetheless, astute stock selection, country allocations,
and currency exposure enabled PCM International Growth Fund subaccount
to deliver a solid total return of 14.51% at unit value from inception
on January 2, 1997, through December 31, 1997.
In short, international equity markets were tumultuous, especially
during the final months of the year. Financial turmoil in Asia spread
and intensified during the fourth quarter, as currency devaluations
spurred stock market declines in Thailand, Singapore, Malaysia,
Indonesia, Hong Kong, the Philippines, and South Korea. Japan's equity
market also labored under difficult conditions, including a sluggish
economy, a slow pace of economic reform, and fallout from the turmoil in
Southeast Asia. Fortunately, the fund's underweight positions in Japan,
Malaysia, and other smaller Asian markets mitigated the negative effects
of these markets' declines.
With Asian markets experiencing such huge declines and European markets
faring rather well by comparison, the performance spread between
European and Asian markets in 1997 was the widest on record. In the
fourth quarter, European markets experienced increased volatility as a
result of Asia's troubles and performance varied widely, but many
markets managed to hold on to the impressive gains made during the first
three quarters of the year. The fund benefited from superior stock
selection and overweight positions in top-performing markets of Ireland
and Switzerland, as well as overweight positions in the Netherlands,
Sweden, and France. Unfortunately, the fund's avoidance of Spain and an
underweight position in Italy proved costly as these markets
outperformed the European market generally.
While the financial storms of Southeast Asia may be over, various risks
and challenges remain. Management remains cautious about large
commitments to Asia, although the fund's management continues to seek
attractive long-term opportunities. Management believes positive
fundamentals have improved prospects for solid European growth in 1998.
The portfolio remains overweight in the United Kingdom, Portugal, and
Ireland, and has increased its allocation to France while underweighting
the markets of Germany, Spain, and Italy.
- -----------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- -----------------------------------------------------------------------
PORTFOLIO
Common stocks of companies located outside of North America
- -----------------------------------------------------------------------
UNIT VALUE
December 31, 1997 $11.45
- -----------------------------------------------------------------------
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 strategy of
seeking cheapness and change throughout the world's markets worked well
from inception on January 2, 1997, through December 31, 1997. Moderate
industrial expansion and relatively stable interest rates in most of the
world's developed economies helped equity markets rise to record levels.
Among the winning stocks were many of the large industrial corporations
and financial companies favored by the underlying fund's value-oriented
approach. Meanwhile, more and more companies in Europe and Japan
embraced the need to reform their businesses and products. Management
positioned the portfolio to capitalize on this trend. The subaccount
achieved a total return of 17.76% at unit value from inception on
January 2, 1997, through December 31, 1997.
European equity markets posted robust gains during the period. In
addition to moderate economic growth and steady interest rates, many
European multinational corporations also benefited from a strong U.S.
dollar and were able to increase exports. These positive conditions were
offset, however, by problems including high unemployment and internal
opposition to budgetary reform. The financial markets nevertheless
showed confidence that these countries would remain on track with their
efforts to introduce a monetary union in 1999.
As Europe's Economic and Monetary Union (EMU) struggles with the birth
of the euro, member states are also striving to streamline bloated
bureaucracies by privatizing state-run companies. During the period,
this process generated promising investment opportunities in Italy and
France. In the United Kingdom, management added one new holding and
strengthened existing positions in two companies.
While Japan continued to provide a mixture of good and bad news, the
underlying fund's strategy enabled it to capitalize on difficulties that
prompted certain corporations to reform their businesses. During the
period, management added to several existing positions in Japanese
companies, attracted by their restructuring initiatives and their
depressed stock prices.
While the past year has been rewarding for this portfolio, it is
important to remember that this fund invests in companies, not
countries. The world's stock markets cannot continue to set records
indefinitely. Fortunately, this fund's returns depend more on each
company's potential for positive change than on the performance of major
equity indexes.
- -----------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation, with a secondary objective of income
- -----------------------------------------------------------------------
PORTFOLIO
Common stocks
- -----------------------------------------------------------------------
UNIT VALUE
December 31, 1997 $11.78
- -----------------------------------------------------------------------
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 first year of operation is a challenging time for any fund, and 1997
presented PCM International New Opportunities Fund subaccount with more
than a few hurdles in the form of exceptional volatility in the world's
equities markets. In this turbulent environment, the subaccount posted
its initial performance of -1.50% for the period of January 2, 1997
through December 31, 1997.
With a long-term goal of outpacing established markets while sustaining
less volatility than emerging markets, the fund underlying the
subaccount seeks investment opportunities throughout the world. This
ability to diversify served the subaccount well over the period by
enabling it to sidestep some faltering markets while favoring those
offering higher returns. For example, most Southeast Asian stock markets
declined sharply during the concluding months of the year. Because
management identified potential problems in these emerging markets early
on, the portfolio held a below-benchmark weighting in most of these
countries' stocks. Similarly none of the portfolio's top 10 holdings
were in semiconductor stocks, a sector that took a real beating during a
worldwide selloff in October.
October's market corrections enabled the fund to increase positions in
some existing holdings and add a number of quality growth stocks in
Norway, Canada, the Netherlands, and Italy. The fund also took advantage
of price recoveries to sell some small, marginal holdings in Indonesia,
Hong Kong, and Malaysia. The fund also realized gains from its Mexican
holdings, largely in the consumer sector. Stock selection in the United
Kingdom added measurably to performance as this market enjoyed the
benefits of a strong economy and attractive valuations. Stock selection
in South Korea and Taiwan provided additional sources of outperformance.
Unfortunately the portfolio's overweighting in technology did not
contribute to returns, since the sector declined when growth prospects
were trimmed based on weaker than expected Asian demand.
Although the near-term equity investment environment remains somewhat
volatile, many of the world's stock markets continue to offer
significant long-term growth opportunities. In both emerging and
developed markets, companies are poised for success and fund management
believes that through diligent research and careful stock selection,
this fund can continue to reap the rewards of international investing.
- -----------------------------------------------------------------------
INVESTMENT OBJECTIVE
Long-term capital appreciation
- -----------------------------------------------------------------------
PORTFOLIO
Common stocks of companies principally located outside the
United States
- -----------------------------------------------------------------------
UNIT VALUE
December 31, 1997 $9.85
- -----------------------------------------------------------------------
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 Money Market Fund
Sub-Account
PCM Money Market Fund subaccount's fiscal year concluded much as it
began, in an environment marked by solid economic growth, low inflation,
and relatively moderate interest rates. As always, management emphasized
superior quality, capital preservation, and current income -- a
conservative strategy that produced a solid total return of 3.76% at
unit value for the 12 months ended December 31, 1997.
While volatility in the financial markets continued to reflect investor
sensitivity to inflationary pressures, the Federal Reserve Board has not
raised short-term interest rates since its March 1997 meeting. In April
and May, yields on money market securities rose in expectation of
another Fed increase, but the Fed failed to act and money market yields
backed down to their current levels near the federal funds target rate.
Although the current economic expansion has not pushed up inflation,
there are hints that pressures may be building. U.S. labor markets
remain extremely tight, and some prices have begun to move up slightly.
For this reason, management continued to keep the underlying fund in a
flexible position throughout the past 12 months. During most of fiscal
1997, this meant holding portfolio duration relatively neutral in order
to take advantage of incrementally higher yields as they became
available. One such opportunity arose in the spring, just after the Fed
raised interest rates at its March meeting.
Superior quality and preservation of capital remain the hallmarks of the
subaccount's portfolio strategy, and management continues to invest in a
wide spectrum of top-quality, traditional money market securities. These
include certificates of deposit, bank notes, government agency discount
notes, and both conventional and asset-backed commercial paper (debt
obligations backed by trade and term receivables, credit cards, or auto
loans).
While many investors seem to be extending their expectations of stable
short-term rates, fund management believes this may not hold true. To be
sure, actual inflation remains quite low, but pressures are certainly
building, and the market remains vulnerable to any news of an uptick.
With its neutral portfolio duration and conservative, quality-driven
investment strategy, the portfolio remains well positioned for what lies
ahead.
- -----------------------------------------------------------------------
INVESTMENT OBJECTIVE
Current income consistent with preservation of capital and maintenance
of liquidity
- -----------------------------------------------------------------------
PORTFOLIO
Primarily high-quality money market instruments
- -----------------------------------------------------------------------
UNIT VALUE
December 31, 1997 $1.48
- -----------------------------------------------------------------------
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
A resurgence in performance by the portfolio's small-capitalization
holdings, along with strong performance from its larger-company stocks,
propelled PCM New Opportunities Fund subaccount to strong performance
during the year. For the 12 months ended December 31, 1997, the
subaccount tallied a total return of 21.57% at unit value.
A strong U.S. economy, low interest rates, and low inflation set a
positive tone for the U.S. stock market over the period. Indeed, despite
bouts of volatility and sharp declines during October and November, U.S.
equities turned in another year of remarkable performance. Both the Dow
Jones Industrial Average and the S&P 500 posted strong advances for the
year.
Media was a top-performing sector for the fund over the period. These
stocks have been tremendous cash generators, and the companies have been
using that cash to finance acquisitions or repurchase shares of their
own stock. As a result, their profitability has been growing. At the
same time, these companies have minimal foreign exposure, which is
particularly helpful as the full effects of the Asian crisis on U.S.
multinationals have yet to materialize. Within the media sector,
television, radio, and outdoor advertising holdings made particularly
strong gains. Communications services holdings, including long-distance
and competitive local exchange carriers, also did well.
Technology was largely a disappointment this year, although the
portfolio did not have an overweight position in this sector, a fact
that helped mitigate some of the negative effects of the sector's drop.
Large mainframe-oriented software companies provided the one bright spot
on the technology landscape, and holdings in this area did help offset
weakness in other parts of its technology position. Within the health-
care sector, portfolio holdings in pharmaceuticals and information
services performed well, while health maintenance organization (HMO)
stocks did not. Overall, health-care holdings contributed to returns,
but not substantially. The portfolio also realized gains from holdings
in the consumer, retailing, financial services, computer services,
education and training, and business services sectors.
Looking ahead, management intends to keep a close watch on the Asian
situation while structuring the portfolio so as to minimize the impact
of the region's economic difficulties.
- -----------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- -----------------------------------------------------------------------
PORTFOLIO
Common stocks of companies in market sectors with above-average long-
term growth potential
- -----------------------------------------------------------------------
UNIT VALUE
December 31, 1997 $20.22
- -----------------------------------------------------------------------
This fund invests all or a portion of its assets in small to medium-
sized companies. Such investments increase the risk of greater price
fluctuations.
PCM New Value Fund
Sub-Account
PCM New Value Fund subaccount finished the year with solid performance,
although it lagged the record-breaking returns of broader market
averages. In just under one full year of operation, the subaccount
posted a very respectable total return of 15.97% for the period from
January 2, 1997, through December 31, 1997.
For most of the year, positive conditions of steady economic growth, low
interest rates, and low inflation prevailed. The U.S. equity market
responded with a year of stellar performance, as the Dow Jones
Industrial Average and the S&P 500 both posted strong advances for the
year. During October and November, however, the market declined sharply,
reacting to the Southeast Asian financial crisis and earnings
disappointments from technology companies and multinationals.
The year's equity environment generally favored a narrow group of large
growth companies, not the undervalued companies that represent the
underlying fund's focus. Fund management does not expect the fund to
track the market at all times, especially during volatile periods.
Still, the quest for cheapness and change did demonstrate its own
important short-term benefits during the year. In March and again in
August, events raised questions about the price stability of the large,
market-leading companies. In both instances, the underlying fund
weathered the storms with milder losses than the market averages.
Although management uses a bottom-up analysis in selecting stocks,
certain industry trends can be factors in decision making. For example,
over the past year, a new focus on cost control and revenue enhancement
in the domestic paper and foreign oil industries led to the addition of
several new holdings in these sectors. The paper holdings are stocks of
well-established companies experiencing price declines because of short-
term difficulties. The oil stocks represent out-of-favor stocks offering
the greatest potential rewards along with their correspondingly greater
risk. The underlying fund also enjoyed unexpectedly strong performance
from financial holdings in stocks selected because of their dividends'
potential ability to provide solid income. Research into overlooked
stocks also led to the addition of two railroad stocks to the portfolio.
While the portfolio's concentration in 40 to 50 stocks poised for change
can generate short-term risk, management remains convinced that over the
long term this path can lead to competitive capital appreciation.
- -----------------------------------------------------------------------
INVESTMENT OBJECTIVE
Growth and current income
- -----------------------------------------------------------------------
PORTFOLIO
Common stocks and fixed-income securities
- -----------------------------------------------------------------------
UNIT VALUE
December 31, 1997 $11.60
- -----------------------------------------------------------------------
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
With the world's bond markets providing plenty of opportunities and
challenges for fixed-income investors during the year, a flexible
investment strategy once again enabled PCM U.S. Government and High
Quality Bond Fund subaccount to turn in solid results. For the 12 months
ended December 31, 1997, the subaccount provided a total return of 7.13%
at unit value.
As the U.S. economy continued to march upward, an underlying current of
nervousness prevailed throughout the period, as both the Federal Reserve
Board and investors kept a close watch on inflation, worried that
economic strength might reignite it at any moment. A defensive posture
throughout the period enabled the fund to maintain its income stream and
protect its asset value -- while gaining a competitive advantage.
Specifically, this strategy involved shortening the portfolio's duration
early in the year then extending it during the summer. Duration measures
a portfolio's sensitivity to changing interest rates. Rather than invest
in new securities, management shortened duration chiefly by emphasizing
bonds that generally had three years or less remaining before maturity.
After being in the market for several years, these older bonds possess
diminished sensitivity to interest-rate changes while maintaining their
stated coupons of between 6% and 8%.
Throughout most of the year, mortgage-backed securities were the primary
focus in the U.S. government portion of the portfolio. These securities
provided higher yields than most other U.S. government issues while
providing a greater degree of price stability than would have been
provided by a portfolio of Treasuries alone. The favorable market
environment that boosted equity performance over the past year also
sparked solid performance from the fund's investment-grade corporate
bond holdings for most of the period. However, as events in Southeast
Asia heated up toward the period's close, investment-grade bonds
experienced a setback on the grounds that weaker currencies in Asia
would reduce U.S. exports and cut into profits of U.S. companies.
Given current U.S. economic strength and continued uncertainty
surrounding the full implications of the Asian currency crisis,
management intends to maintain the fund's defensive posture in coming
months. In the meantime, the portfolio's emphasis on mortgage-backed
securities and corporate bonds should continue to provide solid returns
in an economic environment such as the one that prevailed at the end of
the period.
- -----------------------------------------------------------------------
INVESTMENT OBJECTIVE
Current income consistent with preservation of capital
- -----------------------------------------------------------------------
PORTFOLIO
Securities issued or backed by the full faith and credit of the U.S.
government or its agencies or instrumentalities plus foreign government
and corporate bonds rated A or above
- -----------------------------------------------------------------------
UNIT VALUE
December 31, 1997 $19.96
- -----------------------------------------------------------------------
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
Despite the enormous volatility of certain world markets during the
second half of the year, PCM Utilities Growth and Income Fund subaccount
preserved its record of strong competitive performance. For the 12
months ended December 31, 1997, the subaccount tallied a total return of
25.33% at unit value.
Because no singular, consistent theme drove market performance, overall
asset allocation remained relatively unchanged during much of the
period. With more than 20% of its assets in gas-related stocks, the fund
remains overweighted in the gas industry in terms of total utilities
market capitalization. This reflects management's conviction that the
gas industry will continue its ongoing consolidation, with gas companies
merging with each other and combining with electric power companies as
well. Accordingly we have tended to seek out smaller companies in strong
service areas, since these have the potential of being profitable either
on an operating basis or as merger candidates.
Among telephone stocks, the fund currently maintains large positions in
the stocks of two industry giants, and management fully expects both to
make strong contributions to the fund's return over time.
The fund has maintained a modest allocation to foreign utility companies
as well. Unfortunately this light exposure hurt performance somewhat
during the first half of the year, when foreign utilities, especially
emerging market utilities, outperformed. Recently these markets
corrected sharply, and we took advantage of poor performance to
selectively increase the fund's exposure.
Management is particularly optimistic about U.S. utilities over the
course of the next 12 to 18 months as industry change, attractive
valuations, a strong economy, low interest rates, and government
deregulation come together in a positive way. Of course, we will be
watchful for any change in interest rates, although the underlying
fund's conservative portfolio structure should contribute to strong
competitive performance.
- -----------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital growth and current income
- -----------------------------------------------------------------------
PORTFOLIO
Common stocks and bonds issued by public utility companies
- -----------------------------------------------------------------------
UNIT VALUE
December 31, 1997 $20.14
- -----------------------------------------------------------------------
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
PCM Vista Fund subaccount finished the year with solid performance,
though it lagged the record-breaking returns of broader market averages.
Completing just under one full year of operation, the subaccount posted
a respectable total return of 21.51% for the period from January 2,
1997, through December 31, 1997.
The year encapsulated one of the most astounding bull markets in
history. Both the Dow Jones Industrial Average and the S&P 500 posted
strong advances for the year. During October and November, however, the
market declined sharply, reacting to the Southeast Asian financial
crisis and earnings disappointments from technology companies and
multinationals.
For most of the year, large-cap stocks outperformed the medium-sized
companies that form the majority of the underlying fund's portfolio.
Economic strength, while favorable for corporate profits, raised
concerns over inflation and the possibility of an interest-rate increase
by the Federal Reserve Board. Then, the Asian crisis spurred a flight to
quality which reinforced investors' preference for the relative safety
of large-company stocks. Fund management considers short-term
performance disappointing but not surprising, and remains confident
about the subaccount's long-term performance prospects.
Prior to the fourth-quarter technology stock selloff, semiconductors and
computer software made notable contributions to performance. Financial
stocks also performed quite well, even through the downturn. Consumer
cyclical stocks, which tend to outperform the market in a rising
economy, were big winners. Specialty retailing stocks enjoyed a steady
comeback and these were among the portfolio's better performers. Food
and drug retailers and radio broadcasting companies also boosted
returns. Finally, holdings in several subsectors within the health-care
industry contributed to performance, among them health maintenance
organizations and facilities dedicated to acute services and elderly
care.
Looking ahead, management believes that many medium-sized companies are
poised for rapid growth. By diversifying across many sectors, the
portfolio seeks to uncover the companies with above-market growth
potential and the promise of being tomorrow's large-cap leaders.
- -----------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- -----------------------------------------------------------------------
PORTFOLIO
Common stocks with potential for above-average capital growth
- -----------------------------------------------------------------------
UNIT VALUE
December 31, 1997 $12.15
- -----------------------------------------------------------------------
PCM Voyager Fund
Sub-Account
Timely sector and securities shifts positioned PCM Voyager Fund
subaccount well during the annual period, enabling it to tally a solid
total return of 24.76% for the 12 months ended December 31, 1997.
The year was one of stellar stock market performance, but not without
some turbulence. Both the Dow Jones Industrial Average and the S&P 500
posted strong advances for the year. October and November brought sharp
corrections, however, as the market reacted to the Southeast Asian
financial crisis and earnings disappointments from technology companies
and multinationals.
Throughout the year, an underlying current of nervousness prevailed, as
both the Federal Reserve Board and investors kept a close watch on
inflation, fearful that economic strength might reignite it at any
moment. A defensive posture during the second half of the year served
the fund well, enabling it to maximize opportunities while sidestepping
some of the period's major pitfalls. For example, while technology
remains one of the portfolio's major sector bets, a timely September
reduction in exposure to technology companies with significant Asian
revenues minimized fallout from worldwide technology selloffs in October
and November.
Another successful move involved adding some defensive growth stocks in
the retail sector, along with some large-cap financial names. Both
sectors performed well, especially when the Asian financial crisis
precipitated a flight to quality during the fourth quarter. An
overweight position in the broadcasting area bolstered performance, as
did a re-entry into the cable television sector with the purchase of one
holding that made a huge contribution to returns over the period.
Management remains cautious about the U.S. economy over the next year,
and plans to keep the portfolio positioned defensively.
- -----------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- -----------------------------------------------------------------------
PORTFOLIO
Stocks of "emerging growth" companies with significant growth potential
and established companies with positive growth prospects
- -----------------------------------------------------------------------
UNIT VALUE
December 31, 1997 $45.20
- -----------------------------------------------------------------------
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
Paul C. Warren has been appointed to the management team of Putnam VT
Asia Pacific Growth Fund. He joined Putnam in 1997 as a senior portfolio
manager in the Core International Equity Group, focusing on the Pacific
Basin equity markets. Earlier experience includes positions with IDS
Fund Management Ltd., Pilgrim Baxter Asia L.L.C., Prudential Asia Fund
Management Limited, Rothschild Asset Management, Salomon Brothers Asia,
and Morgan Grenfell. He has 15 years of investment industry experience.
Robert M. Paine and Max S. Senter have been appointed to the management
team of Putnam VT Diversified Income Fund. Mr. Paine is a portfolio
manager in the High Yield Group. He joined Putnam in 1987 as a high-
yield analyst, following industries such as gaming, telecommunications,
and media and entertainment. He has more than 10 years of investment
industry experience. Mr. Senter joined Putnam in 1988 as an analyst and
currently manages fixed-income portfolios, allocating among U.S.
investment-grade, high-yield, and international fixed-income sectors. He
has 11 years of investment industry experience.
Michael K. Arends has been appointed to the management team of Putnam VT
Global Growth Fund. He joined Putnam in 1997 as a senior portfolio
manager in the Core Growth Equity Group. Before coming to Putnam he was
with Phoenix Duff and Phelps, Kemper Financial Services, Institutional
Capital Corporation, and Mathers and Company. He has 20 years of
investment industry experience.
Rosemary H. Thomsen has been appointed to the management team of Putnam
VT High Yield Fund. She joined Putnam's High Yield Bond Group as an
analyst in 1986. She currently manages several high-yield portfolios.
She has 14 years of investment industry experience.
Joanne M. Driscoll has been appointed to the management team of Putnam
VT Money Market Fund. She joined Putnam in 1995 as a money market credit
analyst with the Cash Management Group. She is currently portfolio
manager for the taxable money market funds. She has five years of
investment industry experience.
Eric M. Wetlaufer has been appointed to the management team of Putnam VT
Vista Fund. He joined Putnam in 1997 as team leader of the Mid-cap
Growth Equity Group. Before coming to Putnam he was with Cadence Capital
Management, Northfield Information Services, and The Boston Company. He
has 12 years of investment industry experience.
Michael P. Stack has been appointed to the management team of Putnam VT
Voyager Fund. He joined Putnam in 1997 as a portfolio manager in the
Core Growth Equity Group. He formerly served with Independence
Investment Associates, National Life Investment Management, and General
Electric. He has 12 years of investment industry experience.
Cumulative total returns of a $10,000 investment at unit value
PCM Asia Pacific Growth Fund
Subaccount -- since 5/1/95
(subsequent periods ended 12/31)
Plot points read:
PCM MSCI
Asia Pacific Pacific
Date Growth Fund Basin Index
5/1/95 10000 10000
95 10135 10021
96 10903 9161
97 9176 6826
Footnote reads:
PCM Asia Pacific Growth Fund subaccount's underlying portfolio seeks
capital appreciation through common stocks of companies located in A
sia and in the Pacific Basin. The Morgan Stanley Capital International
Pacific Basin Index (MSCIP) is an unmanaged list of Asian and Pacific
Rim equity securities with all values expressed in U.S. dollars.
The fund's portfolio contains securities that differ from those in the
indexes. It is not possible to invest directly in an index.
PCM Diversified Income Fund
Subaccount -- since 9/15/93
(subsequent periods ended 12/31)
Plot points read:
PCM First Boston
Diversified Lehman Bros. Salomon Bros. High Yield
Date Income Fund Govt. Mortgage Govt. Mortgage Index
9/15/93 10000 10000 10000 10000
93 10188 10090 10019 10441
94 9622 9928 10619 10339
95 11302 11595 12695 12136
96 12127 12217 13213 13643
97 12841 13387 12798 15454
Footnote reads:
PCM Diversified Income Fund subaccount's underlying portfolio of U.S.
government, high-yield, and international fixed-income securities
seeks high current income consistent with capital preservation. Lehman
Bros. Government/Mortgage Index is an unmanaged list of U.S.
government and mortgage-backed securities. Salomon Brothers Non-U.S.
World Government Bond Index is an unmanaged list of bonds issued by 10
countries. First Boston High Yield Index is an unmanaged list of
lower-rated higher-yielding U.S. corporate bonds. Securities indexes
assume reinvestment of all distributions and interest payments and do
not take in account brokerage fees or taxes. Securities in the fund do
not match those in the indexes and performance of the fund will
differ. It is not possible to invest directly in an index.
PCM Global Asset Allocation Fund
Sub account -- since 2/1/88
(subsequent periods ended 12/31)
Plot points read:
Date PCM
Global Asset MSCI
Allocation Fund World Index
2/1/88 10000 10000
88 10545 12038
89 12068 14038
90 11922 11648
91 13992 13778
92 14665 13057
93 16988 15995
94 16335 16807
95 20087 20290
96 22902 23025
97 27026 26657
Footnote reads:
PCM Global Asset Allocation Fund subaccount's underlying managed asset
allocation portfolio spread across domestic and international stock
and bond markets seeks a high level of long-term total return
consistent with preservation of capital. The Morgan Stanley Capital
(MSCI) International World Index is an unmanaged list of international
equity securities, with all values expressed in U.S. dollars. The fund's
portfolio contains securities that do not match those in the index.
It is not possible to invest directly in an index.
PCM Global Growth Fund
Subaccount -- since 5/1/90
(subsequent periods ended 12/31)
Plot points read:
PCM
Global Growth MSCI
Date Income World Index
5/1/90 10000 10000
90 9233 9832
91 10472 11629
92 10289 11021
93 13432 13501
94 13119 14187
95 14963 17126
96 17294 19435
97 19498 22500
Footnote reads:
PCM Global Growth Fund subaccount's underlining internationally
diversified common stock portfolio seeks capital appreciation. The
Morgan Stanley Capital International (MSCI) World Index is an unmanaged
list of international equity securities, with all values expressed in
U.S. dollars. The fund's portfolio contains securities that do not match
those in the index. It is not possible to invest directly in an index.
An investment's past performance should not be taken as an assurance
of future results.
PCM Growth and Income Fund
Subaccount -- since 2/1/88
(subsequent periods ended 12/31)
Plot points read:
PCM
Growth and S&P 500
Date Income Fund Index
2/1/88 10000 10000
88 11848 11190
89 14166 14736
90 14243 14279
91 16720 18630
92 18096 20050
93 20390 22071
94 20178 22362
95 27201 30766
96 32703 37830
97 40036 50445
Footnote reads:
PCM Growth and Income Fund subaccount's underlying portfolio primarily
of common stocks seeks capital growth and current income. The Standard
& Poor's 500 Index is an unmanaged list of common stocks frequently
used as a gauge of general market performance. The fund's portfolio
contains securities that do not match those in the index. It is not
possible to invest directly in an index.
PCM High Yield Fund
Subaccount -- since 2/1/88
(subsequent periods ended 12/31)
Plot points read:
PCM First Boston
High Yield High Yield
Date Fund Index
2/1/88 10000 10000
88 10624 10990
89 10200 11033
90 9055 10329
91 12932 14849
92 15173 17323
93 17890 20598
94 17476 20397
95 20390 23942
96 22682 26915
97 25575 30314
Footnote reads:
PCM High Yield Fund subaccount's underlying portfolio primarily of
high-yielding, lower-rated corporate bonds and notes seeks high
current income, with a secondary objective of capital appreciation.
The First Boston High Yield Index is an unmanaged market-weighted
index constructed to mirror the public investable high-yield debt
market. The index assumes reinvestment of all distributions and does
not take into account brokerage fees or taxes. The fund's portfolio
contains securities that do not match those in the index. It is not
possible to invest directly in an index.
PCM International Growth Fund -- since 1/2/97
Plot points read:
PCM International
Growth and MSCI EAFE
Date Income Fund Index
1/2/97 10000 10000
2/28/97 10197 9808
3/31/97 10285 9843
4/30/97 10363 9895
5/31/97 11017 10540
6/30/97 11500 11120
7/31/97 12192 11301
8/31/97 11158 10456
9/30/97 12094 11042
10/31/97 11229 10193
11/30/97 11316 10089
12/31/97 11451 10178
Footnote reads:
PCM International Growth Fund subaccount's underlying portfolio seeks
capital appreciation through stocks of companies located in countries
outside North America. The MSCI EAFE Index is an unmanaged list
of stocks from Europe, Australia, and the Far East with all values
expressed in U.S. dollars. The fund's portfolio contains securities
that differ from those in the index. It is not possible to invest
directly in an index.
PCM International Growth and Income Fund -- since 1/2/97
Plot points read:
PCM International
Growth and MSCI EAFE
Date Income Fund Index
1/2/97 10000 10000
2/97 10266 9808
3/97 10433 9843
4/97 10462 9895
5/97 11026 10540
6/97 11490 11120
7/97 12120 11301
8/97 11265 10456
9/97 12191 11042
10/97 11375 10193
11/97 11531 10089
12/97 11776 10178
Footnote reads:
PCM International Growth and Income Fund subaccount's underlying
portfolio seeks capital appreciation through stocks of companies located
in countries other than the United States. The MSCI EAFE Index is
an unmanaged list of stocks from Europe, Australis, and the Far East
with all values expressed in U.S dollars. The fund's portfolio contains
securities that differ from those in the index. It is not possible to
invest directly in an index.
An investment's past performance should not be taken as an assurance
of future results.
PCM International New Opportunities Fund -- since 1/2/97
Plot points read:
PCM International
New Opportunities MSCI EAFE
Date Fund Index
1/2/97 10000 10000
2/97 10216 9808
3/97 10134 9843
4/97 10122 9895
5/97 10747 10540
6/97 11092 11120
7/97 11415 11301
8/97 10124 10456
9/97 10854 11042
10/97 9893 10193
11/97 9695 10089
12/97 9850 10178
Footnote reads:
PCM International New Opportunities Fund subaccount's underlying
portfolio seeks capital appreciation through stocks of companies located
in countries other than the United States. The MSCI EAFE Index is
an unmanaged list of stocks from Europe, Australia, and the Far East
with all values expressed in U.S. dollars. The fund's portfolio contains
securities that differ from those in the index. It is not possible to
invest directly in an index.
PCM New Opportunities Fund
Subaccount -- since 5/2/94
(subsequent periods ended 12/31)
Plot points read:
PCM
New Opportunities S&P 500
Date Fund Index
5/2/94 10000 10000
94 10718 13098
95 15312 14306
96 16635 17590
97 20223 23459
Footnote reads:
PCM New Opportunities Fund subaccount's underlying portfolio seeks
long-term capital appreciation primarily through common stock
investments in companies in economic sectors with above-average long-
term growth potential. The Standard & Poor's 500 Index is an unmanaged
list of common stocks frequently used as a gauge of general market
performance. The fund's portfolio contains securities that do not
match those in the index. It is not possible to invest directly in an
index.
PCM New Value Fund -- since 1/2/97
Plot points read:
PCM New S&P 500
Date Value Fund Index
1/2/97 10000 10000
2/97 10517 10708
3/97 10166 10268
4/97 10144 10881
5/97 10809 11544
6/97 11114 12061
7/97 11666 13021
8/97 11356 12292
9/97 12074 12965
10/97 11437 12532
11/97 11612 13112
12/97 11597 13336
Footnote reads:
PCM New Value Fund subaccount's underlying portfolio seeks capital
appreciation through investments in undrvalued stocks. The S&P 500
Index is an unmanaged list of common stocks frequently used as a gauge
of general market performance. The fund's portfolio contains securities
that differ from those in the index. It is not possible to invest
directly in an index.
PCM U.S. Government and High Quality Bond Fund
Subaccount -- since 2/1/88
(subsequent periods ended 12/31)
Plot points read:
PCM
U.S. Government
and High Lehman Bros.
Date Quality Fund Govt./Corporate
2/1/88 10000 10000
88 10150 10402
89 11414 11882
90 12100 12866
91 13994 14941
92 14833 16074
93 16277 17847
94 15533 17220
95 18448 20534
96 18631 21129
97 19959 23193
Footnote reads:
PCM U.S. Government and High Quality Bond Fund subaccount's underlying
portfolio of securities issued or backed by the full faith and credit
of the U.S. government or its agencies or instrumentalities plus
corporate bonds rated A or above seeks current income consistent with
preservation of capital. The Lehman Brothers Government/Corporate Bond
Index is an unmanaged list of publicly issued U.S. Treasury
obligations, debt obligations of U.S. government agencies (excluding
mortgage-backed securities), fixed-rate nonconvertible investment-
grade corporate debt securities, and U.S. dollar-denominated SEC-
registered nonconvertible debt issued by foreign governmental entities
or international agencies used as a general measure of the performance
of fixed income securities. The fund's portfolio contains securities
that do not match those in the index. It is not possible to invest
directly in an index.
An investment's past performance should not be taken as an assurance
of future results.
PCM Utilities Growth and Income Fund
Subaccount -- since 5/1/92
(subsequent periods ended 12/31)
Plot points read:
PCM
Utilities
Growth and S&P 500
Date Income Fund Index
5/1/92 10000 10000
92 10618 10726
93 11876 11807
94 10889 11936
95 14075 16459
96 16072 20238
97 20143 26989
Footnote reads:
PCM Utilities Growth and Income Fund subaccount's underlying portfolio
of common stocks and bonds issued by public utilities company seeks
capital growth and current income. The Standard & Poor's 500 Index is
an unmanaged list of common stocks frequently used as a gauge of
general market performance. The fund's portfolio contains securities
that do not match those in the index. It is not possible to invest
directly in an index. It is not possible to invest directly in an index.
PCM Vista Fund -- since 1/2/97
Plot points read:
PCM S&P 500
Date Vista Fund Index
1/2/97 10000 10000
2/97 10078 10708
3/97 9358 10268
4/97 9795 10881
5/97 10729 11544
6/97 10965 12061
7/97 11864 13021
8/97 11514 12292
9/97 12213 12965
10/97 11566 12532
11/97 11820 13112
12/97 12151 13336
Footnote reads:
PCM Vista Fund subaccount's underlying portfolio seeks capital
appreciation primarily through common stocks. The Standard &
Poor's 500 Index is an unmanaged list of common stocks frequently
used as a gauge of general market performance. The fund's portfolio
contains securities that differ from those in the index. It is not
possible to invest directly in an index.
PCM Voyager Fund
Subaccount -- since 2/1/88
(subsequent periods ended 12/31)
Plot points read:
PCM S&P 500
Date Voyager Fund Index
2/1/88 10000 10000
88 10170 11190
89 13272 14736
90 12822 14279
91 18472 18630
92 20102 20050
93 23530 22071
94 23444 22362
95 32520 30766
96 36228 37830
97 45197 50445
Footnote reads:
PCM Voyager Fund subaccount's underlying portfolio seeks capital
appreciation through stocks of "emerging growth" companies with
significant growth potential and established companies with positive
growth prospects. The Standard & Poor's 500 Index is an unmanaged
list of common stocks frequently used as a gauge of general market
performance. The fund's portfolio contains securities that do not match
those in the index. It is not possible to invest directly in an index.
An investment's past performance should not be taken as an assurance
of future results.
Report of Independent Public Accountants
To Hartford Life Insurance Company Putnam Capital Manager Trust Separate
Account and to the Owners of Units of Interest therein:
We have audited the accompanying statement of assets and liabilities of
Hartford Life Insurance Company Putnam Capital Manager Trust Separate
Account (the Account) as of December 31, 1997, and the related statement
of operations for the year then ended and statements of changes in net
assets for each of the two years in the period then ended. These
financial statements are the responsibility of the Account's management.
Our responsibility is to express an opinion on these financial
statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are
free of material misstatement. An audit includes examining, on a test
basis, evidence supporting the amounts and disclosures in the financial
statements. An audit also includes assessing the accounting principles
used and significant estimates made by management, as well as evaluating
the overall financial statement presentation. We believe that our audits
provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present
fairly, in all material respects, the financial position of Hartford
Life Insurance Company Putnam Capital Manager Trust Separate Account as
of December 31, 1997, the results of its operations for the year then
ended and the changes in its net assets for each of the two years in the
period then ended in conformity with generally accepted accounting
principles.
ARTHUR ANDERSEN LLP
Hartford, Connecticut
February 16, 1998
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Assets and Liabilities
- -------------------------------------------------------------------------------------------------------
December 31, 1997 Asia Pacific Diversified Global Asset Global
Growth Income Allocation Growth
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
.......................................................................................................
Putnam VT Asia Pacific
Growth Fund
Shares 3,982,438
Cost $41,847,839
.......................................................................................................
Market Value: $37,707,127 $ -- $ -- $ --
.......................................................................................................
Putnam VT Diversified
Income Fund
Shares 27,773,427
Cost $289,417,701
.......................................................................................................
Market Value: -- 314,117,464 -- --
.......................................................................................................
Putnam VT Global
Asset Allocation Fund
Shares 25,951,826
Cost $348,329,674
.......................................................................................................
Market Value: -- -- 486,856,253 --
.......................................................................................................
Putnam VT Global
Growth Fund
Shares 39,377,645
Cost $521,408,963
.......................................................................................................
Market Value: -- -- -- 722,186,005
.......................................................................................................
Putnam VT Growth and
Income Fund
Shares 153,139,691
Cost $2,874,168,517
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT High
Yield Fund
Shares 33,295,156
Cost $382,788,853
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT International
Growth Fund
Shares 4,798,625
Cost $53,588,319
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT International
Growth and Income Fund
Shares 7,481,844
Cost $84,008,899
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Due From Hartford Life
Insurance Company 22,815 116,697 92,110 --
.......................................................................................................
Receivable from fund
shares sold -- -- -- 2,027,891
- -------------------------------------------------------------------------------------------------------
Total Assets 37,729,942 314,234,161 486,948,363 724,213,896
- -------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life
Insurance Company -- -- -- 2,028,912
.......................................................................................................
Payable for fund
shares purchased 22,791 115,945 92,103 --
.......................................................................................................
Total Liabilities 22,791 115,945 92,103 2,028,912
- -------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $37,707,151 $314,118,216 $486,856,260 $722,184,984
- -------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets and Liabilities (Continued)
- -------------------------------------------------------------------------------------------------------
December 31, 1997 Growth High Yield International International
and Income Fund Growth Growth
Fund Sub-Account Fund and Income
Sub-Account Sub-Account Fund
Sub-Account
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
.......................................................................................................
Putnam VT Asia Pacific
Growth Fund
Shares 4,098,601
Cost $42,687,379
.......................................................................................................
Market Value: $ -- $ -- $ -- $ --
.......................................................................................................
Putnam VT Diversified
Income Fund
Shares 27,773,427
Cost $289,417,701
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT Global
Asset Allocation Fund
Shares 25,951,826
Cost $348,329,674
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT Global
Growth Fund
Shares 39,377,645
Cost $521,408,963
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT Growth and
Income Fund
Shares 153,139,691
Cost $2,874,168,517
.......................................................................................................
Market Value: 4,336,916,046 -- -- --
.......................................................................................................
Putnam VT High
Yield Fund
Shares 33,295,156
Cost $382,788,853
.......................................................................................................
Market Value: -- 453,480,021 -- --
.......................................................................................................
Putnam VT International
Growth Fund
Shares 4,798,625
Cost $53,588,319
.......................................................................................................
Market Value: -- -- 54,848,282 --
.......................................................................................................
Putnam VT International
Growth and Income Fund
Shares 7,481,844
Cost $84,008,899
.......................................................................................................
Market Value: -- -- -- 86,266,118
.......................................................................................................
Due From Hartford Life
Insurance Company 1,259,790 -- 155,639 --
.......................................................................................................
Receivable from fund
shares sold -- 81,181 -- 866,081
- -------------------------------------------------------------------------------------------------------
Total Assets 4,338,175,836 453,561,202 55,003,921 87,132,199
- -------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life
Insurance Company 1 92,602 -- 865,856
.......................................................................................................
Payable for fund
shares purchased 1,259,978 -- 155,637 --
.......................................................................................................
Total Liabilities 1,259,979 92,602 155,637 865,856
- -------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $4,336,915,857 $453,468,600 $54,848,284 $86,266,343
- -------------------------------------------------------------------------------------------------------
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
- -------------------------------------------------------------------------------------------------------
December 31, 1997 International Money New New
New Market Opportunities Value
Opportunities Fund Fund Fund
Fund Sub-Account Sub-Account Sub-Account
Sub-Account
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
.......................................................................................................
Putnam VT International
New Opportunities Fund
Shares 4,098,601
Cost $42,687,379
.......................................................................................................
Market Value: $39,665,081 $ -- $ -- $ --
.......................................................................................................
Putnam VT Money
Market Fund
Shares 202,287,317
Cost $202,287,317
.......................................................................................................
Market Value: -- 202,287,317 -- --
.......................................................................................................
Putnam VT New
Opportunities Fund
Shares 40,534,671
Cost $638,785,981
.......................................................................................................
Market Value: -- -- 860,551,061 --
.......................................................................................................
Putnam VT New
Value Fund
Shares 6,380,084
Cost $70,145,369
.......................................................................................................
Market Value: -- -- -- 75,029,788
.......................................................................................................
Putnam VT U. S. Government
High Quality Bond Fund
Shares 39,413,018
Cost $469,686,284
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT Utilities
Growth and Income Fund
Shares 26,120,146
Cost $300,886,355
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT Vista Fund
Shares 5,592,998
Cost $61,075,852
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT Voyager Fund
Shares 54,861,955
Cost $1,272,718,315
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Due From Hartford Life
Insurance Company 3,043 2,297,880 -- 233,591
.......................................................................................................
Receivable from fund
shares sold -- -- 878,238 --
- -------------------------------------------------------------------------------------------------------
Total Assets 39,668,124 204,585,197 861,429,299 75,263,379
- -------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life
Insurance Company -- -- 877,100 --
.......................................................................................................
Payable for fund
shares purchased 3,043 2,296,934 -- 232,998
.......................................................................................................
Total Liabilities 3,043 2,296,934 877,100 232,998
- -------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $39,665,081 $202,288,263 $860,552,199 $75,030,381
- -------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets and Liabilities (Continued)
- -------------------------------------------------------------------------------------------------------
December 31, 1997 U.S.Government Utilities Vista Voyager
and High Growth Fund Fund
Quality Bond and Income Sub-Account Sub-Account
Fund Fund
Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
.......................................................................................................
Putnam VT International
New Opportunities Fund
Shares 4,098,601
Cost $42,687,379
.......................................................................................................
Market Value: $ -- $ -- $ -- $ --
.......................................................................................................
Putnam VT Money
Market Fund
Shares 202,287,317
Cost $202,287,317
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT New
Opportunities Fund
Shares 40,534,671
Cost $638,785,981
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT New
Value Fund
Shares 6,380,084
Cost $70,145,369
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT U. S. Government
High Quality Bond Fund
Shares 39,413,018
Cost $469,686,284
.......................................................................................................
Market Value: 528,922,698 -- -- --
.......................................................................................................
Putnam VT Utilities
Growth and Income Fund
Shares 26,120,146
Cost $300,886,355
.......................................................................................................
Market Value: -- 447,699,299 -- --
.......................................................................................................
Putnam VT Vista Fund
Shares 5,592,998
Cost $61,075,852
.......................................................................................................
Market Value: -- -- 68,905,735 --
.......................................................................................................
Putnam VT Voyager Fund
Shares 54,861,955
Cost $1,272,718,315
.......................................................................................................
Market Value: -- -- -- 2,144,005,195
.......................................................................................................
Due From Hartford Life
Insurance Company 240,123 566,406 6,712 830,236
.......................................................................................................
Receivable from fund
shares sold -- -- -- 1
- -------------------------------------------------------------------------------------------------------
Total Assets 529,162,821 448,265,705 68,912,447 2,144,835,432
- -------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life
Insurance Company -- -- -- 1
.......................................................................................................
Payable for fund
shares purchased 240,113 563,009 5,735 830,698
.......................................................................................................
Total Liabilities 240,113 563,009 5,735 830,699
- -------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $528,922,708 $447,702,696 $68,906,712 $2,144,004,733
- -------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Assets and Liabilities (continued)
- ----------------------------------------------------------------------------------------------------------------------
December 31, 1997 Units Unit Contract
Owned by Price Liability
Participants
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Deferred annuity contracts in the accumulation period:
Individual Sub-Accounts:
......................................................................................................................
Asia Pacific Growth Fund Sub-Account 4,107,754 $ 9.175966 $ 37,692,611
......................................................................................................................
Asia Pacific Growth Fund .40% 994 9.424285 9,372
......................................................................................................................
Diversified Income Fund Sub-Account 24,441,598 12.840701 313,847,251
......................................................................................................................
Diversified Income Fund .40% 1,031 13.668241 14,087
......................................................................................................................
Global Asset Allocation Sub-Account 17,958,360 27.026081 485,344,086
......................................................................................................................
Global Asset Allocation Fund .40% 2,169 17.329681 37,584
......................................................................................................................
Global Growth Fund Sub-Account 36,912,422 19.497474 719,698,987
......................................................................................................................
Global Growth Fund .40% 1,490 15.678431 23,365
......................................................................................................................
Growth and Income Fund Sub-Account 108,147,425 40.036154 4,329,806,953
......................................................................................................................
Growth and Income Fund .40% 2,254 20.951776 47,220
......................................................................................................................
High Yield Fund Sub-Account 17,697,396 25.574900 452,609,127
......................................................................................................................
High Yield Fund .40% 1,039 15.008166 15,586
......................................................................................................................
International Growth Fund Sub-Account 4,786,530 11.450726 54,809,249
......................................................................................................................
International Growth Fund Sub-Account .40% 2,835 11.566445 32,787
......................................................................................................................
International Growth and Income Fund Sub-Account 7,320,004 11.776424 86,203,472
......................................................................................................................
International Growth and Income Fund Sub-Account .40% 1,147 11.895920 13,644
......................................................................................................................
International New Opportunities Fund Sub-Account 4,025,544 9.849814 39,650,857
......................................................................................................................
International New Opportunities Fund Sub-Account .40% 1,158 9.949999 11,524
......................................................................................................................
Money Market Fund Sub-Account 136,310,783 1.482672 202,104,182
......................................................................................................................
Money Market Fund .40% 10,302 1.176698 12,122
......................................................................................................................
New Opportunities Fund Sub-Account 42,524,777 20.223432 859,996,936
......................................................................................................................
New Opportunities Fund .40% 1,235 22.671011 27,999
......................................................................................................................
New Value Fund Sub-Account 6,466,377 11.597024 74,990,731
......................................................................................................................
New Value Fund Sub-Account .40% 1,000 11.713440 11,713
......................................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 26,461,156 19.958881 528,135,070
......................................................................................................................
U.S. Government and High Quality Bond Fund .40% 1,028 13.267727 13,640
......................................................................................................................
Utilities Growth and Income Fund Sub-Account 22,197,997 20.143040 447,135,141
......................................................................................................................
Utilities Growth and Income Fund .40% 1,024 19.441319 19,914
......................................................................................................................
Vista Fund Sub-Account 5,662,338 12.151064 68,803,429
......................................................................................................................
Vista Fund Sub-Account .40% 1,000 12.272040 12,272
......................................................................................................................
Voyager Fund Sub-Account 47,283,830 45.196582 2,137,067,493
......................................................................................................................
Voyager Fund .40% 2,850 22.202727 63,281
......................................................................................................................
Sub-total Individual Sub-Accounts: 10,838,261,685
......................................................................................................................
Annuity contracts in the annuity period:
Individual Sub-Accounts:
......................................................................................................................
Asia Pacific Growth Fund Sub-Account 563 9.175966 5,168
......................................................................................................................
Diversified Income Fund Sub-Account 20,005 12.840701 256,878
......................................................................................................................
Global Asset Allocation Sub-Account 54,562 27.026081 1,474,590
......................................................................................................................
Global Growth Fund Sub-Account 126,305 19.497474 2,462,632
......................................................................................................................
Growth and Income Fund Sub-Account 176,383 40.036154 7,061,684
......................................................................................................................
High Yield Fund Sub-Account 29,496 25.574900 754,363
......................................................................................................................
High Yield Fund .40% 5,965 15.008166 89,524
......................................................................................................................
International Growth Fund Sub-Account 546 11.450726 6,248
......................................................................................................................
International Growth and Income Fund Sub-Account 4,180 11.776424 49,227
......................................................................................................................
International New Opportunities Fund Sub-Account 274 9.849814 2,700
......................................................................................................................
Money Market Fund Sub-Account 115,980 1.482672 171,959
......................................................................................................................
New Opportunities Fund Sub-Account 26,072 20.223432 527,264
......................................................................................................................
New Value Fund Sub-Account 2,409 11.597024 27,937
......................................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 38,780 19.958881 773,998
......................................................................................................................
Utilities Growth and Income Fund Sub-Account 27,188 20.143040 547,641
......................................................................................................................
Vista Fund Sub-Account 7,490 12.151064 91,011
......................................................................................................................
Voyager Fund Sub-Account 152,090 45.196582 6,873,959
......................................................................................................................
Sub-total Individual Sub-Accounts: 21,176,783
- ----------------------------------------------------------------------------------------------------------------------
Grand Total: $10,859,438,468
- ----------------------------------------------------------------------------------------------------------------------
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 Operations
- ----------------------------------------------------------------------------------------------------------------
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>
Investment income:
Dividends $ 947,927 $14,920,402 $14,108,533 $15,601,436
................................................................................................................
Expenses:
Mortality and expense
undertakings (661,211) (3,984,702) (6,374,137) (10,017,282)
................................................................................................................
Capital gains income -- 2,352,102 24,114,921 16,781,057
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
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 gain (loss) on investments (7,728,442) 3,450,573 41,729,019 60,094,375
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $(7,441,726) $16,738,375 $73,578,336 $82,459,586
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (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>
Investment income:
Dividends $ 70,091,982 $26,842,081 $ 822,115 $2,886,627
................................................................................................................
Expenses:
Mortality and expense
undertakings (53,992,227) (5,621,185) (391,031) (629,720)
................................................................................................................
Capital gains income 170,606,295 3,112,539 -- --
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
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 gain (loss) on investments 565,993,279 23,619,245 1,485,760 2,309,254
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $752,699,329 $47,952,680 $1,916,844 $4,566,161
- ----------------------------------------------------------------------------------------------------------------
*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 ACCCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Operations (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>
Investment income:
Dividends $ 114,396 $11,687,092 $ -- $ --
................................................................................................................
Expenses:
Mortality and expense
undertakings (385,192) (3,215,954) (10,320,489) (571,860)
................................................................................................................
Capital gains income -- -- -- --
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
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 gain (loss) on investments (2,173,985) -- 153,061,259 4,861,505
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $(2,444,781) $ 8,471,138 $142,740,770 $4,289,645
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (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>
Investment income:
Dividends $34,307,649 $13,727,770 $ 5,472 $ 3,567,783
................................................................................................................
Expenses:
Mortality and expense
undertakings (7,406,918) (5,429,363) (524,031) (26,331,715)
................................................................................................................
Capital gains income -- 18,719,685 -- 76,888,318
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
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 gain (loss) on investments 9,147,007 63,798,561 7,706,631 359,210,510
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $36,047,738 $90,816,653 $7,188,072 $413,334,896
- ----------------------------------------------------------------------------------------------------------------
*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
- ----------------------------------------------------------------------------------------------------------------
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>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE 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) $ (137,843) $ 8,534,227 $ 10,574,919 $ 2,735,317
................................................................................................................
Capital gains income -- -- 10,208,810 14,952,454
................................................................................................................
Net realized gain (loss)
on security transactions 180,349 -- 11,236 (368,347)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 2,188,856 7,589,668 26,749,142 60,231,105
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 2,231,362 16,114,397 47,544,107 77,550,529
................................................................................................................
Unit Transactions:
Purchases 24,103,150 78,745,859 49,901,252 102,414,450
................................................................................................................
Net transfers 12,679,087 1,285,402 4,108,990 38,279,315
................................................................................................................
Surrenders (1,160,030) (11,170,399) (21,942,668) (26,697,907)
................................................................................................................
Net annuity transactions -- 26,491 315,926 (360,949)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 35,622,207 68,887,353 32,383,500 113,634,909
................................................................................................................
Total increase (decrease)
in net assets 37,853,569 85,001,750 79,927,607 191,185,438
................................................................................................................
Net Assets
Beginning of period 10,557,659 169,284,056 322,608,884 446,575,241
- ----------------------------------------------------------------------------------------------------------------
End of period $48,411,228 $254,285,806 $402,536,491 $637,760,679
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the year ended Growth High Yield Money New
December 31, 1997 and Income Fund Market Opportunities
Fund Sub-Account Fund Fund
Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 63,144,879 $ 15,598,437 $ 7,033,009 $ (6,560,512)
................................................................................................................
Capital gains income 44,966,829 -- -- --
................................................................................................................
Net realized gain (loss)
on security transactions (119,281) 604,070 -- (537,118)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 375,339,725 17,363,712 -- 19,710,674
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 483,332,152 33,566,219 7,033,009 12,613,044
................................................................................................................
Unit Transactions:
Purchases 623,379,338 81,521,969 125,814,162 302,081,027
................................................................................................................
Net transfers 87,339,610 5,520,147 (50,945,524) 98,087,677
................................................................................................................
Surrenders (132,049,687) (25,045,085) (30,618,592) (18,683,639)
................................................................................................................
Net annuity transactions 242,494 69,497 (22,317) (4,351)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 578,911,755 62,066,528 44,227,729 381,480,714
................................................................................................................
Total increase (decrease)
in net assets 1,062,243,907 95,632,747 51,260,738 394,093,758
................................................................................................................
Net Assets
Beginning of period 2,094,982,833 278,606,531 148,904,704 243,085,499
- ----------------------------------------------------------------------------------------------------------------
End of period $3,157,226,740 $374,239,278 $200,165,442 $637,179,257
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets Assets (continued)
- ----------------------------------------------------------------------------------------------
For the year ended U.S.Government Utilities Voyager
December 31, 1997 and High Growth Fund
Quality Bond and Income Sub-Account
Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 25,865,267 $ 7,750,056 $ 4,886,439
..............................................................................................
Capital gains income -- -- 49,032,686
..............................................................................................
Net realized gain (loss)
on security transactions 413,617 264,294 (1,123,420)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (21,471,355) 38,048,693 88,321,232
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 4,807,529 46,063,043 141,116,937
..............................................................................................
Unit Transactions:
Purchases 65,538,442 42,225,920 352,615,157
..............................................................................................
Net transfers (41,339,935) (20,057,197) 50,130,623
..............................................................................................
Surrenders (43,800,649) (19,191,965) (63,033,275)
..............................................................................................
Net annuity transactions 279,752 52,741 (914,363)
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions (19,322,390) 3,029,499 338,798,142
..............................................................................................
Total increase (decrease)
in net assets (14,514,861) 49,092,542 479,915,079
..............................................................................................
Net Assets
Beginning of period 562,856,505 322,494,303 1,188,874,090
- ----------------------------------------------------------------------------------------------
End of period $548,341,644 $371,586,845 $1,668,789,169
- ----------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT --
HARTFORD LIFE INSURANCE COMPANY
Notes to Financial Statements
December 31, 1997
1. ORGANIZATION:
Putnam Capital Manager Trust Separate Account (the Account) is a
separate investment account within Hartford Life Insurance Company (the
Company) and is registered with the Securities and Exchange Commission
(SEC) as a unit investment trust under the Investment Company Act of
1940, as amended. Both the Company and the Account are subject to
supervision and regulation by the Department of Insurance of the State
of Connecticut and the SEC. The Account invests deposits by variable
annuity contractholders of the company in the various mutual funds as
directed by the contractholders.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies of the
Account, which are in accordance with generally accepted accounting
principles in the investment company industry:
A) Security Transactions -- Security transactions are recorded on the
trade date (date the order to buy or sell is executed). Cost of
investments sold is determined on the basis of identified cost. 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 December 31, 1997.
C) Federal Income Taxes -- The operations of the Account form a part of,
and are taxed with, the total operations of the Company, which is taxed
as an insurance company under the Internal Revenue Code. Under current
law, no federal income taxes are payable with respect to the operations
of the Account.
D) Use of Estimates -- The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
A) Mortality and Expense Undertakings -- The Company, as issuer of
variable annuity contracts, provides the mortality and expense
undertakings and, with respect to the Account, receives a maximum annual
fee of 1.25% of the Account's average daily net assets. The Company also
provides administrative services and receives an annual fee of 0.15% of
the Account's average daily net assets.
B) Deduction of other Fees -- Annual maintenance fees and state premium
taxes are deducted through termination of units of interest from
applicable contract owners' accounts, in accordance with the terms of
the contracts.
Report of Independent Public Accountants
To Hartford Life Insurance Company Putnam Capital Manager Trust
Separate Account Variable Life One and to the Owners of Units of
Interest therein:
We have audited the accompanying statement of assets and liabilities of
Diversified Income Fund Sub-Account, Global Asset Allocation Fund Sub-
Account, Global Growth Fund Sub-Account, Growth and Income Fund Sub-
Account, High Yield Fund Sub-Account, Money Market Fund Sub-Account, New
Opportunities Fund Sub-Account, U.S. Government and High Quality Bond
Fund Sub-Account, Utilities Growth and Income Fund Sub-Account and
Voyager Fund Sub-Account (constituting Hartford Life Insurance Company
Putnam Capital Manager Trust Separate Account Variable Life One) (the
Account) as of December 31, 1997, and the related statement of
operations for the year then ended and statements of changes in net
assets for each of the two years in the period then ended. These
financial statements are the responsibility of the Account's management.
Our responsibility is to express an opinion on these financial
statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are
free of material misstatement. An audit includes examining, on a test
basis, evidence supporting the amounts and disclosures in the financial
statements. An audit also includes assessing the accounting principles
used and significant estimates made by management, as well as evaluating
the overall financial statement presentation. We believe that our audits
provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present
fairly, in all material respects, the financial position of Diversified
Income Fund Sub-Account, Global Asset Allocation Fund Sub-Account,
Global Growth Fund Sub-Account, Growth and Income Fund Sub-Account, High
Yield Fund Sub-Account, Money Market Fund Sub-Account, New Opportunities
Fund Sub-Account, U.S. Government and High Quality Bond Fund Sub-
Account, Utilities Growth and Income Fund Sub-Account and Voyager Fund
Sub-Account (constituting Hartford Life Insurance Company Putnam Capital
Manager Trust Separate Account Variable Life One) as of December 31,
1997, the results of its operations for the year then ended and the
changes in its net assets for each of the two years in the period then
ended in conformity with generally accepted accounting principles.
ARTHUR ANDERSEN LLP
Hartford, Connecticut
February 16, 1998
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Assets & Liabilities
- ------------------------------------------------------------------------------------------------------------------------
December 31, 1997 Diversified Global Asset Global Growth High Yield
Income Allocation Growth and Income Fund
Fund Fund Fund Fund Sub-Account
Sub-Account Sub-Account Sub-Account Sub-Account
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Assets
Investments:
........................................................................................................................
Putnam VT Diversified
Income Fund
Shares 84,522
Cost $933,072
........................................................................................................................
Market Value: $955,941 $ -- $ -- $ -- $ --
........................................................................................................................
Putnam VT Global
Asset Allocation Fund
Shares 507,694
Cost $7,867,330
........................................................................................................................
Market Value: -- 9,524,337 -- -- --
........................................................................................................................
Putnam VT Global
Growth Fund
Shares 1,008,112
Cost $15,826,876
........................................................................................................................
Market Value: -- -- 18,488,776 -- --
........................................................................................................................
Putnam VT Growth and
Income Fund
Shares 1,093,848
Cost $24,578,018
........................................................................................................................
Market Value: -- -- -- 30,977,788 --
........................................................................................................................
Putnam VT High Yield Fund
Shares 450,704
Cost $5,688,833
........................................................................................................................
Market Value: -- -- -- -- 6,138,585
........................................................................................................................
Due From Hartford Life
Insurance Company -- 5,039 -- -- --
........................................................................................................................
Receivable from fund
shares sold -- -- 203,148 347,106 1,128
- ------------------------------------------------------------------------------------------------------------------------
Total Assets 955,941 9,529,376 18,691,924 31,324,894 6,139,713
- ------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life
Insurance Company -- -- 240,966 368,837 1,130
........................................................................................................................
Payable for fund
shares purchased -- 5,030 -- -- --
........................................................................................................................
Total Liabilities -- 5,030 240,966 368,837 1,130
- ------------------------------------------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $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 Assets & Liabilities (continued)
- ------------------------------------------------------------------------------------------------------------------------
December 31, 1997 Money New U.S. Government Utilities Voyager
Market Opportunities and High Growth Fund
Fund Fund Quality Bond and Income Sub-Account
Sub-Account Sub-Account Fund Fund
Sub-Account Sub-Account
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Assets
Investments:
........................................................................................................................
Putnam VT Money
Market Fund
Shares 1,197,125
Cost $1,197,125
........................................................................................................................
Market Value: $1,197,125 $ -- $ -- $ -- $ --
........................................................................................................................
Putnam VT New
Opportunities Fund
Shares 876,202
Cost $15,478,626
........................................................................................................................
Market Value: -- 18,601,764 -- -- --
........................................................................................................................
Putnam VT U.S. Government
and High Quality Fund
Shares 581,595
Cost $7,508,993
........................................................................................................................
Market Value: -- -- 7,805,005 -- --
........................................................................................................................
Putnam VT Utilities
Growth & Income Fund
Shares 182,638
Cost $2,346,549
........................................................................................................................
Market Value: -- -- -- 3,130,422 --
........................................................................................................................
Putnam VT Voyager Fund
Shares 1,114,837
Cost $33,269,467
........................................................................................................................
Market Value: -- -- -- -- 43,567,817
........................................................................................................................
Due From Hartford Life
Insurance Company -- -- 5,967 -- 7,236
........................................................................................................................
Receivable from fund
shares sold 29,316 7,158 -- 21,060 --
- ------------------------------------------------------------------------------------------------------------------------
Total Assets 1,226,441 18,608,922 7,810,972 3,151,482 43,575,053
- ------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life
Insurance Company 30,643 7,803 -- 567 --
........................................................................................................................
Payable for fund
shares purchased -- -- 5,966 -- 8,109
........................................................................................................................
Total Liabilities 30,643 7,803 5,966 567 8,109
- ------------------------------------------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $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>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -
<CAPTION>
Statement of Assets and Liabilities (continued)
- ----------------------------------------------------------------------------------------------------------------------
December 31, 1997 Units Unit Contract
Owned by Price Liability
Participants
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Variable life contracts
Individual Sub-Accounts:
......................................................................................................................
Diversified Income Fund Sub-Account 73,792 $12.954542 $ 955,941
......................................................................................................................
Global Asset Allocation Fund Sub-Account 520,040 18.314650 9,524,346
......................................................................................................................
Global Growth Fund Sub-Account 1,015,150 18.175599 18,450,958
......................................................................................................................
Growth and Income Fund Sub-Account 1,400,110 22.109731 30,956,057
......................................................................................................................
High Yield Fund Sub-Account 371,017 16.545266 6,138,583
......................................................................................................................
Money Market Fund Sub-Account 971,108 1.231375 1,195,798
......................................................................................................................
New Opportunities Fund Sub-Account 1,017,296 18.284859 18,601,119
......................................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 574,532 13.584990 7,805,006
......................................................................................................................
Utilities Growth and Income Fund Sub-Account 167,356 18.827631 3,150,915
......................................................................................................................
Voyager Fund Sub-Account 1,878,936 23.187025 43,566,944
- ----------------------------------------------------------------------------------------------------------------------
Grand Total: $140,345,667
- ----------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Operations
- ----------------------------------------------------------------------------------------------------------------------------------
For the year ended Diversified Global Asset Global Growth 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>
Investment Income:
Dividends $30,216 $ 220,664 $ 334,261 $ 397,806 $262,832
..................................................................................................................................
Capital gains income 4,763 377,169 359,534 968,274 30,477
..................................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
..................................................................................................................................
Net realized gain (loss)
on security transactions 2,460 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 gain (loss) on investments 12,921 750,576 1,202,758 3,546,801 290,290
- ----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $47,900 $1,348,409 $1,896,553 $4,912,881 $583,599
- ----------------------------------------------------------------------------------------------------------------------------------
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 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>
Investment Income:
Dividends $63,111 $ -- $365,648 $ 76,374 $ 60,565
..................................................................................................................................
Capital gains income -- -- -- 104,146 1,305,213
..................................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
..................................................................................................................................
Net realized gain (loss)
on security transactions -- (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 gain (loss) on investments -- 3,088,373 206,234 452,882 6,863,447
- ----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $63,111 $3,088,373 $571,882 $633,402 $8,229,225
- ----------------------------------------------------------------------------------------------------------------------------------
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>
<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, 1996 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) $ 3,462 $ 188,398 $ 127,576 $ 373,127 $ 100,269
..................................................................................................................................
Capital gains income -- 123,629 185,843 169,182 --
..................................................................................................................................
Net realized gain(loss)
on security transactions 552 (7,261) (629) 3,431 1,207
..................................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 11,226 402,313 939,399 1,721,046 110,874
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 15,240 707,079 1,252,189 2,266,786 212,350
..................................................................................................................................
Unit transactions:
Purchases 24,807 452,006 2,362,436 2,593,033 623,832
..................................................................................................................................
Net transfers 389,351 1,230,543 4,268,747 5,653,969 827,225
..................................................................................................................................
Surrenders (2,488) (134,352) (261,978) (232,793) (75,658)
..................................................................................................................................
Loan withdrawals -- (15,060) (136,654) (131,861) (62,507)
..................................................................................................................................
Cost of insurance (6,035) (129,436) (380,278) (386,556) (118,676)
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 405,635 1,403,701 5,852,273 7,495,792 1,194,216
..................................................................................................................................
Total increase (decrease)
in net assets 420,875 2,110,780 7,104,462 9,762,578 1,406,566
..................................................................................................................................
Net Assets
Beginning of period 14,208 3,733,099 4,675,783 6,786,680 1,123,354
- ----------------------------------------------------------------------------------------------------------------------------------
End of Period $435,083 $5,843,879 $11,780,245 $16,549,258 $2,529,920
- ----------------------------------------------------------------------------------------------------------------------------------
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, 1996 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) $ 64,821 $ -- $ 118,810 $ 54,039 $ 275,323
..................................................................................................................................
Capital gains income -- -- -- -- 535,426
..................................................................................................................................
Net realized gain(loss)
on security transactions -- (12,125) 1,512 5,913 (21,665)
..................................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period -- (46,287) 39,260 187,466 1,014,491
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 64,821 (58,412) 159,582 247,418 1,803,575
..................................................................................................................................
Unit transactions:
Purchases 222,153 1,916,795 851,577 197,577 4,304,397
..................................................................................................................................
Net transfers 1,174,039 7,598,113 2,649,806 374,918 9,073,061
..................................................................................................................................
Surrenders (15,114) (180,695) (43,664) (23,356) (688,697)
..................................................................................................................................
Loan withdrawals (32,391) (15,220) (88,504) (8,504) (311,045)
..................................................................................................................................
Cost of insurance (75,543) (207,683) (175,229) (46,157) (810,828)
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 1,273,144 9,111,310 3,193,986 494,478 11,566,888
..................................................................................................................................
Total increase (decrease)
in net assets 1,337,965 9,052,898 3,353,568 741,896 13,370,463
..................................................................................................................................
Net assets:
Beginning of period 398,614 884,844 1,420,875 1,215,244 11,493,403
- ----------------------------------------------------------------------------------------------------------------------------------
End of period $1,736,579 $9,937,742 $4,774,443 $1,957,140 $24,863,866
- ----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE --
HARTFORD LIFE INSURANCE COMPANY
Notes to Financial Statements
December 31, 1997
1. ORGANIZATION:
Separate Account Variable Life One (the Account) is a separate
investment account within Hartford Life Insurance Company (the Company)
and is registered with the Securities and Exchange Commission (SEC) as a
unit investment trust under the Investment Company Act of 1940, as
amended. The Account consists of twenty two sub-accounts. These
financial statements include ten subaccounts which invest solely in the
Putnam VT funds (the Funds ). The other twelve sub-accounts, 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 December 31, 1997.
C) Federal Income Taxes -- The operations of the Account form a part of,
and are taxed with, the total operations of the Company, which is taxed
as an insurance company under the Internal Revenue Code. Under current
law, no federal income taxes are payable with respect to the operations
of the Account.
D) Use of Estimates -- The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
In accordance with the terms of the contracts, the Company makes
deductions for mortality and expense undertakings, cost of insurance,
administrative fees, and state premium taxes. These charges are deducted
through termination of units of interest from applicable contract
owners' accounts, in accordance with the terms of the contracts.
Report of Independent Public Accountants
To Hartford Life Insurance Company Putnam Capital Manager Trust
Separate Account Variable Life Two and to the Owners of Units of
Interest therein:
We have audited the accompanying statement of assets and liabilities of
Diversified Income Fund Sub-Account, Global Asset Allocation Fund Sub-
Account, Global Growth Fund Sub-Account, Growth and Income Fund Sub-
Account, High Yield Fund Sub-Account, Money Market Fund Sub-Account,
New Opportunities Fund Sub-Account, U.S. Government and High Quality
Bond Fund Sub-Account, Utilities Growth and Income Fund Sub-Account and
Voyager Fund Sub-Account (constituting Hartford Life Insurance Company
Putnam Capital Manager Trust Separate Account Variable Life Two) (the
Account) as of December 31, 1997, and the related statement of
operations for the year then ended and statements of changes in net
assets for each of the two years in the period ended. These financial
statements are the responsibility of the Account's management. Our
responsibility is to express an opinion on these financial statements
based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit
to obtain reasonable assurance about whether the financial statements
are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the
financial statements. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well
as evaluating the overall financial statement presentation. We believe
that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present
fairly, in all material respects, the financial position of Diversified
Income Fund Sub-Account, Global Asset Allocation Fund Sub-Account,
Global Growth Fund Sub-Account, Growth and Income Fund Sub-Account,
High Yield Fund Sub-Account, Money Market Fund Sub-Account, New
Opportunities Fund Sub-Account, U.S. Government and High Quality Bond
Fund Sub-Account, Utilities Growth and Income Fund Sub-Account and
Voyager Fund Sub-Account (constituting Hartford Life Insurance Company
Putnam Capital Manager Trust Separate Account Variable Life Two) as of
December 31, 1997, the results of its operations for the year then
ended and changes in its net assets for each of the two years in the
period then ended, in conformity with generally accepted accounting
principles.
ARTHUR ANDERSEN LLP
Hartford, Connecticut
February 16, 1998
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD INSURANCE COMPANY
<CAPTION>
Statement of Assets and Liabilities
- ------------------------------------------------------------------------------------------------------------------------
December 31, 1997 Diversified Global Asset Global Growth High Yield
Income Allocation Growth and Income Fund
Fund Fund Fund Fund Sub-Account
Sub-Account Sub-Account Sub-Account Sub-Account
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Assets
Investments:
........................................................................................................................
Putnam VT Diversified
Income Fund
Shares 16,727
Cost $183,599
........................................................................................................................
Market Value: $189,187 $ -- $ -- $ -- $ --
........................................................................................................................
Putnam VT Global
Asset Allocation Fund
Shares 85,013
Cost $1,497,562
........................................................................................................................
Market Value: -- 1,594,853 -- -- --
........................................................................................................................
Putnam VT Global
Growth Fund
Shares 221,279
Cost $3,778,904
........................................................................................................................
Market Value: -- -- 4,058,264 -- --
........................................................................................................................
Putnam VT Growth and
Income Fund
Shares 211,021
Cost $5,299,187
........................................................................................................................
Market Value: -- -- -- 5,976,101 --
........................................................................................................................
Putnam VT High Yield Fund
Shares 73,615
Cost $939,520
........................................................................................................................
Market Value: -- -- -- -- 1,002,631
........................................................................................................................
Due to Hartford Life
Insurance Company 1,611 -- 1,192 -- 6
........................................................................................................................
Receivable for fund
shares purchased -- 2,490 -- -- --
- ------------------------------------------------------------------------------------------------------------------------
Total Assets 190,798 1,597,343 4,059,456 5,976,101 1,002,637
- ------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life
Insurance Company -- 2,388 -- 937 --
........................................................................................................................
Payable for fund
shares purchased 1,611 -- 1,115 38 1
........................................................................................................................
Total Liabilities 1,611 2,388 1,115 975 1
- ------------------------------------------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $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 INSURANCE COMPANY
<CAPTION>
Statement of Assets and Liabilities (continued)
- ------------------------------------------------------------------------------------------------------------------------
December 31, 1997 Money New U.S. Government Utilities Voyager
Market Opportunities and High Growth Fund
Fund Fund Quality Bond and Income Sub-Account
Sub-Account Sub-Account Fund Fund
Sub-Account Sub-Account
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Assets
Investments:
........................................................................................................................
Putnam VT Money
Market Fund
Shares 235,512
Cost $235,512
........................................................................................................................
Market Value: $235,512 $ -- $ -- $ -- $ --
........................................................................................................................
Putnam VT New
Opportunities Fund
Shares 227,394
Cost $4,134,639
........................................................................................................................
Market Value: -- 4,827,564 -- -- --
........................................................................................................................
Putnam VT U.S. Government
and High Quality Fund
Shares 223,961
Cost $2,866,178
........................................................................................................................
Market Value: -- -- 3,005,551 -- --
........................................................................................................................
Putnam VT Utilities
Growth & Income Fund
Shares 23,890
Cost $340,742
........................................................................................................................
Market Value: -- -- -- 409,481 --
........................................................................................................................
Putnam VT Voyager Fund
Shares 197,124
Cost $6,570,638
........................................................................................................................
Market Value: -- -- -- -- 7,703,604
........................................................................................................................
Due to Hartford Life
Insurance Company -- -- -- 62 --
........................................................................................................................
Receivable for fund
shares purchased -- 2,121 -- -- 2,223
- ------------------------------------------------------------------------------------------------------------------------
Total Assets 235,512 4,829,685 3,005,551 409,543 7,705,827
- ------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life
Insurance Company 1 1,851 56 -- 2,436
........................................................................................................................
Payable for fund
shares purchased -- -- 7 -- --
........................................................................................................................
Total Liabilities 1 1,851 63 -- 2,436
- ------------------------------------------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $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>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD INSURANCE COMPANY
<CAPTION>
Statement of Assets and Liabilities (continued)
- -------------------------------------------------------------------------------------------------------------------------
December 31, 1997 Units Unit Contract
Owned by Price Liability
Participants
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Variable life contracts
Individual Sub-Accounts:
.........................................................................................................................
Diversified Income Fund Sub-Account 14,604 $12.954542 $ 189,187
.........................................................................................................................
Global Asset Allocation Fund Sub-Account 87,086 18.314650 1,594,955
.........................................................................................................................
Global Growth Fund Sub-Account 223,285 18.175599 4,058,341
.........................................................................................................................
Growth and Income Fund Sub-Account 270,249 22.109731 5,975,126
.........................................................................................................................
High Yield Fund Sub-Account 60,600 16.545266 1,002,636
.........................................................................................................................
Money Market Fund Sub-Account 191,259 1.231375 235,511
.........................................................................................................................
New Opportunities Fund Sub-Account 264,035 18.284859 4,827,834
.........................................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 221,236 13.584990 3,005,488
.........................................................................................................................
Utilities Growth and Income Fund Sub-Account 21,752 18.827631 409,543
.........................................................................................................................
Voyager Fund Sub-Account 332,229 23.187025 7,703,391
- -------------------------------------------------------------------------------------------------------------------------
Grand Total: $29,002,012
- -------------------------------------------------------------------------------------------------------------------------
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 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>
Investment Income:
Dividends $3,548 $ 16,282 $ 54,214 $ 48,364 $25,054
..................................................................................................................................
Capital gains income 559 27,830 58,313 117,720 2,905
..................................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
..................................................................................................................................
Net realized gain (loss)
on security transactions 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 gain (loss) on investments 3,844 75,779 197,974 550,050 46,704
- ----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $7,951 $119,891 $310,501 $716,134 $74,663
- ----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTGEGRAL 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 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 Fund Fund Fund
Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Investment Income:
Dividends $8,816 $ -- $ 84,427 $ 6,195 $ 7,934
..................................................................................................................................
Capital gains income -- -- -- 8,447 170,979
..................................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
..................................................................................................................................
Net realized gain (loss)
on security transactions -- (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 gain (loss) on investments -- 702,402 108,823 58,182 1,062,491
- ----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $8,816 $702,402 $193,250 $72,824 $1,241,404
- ----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTGEGRAL 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>
<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, 1996 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) $ -- $ -- $ -- $ -- $ --
..................................................................................................................................
Capital gains income -- -- -- -- --
..................................................................................................................................
Net realized gain(loss)
on security transactions 23 23 22 1,065 284
..................................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 1,816 23,416 94,204 127,318 18,495
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 1,839 23,439 94,226 128,383 18,779
..................................................................................................................................
Unit transactions:
Purchases 5,545 46,464 157,447 71,075 46,744
..................................................................................................................................
Net transfers 53,826 314,944 1,150,116 1,496,949 365,622
..................................................................................................................................
Surrenders (900) (3,964) (4,642) (63,304) (73,491)
..................................................................................................................................
Loan withdrawals -- -- -- -- --
..................................................................................................................................
Cost of insurance (399) (13,366) (39,530) (17,966) (8,906)
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 58,072 344,078 1,263,391 1,486,754 329,969
..................................................................................................................................
Total increase (decrease)
in net assets 59,911 367,517 1,357,617 1,615,137 348,748
..................................................................................................................................
Net Assets
Beginning of period -- 17,512 148,850 -- --
- ----------------------------------------------------------------------------------------------------------------------------------
End of Period $59,911 $385,029 $1,506,467 $1,615,137 $348,748
- ----------------------------------------------------------------------------------------------------------------------------------
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, 1996 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) $ 2,362 $ -- $ -- $ -- $ --
..................................................................................................................................
Capital gains income -- -- -- -- --
..................................................................................................................................
Net realized gain(loss)
on security transactions -- 387 184 (545) 9
..................................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period -- (12,221) 33,963 10,598 59,940
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 2,362 (11,834) 34,147 10,053 59,949
..................................................................................................................................
Unit transactions:
Purchases 9,632 181,821 97,098 30,724 326,269
..................................................................................................................................
Net transfers 189,742 1,648,281 580,013 101,621 2,756,875
..................................................................................................................................
Surrenders (2,732) (23,865) (22,449) 686 (47,111)
..................................................................................................................................
Loan withdrawals -- (4) -- -- (4)
..................................................................................................................................
Cost of insurance (968) (24,993) (37,657) (1,235) (42,616)
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 195,674 1,781,240 617,005 131,796 2,993,413
..................................................................................................................................
Total increase (decrease)
in net assets 198,036 1,769,406 651,152 141,849 3,053,362
..................................................................................................................................
Net Assets
Beginning of period 2,398 -- 280,189 -- 39,217
- ----------------------------------------------------------------------------------------------------------------------------------
End of Period $200,434 $1,769,406 $931,341 $141,849 $3,092,579
- ----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO --
HARTFORD LIFE INSURANCE COMPANY
Notes to Financial Statements
December 31, 1997
1. ORGANIZATION:
Separate Account Variable Life Two (the Account) is a separate
investment account within Hartford Life Insurance Company (the Company)
and is registered with the Securities and Exchange Commission (SEC) as a
unit investment trust under the Investment Company Act of 1940, as
amended. The Account consists of twenty two sub-accounts. These
financial statements include ten subaccounts which invest solely in the
Putnam VT funds (the Funds ). The other twelve sub-accounts, 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 December 31, 1997.
C) Federal Income Taxes -- The operations of the Account form a part of,
and are taxed with, the total operations of the Company, which is taxed
as an insurance company under the Internal Revenue Code. Under current
law, no federal income taxes are payable with respect to the operations
of the Account.
D) Use of Estimates -- The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
In accordance with the terms of the contracts, the Company makes
deductions for mortality and expense undertakings, cost of insurance,
administrative fees, and state premium taxes. These charges are deducted
through termination of units of interest from applicable contract
owners' accounts, in accordance with the terms of the contracts.
Report of Independent Public Accountants
To Hartford Life Insurance Company Putnam Capital Manager Trust Separate
Account Five and to the Owners of Units of Interest therein:
We have audited the accompanying statement of assets and liabilities of
Hartford Life Insurance Company Putnam Capital Manager Trust Separate
Account Five (the Account) as of December 31, 1997, and the related
statement of operations for the year then ended and statements of
changes in net assets for each of the two years in the period then
ended. These financial statements are the responsibility of the
Account's management. Our responsibility is to express an opinion on
these financial statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit
to obtain reasonable assurance about whether the financial statements
are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the
financial statements. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe
that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present
fairly, in all material respects, the financial position of Hartford
Life Insurance Company Putnam Capital Manager Trust Separate Account
Five as of December 31, 1997, the results of its operations for the year
then ended and the changes in its net assets for each of the two years
in the period then ended, in conformity with generally accepted
accounting principles.
ARTHUR ANDERSEN LLP
Hartford, Connecticut
February 16, 1998
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Assets & Liabilities
- -------------------------------------------------------------------------------------------------------
December 31, 1997 Asia Pacific Diversified Global Asset Global
Growth Income Allocation Growth
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
.......................................................................................................
Putnam VT Asia Pacific
Growth Fund
Shares 80,514
Cost $833,879
.......................................................................................................
Market Value: $740,730 $ -- $ -- $ --
.......................................................................................................
Putnam VT Diversified
Income Fund
Shares 143,001
Cost $1,551,529
.......................................................................................................
Market Value: -- 1,617,344 -- --
.......................................................................................................
Putnam VT Global
Asset Allocation Fund
Shares 93,870
Cost $1,515,021
.......................................................................................................
Market Value: -- -- 1,761,008 --
.......................................................................................................
Putnam VT Global
Growth Fund
Shares 413,698
Cost $6,327,394
.......................................................................................................
Market Value: -- -- -- 7,587,216
.......................................................................................................
Putnam VT Growth and
Income Fund
Shares 715,883
Cost $15,788,650
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT High Yield Fund
Shares 322,960
Cost $3,946,365
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT International
Growth Fund
Shares 12,773
Cost $141,514
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT International
Growth and Income Fund
Shares 14,505
Cost $169,671
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Due From Hartford Life
Insurance Company -- -- -- 15,330
.......................................................................................................
Receivable from fund
shares sold -- -- -- --
- -------------------------------------------------------------------------------------------------------
Total Assets 740,730 1,617,344 1,761,008 7,602,546
- -------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life
Insurance Company -- -- -- --
.......................................................................................................
Payable for fund
shares purchased -- -- -- 15,330
.......................................................................................................
Total Liabilities -- -- -- 15,330
- -------------------------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $740,730 $1,617,344 $1,761,008 $7,587,216
- -------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liabilities (continued)
- -------------------------------------------------------------------------------------------------------
December 31, 1997 Growth High Yield International International
and Income Fund Growth Growth
Fund Sub-Account Fund and Income
Sub-Account Sub-Account Fund
Sub-Account
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
.......................................................................................................
Putnam VT Asia Pacific
Growth Fund
Shares 80,514
Cost $833,879
.......................................................................................................
Market Value: $ -- $ -- $ -- $ --
.......................................................................................................
Putnam VT Diversified
Income Fund
Shares 143,001
Cost $1,551,529
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT Global
Asset Allocation Fund
Shares 93,870
Cost $1,515,021
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT Global
Growth Fund
Shares 413,698
Cost $6,327,394
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT Growth and
Income Fund
Shares 715,883
Cost $15,788,650
.......................................................................................................
Market Value: 20,273,813 -- -- --
.......................................................................................................
Putnam VT High Yield Fund
Shares 322,960
Cost $3,946,365
.......................................................................................................
Market Value: -- 4,398,715 -- --
.......................................................................................................
Putnam VT International
Growth Fund
Shares 12,773
Cost $141,514
.......................................................................................................
Market Value: -- -- 145,994 --
.......................................................................................................
Putnam VT International
Growth and Income Fund
Shares 14,505
Cost $169,671
.......................................................................................................
Market Value: -- -- -- 167,244
.......................................................................................................
Due From Hartford Life
Insurance Company 44,525 15,072 -- --
.......................................................................................................
Receivable from fund
shares sold -- -- -- 20,086
- -------------------------------------------------------------------------------------------------------
Total Assets 20,318,338 4,413,787 145,994 187,330
- -------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life
Insurance Company -- -- -- 20,086
.......................................................................................................
Payable for fund
shares purchased 44,524 15,073 -- --
.......................................................................................................
Total Liabilities 44,524 15,073 -- 20,086
- -------------------------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $20,273,814 $4,398,714 $145,994 $167,244
- -------------------------------------------------------------------------------------------------------
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)
- -------------------------------------------------------------------------------------------------------
December 31, 1997 International Money New New
New Market Opportunities Value
Opportunities Fund Fund Fund
Fund Sub-Account Sub-Account Sub-Account
Sub-Account
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
.......................................................................................................
Putnam VT International
New Opportunities Fund
Shares 19,735
Cost $209,969
.......................................................................................................
Market Value: $196,556 $ -- $ -- $ --
.......................................................................................................
Putnam VT Money
Market Fund
Shares 3,882,579
Cost $3,882,579
.......................................................................................................
Market Value: -- 3,882,579 -- --
.......................................................................................................
Putnam VT New
Opportunities Fund
Shares 493,099
Cost $7,949,648
.......................................................................................................
Market Value: -- -- 10,468,495 --
.......................................................................................................
Putnam VT New Value Fund
Shares 24,732
Cost $276,299
.......................................................................................................
Market Value: -- -- -- 290,847
.......................................................................................................
Putnam VT U.S. Government
and High Quality Fund
Shares 111,765
Cost $1,464,129
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT Utilities
Growth & Income Fund
Shares 115,380
Cost $1,522,991
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT Vista Fund
Shares 14,832
Cost $162,542
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT Voyager Fund
Shares 331,020
Cost $10,101,037
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Due From Hartford Life I
insurance Company -- -- 388 --
.......................................................................................................
Receivable from fund
shares sold -- 100,396 -- --
- -------------------------------------------------------------------------------------------------------
Total Assets 196,556 3,982,975 10,468,883 290,847
- -------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life
Insurance Company -- 100,377 -- --
.......................................................................................................
Payable for fund
shares purchased -- -- 388 --
.......................................................................................................
Total Liabilities -- 100,377 388 --
- -------------------------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $196,556 $3,882,598 $10,468,495 $290,847
- -------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liabilities (continued)
- -------------------------------------------------------------------------------------------------------
December 31, 1997 U.S. Government Utilities Vista Voyager
and High Growth Fund Fund
Quality Bond and Income Sub-Account Sub-Account
Fund Fund
Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
.......................................................................................................
Putnam VT International
New Opportunities Fund
Shares 19,735
Cost $209,969
.......................................................................................................
Market Value: $ -- $ -- $ -- $ --
.......................................................................................................
Putnam VT Money
Market Fund
Shares 3,882,579
Cost $3,882,579
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT New
Opportunities Fund
Shares 493,099
Cost $7,949,648
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT New Value Fund
Shares 24,732
Cost $276,299
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT U.S. Government
and High Quality Fund
Shares 111,765
Cost $1,464,129
.......................................................................................................
Market Value: 1,499,887 -- -- --
.......................................................................................................
Putnam VT Utilities
Growth & Income Fund
Shares 115,380
Cost $1,522,991
.......................................................................................................
Market Value: -- 1,977,616 -- --
.......................................................................................................
Putnam VT Vista Fund
Shares 14,832
Cost $162,542
.......................................................................................................
Market Value: -- -- 182,730 --
.......................................................................................................
Putnam VT Voyager Fund
Shares 331,020
Cost $10,101,037
.......................................................................................................
Market Value: -- -- -- 12,936,276
.......................................................................................................
Due From Hartford Life I
insurance Company -- -- -- 20,187
.......................................................................................................
Receivable from fund
shares sold -- -- -- --
- -------------------------------------------------------------------------------------------------------
Total Assets 1,499,887 1,977,616 182,730 12,956,463
- -------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life
Insurance Company -- -- -- --
.......................................................................................................
Payable for fund
shares purchased -- -- -- 20,187
.......................................................................................................
Total Liabilities -- -- -- 20,187
- -------------------------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $1,499,887 $1,977,616 $182,730 $12,936,276
- -------------------------------------------------------------------------------------------------------
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)
- -------------------------------------------------------------------------------------------------------------------------
December 31, 1997 Units Unit Contract
Owned by Price Liability
Participants
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Variable life contracts
Individual Sub-Accounts:
.........................................................................................................................
Asia Pacific Growth Fund Sub-Account 77,764 $ 9.525374 $ 740,730
.........................................................................................................................
Diversified Income Fund Sub-Account 115,604 13.990371 1,617,344
.........................................................................................................................
Global Asset Allocation Sub-Account 101,979 17.268298 1,761,008
.........................................................................................................................
Global Growth Fund Sub-Account 485,154 15.638791 7,587,216
.........................................................................................................................
Growth and Income Fund Sub-Account 986,326 20.554886 20,273,814
.........................................................................................................................
High Yield Fund Sub-Account 288,223 15.261496 4,398,714
.........................................................................................................................
International Growth Fund Sub-Account 12,571 11.613622 145,994
.........................................................................................................................
International Growth and Income Fund Sub-Account 14,005 11.941331 167,244
.........................................................................................................................
International New Opportunities Fund Sub-Account 19,676 9.989509 196,556
.........................................................................................................................
Money Market Fund Sub-Account 3,331,393 1.165458 3,882,598
.........................................................................................................................
New Opportunities Fund Sub-Account 529,522 19.769721 10,468,495
.........................................................................................................................
New Value Fund Sub-Account 24,732 11.759921 290,847
.........................................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 111,832 13.411936 1,499,887
.........................................................................................................................
Utilities Growth and Income Fund Sub-Account 102,512 19.291514 1,977,616
.........................................................................................................................
Vista Fund Sub-Account 14,830 12.321288 182,730
.........................................................................................................................
Voyager Fund Sub-Account 639,344 20.233655 12,936,276
- -------------------------------------------------------------------------------------------------------------------------
Grand Total: $68,127,069
- -------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Operations
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended Asia 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>
Investment Income:
Dividends $ 18,881 $62,554 $ 45,684 $155,488
................................................................................................................
Capital gains income -- 9,861 78,086 167,244
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions (4,716) 208 985 (6,243)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (145,844) 21,960 137,965 601,162
................................................................................................................
Net gain (loss) on investments (150,560) 22,168 138,950 594,919
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $(131,679) $94,583 $262,720 $917,651
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (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>
Investment Income:
Dividends $ 314,190 $246,290 $2,245 $4,968
................................................................................................................
Capital gains income 764,750 28,559 -- --
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
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 gain (loss) on investments 2,562,182 244,449 3,528 (2,166)
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $3,641,122 $519,298 $5,773 $2,802
- ----------------------------------------------------------------------------------------------------------------
*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 Operations (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>
Investment Income:
Dividends $ 571 $187,676 $ -- $ --
................................................................................................................
Capital gains income -- -- -- --
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
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 gain (loss) on investments (13,996) -- 1,904,024 11,605
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $(13,425) $187,676 $1,904,024 $11,605
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (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>
Investment Income:
Dividends $ 83,063 $ 56,715 $ 15 $ 20,325
................................................................................................................
Capital gains income -- 77,339 -- 438,026
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
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 gain (loss) on investments 26,995 285,108 13,578 2,146,496
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $110,058 $419,162 $13,593 $2,604,847
- ----------------------------------------------------------------------------------------------------------------
*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
- ----------------------------------------------------------------------------------------------------------------
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 (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) $ 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 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
- ----------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE AC
<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 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>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- ----------------------------------------------------------------------------------------------------------------
For the year ended Asia Pacific Diversified Global Asset Global
December 31, 1996 Growth Income Allocation Growth
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 6,265 $ 45,501 $ 31,236 $ 78,177
................................................................................................................
Capital gains income -- -- 20,497 113,882
................................................................................................................
Net realized gain(loss)
on security transactions 40 1,025 235 2,172
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 45,583 30,289 79,432 532,876
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 51,888 76,815 131,400 727,107
................................................................................................................
Unit transactions:
Purchases -- -- -- --
................................................................................................................
Net transfers 663,703 678,615 565,848 2,987,293
................................................................................................................
Surrenders (12,187) (13,614) (14,996) (92,194)
................................................................................................................
Loan withdrawals (49,778) (4,620) (12,089) (56,759)
................................................................................................................
Cost of insurance (4,323) (6,234) (5,795) (31,793)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 597,415 654,147 532,968 2,806,547
................................................................................................................
Total increase (decrease)
in net assets 649,303 730,962 664,368 3,533,654
................................................................................................................
Net Assets
Beginning of period 259,939 331,736 551,378 2,621,991
- ----------------------------------------------------------------------------------------------------------------
End of Period $909,242 $1,062,698 $1,215,746 $6,155,645
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the year ended Growth High Yield Money New
December 31, 1996 and Income Fund Market Opportunities
Fund Sub-Account Fund Fund
Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 341,685 $ 163,141 $ 203,725 $ --
................................................................................................................
Capital gains income 154,926 -- -- --
................................................................................................................
Net realized gain(loss)
on security transactions 2,902 1,565 -- 1,419
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 1,519,519 157,435 -- 325,785
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 2,019,032 322,141 203,725 327,204
................................................................................................................
Unit transactions:
Purchases -- -- 24,879,746 --
................................................................................................................
Net transfers 7,006,259 1,317,440 (24,660,575) 4,703,270
................................................................................................................
Surrenders (298,205) (83,011) (89,459) (170,255)
................................................................................................................
Loan withdrawals (46,401) (35,554) (1,308,364) (37,499)
................................................................................................................
Cost of insurance (65,790) (18,659) (42,734) (38,655)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 6,595,863 1,180,216 (1,221,386) 4,456,861
................................................................................................................
Total increase (decrease)
in net assets 8,614,895 1,502,357 (1,017,661) 4,784,065
................................................................................................................
Net Assets
Beginning of period 5,254,989 1,796,625 5,240,605 3,048,960
- ----------------------------------------------------------------------------------------------------------------
End of Period $13,869,884 $3,298,982 $4,222,944 $7,833,025
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the year ended U.S. Government Utilities Voyager
December 31, 1996 and High Growth Fund
Quality Bond and Income Sub-Account
Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 58,449 $ 35,664 $ 103,280
..............................................................................................
Capital gains income -- -- 200,850
..............................................................................................
Net realized gain(loss)
on security transactions (1,338) 749 1,457
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (12,239) 144,600 388,867
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 44,872 181,013 694,454
..............................................................................................
Unit transactions:
Purchases -- -- --
..............................................................................................
Net transfers 675,522 725,689 5,336,934
..............................................................................................
Surrenders (16,556) (22,040) (138,165)
..............................................................................................
Loan withdrawals (19,784) (29,987) (66,110)
..............................................................................................
Cost of insurance (7,295) (8,113) (45,984)
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 631,887 665,549 5,086,675
..............................................................................................
Total increase (decrease)
in net assets 676,759 846,562 5,781,129
..............................................................................................
Net Assets
Beginning of period 613,005 638,097 3,621,094
- ----------------------------------------------------------------------------------------------
End of Period $1,289,764 $1,484,659 $9,402,223
- ----------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE --
HARTFORD LIFE INSURANCE COMPANY
Notes to Financial Statements
December 31, 1997
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 December 31, 1997.
C) Federal Income Taxes -- The operations of the Account form a part of,
and are taxed with, the total operations of the Company, which is taxed
as an insurance company under the Internal Revenue Code. Under current
law, no federal income taxes are payable with respect to the operations
of the Account.
D) Use of Estimates -- The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
In accordance with the terms of the contracts, the Company makes
deductions for mortality and expense undertakings, cost of insurance,
and administrative fees. These charges are deducted through termination
of units of interest from applicable contract owners' accounts, in
accordance with the terms of the contracts.
Report of Independent Public Accountants
To ITT Hartford Life and Annuity Insurance Company Putnam Capital
Manager Trust Separate Account Two and to the Owners of Units of
Interest therein:
We have audited the accompanying statement of assets and liabilities of
ITT Hartford Life and Annuity Insurance Company Putnam Capital Manager
Trust Separate Account Two (the Account) as of December 31, 1997, and
the related statements of operations for the year then ended and
statements of changes in net assets for each of the two years in the
period then ended. These financial statements are the responsibility of
the Account's management. Our responsibility is to express an opinion
on these financial statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit
to obtain reasonable assurance about whether the financial statements
are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the
financial statements. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe
that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present
fairly, in all material respects, the financial position of ITT Hartford
Life and Annuity Insurance Company Putnam Capital Manager Trust Separate
Account Two as of December 31, 1997, the results of its operations for
the year then ended and the changes in its net assets for each of the
two years in the period then ended in conformity with generally accepted
accounting principles.
ARTHUR ANDERSEN LLP
Hartford, Connecticut
February 16, 1998
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- ITT HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Assets and Liabilities
- -------------------------------------------------------------------------------------------------------
December 31, 1997 Asia Pacific Diversified Global Asset Global
Growth Income Allocation Growth
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
.......................................................................................................
Putnam VT Asia Pacific
Growth Fund
Shares 7,427,606
Cost $77,728,628
.......................................................................................................
Market Value: $68,333,972 $ -- $ -- $ --
.......................................................................................................
Putnam VT Diversified
Income Fund
Shares 23,880,205
Cost $250,110,003
.......................................................................................................
Market Value: -- 270,085,114 -- --
.......................................................................................................
Putnam VT Global
Asset Allocation Fund
Shares 24,063,166
Cost $364,923,735
.......................................................................................................
Market Value: -- -- 451,424,985 --
.......................................................................................................
Putnam VT Global
Growth Fund
Shares 46,326,997
Cost $679,679,857
.......................................................................................................
Market Value: -- -- -- 849,637,130
.......................................................................................................
Putnam VT Growth and
Income Fund
Shares 133,607,004
Cost $2,855,026,616
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT High Yield Fund
Shares 40,606,314
Cost $496,308,147
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT International
Growth Fund
Shares 6,966,423
Cost $77,975,764
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT International
Growth and Income Fund
Shares 10,124,438
Cost $113,567,754
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Due From ITT Hartford Life &
Annuity Insurance Company -- -- 73,206 --
.......................................................................................................
Receivable from fund
shares sold 3,089,245 267,880 -- 2,417,524
- -------------------------------------------------------------------------------------------------------
Total Assets 71,423,217 270,352,994 451,498,191 852,054,654
- -------------------------------------------------------------------------------------------------------
Liabilities
Due to ITT Hartford Life &
Annuity Insurance Company 3,089,242 268,102 -- 2,417,754
.......................................................................................................
Payable for fund
shares purchased -- -- 73,516 --
.......................................................................................................
Total Liabilities 3,089,242 268,102 73,516 2,417,754
- -------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $68,333,975 $270,084,892 $451,424,675 $849,636,900
- -------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets and Liabilities (continued)
- -------------------------------------------------------------------------------------------------------
December 31, 1997 Growth High Yield International International
and Income Fund Growth Growth
Fund Sub-Account Fund and Income
Sub-Account Sub-Account Fund
Sub-Account
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
.......................................................................................................
Putnam VT Asia Pacific
Growth Fund
Shares 7,427,606
Cost $77,728,628
.......................................................................................................
Market Value: $ -- $ -- $ -- $ --
.......................................................................................................
Putnam VT Diversified
Income Fund
Shares 23,880,205
Cost $250,110,003
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT Global
Asset Allocation Fund
Shares 24,063,166
Cost $364,923,735
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT Global
Growth Fund
Shares 46,326,997
Cost $679,679,857
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT Growth and
Income Fund
Shares 133,607,004
Cost $2,855,026,616
.......................................................................................................
Market Value: 3,783,750,348 -- -- --
.......................................................................................................
Putnam VT High Yield Fund
Shares 40,606,314
Cost $496,308,147
.......................................................................................................
Market Value: -- 553,058,000 -- --
.......................................................................................................
Putnam VT International
Growth Fund
Shares 6,966,423
Cost $77,975,764
.......................................................................................................
Market Value: -- -- 79,626,215 --
.......................................................................................................
Putnam VT International
Growth and Income Fund
Shares 10,124,438
Cost $113,567,754
.......................................................................................................
Market Value: -- -- -- 116,734,769
.......................................................................................................
Due From ITT Hartford Life &
Annuity Insurance Company 1,845,585 864,911 -- --
.......................................................................................................
Receivable from fund
shares sold -- -- 50,685 2,850,212
- -------------------------------------------------------------------------------------------------------
Total Assets 3,785,595,933 553,922,911 79,676,900 119,584,981
- -------------------------------------------------------------------------------------------------------
Liabilities
Due to ITT Hartford Life &
Annuity Insurance Company -- -- 50,608 2,849,709
.......................................................................................................
Payable for fund
shares purchased 1,850,786 858,648 -- --
.......................................................................................................
Total Liabilities 1,850,786 858,648 50,608 2,849,709
- -------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $3,783,745,147 $553,064,263 $79,626,292 $116,735,272
- -------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- ITT HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Assets and Liabilities (continued)
- -------------------------------------------------------------------------------------------------------
December 31, 1997 International Money New New
New Market Opportunities Value
Opportunities Fund Fund Fund
Fund Sub-Account Sub-Account Sub-Account
Sub-Account
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
.......................................................................................................
Putnam VT International
New Opportunities Fund
Shares 6,438,325
Cost $67,522,570
.......................................................................................................
Market Value: $64,125,714 $ -- $ -- $ --
.......................................................................................................
Putnam VT Money
Market Fund
Shares 181,048,078
Cost $181,048,078
.......................................................................................................
Market Value: -- 181,048,078 -- --
.......................................................................................................
Putnam VT New
Opportunities Fund
Shares 57,126,747
Cost $930,119,603
.......................................................................................................
Market Value: -- -- 1,212,800,837 --
.......................................................................................................
Putnam VT New Value Fund
Shares 10,114,842
Cost $110,860,360
.......................................................................................................
Market Value: -- -- -- 118,950,540
.......................................................................................................
Putnam VT U.S. Government
and High Quality Fund
Shares 17,365,130
Cost $228,514,012
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT Utilities
Growth & Income Fund
Shares 20,663,783
Cost $253,987,357
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT Vista Fund
Shares 7,954,124
Cost $87,412,056
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT Voyager Fund
Shares 55,922,468
Cost $1,593,337,360
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Due From ITT Hartford Life &
Annuity Insurance Company -- 15,480,961 -- --
.......................................................................................................
Receivable from fund
shares sold 1,437,373 -- 1,187,843 450,391
- -------------------------------------------------------------------------------------------------------
Total Assets 65,563,087 196,529,039 1,213,988,680 119,400,931
- -------------------------------------------------------------------------------------------------------
Liabilities
Due to ITT Hartford Life &
Annuity Insurance Company 1,437,479 -- 1,187,518 450,497
.......................................................................................................
Payable for fund
shares purchased -- 15,480,652 -- --
.......................................................................................................
Total Liabilities 1,437,479 15,480,652 1,187,518 450,497
- -------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $64,125,608 $181,048,387 $1,212,801,162 $118,950,434
- -------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets and Liabilities (continued)
- -------------------------------------------------------------------------------------------------------
December 31, 1997 U.S. Government Utilities Vista Voyager
and High Growth Fund Fund
Quality Bond and Income Sub-Account Sub-Account
Fund Fund
Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
.......................................................................................................
Putnam VT International
New Opportunities Fund
Shares 6,438,325
Cost $67,522,570
.......................................................................................................
Market Value: $ -- $ -- $ -- $ --
.......................................................................................................
Putnam VT Money
Market Fund
Shares 181,048,078
Cost $181,048,078
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT New
Opportunities Fund
Shares 57,126,747
Cost $930,119,603
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT New Value Fund
Shares 10,114,842
Cost $110,860,360
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT U.S. Government
and High Quality Fund
Shares 17,365,130
Cost $228,514,012
.......................................................................................................
Market Value: 233,040,047 -- -- --
.......................................................................................................
Putnam VT Utilities
Growth & Income Fund
Shares 20,663,783
Cost $253,987,357
.......................................................................................................
Market Value: -- 354,177,234 -- --
.......................................................................................................
Putnam VT Vista Fund
Shares 7,954,124
Cost $87,412,056
.......................................................................................................
Market Value: -- -- 97,994,803 --
.......................................................................................................
Putnam VT Voyager Fund
Shares 55,922,468
Cost $1,593,337,360
.......................................................................................................
Market Value: -- -- -- 2,185,450,030
.......................................................................................................
Due From ITT Hartford Life &
Annuity Insurance Company 1,547,195 -- 181,478 --
.......................................................................................................
Receivable from fund
shares sold -- 160,002 -- 3,770,589
- -------------------------------------------------------------------------------------------------------
Total Assets 234,587,242 354,337,236 98,176,281 2,189,220,619
- -------------------------------------------------------------------------------------------------------
Liabilities
Due to ITT Hartford Life &
Annuity Insurance Company -- 165,937 -- 3,767,051
.......................................................................................................
Payable for fund
shares purchased 1,547,318 -- 181,404 --
.......................................................................................................
Total Liabilities 1,547,318 165,937 181,404 3,767,051
- -------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $233,039,924 $354,171,299 $97,994,877 $2,185,453,568
- -------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- ITT HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Assets and Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------------------------
December 31, 1997 Units Unit Contract
Owned by Price Liability
Participants
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Deferred annuity contracts in the accumulation period:
Individual Sub-Accounts
.............................................................................................................................
Asia Pacific Growth Fund Sub-Account 7,444,698 $ 9.175966 $ 68,312,294
.............................................................................................................................
Diversified Income Fund Sub-Account 21,016,690 12.840701 269,869,032
.............................................................................................................................
Global Asset Allocation Fund Sub-Account 16,683,299 27.026081 450,884,185
.............................................................................................................................
Global Growth Fund Sub-Account 43,484,814 19.497474 847,844,030
.............................................................................................................................
Growth and Income Fund Sub-Account 94,356,271 40.036154 3,777,662,185
.............................................................................................................................
High Yield Fund Sub-Account 21,602,342 25.574900 552,477,745
.............................................................................................................................
International Growth Fund Sub-Account 6,948,348 11.450726 79,563,629
.............................................................................................................................
International Growth and Income Fund Sub-Account 9,877,972 11.776424 116,327,187
.............................................................................................................................
International New Opportunities Fund Sub-Account 6,510,337 9.849814 64,125,608
.............................................................................................................................
Money Market Fund Sub-Account 122,079,468 1.482672 181,003,809
.............................................................................................................................
New Opportunities Fund Sub-Account 59,879,474 20.223432 1,210,968,462
.............................................................................................................................
New Value Fund Sub-Account 10,225,618 11.597024 118,586,732
.............................................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 11,665,758 19.958881 232,835,474
.............................................................................................................................
Utilities Growth and Income Fund Sub-Account 17,569,252 20.143040 353,898,139
.............................................................................................................................
Vista Fund Sub-Account 8,062,390 12.151064 97,966,626
.............................................................................................................................
Voyager Fund Sub-Account 48,249,790 45.196582 2,180,725,590
.............................................................................................................................
Sub-total Individual Sub-Accounts 10,603,050,727
.............................................................................................................................
Annuity contracts in the annuity period:
.............................................................................................................................
Individual Sub-Accounts:
.............................................................................................................................
Asia Pacific Growth Fund Sub-Account 2,363 $ 9.175966 $21,681
.............................................................................................................................
Diversified Income Fund Sub-Account 16,811 12.840701 215,860
.............................................................................................................................
Global Asset Allocation Fund Sub-Account 19,999 27.026081 540,490
.............................................................................................................................
Global Growth Fund Sub-Account 91,954 19.497474 1,792,870
.............................................................................................................................
Growth and Income Fund Sub-Account 151,937 40.036154 6,082,962
.............................................................................................................................
High Yield Fund Sub-Account 22,933 25.574900 586,518
.............................................................................................................................
International Growth Fund Sub-Account 5,473 11.450726 62,663
.............................................................................................................................
International Growth and Income Fund Sub-Account 34,653 11.776424 408,085
.............................................................................................................................
Money Market Fund Sub-Account 30,066 1.482672 44,578
.............................................................................................................................
New Opportunities Fund Sub-Account 90,623 20.223432 1,832,700
.............................................................................................................................
New Value Fund Sub-Account 31,362 11.597024 363,702
.............................................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 10,244 19.958881 204,450
.............................................................................................................................
Utilities Growth and Income Fund Sub-Account 13,561 20.143040 273,160
.............................................................................................................................
Vista Fund Sub-Account 2,325 12.151064 28,251
.............................................................................................................................
Voyager Fund Sub-Account 104,609 45.196582 4,727,978
.............................................................................................................................
Sub-total Individual Sub-Accounts 17,185,948
- -----------------------------------------------------------------------------------------------------------------------------
Grand Total $10,620,236,675
- -----------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- ITT HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Operations
- ----------------------------------------------------------------------------------------------------------------
For the year ended Asia Pacific Diversified Global Asset Global
December 31, 1997 Growth Income Allocation Growth
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $ 1,583,349 $12,997,452 $11,993,572 $17,352,213
................................................................................................................
Expense:
Mortality and expense
undertakings (1,123,401) (3,442,134) (5,622,340) (11,348,642)
................................................................................................................
Capital gains income -- 2,048,961 20,499,937 18,664,210
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions 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 gain (loss) on investments (12,751,126) 2,901,837 36,971,844 66,557,926
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $(12,291,178) $14,506,116 $63,843,013 $91,225,707
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (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>
Investment Income:
Dividends $ 55,603,806 $30,314,263 $1,197,977 $3,863,584
................................................................................................................
Expense:
Mortality and expense
undertakings (44,444,177) (6,636,856) (550,679) (848,822)
................................................................................................................
Capital gains income 135,341,577 3,515,165 -- --
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
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 gain (loss) on investments 464,385,196 30,270,576 1,762,877 3,421,039
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $610,886,402 $57,463,148 $2,410,175 $6,435,801
- ----------------------------------------------------------------------------------------------------------------
*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 -- ITT HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Operations (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>
Investment Income:
Dividends $ 184,429 $10,950,891 $ -- $ --
................................................................................................................
Expense:
Mortality and expense
undertakings (613,179) (3,015,098) (14,288,485) (930,950)
................................................................................................................
Capital gains income -- -- -- --
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
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 gain (loss) on investments (3,303,408) -- 216,101,264 8,037,155
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $(3,732,158) $ 7,935,793 $201,812,779 $7,106,205
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (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>
Investment Income:
Dividends $13,324,652 $10,305,478 $ 7,736 $ 3,327,367
................................................................................................................
Expense:
Mortality and expense
undertakings (3,007,439) (4,156,594) (725,784) (25,571,650)
................................................................................................................
Capital gains income -- 14,052,925 -- 71,707,177
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
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 gain (loss) on investments 4,589,604 50,451,870 10,541,260 356,223,878
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $14,906,817 $70,653,679 $9,823,212 $405,686,772
- ----------------------------------------------------------------------------------------------------------------
*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 -- ITT HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- ----------------------------------------------------------------------------------------------------------------
For the year ended Asia Pacific Diversified Global Asset Global
December 31, 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 -- ITT 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>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- ITT HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- ----------------------------------------------------------------------------------------------------------------
For the year ended Asia Pacific Diversified Global Asset Global
December 31, 1996 Growth Income Allocation Growth
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ (233,515) $ 6,318,740 $ 6,886,175 $ 2,049,900
................................................................................................................
Capital gains income -- -- 6,905,232 13,626,134
................................................................................................................
Net realized gain(loss)
on security transactions 503,364 -- -- 115,502
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 3,413,284 7,205,260 21,830,738 60,644,344
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 3,683,133 13,510,560 35,616,265 76,435,880
................................................................................................................
Unit transactions:
Purchases 43,835,968 86,101,578 76,481,223 182,210,555
................................................................................................................
Net transfers 16,464,173 4,387,499 19,773,407 61,807,258
................................................................................................................
Surrenders (976,032) (6,844,044) (7,867,916) (13,688,662)
................................................................................................................
Net annuity transactions 9,557 45,237 49,595 357,636
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 59,333,666 83,690,270 88,436,309 230,686,787
................................................................................................................
Total increase (decrease)
in net assets 63,016,799 97,200,830 124,052,574 307,122,667
................................................................................................................
Net assets:
Beginning of period 13,103,344 124,403,344 204,752,622 376,740,078
- ----------------------------------------------------------------------------------------------------------------
End of period $76,120,143 $221,604,174 $328,805,196 $683,862,745
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the year ended Growth High Yield Money New
December 31, 1996 and Income Fund Market Opportunities
Fund Sub-Account Fund Fund
Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 36,106,325 $ 13,520,455 $ 5,547,548 $ (8,148,912)
................................................................................................................
Capital gains income 27,273,294 -- -- --
................................................................................................................
Net realized gain(loss)
on security transactions -- 3,557 -- (338,446)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 265,013,647 18,332,001 -- 22,918,086
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 328,391,138 31,856,013 5,547,548 14,430,728
................................................................................................................
Unit transactions:
Purchases 779,047,762 143,881,346 274,781,350 468,698,683
................................................................................................................
Net transfers 185,288,431 7,295,366 (147,255,813) 118,659,486
................................................................................................................
Surrenders (54,682,231) (12,925,712) (13,490,742) (13,631,981)
................................................................................................................
Net annuity transactions 850,976 66,417 (48,622) 669,701
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 910,504,938 138,317,417 113,986,173 574,395,889
................................................................................................................
Total increase (decrease)
in net assets 1,238,896,076 170,173,430 119,533,721 588,826,617
................................................................................................................
Net assets:
Beginning of period 1,154,734,538 216,208,549 91,540,603 260,176,068
- ----------------------------------------------------------------------------------------------------------------
End of period $2,393,630,614 $386,381,979 $211,074,324 $849,002,685
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the year ended U.S. Government Utilities Voyager
December 31, 1996 and High Growth Fund
Quality Bond and Income Sub-Account
Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 8,015,651 $ 4,954,386 $ 1,737,117
..............................................................................................
Capital gains income -- -- 34,544,297
..............................................................................................
Net realized gain(loss)
on security transactions (15,593) 3,070 (111,435)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (5,205,099) 27,539,072 66,299,654
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 2,794,959 32,496,528 102,469,633
..............................................................................................
Unit transactions:
Purchases 58,254,930 54,540,316 537,341,531
..............................................................................................
Net transfers (9,888,428) (6,591,159) 122,185,850
..............................................................................................
Surrenders (9,247,533) (8,471,777) (31,687,683)
..............................................................................................
Net annuity transactions (34,898) 25,329 1,230,624
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 39,084,071 39,502,709 629,070,322
..............................................................................................
Total increase (decrease)
in net assets 41,879,030 71,999,237 731,539,955
..............................................................................................
Net assets:
Beginning of period 165,214,817 201,428,247 760,717,777
- ----------------------------------------------------------------------------------------------
End of period $207,093,847 $273,427,484 $1,492,257,732
- ----------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO --
ITT HARTFORD LIFE AND ANNUITY INSURANCE
Notes to Financial Statements
December 31, 1997
1. ORGANIZATION:
Putnam Capital Manager Trust Separate Account Two (the Account) is a
separate investment account within ITT Hartford Life and Annuity
Insurance Company (the Company) and is registered with the Securities
and Exchange Commission (SEC) as a unit investment trust under the
Investment Company Act of 1940, as amended. Both the Company and the
Account are subject to supervision and regulation by the Department of
Insurance of the State of Connecticut and the SEC. The Account invests
deposits by variable annuity contract-holders of the Company in the
various mutual funds (the Funds) as directed by the contractholders.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies of the
Account, which are in accordance with generally accepted accounting
principles in the investment company industry:
A) Security Transactions -- Security transactions are recorded on the
trade date (date the order to buy or sell is executed). Cost of
investments sold is determined on the basis of identified cost. Dividend
and capital gains income are accrued as of the ex-dividend date. Capital
gains income represents dividends from the Funds which are characterized
as capital gains under tax regulations.
B) Security Valuation -- The investment in shares of the Funds are
valued at the closing net asset value per share as determined by the
appropriate Fund as of December 31, 1997.
C) Federal Income Taxes -- The operations of the Account form a part of,
and are taxed with, the total operations of the Company, which is taxed
as an insurance company under the Internal Revenue Code. Under current
law, no federal income taxes are payable with respect to the operations
of the Account.
D) Use of Estimates -- The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
A) Mortality and Expense Undertakings -- The Company, as issuer of
variable annuity contracts, provides the mortality and expense
undertakings and, with respect to the Account, receives a maximum annual
fee of 1.25% of the Account's average daily net assets. The Company also
provides administrative services and receives an annual fee of 0.15% of
the Account's average daily net assets.
B) Deduction of Annual Maintenance Fees -- Annual maintenance fees are
deducted through termination of units of interest from applicable
contract owners' accounts, in accordance with the terms of the
contracts.
Report of Independent Public Accountants
To ITT Hartford Life and Annuity Insurance Company Putnam Capital
Manager Trust Separate Account Five andto the Owners of Units of
Interest therein:
We have audited the accompanying statement of assets and liabilities of
ITT Hartford Life and Annuity Insurance Company Putnam Capital Manager
Trust Separate Account Five (the Account) as of December 31, 1997, and
the related statement of operations for the year then ended and
statements of changes in net assets for the each of the two years in the
period ended December 31, 1997. These financial statements are the
responsibility of the Account's management. Our responsibility is to
express an opinion on these financial statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit
to obtain reasonable assurance about whether the financial statements
are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the
financial statements. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe
that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present
fairly, in all material respects, the financial position of ITT Hartford
Life and Annuity Insurance Company Putnam Capital Manager Trust Separate
Account Five as of December 31, 1997, the results of its operations for
the year then ended and the changes in its net assets for each of the
two years in the period ended December 31, 1997, in conformity with
generally accepted accounting principles.
ARTHUR ANDERSEN LLP
Hartford, Connecticut
February 16, 1998
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- ITT HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Assets and Liabilities
- -------------------------------------------------------------------------------------------------------
December 31, 1997 Asia Pacific Diversified Global Asset Global
Growth Income Allocation Growth
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
.......................................................................................................
Putnam VT Asia Pacific
Growth Fund
Shares 39,192
Cost $409,610
.......................................................................................................
Market Value: $360,568 $ -- $ -- $ --
.......................................................................................................
Putnam VT Diversified
Income Fund
Shares 220,923
Cost $2,412,930
.......................................................................................................
Market Value: -- 2,498,643 -- --
.......................................................................................................
Putnam VT Global
Asset Allocation Fund
Shares 167,002
Cost $2,779,091
.......................................................................................................
Market Value: -- -- 3,132,958 --
.......................................................................................................
Putnam VT Global
Growth Fund
Shares 348,458
Cost $5,697,759
.......................................................................................................
Market Value: -- -- -- 6,390,726
.......................................................................................................
Putnam VT Growth and
Income Fund
Shares 865,166
Cost $20,237,142
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT High Yield Fund
Shares 247,281
Cost $3,105,496
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT International
Growth Fund
Shares 26,962
Cost $294,404
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT International
Growth and Income Fund
Shares 31,389
Cost $348,543
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Due From ITT Hartford Life &
Annuity Insurance Company -- -- 31 213
.......................................................................................................
Receivable from fund
shares sold -- 64 -- --
- -------------------------------------------------------------------------------------------------------
Total Assets 360,568 2,498,707 3,132,989 6,390,939
- -------------------------------------------------------------------------------------------------------
Liabilities
Due to ITT Hartford Life &
Annuity Insurance Company 2 -- -- --
.......................................................................................................
Payable for fund
shares purchased -- -- -- 209
.......................................................................................................
Total Liabilities 2 -- -- 209
- -------------------------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $360,566 $2,498,707 $3,132,989 $6,390,730
- -------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets and Liabilities (continued)
- -------------------------------------------------------------------------------------------------------
December 31, 1997 Growth High Yield International International
and Income Fund Growth Growth
Fund Sub-Account Fund and Income
Sub-Account Sub-Account Fund
Sub-Account
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
.......................................................................................................
Putnam VT Asia Pacific
Growth Fund
Shares 39,192
Cost $409,610
.......................................................................................................
Market Value: $ -- $ -- $ -- $ --
.......................................................................................................
Putnam VT Diversified
Income Fund
Shares 220,923
Cost $2,412,930
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT Global
Asset Allocation Fund
Shares 167,002
Cost $2,779,091
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT Global
Growth Fund
Shares 348,458
Cost $5,697,759
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT Growth and
Income Fund
Shares 865,166
Cost $20,237,142
.......................................................................................................
Market Value: 24,501,515 -- -- --
.......................................................................................................
Putnam VT High Yield Fund
Shares 247,281
Cost $3,105,496
.......................................................................................................
Market Value: -- 3,367,965 -- --
.......................................................................................................
Putnam VT International
Growth Fund
Shares 26,962
Cost $294,404
.......................................................................................................
Market Value: -- -- 308,179 --
.......................................................................................................
Putnam VT International
Growth and Income Fund
Shares 31,389
Cost $348,543
.......................................................................................................
Market Value: -- -- -- 361,910
.......................................................................................................
Due From ITT Hartford Life &
Annuity Insurance Company -- 47 -- --
.......................................................................................................
Receivable from fund
shares sold -- -- 23 --
- -------------------------------------------------------------------------------------------------------
Total Assets 24,501,515 3,368,012 308,202 361,910
- -------------------------------------------------------------------------------------------------------
Liabilities
Due to ITT Hartford Life &
Annuity Insurance Company 86 -- -- 37
.......................................................................................................
Payable for fund
shares purchased -- 28 -- --
.......................................................................................................
Total Liabilities 86 28 -- 37
- -------------------------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $24,501,429 $3,367,984 $308,202 $361,873
- -------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- ITT HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Assets and Liabilities (continued)
- -------------------------------------------------------------------------------------------------------
December 31, 1997 International Money New New
New Market Opportunities Value
Opportunities Fund Fund Fund
Fund Sub-Account Sub-Account Sub-Account
Sub-Account
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
.......................................................................................................
Putnam VT International
New Opportunities Fund
Shares 55,483
Cost $583,820
.......................................................................................................
Market Value: $552,610 $ -- $ -- $ --
.......................................................................................................
Putnam VT Money
Market Fund
Shares 4,369,477
Cost $4,369,477
.......................................................................................................
Market Value: -- 4,369,477 -- --
.......................................................................................................
Putnam VT New
Opportunities Fund
Shares 590,759
Cost $10,187,467
.......................................................................................................
Market Value: -- -- 12,541,819 --
.......................................................................................................
Putnam VT New Value Fund
Shares 74,976
Cost $798,149
.......................................................................................................
Market Value: -- -- -- 881,713
.......................................................................................................
Putnam VT U.S. Government
and High Quality Fund
Shares 71,748
Cost $934,277
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT Utilities
Growth & Income Fund
Shares 134,120
Cost $1,836,083
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT Vista Fund
Shares 36,520
Cost $407,685
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT Voyager Fund
Shares 347,145
Cost $11,091,194
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Due From ITT Hartford Life &
Annuity Insurance Company -- 88 828 --
.......................................................................................................
Receivable from fund
shares sold -- -- -- 1
- -------------------------------------------------------------------------------------------------------
Total Assets 552,610 4,369,565 12,542,647 881,714
- -------------------------------------------------------------------------------------------------------
Liabilities
Due to ITT Hartford Life &
Annuity Insurance Company -- -- -- --
.......................................................................................................
Payable for fund
shares purchased -- 58 -- --
.......................................................................................................
Total Liabilities -- 58 -- --
- -------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $552,610 $4,369,507 $12,542,647 $881,714
- -------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets and Liabilities (continued)
- -------------------------------------------------------------------------------------------------------
December 31, 1997 U.S. Government Utilities Vista Voyager
and High Growth Fund Fund
Quality Bond and Income Sub-Account Sub-Account
Fund Fund
Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
.......................................................................................................
Putnam VT International
New Opportunities Fund
Shares 55,483
Cost $583,820
.......................................................................................................
Market Value: $ -- $ -- $ -- $ --
.......................................................................................................
Putnam VT Money
Market Fund
Shares 4,369,477
Cost $4,369,477
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT New
Opportunities Fund
Shares 590,759
Cost $10,187,467
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT New Value Fund
Shares 74,976
Cost $798,149
.......................................................................................................
Market Value: -- -- -- --
.......................................................................................................
Putnam VT U.S. Government
and High Quality Fund
Shares 71,748
Cost $934,277
.......................................................................................................
Market Value: 962,859 -- -- --
.......................................................................................................
Putnam VT Utilities
Growth & Income Fund
Shares 134,120
Cost $1,836,083
.......................................................................................................
Market Value: -- 2,298,810 -- --
.......................................................................................................
Putnam VT Vista Fund
Shares 36,520
Cost $407,685
.......................................................................................................
Market Value: -- -- 449,928 --
.......................................................................................................
Putnam VT Voyager Fund
Shares 347,145
Cost $11,091,194
.......................................................................................................
Market Value: -- -- -- 13,566,417
.......................................................................................................
Due From ITT Hartford Life &
Annuity Insurance Company -- 506 -- 461
.......................................................................................................
Receivable from fund
shares sold 121 -- -- --
- -------------------------------------------------------------------------------------------------------
Total Assets 962,980 2,299,316 449,928 13,566,878
- -------------------------------------------------------------------------------------------------------
Liabilities
Due to ITT Hartford Life &
Annuity Insurance Company 122 -- 2 --
.......................................................................................................
Payable for fund
shares purchased -- 389 -- --
.......................................................................................................
Total Liabilities 122 389 2 --
- -------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $962,858 $2,298,927 $449,926 $13,566,878
- -------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- ITT HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Assets and Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------------------------
December 31, 1997 Units Unit Contract
Owned by Price Liability
Participants
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Deferred life contracts in the accumulation period:
Individual Sub-Accounts:
.............................................................................................................................
Asia Pacific Growth Fund Sub-Account 37,853 $ 9.525374 $ 360,566
.............................................................................................................................
Diversified Income Fund Sub-Account 178,602 13.990371 2,498,707
.............................................................................................................................
Global Asset Allocation Sub-Account 181,430 17.268298 3,132,989
.............................................................................................................................
Global Growth Fund Sub-Account 408,646 15.638791 6,390,730
.............................................................................................................................
Growth and Income Fund Sub-Account 1,192,000 20.554886 24,501,429
.............................................................................................................................
High Yield Fund Sub-Account 220,685 15.261496 3,367,984
.............................................................................................................................
International Growth Fund Sub-Account 26,538 11.613622 308,202
.............................................................................................................................
International Growth and Income Fund Sub-Account 30,304 11.941331 361,873
.............................................................................................................................
International New Opportunities Fund Sub-Account 55,319 9.989509 552,610
.............................................................................................................................
Money Market Fund Sub-Account 3,749,175 1.165458 4,369,507
.............................................................................................................................
New Opportunities Fund Sub-Account 634,437 19.769721 12,542,647
.............................................................................................................................
New Value Fund Sub-Account 74,976 11.759921 881,714
.............................................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 71,791 13.411936 962,858
.............................................................................................................................
Utilities Growth and Income Fund Sub-Account 119,168 19.291514 2,298,927
.............................................................................................................................
Vista Fund Sub-Account 36,516 12.321288 449,926
.............................................................................................................................
Voyager Fund Sub-Account 670,510 20.233655 13,566,878
- -----------------------------------------------------------------------------------------------------------------------------
Grand Total: $76,547,547
- -----------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- ITT HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Operations
- ----------------------------------------------------------------------------------------------------------------
For the year ended Asia 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>
Investment Income:
Dividends $ 6,828 $132,930 $ 69,277 $104,380
................................................................................................................
Capital gains income -- 20,956 118,411 112,272
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions 132 11,405 1,345 (747)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (65,164) 14,728 222,497 425,520
................................................................................................................
Net gain (loss) on investments (65,032) 26,133 223,842 424,773
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $(58,204) $180,019 $411,530 $641,425
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (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>
Investment Income:
Dividends $ 24,482 $165,816 $ 4,598 $10,865
................................................................................................................
Capital gains income 789,799 19,228 -- --
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
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 gain (loss) on investments 2,874,675 178,889 13,772 13,512
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $3,988,956 $363,933 $18,370 $24,377
- ----------------------------------------------------------------------------------------------------------------
*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 -- ITT HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Operations (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>
Investment Income:
Dividends $ 1,554 $263,015 $ -- $ --
................................................................................................................
Capital gains income -- -- -- --
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
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 gain (loss) on investments (31,339) -- 2,147,637 76,381
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $(29,785) $263,015 $2,147,637 $76,381
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (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>
Investment Income:
Dividends $41,593 $ 50,859 $ 33 $ 18,916
................................................................................................................
Capital gains income -- 69,354 -- 407,658
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
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 gain (loss) on investments 25,290 344,757 34,234 2,158,093
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $66,883 $464,970 $34,267 $2,584,667
- ----------------------------------------------------------------------------------------------------------------
*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 -- ITT HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- ----------------------------------------------------------------------------------------------------------------
For the year ended Asia Pacific Diversified Global Asset Global
December 31, 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 -- ITT 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
- ----------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE AC
<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>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- ITT HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- ----------------------------------------------------------------------------------------------------------------
For the year ended Asia Pacific Diversified Global Asset Global
December 31, 1996 Growth Income Allocation Growth
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 2,103 $ 21,970 $ 16,598 $ 23,213
................................................................................................................
Capital gains income -- -- 10,892 33,815
................................................................................................................
Net realized gain(loss)
on security transactions 139 11,050 -- 515
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 15,115 65,917 117,195 242,512
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 17,357 98,937 144,625 300,055
................................................................................................................
Unit transactions:
Purchases -- -- -- --
................................................................................................................
Net transfers 292,487 1,527,357 1,263,299 2,718,060
................................................................................................................
Surrenders (3,336) (42,573) (25,561) (92,232)
................................................................................................................
Net loan activity (19) (30) (1) (4,157)
................................................................................................................
Cost of insurance (1,348) (5,600) (5,712) (12,445)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 287,784 1,479,154 1,232,025 2,609,226
................................................................................................................
Total increase (decrease)
in net assets 305,141 1,578,091 1,376,650 2,909,281
................................................................................................................
Net assets:
Beginning of period 43,203 106,081 215,494 538,026
- ----------------------------------------------------------------------------------------------------------------
End of period $348,344 $1,684,172 $1,592,144 $3,447,307
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the year ended Growth High Yield Money New
December 31, 1996 and Income Fund Market Opportunities
Fund Sub-Account Fund Fund
Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 190,521 $ 58,411 $ 208,905 $ --
................................................................................................................
Capital gains income 86,385 -- -- --
................................................................................................................
Net realized gain(loss)
on security transactions -- 12,566 -- --
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 1,193,437 76,806 -- 80,783
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 1,470,094 147,783 208,905 72,345
................................................................................................................
Unit transactions:
Purchases 7,606 -- 33,859,102 7,159
................................................................................................................
Net transfers 9,205,818 1,302,945 -- 5,351,891
................................................................................................................
Surrenders (177,135) (15,962) -- --
................................................................................................................
Net loan activity (14,121) (382) -- --
................................................................................................................
Cost of insurance (46,206) (7,414) -- --
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 8,975,962 1,279,187 3,875,230 5,210,687
................................................................................................................
Total increase (decrease)
in net assets 10,446,056 1,426,970 4,084,135 5,283,032
................................................................................................................
Net assets:
Beginning of period 2,506,208 264,828 2,841,282 1,563,216
- ----------------------------------------------------------------------------------------------------------------
End of period $12,952,264 $1,691,798 $6,925,417 $6,846,248
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the year ended U.S. Government Utilities Voyager
December 31, 1996 and High Growth Fund
Quality Bond and Income Sub-Account
Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 23,073 $ 20,790 $ 48,841
..............................................................................................
Capital gains income -- -- 94,981
..............................................................................................
Net realized gain(loss)
on security transactions -- 2,502 --
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period -- 95,368 192,061
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 16,347 118,660 334,880
..............................................................................................
Unit transactions:
Purchases -- -- 7,606
..............................................................................................
Net transfers 381,013 662,417 5,629,844
..............................................................................................
Surrenders -- -- --
..............................................................................................
Net loan activity -- -- --
..............................................................................................
Cost of insurance -- -- --
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 344,168 644,585 5,505,295
..............................................................................................
Total increase (decrease)
in net assets 360,515 763,245 5,840,175
..............................................................................................
Net assets:
Beginning of period 237,438 298,337 1,472,395
- ----------------------------------------------------------------------------------------------
End of period $597,953 $1,061,582 $7,312,570
- ----------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE --
ITT HARTFORD LIFE AND ANNUITY INSURANCE
Notes to Financial Statements
December 31, 1997
1. ORGANIZATION:
Putnam Capital Manager Trust Separate Account Five (the Account) is a
separate investment account within ITT Hartford Life & Annuity Insurance
Company (the Company) and is registered with the Securities and Exchange
Commission (SEC) as a unit investment trust under the Investment Company
Act of 1940, as amended. Both the Company and the Account are subject to
supervision and regulation by the Department of Insurance of the State
of Connecticut and the SEC. The Account invests deposits by variable
life contractholders of the Company in the various mutual funds (the
Funds) as directed by the contractholders.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies of the
Account, which are in accordance with generally accepted accounting
principles in the investment company industry:
A) Security Transactions -- Security transactions are recorded on the
trade date (date the order to buy or sell is executed). Cost of
investments sold is determined on the basis of identified cost. Dividend
and capital gains income are accrued as of the ex-dividend date. Capital
gains income represents dividends from the Funds which are characterized
as capital gains under tax regulations.
B) Security Valuation -- The investment in shares of the Funds are
valued at the closing net asset value per share as determined by the
appropriate Fund as of December 31, 1997.
C) Federal Income Taxes -- The operations of the Account form a part of,
and are taxed with, the total operations of the Company, which is taxed
as an insurance company under the Internal Revenue Code. Under current
law, no federal income taxes are payable with respect to the operations
of the Account.
D) Use of Estimates -- The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND related CHARGES:
In accordance with the terms of the contracts, the Company makes
deductions for mortality and expense undertakings, cost of insurance,
administrative fees, and state premium taxes. These charges are deducted
through termination of units of interest from applicable contract
owners' accounts, in accordance with the terms of the contracts.
Report of Independent Public Accountants
To ITT Hartford Life and Annuity Insurance Company Putnam Capital
Manager Trust Separate Account Variable Life One and to the Owners of
Units of Interest therein:
We have audited the accompanying statement of assets and liabilities of
Diversified Income Fund Sub-Account, Global Asset Allocation Fund Sub-
Account, Global Growth Fund Sub-Account, Growth and Income Fund Sub-
Account, High Yield Fund Sub-Account, New Opportunities Fund Sub-
Account, Money Market Fund Sub-Account, U.S. Government and High Quality
Bond Fund Sub-Account, Utilities Growth and Income Fund Sub-Account and
Voyager Fund Sub-Account (ITT Hartford Life and Annuity Insurance
Company Putnam Capital Manager Trust Separate Account Variable Life One)
(the Account) as of December 31, 1997, and the related statements of
operations and changes in net assets for the period from inception,
October 3, 1996, to December 31, 1996. These financial statements are
the responsibility of the Account's management. Our responsibility is
to express an opinion on these financial statements based on our audits.
We conducted our audit in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit
to obtain reasonable assurance about whether the financial statements
are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the
financial statements. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe
that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present
fairly, in all material respects, the financial position of Diversified
Income Fund Sub-Account, Global Asset Allocation Fund Sub-Account,
Global Growth Fund Sub-Account, Growth and Income Fund Sub-Account, High
Yield Fund Sub-Account, New Opportunities Fund Sub-Account, Money Market
Fund Sub-Account, U.S. Government and High Quality Bond Fund Sub-
Account, Utilities Growth and Income Fund Sub-Account and Voyager Fund
Sub-Account (constituting ITT Hartford Life and Annuity Insurance
Company Putnam Capital Manager Trust Separate Account Variable Life One)
as of December 31, 1997, the results of its operations and the changes
in its net assets for the year ended December 31, 1997, and the period
from inception, October 3, 1996, to December 31, 1996, in conformity
with generally accepted accounting principles.
ARTHUR ANDERSEN LLP
Hartford, Connecticut
February 16, 1998
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- ITT HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Assets and Liabilities
- ------------------------------------------------------------------------------------------------------------------------
December 31, 1997 Diversified Global Asset Global Growth High Yield
Income Allocation Growth and Income Fund
Fund Fund Fund Fund Sub-Account
Sub-Account Sub-Account Sub-Account Sub-Account
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Assets
Investments:
........................................................................................................................
Putnam VT Diversified
Income Fund
Shares 3,767
Cost $40,753
........................................................................................................................
Market Value: $42,610 $ -- $ -- $ -- $ --
........................................................................................................................
Putnam VT Global
Asset Allocation Fund
Shares 16,572
Cost $301,555
........................................................................................................................
Market Value: -- 310,895 -- -- --
........................................................................................................................
Putnam VT Global
Growth Fund
Shares 89,160
Cost $1,609,306
........................................................................................................................
Market Value: -- -- 1,635,197 -- --
........................................................................................................................
Putnam VT Growth
and Income Fund
Shares 49,384
Cost $1,339,139
........................................................................................................................
Market Value: -- -- -- 1,398,555 --
........................................................................................................................
Putnam VT High Yield Fund
Shares 20,901
Cost $264,318
........................................................................................................................
Market Value: -- -- -- -- 284,667
........................................................................................................................
Due From ITT Hartford Life &
Annuity Insurance Company -- 15 48,400 -- 6,365
........................................................................................................................
Receivable from fund
shares sold -- -- -- 672 --
- ------------------------------------------------------------------------------------------------------------------------
Total Assets 42,610 310,910 1,683,597 1,399,227 291,032
- ------------------------------------------------------------------------------------------------------------------------
Liabilities
Due To ITT Hartford Life &
Annuity Insurance Company -- -- -- 760 --
........................................................................................................................
Payable for fund
shares purchased -- -- 48,377 -- 6,363
........................................................................................................................
Total Liabilities -- -- 48,377 760 6,363
- ------------------------------------------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $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 -- ITT HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Assets and Liabilities
- ------------------------------------------------------------------------------------------------------------------------
December 31, 1997 Money New U.S. Government Utilities Voyager
Market Opportunities and High Growth Fund
Fund Fund Quality Bond and Income Sub-Account
Sub-Account Sub-Account Fund Fund
Sub-Account Sub-Account
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Assets
Investments:
........................................................................................................................
Putnam VT Money
Market Fund
Shares 127,226
Cost $127,226
........................................................................................................................
Market Value: $127,226 $ -- $ -- $ -- $ --
........................................................................................................................
Putnam VT New
Opportunities Fund
Shares 53,976
Cost $1,017,484
........................................................................................................................
Market Value: -- 1,145,919 -- -- --
........................................................................................................................
Putnam VT U.S. Government
and High Quality Fund
Shares 88,902
Cost $1,151,531
........................................................................................................................
Market Value: -- -- 1,193,060 -- --
........................................................................................................................
Putnam VT Utilities
Growth & Income Fund
Shares 15,145
Cost $215,652
........................................................................................................................
Market Value: -- -- -- 259,593 --
........................................................................................................................
Putnam VT Voyager Fund
Shares 36,930
Cost $1,291,283
........................................................................................................................
Market Value: -- -- -- -- 1,443,206
........................................................................................................................
Due From ITT Hartford Life &
Annuity Insurance Company -- 34 41,064 10 --
........................................................................................................................
Receivable from fund
shares sold -- 2 -- -- 500
- ------------------------------------------------------------------------------------------------------------------------
Total Assets 127,226 1,145,955 1,234,124 259,603 1,443,706
- ------------------------------------------------------------------------------------------------------------------------
Liabilities
Due To ITT Hartford Life &
Annuity Insurance Company 1 -- -- -- 287
........................................................................................................................
Payable for fund
shares purchased -- -- 41,060 -- --
........................................................................................................................
Total Liabilities 1 -- 41,060 -- 287
- ------------------------------------------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $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>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- ITT HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Assets & Liabilities (continued)
- --------------------------------------------------------------------------------------------------------------------------
For the year ended Units Unit Contract
December 31, 1997 Owned by Price Liability
Participants
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Variable life contracts
Individual Sub-Accounts:
..........................................................................................................................
Diversified Income Fund Sub-Account 3,289 $12.954542 $ 42,610
..........................................................................................................................
Global Asset Allocation Fund Sub-Account 16,976 18.314650 310,910
..........................................................................................................................
Global Growth Fund Sub-Account 89,968 18.175599 1,635,220
..........................................................................................................................
Growth and Income Fund Sub-Account 63,251 22.109731 1,398,467
..........................................................................................................................
High Yield Fund Sub-Account 17,205 16.545266 284,669
..........................................................................................................................
Money Market Fund Sub-Account 103,320 1.231375 127,225
..........................................................................................................................
New Opportunities Fund Sub-Account 62,672 18.284859 1,145,955
..........................................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 87,822 13.584990 1,193,064
..........................................................................................................................
Utilities Growth and Income Fund Sub-Account 13,788 18.827631 259,603
..........................................................................................................................
Voyager Fund Sub-Account 62,251 23.187025 1,443,419
- --------------------------------------------------------------------------------------------------------------------------
Grand Total: $7,841,142
- --------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- ITT HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Operations
- ----------------------------------------------------------------------------------------------------------------------------------
For the 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>
Investment Income:
Dividends $ 99 $ 780 $ 7,355 $ 2,061 $ 1,448
..................................................................................................................................
Capital gains income 16 1,333 7,911 5,017 168
..................................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
..................................................................................................................................
Net realized gain (loss)
on security transactions 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 gain (loss) on investments 2,100 9,339 26,565 59,429 20,532
- ----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $2,215 $11,452 $41,831 $66,507 $22,148
- ----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- ITT HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Operations (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>
Investment Income:
Dividends $1,772 $ -- $16,959 $ 165 $ 405
..................................................................................................................................
Capital gains income -- -- -- 225 8,720
..................................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
..................................................................................................................................
Net realized gain (loss)
on security transactions -- (11,593) 549 65 8,423
..................................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period -- 128,498 41,518 43,867 151,950
..................................................................................................................................
Net gain (loss) on investments -- 116,905 42,067 43,932 160,373
- ----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $1,772 $116,905 $59,026 $44,322 $169,498
- ----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- ITT HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- ----------------------------------------------------------------------------------------------------------------------------------
For the 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>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- ITT 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>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- ITT HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- ----------------------------------------------------------------------------------------------------------------------------------
For the period from Diversified Global Asset Global Growth High Yield
inception October 3, 1996 Income Allocation Growth and Income Fund
to December 31, 1996 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) $ -- $ -- $ -- $ -- $ --
..................................................................................................................................
Capital gains income -- -- -- -- --
..................................................................................................................................
Net realized gain(loss)
on security transactions -- -- -- -- --
..................................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 30 48 53 34 25
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 30 48 53 34 25
..................................................................................................................................
Unit transactions:
Purchases 1,000 1,000 1,000 1,000 1,000
..................................................................................................................................
Net transfers -- 46 562 3,515 --
..................................................................................................................................
Surrenders -- -- -- (12) --
..................................................................................................................................
Net loan activity -- -- -- -- --
..................................................................................................................................
Cost of insurance -- -- -- (17) --
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 1,000 1,046 1,562 4,486 1,000
..................................................................................................................................
Total increase (decrease)
in net assets 1,030 1,094 1,615 4,520 1,025
..................................................................................................................................
Net Assets
Beginning of period -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
End of Period $1,030 $1,094 $1,615 $4,520 $1,025
- ----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- ITT HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------------------------
For the period from Money New U.S. Government Utilities Voyager
inception October 3, 1996 Market Opportunities and High Growth Fund
to December 31, 1996 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) $ 12 $ -- $ -- $ -- $ --
..................................................................................................................................
Capital gains income -- -- -- -- --
..................................................................................................................................
Net realized gain(loss)
on security transactions -- -- -- -- --
..................................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period -- (62) 11 73 (28)
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 12 (62) 11 73 (28)
..................................................................................................................................
Unit transactions:
Purchases 1,000 1,000 1,000 1,000 1,000
..................................................................................................................................
Net transfers -- 57 3,320 -- 1,375
..................................................................................................................................
Surrenders -- -- -- -- --
..................................................................................................................................
Net loan activity -- -- -- -- --
..................................................................................................................................
Cost of insurance -- -- -- -- --
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 1,000 1,057 4,320 1,000 2,375
..................................................................................................................................
Total increase (decrease)
in net assets 1,012 995 4,331 1,073 2,347
..................................................................................................................................
Net Assets
Beginning of period -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
End of Period $1,012 $ 995 $4,331 $1,073 $2,347
- ----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE --
ITT HARTFORD LIFE AND ANNUITY INSURANCE
Notes to Financial Statements
December 31, 1997
1. ORGANIZATION:
Separate Account Variable Life One (the Account) is a separate
investment account within ITT Hartford Life and Annuity Insurance
Company (the Company) and is registered with the Securities and Exchange
Commission (SEC) as a unit investment trust under the Investment Company
Act of 1940, as amended. The Account consists of twenty two sub-
accounts. These financial statements include ten sub-accounts which
invest solely in the Putnam VT 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 Funds as
directed by the contract-holders.
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 December 31, 1997.
C) Federal Income Taxes -- The operations of the Account form a part of,
and are taxed with, the total operations of the Company, which is taxed
as an insurance company under the Internal Revenue Code. Under current
law, no federal income taxes are payable with respect to the operations
of the Account.
D) Use of Estimates -- The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND CHARGES:
In accordance with the terms of the contracts, the Company makes
deductions for mortality and expense undertakings, cost of insurance,
administrative fees, and state premium taxes. These charges are deducted
through termination of units of interest from applicable contract
owners' accounts, in accordance with the terms of the contracts.
Report of Independent Public Accountants
To ITT Hartford Life and Annuity Insurance Company Putnam Capital
Manager Trust Separate Account Variable Life Two and to the Owners of
Units of Interest therein:
We have audited the accompanying statement of assets and liabilities of
Diversified Income Fund Sub-Account, Global Asset Allocation Fund Sub-
Account, Global Growth Fund Sub-Account, Growth and Income Fund Sub-
Account, High Yield Fund Sub-Account, Money Market Fund Sub-Account, New
Opportunities Fund Sub-Account, U.S. Government and High Quality Bond
Fund Sub-Account, Utilities Growth and Income Fund Sub-Account and
Voyager Fund Sub-Account (constituting ITT Hartford Life and Annuity
Insurance Company Putnam Capital Manager Trust Separate Account Variable
Life Two) (the Account) as of December 31, 1997, and the related
statements of operations and changes in net assets for the year ended
December 31, 1997 and the period from inception, October 3, 1996, to
December 31, 1996. These financial statements are the responsibility of
the Account's management. Our responsibility is to express an opinion
on these financial statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit
to obtain reasonable assurance about whether the financial statements
are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the
financial statements. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe
that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present
fairly, in all material respects, the financial position of Diversified
Income Fund Sub-Account, Global Asset Allocation Fund Sub-Account,
Global Growth Fund Sub-Account, Growth and Income Fund Sub-Account, High
Yield Fund Sub-Account, Money Market Fund Sub-Account, New Opportunities
Fund Sub-Account, U.S. Government and High Quality Bond Fund Sub-
Account, Utilities Growth and Income Fund Sub-Account and Voyager Fund
Sub-Account (constituting ITT Hartford Life and Annuity Insurance
Company Putnam Capital Manager Trust Separate Account Variable Life Two)
as of December 31, 1997, the results of its operations and the changes
in its net assets for the year ended December 31, 1997 and the period
from inception, October 3, 1996, to December 31, 1996, in conformity
with generally accepted accounting principles.
ARTHUR ANDERSEN LLP
Hartford, Connecticut
February 16, 1998
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- ITT HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Assets and Liabilities
- ------------------------------------------------------------------------------------------------------------------------
December 31, 1997 Diversified Global Asset Global Growth High Yield
Income Allocation Growth and Income Fund
Fund Fund Fund Fund Sub-Account
Sub-Account Sub-Account Sub-Account Sub-Account
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Assets
Investments:
........................................................................................................................
Putnam VT Diversified
Income Fund
Shares 7,515
Cost $84,758
........................................................................................................................
Market Value: $84,995 $ -- $ -- $ -- $ --
........................................................................................................................
Putnam VT Global
Asset Allocation Fund
Shares 2,068
Cost $37,404
........................................................................................................................
Market Value: -- 38,799 -- -- --
........................................................................................................................
Putnam VT Global
Growth Fund
Shares 16,488
Cost $303,958
........................................................................................................................
Market Value: -- -- 302,389 -- --
........................................................................................................................
Putnam VT Growth and
Income Fund
Shares 5,487
Cost $147,425
........................................................................................................................
Market Value: -- -- -- 155,390 --
........................................................................................................................
Putnam VT High Yield Fund
Shares 3,451
Cost $46,220
........................................................................................................................
Market Value: -- -- -- -- 47,002
........................................................................................................................
Due From ITT Hartford Life &
Annuity Insurance Company -- 9 16,628 -- --
........................................................................................................................
Receivable from fund
shares sold -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------
Total Assets 84,995 38,808 319,017 155,390 47,002
- ------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to ITT Hartford Life &
Annuity Insurance Company -- -- -- 3 --
........................................................................................................................
Payable for fund
shares purchased -- -- 16,673 -- --
........................................................................................................................
Total Liabilities -- -- 16,673 3 --
- ------------------------------------------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $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 -- ITT HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Assets and Liabilities (continued)
- ------------------------------------------------------------------------------------------------------------------------
December 31, 1997 Money Market New U.S.Government Utilities Growth Voyager
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 8,329
Cost $8,329
........................................................................................................................
Market Value: $8,329 $ -- $ -- $ -- $ --
........................................................................................................................
Putnam VT New
Opportunities Fund
Shares 8,115
Cost $168,253
........................................................................................................................
Market Value: -- 172,278 -- -- --
........................................................................................................................
Putnam VT U.S. Government
and High Quality Bond Fund
Shares 16,624
Cost $219,484
........................................................................................................................
Market Value: -- -- 223,091 -- --
........................................................................................................................
Putnam VT Utilities
Growth and Income Fund
Shares 1,507
Cost $21,952
........................................................................................................................
Market Value: -- -- -- 25,830 --
........................................................................................................................
Putnam VT Voyager Fund
Shares 2,790
Cost $100,737
........................................................................................................................
Market Value: -- -- -- -- 109,033
........................................................................................................................
Due From ITT Hartford Life &
Annuity Insurance Company -- -- 22,231 1 --
........................................................................................................................
Receivable from fund
shares sold 1 -- -- -- 10,359
- ------------------------------------------------------------------------------------------------------------------------
Total Assets 8,330 172,278 245,322 25,831 119,392
- ------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to ITT Hartford Life &
Annuity Insurance Company -- 9 -- -- 10,518
........................................................................................................................
Payable for fund
shares purchased -- -- 22,231 -- --
........................................................................................................................
Total Liabilities -- 9 22,231 -- 10,518
- ------------------------------------------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $8,330 $172,269 $223,091 $25,831 $108,874
- ------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- ITT HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Assets and Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------------------------
December 31, 1997 Units Unit Contract
Owned by Price Liability
Participants
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Variable life contracts
Individual Sub-Accounts:
.............................................................................................................................
Diversified Income Fund Sub-Account 6,561 $12.954542 $ 84,995
.............................................................................................................................
Global Asset Allocation Fund Sub-Account 2,119 18.314650 38,808
.............................................................................................................................
Global Growth Fund Sub-Account 16,635 18.175599 302,344
.............................................................................................................................
Growth and Income Fund Sub-Account 7,028 22.109731 155,387
.............................................................................................................................
High Yield Fund Sub-Account 2,841 16.545266 47,002
.............................................................................................................................
Money Market Fund Sub-Account 6,765 1.231375 8,330
.............................................................................................................................
New Opportunities Fund Sub-Account 9,421 18.284859 172,269
.............................................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 16,422 13.584990 223,091
.............................................................................................................................
Utilities Growth and Income Fund Sub-Account 1,372 18.827631 25,831
.............................................................................................................................
Voyager Fund Sub-Account 4,695 23.187025 108,874
- -----------------------------------------------------------------------------------------------------------------------------
Grand Total: $1,166,931
- -----------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- ITT HARTFORD LIFE AND ANNUITY INSURANCE COMPAMY
<CAPTION>
Statement of Operations
- ----------------------------------------------------------------------------------------------------------------------------------
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>
Investment income:
Dividends $ 57 $ 88 $420 $ 622 $154
..................................................................................................................................
Capital gains income 9 150 452 1,514 18
..................................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
..................................................................................................................................
Net realized gain (loss)
on security transactions 3 109 1,118 314 5
..................................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 207 1,348 (1,615) 7,951 757
..................................................................................................................................
Net gain (loss) on investments 210 1,457 (497) 8,265 762
- ----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $276 $1,695 $375 $10,401 $934
- ----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- ITT HARTFORD LIFE AND ANNUITY INSURANCE COMPAMY
<CAPTION>
Statement of Operations
- ----------------------------------------------------------------------------------------------------------------------------------
For the year ended Money Market New U.S.Government Utilities Growth Voyager
December 31, 1997 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>
Investment income:
Dividends $424 $ -- $ 756 $ 40 $ 16
..................................................................................................................................
Capital gains income -- -- -- 54 355
..................................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
..................................................................................................................................
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 gain (loss) on investments -- 2,183 3,965 3,830 11,393
- ----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $424 $2,183 $4,721 $3,924 $11,764
- ----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- ITT HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- ----------------------------------------------------------------------------------------------------------------------------------
For the 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 -- ITT 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 $ 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>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- ITT HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- ----------------------------------------------------------------------------------------------------------------------------------
For the period from Diversified Global Asset Global Growth High Yield
inception, October 3, 1996 Income Allocation Growth and Income Fund
to December 31, 1996 Fund Fund Fund Fund Sub-Account
Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Operations:
Net investment income $ -- $ -- $ -- $ -- $ --
..................................................................................................................................
Capital gains income -- -- -- -- --
..................................................................................................................................
Net realized gain (loss)
on security transactions -- -- -- -- --
..................................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 30 47 46 14 25
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 30 47 46 14 25
..................................................................................................................................
Unit Transactions:
Purchases 1,000 1,000 1,000 1,000 1,000
..................................................................................................................................
Net transfers -- -- -- 25,473 --
..................................................................................................................................
Surrenders -- -- -- -- --
..................................................................................................................................
Cost of insurance -- -- -- -- --
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 1,000 1,000 1,000 26,473 1,000
..................................................................................................................................
Total increase (decrease)
in net assets 1,030 1,047 1,046 26,487 1,025
..................................................................................................................................
Net Assets
Beginning of period -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
End of period $1,030 $1,047 $1,046 $26,487 $1,025
- ----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- ITT HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------------------------
For the period from Money New U.S.Government Utilities Voyager
inception, October 3, 1996 Market Opportunities and High Growth Fund
to December 31, 1996 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 $ 12 $ -- $ -- $ -- $ --
..................................................................................................................................
Capital gains income -- -- -- -- --
..................................................................................................................................
Net realized gain (loss)
on security transactions -- -- -- -- --
..................................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period -- (63) 29 73 (23)
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 12 (63) 29 73 (23)
..................................................................................................................................
Unit Transactions:
Purchases 1,000 1,000 1,000 1,000 1,000
..................................................................................................................................
Net transfers -- -- -- -- --
..................................................................................................................................
Surrenders -- -- -- -- --
..................................................................................................................................
Cost of insurance -- -- -- -- --
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 1,000 1,000 1,000 1,000 1,000
..................................................................................................................................
Total increase (decrease)
in net assets 1,012 937 1,029 1,073 977
..................................................................................................................................
Net Assets
Beginning of period -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
End of period $1,012 $ 937 $1,029 $1,073 $ 977
- ----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO --
ITT HARTFORD LIFE AND ANNUITY INSURANCE
Notes to Financial Statements
December 31, 1997
1. ORGANIZATION:
Separate Account Variable Life Two (the Account) is a separate
investment account within ITT Hartford Life and Annuity Insurance
Company (the Company) and is registered with the Securities and Exchange
Commission (SEC) as a unit investment trust under the Investment Company
Act of 1940, as amended. The Account consists of twenty two sub-
accounts. These financial statements include ten sub-accounts which
invest solely in the Putnam VT 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 Funds as
directed by the contract-holders.
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 December 31, 1997.
C) Federal Income Taxes -- The operations of the Account form a part of,
and are taxed with, the total operations of the Company, which is taxed
as an insurance company under the Internal Revenue Code. Under current
law, no federal income taxes are payable with respect to the operations
of the Account.
D) Use of Estimates -- The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
In accordance with the terms of the contracts, the Company makes
deductions for mortality and expense undertakings, cost of insurance,
administrative fees, and state premium taxes. These charges are deducted
through termination of units of interest from applicable contract
owners' accounts, in accordance with the terms of the contracts.
Report of Independent Accountants
To the Trustees and Shareholders of
Putnam Variable Trust
In our opinion, the accompanying statements of assets and liabilities,
including the portfolios of investments owned, except for bond ratings
and the related statements of operations and of changes in net assets
and the financial highlights present fairly, in all material respects,
the financial position of each of the sixteen funds constituting Putnam
Variable Trust (the "Trust"), at December 31, 1997, and the results of
each of their operations, the changes in each of their net assets and
the financial highlights for the periods indicated, in conformity with
generally accepted accounting principles. These financial statements and
financial highlights (hereafter referred to as "financial statements")
are the responsibility of the Trust's management; our responsibility is
to express an opinion on these financial statements based on our audits.
We conducted our audits of these financial statements in accordance with
generally accepted auditing standards which require that we plan and
perform the audit to obtain reasonable assurance about whether the
financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting
principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of investments owned at December
31, 1997 by correspondence with the custodian and the application of
alternative auditing procedures where investments purchased were not yet
received by the custodian, provide a reasonable basis for the opinion
expressed above.
Price Waterhouse LLP
Boston, Massachusetts
February 13, 1998
<TABLE>
Putnam VT Asia Pacific Growth Fund
Portfolio of investments owned
December 31, 1997
<CAPTION>
COMMON STOCKS (88.0%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Australia (15.8%)
....................................................................................................
204,197 Commonwealth Bank of Australia $2,339,608
....................................................................................................
100,000 CRA Ltd. 1,165,485
....................................................................................................
292,000 CSL Ltd. 1,824,883
....................................................................................................
1,300,328 Goodman Fielder Ltd. 2,065,493
....................................................................................................
110,000 Lend Lease Corp. Ltd. 2,148,300
....................................................................................................
560,838 QBE Insurance Group Ltd. 2,521,784
....................................................................................................
247,400 Westpac Banking Corp. 1,580,939
....................................................................................................
253,000 Woodside Petroleum Ltd. 1,782,086
....................................................................................................
711,000 Woolworth Co. (NON) 2,374,477
- ----------------------------------------------------------------------------------------------------
17,803,055
- ----------------------------------------------------------------------------------------------------
Hong Kong (17.4%)
....................................................................................................
1,540,000 Amoy Properties Ltd. 1,351,784
....................................................................................................
294,000 Cheung Kong Holdings Ltd. 1,926,021
....................................................................................................
1,310,000 Dairy Farm International Holdings Ltd. 1,414,800
....................................................................................................
300,000 Dao Heng Bank Group Ltd. 749,342
....................................................................................................
290,000 Guoco Group Ltd. 709,390
....................................................................................................
1,630,000 Hong Kong and China Gas Co. Ltd. 3,156,142
....................................................................................................
642,000 Hong Kong Electric Holdings Ltd. 2,440,608
....................................................................................................
552,000 Hong Kong Telecommunications Ltd. 1,136,521
....................................................................................................
184,000 Hutchison Whampoa, Ltd. 1,154,335
....................................................................................................
348,000 Johnson Electric Holdings Ltd. 1,001,756
....................................................................................................
646,000 Li & Fung Ltd. 904,774
....................................................................................................
1,555,000 South China Morning Post Ltd. 1,093,968
....................................................................................................
248,000 Sun Hung Kai Properties Ltd. 1,728,714
....................................................................................................
542,000 Varitronix International Ltd. 930,526
- ----------------------------------------------------------------------------------------------------
19,698,681
- ----------------------------------------------------------------------------------------------------
India (0.5%)
....................................................................................................
33,600 Mahanagar Telephone Nigam Ltd. GDR 519,120
- ----------------------------------------------------------------------------------------------------
Indonesia (0.1%)
....................................................................................................
100,000 PT Telekomunikasi Indonesia ADR 54,168
- ----------------------------------------------------------------------------------------------------
Japan (33.6%)
....................................................................................................
80,000 Bridgestone Corp. 1,736,862
....................................................................................................
92,000 Canon, Inc. 2,145,607
....................................................................................................
148,000 Dai Nippon Printing Co., Ltd. 2,781,740
....................................................................................................
80,000 Fuji Photo Film Co. 3,068,660
....................................................................................................
37,000 Hirose Electric Co. Ltd. 1,893,287
....................................................................................................
45,000 Ito-Yokado Co., Ltd. 2,295,741
....................................................................................................
221,000 KAO Corp. 3,187,417
....................................................................................................
15,500 Keyence Corp 2,294,974
....................................................................................................
37,000 Murata Manufacturing Co. 931,031
....................................................................................................
294,000 Nikko Securities Co. Ltd. 780,391
....................................................................................................
86,000 Omron Corp. 1,345,914
....................................................................................................
92,000 Onward Kashiyama Co. Ltd. 1,065,746
....................................................................................................
25,850 Promise Co. Ltd. 1,433,003
....................................................................................................
76,000 Ricoh Co. Ltd. 944,534
....................................................................................................
17,000 Rohm Co. Ltd. 1,734,560
....................................................................................................
69,000 Sankyo Co., Ltd. 1,561,564
....................................................................................................
25,000 Secom Co. 1,599,539
....................................................................................................
43,000 Sony Corp. 3,826,619
....................................................................................................
45,000 Taisho Pharmaceutical Co. 1,149,597
....................................................................................................
31,000 Tokyo Electron Ltd. 994,092
....................................................................................................
56,000 Yamanouchi Pharmaceutical Co., Ltd. 1,202,915
- ----------------------------------------------------------------------------------------------------
37,973,793
- ----------------------------------------------------------------------------------------------------
Malaysia (1.5%)
....................................................................................................
209,000 Berjaya Sports Toto Berhad 535,139
....................................................................................................
190,000 Carlsberg Brewery of Malaysia Berhad 611,168
....................................................................................................
249,813 Malaysian Assurance Alliance Berhad,
Class A (NON) 286,710
....................................................................................................
104,000 Malyasian Pacific Industries Berhad 250,232
- ----------------------------------------------------------------------------------------------------
1,683,249
- ----------------------------------------------------------------------------------------------------
New Zealand (2.4%)
....................................................................................................
548,000 Telecom Corp. of New Zealand Ltd. 2,653,964
- ----------------------------------------------------------------------------------------------------
Philippines (0.5%)
....................................................................................................
1,800,000 International Container
Terminal Services, Inc. 225,000
....................................................................................................
16,500 Philippine Long Distance Telephone Co. 363,000
- ----------------------------------------------------------------------------------------------------
588,000
- ----------------------------------------------------------------------------------------------------
Singapore (9.4%)
....................................................................................................
410,000 Clipsal Industries Ltd. 524,800
....................................................................................................
600,000 Courts Ltd. 178,465
....................................................................................................
700,000 DBS Land Ltd. 1,074,361
....................................................................................................
130,000 Development & Commercial Bank 1,113,623
....................................................................................................
15,000 Elec & Eltek International Co. 68,700
....................................................................................................
516,000 GP Batteries International Ltd. 1,344,485
....................................................................................................
769,200 Overseas Union Bank Ltd. 2,951,422
....................................................................................................
270,000 United Overseas Bank Ltd. (NON) 1,501,785
....................................................................................................
657,500 Venture Manufacturing Ltd. 1,838,340
- ----------------------------------------------------------------------------------------------------
10,595,981
- ----------------------------------------------------------------------------------------------------
South Korea (0.3%)
....................................................................................................
41,000 Korea Electric Power Corp. 379,764
- ----------------------------------------------------------------------------------------------------
United Kingdom (3.3%)
....................................................................................................
150,555 HSBC Holdings PLC 3,711,985
- ----------------------------------------------------------------------------------------------------
United States (3.2%)
....................................................................................................
71,750 AFLAC Inc. 3,668,219
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $102,340,974) $99,329,979
- ----------------------------------------------------------------------------------------------------
INVESTMENT COMPANIES (2.4%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
47,000 JF Philippine Fund, Inc. (Philippines) $ 334,875
....................................................................................................
110,000 ROC Taiwan Fund 893,750
....................................................................................................
86,600 Taiwan Fund, Inc. (Taiwan) 1,428,900
- ----------------------------------------------------------------------------------------------------
Total Investment Companies
(cost $4,030,921) $ 2,657,525
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (9.1%) * (cost $10,258,852)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$10,257,000 Interest in $509,463,000 joint repurchase
agreement dated December 31, 1997
with SBC Warburg due January 2, 1998
with respect to various U.S. Treasury
obligations - maturity value of
$10,260,704 for an effective yield
of 6.50% $ 10,258,852
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $116,630,747) *** $112,246,356
- ----------------------------------------------------------------------------------------------------
The fund had the following industry group concentrations greater than 10% at December 31,
1997 (as a percentage of market value):
Insurance and Finance 22.7%
Electronics and Electrical Equipment 14.4
Forward Currency Contracts to Sell at December 31, 1997
(aggregate face value $36,299,007)
- ----------------------------------------------------------------------------------------------------
Market Aggregate Delivery Unrealized
Value Face Value Date Appreciation
....................................................................................................
Australian Dollars $13,195,743 $14,001,687 1/29/98 $ 805,944
Japanese Yen 21,721,778 22,297,320 6/12/98 575,542
- ----------------------------------------------------------------------------------------------------
$1,381,486
- ----------------------------------------------------------------------------------------------------
See page 191 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT Diversified Income Fund
Portfolio of investments owned
December 31, 1997
<CAPTION>
CORPORATE BONDS AND NOTES (32.8%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
<S> <C> <C> <C> <C>
Advertising (0.3%)
....................................................................................................
$350,000 Lamar Advertising Co. sr. sub.
notes 9 5/8s, 2006 $374,500
....................................................................................................
720,000 Lamar Advertising Co. company
guaranty 8 5/8s, 2007 737,100
....................................................................................................
150,000 Outdoor Comunications Inc. sr. sub.
notes 9 1/4s, 2007 153,375
....................................................................................................
460,000 Universal Outdoor, Inc. sr. sub.
notes 9 3/4s, 2006 516,350
- ----------------------------------------------------------------------------------------------------
1,781,325
- ----------------------------------------------------------------------------------------------------
Aerospace and Defense (0.5%)
....................................................................................................
700,000 Alliant Techsystems, Inc. sr. sub.
notes 11 3/4s, 2003 766,500
....................................................................................................
1,000,000 BE Aerospace sr. notes 9 3/4s, 2003 1,050,000
....................................................................................................
75,000 BE Aerospace sr. sub. notes Ser. B,
9 7/8s, 2006 79,125
....................................................................................................
255,000 K & F Industries, Inc.144A sr. sub.
notes 9 1/4s, 2007 261,375
....................................................................................................
400,000 Sequa Corp. sr. sub. notes 9 3/8s, 2003 416,000
....................................................................................................
285,000 Tracor, Inc. sr. sub. notes 8 1/2s, 2007 287,850
....................................................................................................
275,000 United Defense Industries Inc. 144A
sr. sub. notes 8 3/4s, 2007 276,719
- ----------------------------------------------------------------------------------------------------
3,137,569
- ----------------------------------------------------------------------------------------------------
Agriculture (0.3%)
....................................................................................................
1,750,000 PMI Holdings Corp. sub. disc. deb.
stepped-coupon Ser. B, zero %
(11 1/2s, 9/1/00), 2005 (STP) 1,410,938
....................................................................................................
336,790 Premium Standard Farms, Inc.
sr. secd. notes 11s, 2003 (PIK) 370,469
- ----------------------------------------------------------------------------------------------------
1,781,407
- ----------------------------------------------------------------------------------------------------
Airlines (0.1%)
....................................................................................................
315,000 Trans World Airlines 144A sr. notes
11 1/2s, 2004 316,575
- ----------------------------------------------------------------------------------------------------
Apparel (0.2%)
....................................................................................................
135,000 GFSI, Inc. sr. sub. notes Ser. B, 9 5/8s, 2007 139,050
....................................................................................................
580,000 Sassco Fashions Ltd. sr. notes 12 3/4s, 2004 614,075
....................................................................................................
265,000 William Carter Co. 144A sr. sub.
notes 12s, 2008 283,550
- ----------------------------------------------------------------------------------------------------
1,036,675
- ----------------------------------------------------------------------------------------------------
Automotive Parts (0.3%)
....................................................................................................
540,000 Cambridge Industries Inc. 144A sr. sub.
notes 10 1/4s, 2007 561,600
....................................................................................................
210,000 Delco Remy International, Inc. 144A
sr. notes 8 5/8s, 2007 212,887
....................................................................................................
225,000 Hayes Wheels International, Inc.
company guaranty Ser. B, 9 1/8s, 2007 232,594
....................................................................................................
590,000 Lear Corp. sub. notes 9 1/2s, 2006 649,000
- ----------------------------------------------------------------------------------------------------
1,656,081
- ----------------------------------------------------------------------------------------------------
Banks (1.0%)
....................................................................................................
695,000 Chevy Chase Savings Bank Inc. sub. deb.
9 1/4s, 2005 715,850
....................................................................................................
290,000 Delta Financial Corp. sr. notes 9 1/2s, 2004 287,825
....................................................................................................
460,000 Dime Capital Trust I bank guaranty
Ser. A, 9.33s, 2027 520,334
....................................................................................................
410,000 Espirto Santo Centrais 144A sr. notes
10s, 2007 (Luxembourg) 393,600
....................................................................................................
250,000 First Nationwide Holdings sr. sub. notes
10 5/8s, 2003 279,375
....................................................................................................
600,000 Greenpoint Capital Trust I
company guaranty 9.1s, 2027 668,568
....................................................................................................
500,000 Korea Development Bank bonds
7 1/8s, 2001 (Korea) 424,000
....................................................................................................
250,000 North Fork Capital Trust I
company guaranty 8.7s, 2026 272,578
....................................................................................................
260,000 Ocwen Federal Bank FSB sub. deb.
12s, 2005 287,950
....................................................................................................
155,000 Ocwen Financial Corp. notes
11 7/8s, 2003 173,988
....................................................................................................
140,000 Onbank & Trust Co. company guaranty
9 1/4s, 2027 160,475
....................................................................................................
300,000 Peoples Heritage Capital Trust
company guaranty Ser. B, 9.06s, 2027 330,321
....................................................................................................
610,000 Polytama International notes 11 1/4s, 2007 457,500
....................................................................................................
270,000 Provident Capital Trust company guaranty
8.6s, 2026 285,852
....................................................................................................
160,000 Riggs Capital Trust 144A bonds
8 5/8s, 2026 169,774
....................................................................................................
245,000 Sovereign Capital Trust company guaranty
9s, 2027 266,190
....................................................................................................
220,000 Webster Capital Trust I 144A bonds
9.36s, 2027 249,704
- ----------------------------------------------------------------------------------------------------
5,943,884
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (0.4%)
....................................................................................................
260,000 Intertek Finance PLC 144A sr. sub.
notes 10 1/4s, 2006 273,000
....................................................................................................
240,000 Koppers Industries, Inc. 144A sr. sub.
notes 9 7/8s, 2007 247,200
....................................................................................................
115,000 Roller Bearing Co. 144A sr. sub.
notes 9 5/8s, 2007 115,863
....................................................................................................
1,333,000 Terex Corp. sr. notes Ser. B, 13 1/4s, 2002 1,506,290
- ----------------------------------------------------------------------------------------------------
2,142,353
- ----------------------------------------------------------------------------------------------------
Broadcasting (2.1%)
....................................................................................................
420,000 Acme Television/Finance 144A sr. disc.
notes stepped-coupon zero %
(10 7/8s, 9/30/00), 2004 (STP) 309,225
....................................................................................................
1,000,000 Affinity Group Holdings sr. sub.
notes 11 1/2s, 2003 1,073,750
....................................................................................................
440,000 Affinity Group Holdings sr. notes
11s, 2007 468,600
....................................................................................................
700,000 Argyle Television Corp. sr. sub.
notes 9 3/4s, 2005 784,000
....................................................................................................
750,000 Australias Holdngs PTY Ltd. sr. disc,
notes stepped-coupon zero %
(15s, 11/01/00), 2002 (Australia) (STP) 401,250
....................................................................................................
200,000 Azteca Holdings 144A sr. notes 11s, 2002 206,000
....................................................................................................
1,500,000 Benedek Communications Corp. sr. disc.
notes stepped-coupon zero %
(13 1/4s, 5/15/01), 2006 (STP) 1,125,000
....................................................................................................
820,000 Capstar Broadcasting sr. disc. notes
stepped-coupon zero %
(12 3/4s, 2/1/02), 2009 (STP) 582,200
....................................................................................................
355,000 Capstar Broadcasting sr. sub.
notes 9 1/4s, 2007 356,775
....................................................................................................
190,000 Central European Media Enterprises Ltd.
sr. notes 9 3/8s, 2004 (Bermuda) 188,100
....................................................................................................
320,000 Citadel Broadcasting Co. 144A sr. notes
10 1/4s, 2007 346,400
....................................................................................................
28,290 Citadel Broadcasting Co. 144A sr. sub
notes 10 1/4s, 2007 30,624
....................................................................................................
825,000 Commodore Media, Inc. sr. sub. notes
stepped-coupon zero %,
(7 1/2s, 5/1/98), 2003 (STP) 924,000
....................................................................................................
1,130,000 Fox/Liberty Networks LLC 144A
sr. notes 8 7/8s, 2007 1,127,175
....................................................................................................
500,000 Granite Broadcasting Corp. sr. sub.
notes 9 3/8s, 2005 506,250
....................................................................................................
1,250,000 Heritage Media Services Corp. sr. sub.
notes 8 3/4s, 2006 1,329,688
....................................................................................................
1,000,000 Pegasus Media & Communications notes
Ser. B, 12 1/2s, 2005 1,140,000
....................................................................................................
110,000 Pegasus Communications Corp. 144A
sr. notes 9 5/8s, 2005 112,200
....................................................................................................
1,227,000 Petracom Holdings, Inc. notes
17 1/2s, 2003 1,177,920
....................................................................................................
445,000 Radio One Inc. company guaranty
stepped-coupon Ser. B, 7s,
(12s, 5/15/00), 2004 (STP) 440,550
....................................................................................................
145,000 TV Azteca S.A. de C.V. sr. notes
10 1/2s, 2007 (Mexico) 149,350
- ----------------------------------------------------------------------------------------------------
12,779,057
- ----------------------------------------------------------------------------------------------------
Building Products (0.2%)
....................................................................................................
170,000 Atrium Companies Inc. sub. notes
10 1/2s, 2006 178,500
....................................................................................................
500,000 Cemex S.A. 144A bonds
12 3/4s, 2006 (Mexico) 598,750
....................................................................................................
400,000 Waxman Industries Inc. sr. notes
stepped-coupon Ser. B, zero %
(12 3/4s, 6/1/99), 2004 (STP) 354,000
- ----------------------------------------------------------------------------------------------------
1,131,250
- ----------------------------------------------------------------------------------------------------
Building and Construction (0.2%)
....................................................................................................
240,000 American Architectural Products Corp.
144A sr. notes 11 3/4s, 2007 242,400
....................................................................................................
135,000 Cia Latino Americana 144A
company guaranty 11 1/8s,
2004 (Argentina) 136,350
....................................................................................................
600,000 GS Superhighway Holdings 144A
sr. notes 10 1/4s, 2007 (China) 583,500
....................................................................................................
310,000 Presley Cos. sr. notes 12 1/2s, 2001 297,600
- ----------------------------------------------------------------------------------------------------
1,259,850
- ----------------------------------------------------------------------------------------------------
Buses (0.2%)
....................................................................................................
1,475,000 Consorcio/MCII Holdings sec. notes
stepped-coupon zero %
(12s, 11/15/98), 2002 (STP) 1,349,625
- ----------------------------------------------------------------------------------------------------
Business Equipment (0.2%)
....................................................................................................
1,035,000 Axiohm Transactions Solutions 144A
sr. sub. notes 9 3/4s, 2007 1,050,525
- ----------------------------------------------------------------------------------------------------
Business Services (0.2%)
....................................................................................................
250,000 Corporate Express, Inc. sr. sub. notes
Ser. B, 9 1/8s, 2004 257,500
....................................................................................................
490,000 Iron Mountain, Inc. 144A sr. sub.
notes 8 3/4s, 2009 502,250
....................................................................................................
175,000 Outsourcing Solutions, Inc. sr. sub.
notes Ser. B, 11s, 2006 193,375
- ----------------------------------------------------------------------------------------------------
953,125
- ----------------------------------------------------------------------------------------------------
Cable Television (2.2%)
....................................................................................................
1,321,063 Adelphia Communications Corp.
sr. notes 9 1/2s, 2004 (PIK) 1,354,090
....................................................................................................
1,110,000 Adelphia Communications Corp.
sr. notes Ser. B, 9 7/8s, 2007 1,168,275
....................................................................................................
300,000 Comcast Corp. sr. sub. 9 1/8s, 2006 324,000
....................................................................................................
1,000,000 Comcast UK Cable, Ltd. deb.
stepped-coupon zero %
(11.2s, 11/15/00), 2007 (Bermuda) (STP) 812,500
....................................................................................................
1,100,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(11 3/4s, 12/15/00), 2005
(United Kingdom) (STP) 855,250
....................................................................................................
1,580,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(10 3/4s, 2/15/02), 2007
(United Kingdom) (STP) 1,094,150
....................................................................................................
1,055,000 Falcon Holdings Group, Inc. sr. sub.
notes 11s, 2003 (PIK) 1,136,763
....................................................................................................
1,070,000 Fox Kids Worldwide Inc. 144A sr. disc.
notes stepped-coupon zero %
(10 1/4s, 11/1/02), 2007 (STP) 633,975
....................................................................................................
1,375,000 Fox Kids Worldwide Inc. 144A sr. notes
9 1/4s, 2007 1,333,750
....................................................................................................
185,000 FrontierVision Operating Partners LP
sr. sub. notes 11s, 2006 205,350
....................................................................................................
1,000,000 FrontierVision Holdings LP sr. disc. notes
stepped-coupon zero %
(11 7/8s, 9/15/01), 2007 (STP) 740,000
....................................................................................................
100,000 Heartland Wireless Communications, Inc.
sr. notes 13s, 2003 36,000
....................................................................................................
555,000 Heartland Wireless Communications, Inc.
sr. notes Ser. B, 14s, 2004 210,900
....................................................................................................
1,750,000 Jones Intercable, Inc. sr. sub. deb.
10 1/2s, 2008 1,898,750
....................................................................................................
500,000 Marcus Cable Co. (L.P.) sr. disc. notes
stepped-coupon zero %
(14 1/4s, 6/15/00), 2005 (STP) 432,500
....................................................................................................
760,000 Marcus Cable Co. (L.P.) sr. sub. disc.
notes stepped-coupon zero %
(13 1/2s, 8/1/99), 2004 (STP) 703,000
....................................................................................................
1,390,000 UIH Australia/Pacific, Inc. sr. disc.
notes stepped-coupon Ser. B, zero %
(14s, 5/15/01), 2006 (STP) 959,100
....................................................................................................
525,000 Wireless One, Inc. sr. notes 13s, 2003 162,750
- ----------------------------------------------------------------------------------------------------
14,061,103
- ----------------------------------------------------------------------------------------------------
Cellular Communications (1.5%)
....................................................................................................
100,000 Call-Net Enterprises sr. disc. notes
stepped-coupon zero %
(13 1/4s, 12/1/99), 2004 (STP) 90,125
....................................................................................................
1,030,000 Cencall Communications Corp. sr. disc.
notes stepped-coupon zero %
(10 1/8s, 1/15/99), 2004 (STP) 927,000
....................................................................................................
300,000 Comcast Cellular Holdings sr. notes
Ser. B, 9 1/2s, 2007 312,000
....................................................................................................
1,100,000 Comunicacion Cellular bonds
stepped-coupon zero %
(13 1/8s, 11/15/00), 2003 (Colombia) (STP) 833,250
....................................................................................................
430,000 Dobson Communications Corp. sr. notes
11 3/4s, 2007 454,725
....................................................................................................
650,000 Interact Systems, Inc. 144A units
stepped-coupon zero % (14s, 8/1/99),
2003 (STP) 247,000
....................................................................................................
1,190,000 Intercel, Inc. sr. disc. notes stepped-coupon
zero % (12s, 5/1/01), 2006 (STP) 868,700
....................................................................................................
1,100,000 International Wireless Communications, Inc.
sr. disc. notes zero %, 2001 550,000
....................................................................................................
1,660,000 McCaw International Ltd sr. discount
notes stepped coupon zero %
(13s, 4/15/02), 2007 (STP) 962,800
....................................................................................................
1,000,000 Millicom International Cellular S.A. sr. disc.
notes stepped-coupon zero %
(13 1/2s, 6/1/01), 2006 (Luxembourg) (STP) 735,000
....................................................................................................
3,115,000 NEXTEL Communications, Inc. 144A
sr. disc. notes stepped-coupon zero %
(10.65s, 9/15/02), 2007 (STP) 1,970,237
....................................................................................................
245,000 Omnipoint Corp. sr. notes 11 5/8s, 2006 260,619
....................................................................................................
855,000 Omnipoint Corp. sr. notes Ser. A,
11 5/8s, 2006 909,506
....................................................................................................
510,000 Powertel, Inc. sr. notes 11 1/8s, 2007 555,900
- ----------------------------------------------------------------------------------------------------
9,676,862
- ----------------------------------------------------------------------------------------------------
Chemicals (0.9%)
....................................................................................................
1,150,000 Acetex Corp. sr. notes 9 3/4s, 2003
(Canada) 1,184,500
....................................................................................................
1,700,000 Harris Chemical N.A. Corp. sr. sub. notes
10 3/4s, 2003 1,819,000
....................................................................................................
530,000 Huntsman Corp. 144A sr. sub. notes
9 1/2s, 2007 556,500
....................................................................................................
550,000 Huntsman Corp. 144A sr. sub. notes
FRN 9.094s, 2007 567,875
....................................................................................................
250,000 Pharmaceutical Fine Chemicals 144A
sr. sub. notes 9 3/4s, 2007 (Switzerland) 253,750
....................................................................................................
400,000 Pioneer Americas Acquisition 144A
sr. notes 9 1/4s, 2007 402,000
....................................................................................................
420,000 Sovereign Specialty Chemical 144A
sr. sub. notes 9 1/2s, 2007 431,550
....................................................................................................
235,000 Sterling Chemicals Holdings sr. disc.
notes stepped-coupon zero %
(13 1/2s, 8/15/01), 2008 (STP) 143,350
....................................................................................................
345,000 Trikem S.A. 144A bonds 10 5/8s, 2007
(Brazil) 310,500
- ----------------------------------------------------------------------------------------------------
5,669,025
- ----------------------------------------------------------------------------------------------------
Computer Services (0.3%)
....................................................................................................
190,000 DecisionOne Corp. sr. sub. notes
9 3/4s, 2007 194,750
....................................................................................................
660,000 Unisys Corp. sr. notes 11 3/4s, 2004 755,700
....................................................................................................
1,000,000 Unisys Corp. deb. 9 3/4s, 2016 1,002,500
- ----------------------------------------------------------------------------------------------------
1,952,950
- ----------------------------------------------------------------------------------------------------
Computer Software (0.1%)
....................................................................................................
350,000 Computervision Corp. sr. sub. notes
11 3/8s, 1999 352,625
- ----------------------------------------------------------------------------------------------------
Consumer Durable Goods (0.2%)
....................................................................................................
335,000 Foamex, L.P. company guaranty
9 7/8s, 2007 343,375
....................................................................................................
80,000 Hedstrom Holdings, Inc. 144A sr. disc.
notes stepped-coupon zero %
(12s, 6/1/02), 2009 (STP) 48,000
....................................................................................................
485,000 Icon Fitness Corp. 144A sr. disc. notes
stepped-coupon Ser. B, zero %
(14s, 11/15/01), 2006 (STP) 274,025
....................................................................................................
280,000 Remington Products Co. sr. sub. notes
Ser. B, 11s, 2006 235,200
....................................................................................................
220,000 Sealy Mattress Co. 144A sr. sub. notes
9 7/8s, 2007 225,500
- ----------------------------------------------------------------------------------------------------
1,126,100
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (0.1%)
....................................................................................................
125,000 Amscan Holdings, Inc. 144A sr. sub.
notes 9 7/8s, 2007 127,813
....................................................................................................
405,000 Viasystems Inc. sr. sub notes 9 3/4s, 2007 418,163
- ----------------------------------------------------------------------------------------------------
545,976
- ----------------------------------------------------------------------------------------------------
Consumer Services (0.3%)
....................................................................................................
1,300,000 Coinmach Corp. sr. notes Ser. B,
11 3/4s, 2005 1,439,750
....................................................................................................
320,000 Coinmach Corp. 144A sr. notes
11 3/4s, 2005 355,200
- ----------------------------------------------------------------------------------------------------
1,794,950
- ----------------------------------------------------------------------------------------------------
Cosmetics (0.3%)
....................................................................................................
490,000 Carson, Inc. 144A sr. sub. notes
10 3/8s, 2007 490,000
....................................................................................................
50,000 Coty Inc. Gtd. sr. sub. notes 10 1/4s, 2005 53,125
....................................................................................................
150,000 French Fragrances, Inc. sr. notes Ser. B,
10 3/8s, 2007 157,500
....................................................................................................
1,795,000 Revlon Worldwide Corp. sr. disc. notes
Ser. B, zero %, 2001 1,252,013
- ----------------------------------------------------------------------------------------------------
1,952,638
- ----------------------------------------------------------------------------------------------------
Electric Utilities (1.2%)
....................................................................................................
425,000 AES Corp. sr. sub. notes 8 3/8s, 2007 423,938
....................................................................................................
850,000 Calpine Corp. sr. notes 10 1/2s, 2006 930,750
....................................................................................................
500,000 Calpine Corp. sr. notes 9 1/4s, 2004 512,500
....................................................................................................
380,000 CMS Energy Corp. sr. notes 8 1/8s, 2002 390,693
....................................................................................................
599,000 First PV Funding deb. 10.15s, 2016 648,400
....................................................................................................
500,000 Midland Funding Corp. deb. Ser. B,
13 1/4s, 2006 642,415
....................................................................................................
2,115,000 Midland Funding Corp. deb. Ser. A,
11 3/4s, 2005 2,540,855
....................................................................................................
1,066,024 Northeast Utilities System notes Ser. A,
8.58s, 2006 1,060,982
....................................................................................................
122,667 Northeast Utilities System notes Ser. B,
8.38s, 2005 123,223
- ----------------------------------------------------------------------------------------------------
7,273,756
- ----------------------------------------------------------------------------------------------------
Electronic Components (0.1%)
....................................................................................................
320,000 DII Group, Inc. 144A sr. sub. notes
8 1/2s, 2007 314,400
....................................................................................................
195,000 HCC Industries, Inc. company guaranty
10 3/4s, 2007 202,313
- ----------------------------------------------------------------------------------------------------
516,713
- ----------------------------------------------------------------------------------------------------
Electronics (0.6%)
....................................................................................................
220,000 Argo-Tech Corp. 144A sr. sub. notes
8 5/8s, 2007 220,000
....................................................................................................
195,000 Celestica International Ltd. 144A sr. sub.
notes 10 1/2s, 2006 (Canada) 205,725
....................................................................................................
218,907 Cirent Semiconductor sr. sub.
notes 10.22s, 2002 223,559
....................................................................................................
232,320 Cirent Semiconductor 144A sr. sub.
notes 10.14s, 2004 237,837
....................................................................................................
280,000 Details, Inc. 144A sr. sub. notes 10s, 2005 287,700
....................................................................................................
360,000 Flextronics International Ltd. 144A
sr. sub. notes 8 3/4s, 2007 359,100
....................................................................................................
2,025,000 International Semi-Tech. Corp. sr. secd.
disc. notes stepped-coupon zero %
(11 1/2s, 8/15/00), 2003 (Canada) (STP) 729,000
....................................................................................................
500,000 Moog, Inc. sr. sub. notes Ser. B, 10s, 2006 550,000
....................................................................................................
300,000 Motors and Gears, Inc. 144A sr. notes
10 3/4s, 2006 318,750
....................................................................................................
330,000 Motors and Gears, Inc. sr. notes Ser. B,
10 3/4s, 2006 349,800
....................................................................................................
160,000 Therma-Wave Inc. sr. notes Ser. B,
10 5/8s, 2004 171,200
....................................................................................................
115,000 Wavetek Corp. company guaranty
10 1/8s, 2007 118,450
- ----------------------------------------------------------------------------------------------------
3,771,121
- ----------------------------------------------------------------------------------------------------
Energy-Related (0.2%)
....................................................................................................
1,175,000 Panda Global Energy Co. company
guaranty 12 1/2s, 2004 1,081,000
- ----------------------------------------------------------------------------------------------------
....................................................................................................
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, 6/1/07), 2007 (STP) 469,125
- ----------------------------------------------------------------------------------------------------
853,250
- ----------------------------------------------------------------------------------------------------
Finance (0.1%)
....................................................................................................
350,000 Investors Capital Trust I
company guaranty Ser. B, 9.77s, 2027 381,938
- ----------------------------------------------------------------------------------------------------
Financial Services (1.0%)
....................................................................................................
415,000 Aames Financial Corp. sr. notes
9 1/8s, 2003 402,550
....................................................................................................
1,000,000 Colombia Holdings sr. notes 10s, 1999 1,010,000
....................................................................................................
165,000 Colonial Capital I 144A
company guaranty 8.92s, 2027 177,091
....................................................................................................
250,000 Dine S.A. de C.V. 144A company
guaranty 8 3/4s, 2007 (Luxembourg) 237,500
....................................................................................................
245,000 Dollar Financial Group Inc. sr. notes
Ser. A, 10 7/8s, 2006 264,600
....................................................................................................
3,615,000 Fannie Mae med. term notes Ser. E
6 3/8s, 2007 2,372,192
....................................................................................................
350,000 First Federal Financial Corp. notes
11 3/4s, 2004 378,000
....................................................................................................
300,000 Imperial Credit Capital Trust I 144A
company guaranty 10 1/4s, 2002 298,500
....................................................................................................
185,000 Imperial Credit Industries, Inc. sr. notes
9 7/8s, 2007 181,300
....................................................................................................
180,000 Netia Holdings B.V. 144A company
guaranty 10 1/4s, 2007 (Poland) 172,800
....................................................................................................
100,000 Netia Holdings B.V. 144A company
guaranty stepped-coupon zero %
(11 1/4s, 11/1/02), 2007 (Poland) (STP) 57,000
....................................................................................................
160,000 Ocwen Capital Trust I company guaranty
10 7/8s, 2027 174,400
....................................................................................................
200,000 Resource America Inc. 144A bonds
12s, 2004 204,000
- ----------------------------------------------------------------------------------------------------
5,929,933
- ----------------------------------------------------------------------------------------------------
Food Chains (0.3%)
....................................................................................................
470,000 Ameriserve Food Co. company guaranty
10 1/8s, 2007 488,800
....................................................................................................
480,000 Ameriserve Food Co. company guaranty
8 7/8s, 2006 482,400
....................................................................................................
300,000 Nebco Evans Holding Co. sr. disc.
notes stepped-coupon zero %
(12 3/8s, 7/15/02), 2007 (STP) 195,000
....................................................................................................
850,000 Southland Corp. deb. Ser. A, 4 1/2s, 2004 697,000
- ----------------------------------------------------------------------------------------------------
1,863,200
- ----------------------------------------------------------------------------------------------------
Food and Beverages (0.3%)
....................................................................................................
100,000 Aurora Foods, Inc. sr. sub. notes Ser. B,
9 7/8s, 2007 105,500
....................................................................................................
425,000 Canandaigua Wine Co. sr. sub. notes
Ser. C, 8 3/4s, 2003 429,250
....................................................................................................
500,000 Chiquita Brands sr. notes 9 5/8s, 2004 527,500
....................................................................................................
125,000 Del Monte Corp. sr. sub. notes Ser. B,
12 1/4s, 2007 140,938
....................................................................................................
230,000 Southern Foods Group 144A sr. sub.
notes 9 7/8s, 2007 240,350
....................................................................................................
80,000 Windy Hill Pet Food Co. sr. sub. notes
9 3/4s, 2007 83,200
- ----------------------------------------------------------------------------------------------------
1,526,738
- ----------------------------------------------------------------------------------------------------
Gaming (1.4%)
....................................................................................................
485,000 Argosy Gaming Co. 1st mtge. 13 1/4s, 2004 506,825
....................................................................................................
175,000 Casino America, Inc. sr. notes 12 1/2s, 2003 189,875
....................................................................................................
200,000 Casino Magic Finance Corp. 1st mtge.
11 1/2s, 2001 191,000
....................................................................................................
1,000,000 Coast Hotels & Casinos, Inc.
company guaranty Ser. B, 13s, 2002 1,130,000
....................................................................................................
793,000 Colorado Gaming & Entertainment Co.
sr. notes 12s, 2003 (PIK) 840,580
....................................................................................................
257,178 Elsinore Corp. 144A exch. 1st mortgage
11 1/2s, 2000 246,891
....................................................................................................
810,000 Fitzgeralds Gaming Corp. 144A
company guaranty 12 1/4s, 2004 810,000
....................................................................................................
500,000 Grand Casinos, Inc. 1st mtge. 10 1/8s, 2003 540,000
....................................................................................................
591,000 Grate Bay Property Funding Corp.
1st mtge. 10 7/8s, 2004 496,440
....................................................................................................
250,000 Isle of Capri Black Hawk LLC 144A
1st mortgage 13s, 2004 252,500
....................................................................................................
1,150,000 Lady Luck Gaming Corp. 1st mtge.
11 7/8s, 2001 1,167,250
....................................................................................................
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 166,400
....................................................................................................
700,000 PRT Funding Corp. sr. notes 11 5/8s, 2004 546,000
....................................................................................................
1,500,000 Trump A.C. 1st mtge. company guaranty
11 1/4s, 2006 1,481,250
....................................................................................................
108,000 Trump Castle Funding Corp. notes
11 1/2s, 2000 109,080
- ----------------------------------------------------------------------------------------------------
9,176,061
- ----------------------------------------------------------------------------------------------------
Health Care (0.8%)
....................................................................................................
505,000 Genesis Eldercare 144A sr. sub.
notes 9s, 2007 495,531
....................................................................................................
350,000 Integrated Health Services, Inc. 144A
sr. sub. notes 9 1/2s, 2007 360,500
....................................................................................................
830,000 Integrated Health Services, Inc. 144A
sr. sub. notes 9 1/4s, 2008 846,600
....................................................................................................
800,000 Merit Behavioral Care sr. sub. notes
11 1/2s, 2005 924,000
....................................................................................................
1,120,000 Paracelsus Healthcare sr. sub. notes
10s, 2006 1,142,400
....................................................................................................
605,000 Sun Healthcare Group Inc. 144A sr. sub.
notes 9 1/2s, 2007 623,150
....................................................................................................
290,000 Tenet Healthcare Corp. sr. notes 8s, 2005 295,075
- ----------------------------------------------------------------------------------------------------
4,687,256
- ----------------------------------------------------------------------------------------------------
Health Care Services (0.2%)
....................................................................................................
1,275,000 Paragon Health Networks, Inc. 144A
sr. sub. notes 9 1/2s, 2007 1,278,188
- ----------------------------------------------------------------------------------------------------
Insurance (0.2%)
....................................................................................................
1,000,000 Reliance Group Holdings, Inc. sr. sub.
deb. 9 3/4s, 2003 1,061,650
- ----------------------------------------------------------------------------------------------------
Leisure (0.1%)
....................................................................................................
1,000,000 IHF Holdings, Inc. sr. disc. notes Ser. B,
zero % (15s, 11/15/99), 2004 (STP) 870,000
- ----------------------------------------------------------------------------------------------------
Lodging (0.5%)
....................................................................................................
1,900,000 Host Marriott Travel Plaza sr. notes
Ser. B, 9 1/2s, 2005 2,023,500
....................................................................................................
600,000 John Q Hammons Hotels, Inc. 1st mtge.
8 7/8s, 2004 613,500
....................................................................................................
490,000 Prime Hospitality Corp. sub. notes
9 3/4s, 2007 524,300
- ----------------------------------------------------------------------------------------------------
3,161,300
- ----------------------------------------------------------------------------------------------------
Media (-%)
....................................................................................................
3,896 Australis Media, Ltd. sr. disc. notes
stepped-coupon zero %,
(15 3/4s 5/15/00), 2003 (Australia) (STP) 1,480
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (0.5%)
....................................................................................................
480,000 ALARIS Medical Inc. company guaranty
9 3/4s, 2006 505,200
....................................................................................................
500,000 Dade International, Inc. sr. sub. notes
Ser. B, 11 1/8s, 2006 556,250
....................................................................................................
500,000 Graphic Controls Corp. sr. sub. notes
Ser. A, 12s, 2005 557,500
....................................................................................................
600,000 Imagyn Medical Technologies
company guaranty 12 1/2s, 2004 568,500
....................................................................................................
250,000 Kinetic Concepts, Inc. 144A sr. sub.
notes 9 5/8s, 2007 255,000
....................................................................................................
545,000 Wright Medical Technology, Inc. 144A
notes Ser. C, 11 3/4s, 2000 550,450
- ----------------------------------------------------------------------------------------------------
2,992,900
- ----------------------------------------------------------------------------------------------------
Metals and Mining (0.3%)
....................................................................................................
140,000 Acindar Industria Argentina de Aceros
S.A. bonds 11 1/4s, 2004 (Argentina) 137,900
....................................................................................................
345,000 Anker Coal Group, Inc. 144A sr. notes
9 3/4s, 2007 348,450
....................................................................................................
240,000 Armco, Inc. sr. notes 9s, 2007 235,200
....................................................................................................
170,000 Bucyrus International, Inc.
company guaranty 9 3/4s, 2007 170,850
....................................................................................................
325,000 Continental Global Group sr. notes
Ser. B, 11s, 2007 346,125
....................................................................................................
300,000 Murrin Holdings 144A sr. notes
9 3/8s, 2007 (Australia) 295,500
....................................................................................................
300,000 NL Industries, Inc. sr. notes 11 3/4s, 2003 331,500
- ----------------------------------------------------------------------------------------------------
1,865,525
- ----------------------------------------------------------------------------------------------------
Motion Picture Distribution (0.2%)
....................................................................................................
545,000 AMC Entertainment, Inc. sr. sub.
notes 9 1/2s, 2009 558,625
....................................................................................................
515,000 Cinemark USA, Inc. sr. sub.
notes 9 5/8s, 2008 531,738
- ----------------------------------------------------------------------------------------------------
1,090,363
- ----------------------------------------------------------------------------------------------------
Office Equipment (-%)
....................................................................................................
266,000 United Stationer Supply, Inc. sr. sub.
notes 12 3/4s, 2005 302,575
- ----------------------------------------------------------------------------------------------------
Oil and Gas (2.0%)
....................................................................................................
250,000 Abraxas Petroleum Corp. 144A sr. notes
Ser. B, 11 1/2s, 2004 273,750
....................................................................................................
70,000 Benton Oil & Gas Co. 144A sr. notes
9 3/8s, 2007 71,750
....................................................................................................
50,000 Chesapeake Energy Corp. sr. notes
10 1/2s, 2002 53,500
....................................................................................................
320,000 Coho Energy, Inc. sr. sub. notes
8 7/8s, 2007 320,000
....................................................................................................
140,000 Dailey Petroleum Services Corp. 144A
company guaranty 9 3/4s, 2007 145,950
....................................................................................................
245,000 DI Industries Inc. sr. notes 8 7/8s, 2007 253,575
....................................................................................................
150,000 Newpark Resources, Inc. 144A sr. sub.
notes 8 5/8s, 2007 152,250
....................................................................................................
360,000 Ocean Energy, Inc. company guaranty
Ser. B, 8 7/8s, 2007 382,500
....................................................................................................
215,000 Panaco, Inc. 144A sr. notes 10 5/8s, 2004 216,075
....................................................................................................
265,000 Parker Drilling Corp. sr. notes Ser. B,
9 3/4s, 2006 284,213
....................................................................................................
580,000 Pogo Producing Co. sr. sub. notes Ser. B,
8 3/4s, 2007 594,500
....................................................................................................
240,000 Pride Petroleum Services, Inc. sr. notes
9 3/8s, 2007 258,000
....................................................................................................
205,000 Southwest Royalties, Inc. 144A
company guaranty 10 1/2s, 2004 202,950
....................................................................................................
6,500,000 Transamerican Energy 144A sr. disc.
notes stepped-coupon zero %
(13s 6/15/2000), 2002 (STP) 5,248,750
....................................................................................................
1,785,000 Transamerican Energy 144A sr. notes
11 1/2s, 2002 1,793,925
....................................................................................................
745,000 TransTexas Gas Corp. sr. sub. notes
Ser. D, 13 3/4s, 2001 834,400
....................................................................................................
500,000 Trico Marine Services, Inc.
company guaranty Ser. B, 8 1/2s, 2005 502,500
....................................................................................................
160,000 Wiser Oil Co. company guaranty
9 1/2s, 2007 158,800
....................................................................................................
200,000 XCL Ltd. 144A company guaranty
13 1/2s, 2004 218,000
- ----------------------------------------------------------------------------------------------------
11,965,388
- ----------------------------------------------------------------------------------------------------
Packaging and Containers (0.4%)
....................................................................................................
210,000 AEP Industries, Inc. 144A sr. sub.
notes 9 7/8s, 2007 215,775
....................................................................................................
390,000 Huntsman Packaging Corp. 144A sr. sub.
notes 9 1/8s, 2007 403,650
....................................................................................................
420,000 Innova S De R.L. sr. notes 12 7/8s, 2007
(Mexico) 420,000
....................................................................................................
280,000 Radnor Holdings Corp. 144A sr. notes
Ser. B, 10s, 2003 290,500
....................................................................................................
160,000 Radnor Holdings Inc. sr. notes 10s, 2003 166,400
....................................................................................................
450,000 Riverwood International Corp.
company guaranty 10 5/8s, 2007 454,500
....................................................................................................
500,000 Riverwood International Corp.
company guaranty 10 7/8s, 2008 472,500
- ----------------------------------------------------------------------------------------------------
2,423,325
- ----------------------------------------------------------------------------------------------------
Paging (0.7%)
....................................................................................................
1,400,000 Arch Communications Group sr. disc.
notes stepped-coupon zero %
(10 7/8s, 3/15/01), 2008 861,000
....................................................................................................
1,250,000 Metrocall, Inc. sr. sub. notes 10 3/8s, 2007 1,265,625
....................................................................................................
740,000 Mobile Telecommunications Tech.
sr. notes 13 1/2s, 2002 858,400
....................................................................................................
805,000 Paging Network, Inc. sr. sub.
notes 10s, 2008 837,200
....................................................................................................
215,000 Paging Network Do Brasil sr. notes
13 1/2s, 2005 (Brazil) 195,650
- ----------------------------------------------------------------------------------------------------
4,017,875
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (1.2%)
....................................................................................................
1,115,000 APP Finance II Mauritius Ltd. bonds
12s, 2049 (Indonesia) 936,600
....................................................................................................
400,000 APP International Finance Co. notes
11 3/4s, 2005 (Indonesia) 370,000
....................................................................................................
720,000 Florida Coast Paper LLC 1st mtge.
Ser. B, 12 3/4s, 2003 763,200
....................................................................................................
500,000 Indah Kiat Financial Mauritius 144A
company guaranty 10s, 2007 (Indonesia) 415,000
....................................................................................................
655,000 Pindo Deli Finance Mauritius Ltd. 144A
company guaranty 10 3/4s, 2007 (India) 560,025
....................................................................................................
1,695,000 PT Pabrik Kertas Tjiwi Kimia 144A
company guaranty 10s, 2004 (Indonesia) 1,389,900
....................................................................................................
1,500,000 Repap New Brunswick sr. notes 10 5/8s,
2005 (Canada) 1,425,000
....................................................................................................
1,560,000 Stone Container Corp. 144A
company guaranty 11 1/2s, 2006 1,599,000
- ----------------------------------------------------------------------------------------------------
7,458,725
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (0.3%)
....................................................................................................
1,500,000 ICN Pharmaceuticals, Inc. 144A
sr. notes 9 1/4s, 2005 1,582,500
- ----------------------------------------------------------------------------------------------------
Publishing (0.3%)
....................................................................................................
500,000 American Media Operation, Inc. sr. sub.
notes 11 5/8s, 2004 542,500
....................................................................................................
880,000 Garden State Newspapers 144A sr. sub.
notes 8 3/4s, 2009 880,000
....................................................................................................
260,000 Perry-Judd 144A sr. sub. notes
10 5/8s, 2007 260,000
....................................................................................................
160,000 Von Hoffman Press Inc. 144A sr. sub.
notes 10 3/8s, 2007 170,800
- ----------------------------------------------------------------------------------------------------
1,853,300
- ----------------------------------------------------------------------------------------------------
REIT's (Real Estate Investment Trust) (0.1%)
....................................................................................................
640,000 HMH Properties, Inc. company guaranty
Ser. B, 8 7/8s, 2007 673,600
- ----------------------------------------------------------------------------------------------------
Railroads (0.1%)
....................................................................................................
125,000 TFM S.A. de C.V. 144A company guaranty
10 1/4s, 2007 (Mexico) 131,250
....................................................................................................
630,000 TFM S.A. de C.V. 144A company
guaranty stepped-coupon zero %
(11 3/4s, 6/15/02), 2009 (Mexico) (STP) 418,950
- ----------------------------------------------------------------------------------------------------
550,200
- ----------------------------------------------------------------------------------------------------
Recreation (-%)
....................................................................................................
160,000 CLN Holdings, Inc. sr. disc. notes
zero %, 2001 96,400
- ----------------------------------------------------------------------------------------------------
Restaurants (0.1%)
....................................................................................................
500,000 FRD Acquisition Co. sr. notes
Ser. B, 12 1/2s, 2004 543,125
- ----------------------------------------------------------------------------------------------------
Retail (0.8%)
....................................................................................................
220,000 Color Spot Nurseries sr. sub.
notes 10 1/2s, 2007 222,200
....................................................................................................
113,000 Guitar Center Management Co. 144A
sr. notes 11s, 2006 125,995
....................................................................................................
1,025,000 Johns Manville International Group
sr. notes 10 7/8s, 2004 1,137,750
....................................................................................................
250,000 K mart Corp. deb. 7 3/4s, 2012 243,125
....................................................................................................
400,000 K mart Corp. med. term notes 8s, 2001 405,472
....................................................................................................
1,000,000 K mart Corp. notes 8 1/8s, 2006 1,017,500
....................................................................................................
800,000 Mothers Work, Inc. sr. notes
12 5/8s, 2005 856,000
....................................................................................................
200,000 NBTY, Inc. 144A sr. sub. notes
8 5/8s, 2007 200,000
....................................................................................................
450,000 Zale Corp. 144A sr. notes 8 1/2s, 2007 447,750
- ----------------------------------------------------------------------------------------------------
4,655,792
- ----------------------------------------------------------------------------------------------------
Satellite Services (1.4%)
....................................................................................................
575,000 Echostar DBS Corp. company guaranty
12 1/2s, 2002 628,188
....................................................................................................
2,750,000 Echostar Satellite Broadcast Corp.
sr. disc. notes stepped-coupon zero %
(13 1/8s, 3/15/00), 2004 (STP) 2,282,500
....................................................................................................
375,000 Esat Holdings Ltd. 144A sr. notes
stepped-coupon zero %
(12 1/2s, 2/01/02), 2007 (Ireland) (STP) 268,125
....................................................................................................
300,000 Globalstar L.P./Capital sr. notes
11 3/8s, 2004 301,500
....................................................................................................
2,020,000 ICG Holdings, Inc. sr. disc. notes
stepped-coupon zero %
(13 1/2s, 9/15/00), 2005 (STP) 1,658,925
....................................................................................................
650,000 Iridium LLC/Capital Corp.
company guaranty Ser. A, 13s, 2005 682,500
....................................................................................................
800,000 Iridium LLC/Capital Corp.
company guaranty Ser. B, 14s, 2005 874,000
....................................................................................................
420,000 Iridium LLC/Capital Corp. 144A
sr. notes 11 1/4s, 2005 413,700
....................................................................................................
1,010,000 Orbcomm Global Capital Corp.
sr. notes Ser. B, 14s, 2004 1,095,850
....................................................................................................
335,000 Pratama Datakom Asia BV 144A
company guaranty 12 3/4s,
2005 (Indonesia) 184,250
....................................................................................................
335,000 TCI Satellite Entertainment 144A
sr. sub. notes 10 7/8s, 2007 350,075
- ----------------------------------------------------------------------------------------------------
8,739,613
- ----------------------------------------------------------------------------------------------------
Semiconductors (0.1%)
....................................................................................................
355,000 Fairchild Semiconductor Corp.
144A sr. sub. notes 11.74s, 2008 365,650
....................................................................................................
340,000 Fairchild Semiconductor Corp.
sr. sub. notes 10 1/8s, 2007 357,000
- ----------------------------------------------------------------------------------------------------
722,650
- ----------------------------------------------------------------------------------------------------
Shipping (0.2%)
....................................................................................................
120,000 Chemical Leaman Corp. sr. notes
10 3/8s, 2005 124,800
....................................................................................................
655,000 Johnstown America Industries, Inc.
company guaranty Ser. C, 11 3/4s, 2005 717,225
....................................................................................................
407,000 Viking Star Shipping sr. secd.
notes 9 5/8s, 2003 413,105
- ----------------------------------------------------------------------------------------------------
1,255,130
- ----------------------------------------------------------------------------------------------------
Steel (0.2%)
....................................................................................................
40,000 Altos Hornos de Mexico 144A bonds
11 7/8s, 2004 (Mexico) 41,400
....................................................................................................
730,000 Hylsa S.A. de C.V. 144A bonds
9 1/4s, 2007 (Mexico) 715,400
....................................................................................................
250,000 Weirton Steel Co. sr. notes 11 3/8s, 2004 260,000
- ----------------------------------------------------------------------------------------------------
1,016,800
- ----------------------------------------------------------------------------------------------------
Supermarkets (0.3%)
....................................................................................................
470,000 Fleming Companies, Inc. 144A sr. sub.
notes 10 1/2s, 2004 495,850
....................................................................................................
420,000 Jitney-Jungle Stores company guaranty
10 3/8s, 2007 436,800
....................................................................................................
1,000,000 Ralphs Grocery Co. sr. notes 10.45s, 2004 1,130,000
- ----------------------------------------------------------------------------------------------------
2,062,650
- ----------------------------------------------------------------------------------------------------
Telecommunications (2.1%)
....................................................................................................
280,000 Antenna TV S.A. 144A 9s, 2007 (Greece) 280,000
....................................................................................................
540,000 Barak ITC 144A sr. disc. notes
stepped-coupon zero %
(12 1/2s, 11/15/02), 2007 (Israel) (STP) 305,100
....................................................................................................
250,000 Charter Communications International, Inc.
disc. notes stepped-coupon Ser. B, zero %
(14s, 3/15/01), 2007 (STP) 198,750
....................................................................................................
165,000 Consorcio Ecuatoriano 144A notes
14s, 2002 (Ecuador) 165,000
....................................................................................................
280,000 Esprit Teleom Group PLC sr. notes
11 1/2s, 2007 (United Kingdom) 288,400
....................................................................................................
250,000 Fonorola, Inc. sr. notes 12 1/2s,
2002 (Canada) 280,000
....................................................................................................
1,500,000 Hyperion Telecommunication Corp.
sr. disc. notes stepped-coupon Ser. B,
zero % (13s, 4/15/01), 2003 (STP) 1,098,750
....................................................................................................
595,000 Hyperion Telecommunications , Inc.
sr. notes Ser. B, 12 1/4s, 2004 654,500
....................................................................................................
1,100,000 Intermedia Communications, Inc. sr. disc.
notes stepped-coupon Ser. B, zero %
(11 1/4s, 7/15/02), 2007 (STP) 800,250
....................................................................................................
850,000 Intermedia Communications, Inc. 144A
sr. notes 8 7/8s, 2007 873,375
....................................................................................................
600,000 Intermedia Communications, Inc. 144A
sr. notes 8 1/2s, 2008 600,000
....................................................................................................
2,000,000 International Cabletel, Inc. sr. notes
stepped-coupon Ser. B, zero %
(11 1/2s, 2/01/01), 2006 (STP) 1,570,000
....................................................................................................
250,000 L-3 Communications Corp. sr. sub.
notes Ser. B, 10 3/8s, 2007 270,000
....................................................................................................
250,000 Metronet Communications 144A
sr. disc. notes stepped-coupn zero %
(10.75s,5/1/98), 2007 (STP) 153,125
....................................................................................................
605,000 Qwest Communications International, Inc.
144A sr. disc. ntoes stepped-coupon
zero % (9.47s, 10/15/02), 2007 (STP) 412,913
....................................................................................................
975,000 Teleport Communications Group Inc.
sr. disc. notes stepped-coupon zero %
(11 1/8s, 7/1/01), 2007 (STP) 794,625
....................................................................................................
1,210,000 Teligent, Inc. sr. notes 11 1/2s, 2007 1,213,011
....................................................................................................
1,700,000 WinStar Communications, Inc. 144A
sr. disc. notes stepped-coupon zero %
(14s, 10/15/00), 2005 (STP) 1,351,500
....................................................................................................
330,000 WinStar Equipment Corp.
company guaranty 12 1/2s, 2004 367,950
....................................................................................................
660,000 WinStar Communications. Inc. 144A
sr. sub. notes 15s, 2007 808,500
- ----------------------------------------------------------------------------------------------------
12,485,749
- ----------------------------------------------------------------------------------------------------
Telephone Services (1.5%)
....................................................................................................
320,000 American Communication Services, Inc.
144A sr. notes 13 3/4s, 2007 380,800
....................................................................................................
2,035,000 American Communication Services, Inc.
sr. disc. notes stepped-coupon zero %
(12 3/4s, 4/1/01), 2006 (STP) 1,566,950
....................................................................................................
580,000 BTI Telecom Corp. 144A sr. notes
10 1/2s, 2007 591,600
....................................................................................................
350,000 GST Equipment Funding sr. notes
13 1/4s, 2007 400,750
....................................................................................................
1,160,000 GST Telecommunications, Inc. company
guaranty stepped-coupon zero %
(13 7/8s, 12/15/00), 2005 (STP) 893,200
....................................................................................................
375,000 Globo Communicacoes 144A company
guaranty 10 1/2s, 2006 (Brazil) 358,125
....................................................................................................
425,000 ITC Deltacom, Inc. sr. notes 11s, 2007 464,313
....................................................................................................
400,000 Intelcom Group (USA), Inc. company
guaranty stepped-coupon zero %
(12 1/2s, 5/1/01), 2006 (STP) 302,000
....................................................................................................
710,000 McLeod USA, Inc. sr. disc. notes
stepped-coupon zero %
(10 1/2s, 3/1/02), 2007 (STP) 516,525
....................................................................................................
750,000 Nextlink Communications sr. notes
12 1/2s, 2006 855,000
....................................................................................................
750,000 NTL Inc. sr. notes Ser. B, 10s, 2007
(United Kingdom) 791,250
....................................................................................................
1,120,000 RCN Corp. 144A sr. disc. notes
stepped-coupon zero%
(11 1/8s, 10/15/02), 2007 (STP) 702,800
....................................................................................................
160,000 RCN Corp. 144A sr. notes 10s, 2007 166,000
....................................................................................................
410,000 RSL Communications, Ltd. company
guaranty 12 1/4s, 2006 451,000
....................................................................................................
210,000 Transtel S.A. 144A Pass through
Certificates 12 1/2s, 2007 (Colombia) 198,450
....................................................................................................
370,000 Viatel, Inc. sr. disc. notes stepped-coupon
zero % (15s, 1/15/00), 2005 (STP) 303,400
- ----------------------------------------------------------------------------------------------------
8,942,163
- ----------------------------------------------------------------------------------------------------
Textiles (0.4%)
....................................................................................................
165,000 Glenoit Corp. 144A sr. sub. notes 11s, 2007 177,375
....................................................................................................
400,000 Polymer Group, Inc. company guaranty
Ser. B, 9s, 2007 400,000
....................................................................................................
1,000,000 Polysindo International Finance Ser. EXCH
company guaranty 13s, 2001 (Indonesia) 910,000
....................................................................................................
450,000 Polysindo International Finance company
guaranty 11 3/8s, 2006 (Indonesia) 364,500
....................................................................................................
300,000 Worldtex, Inc. 144A sr. notes 9 5/8s, 2007 307,500
- ----------------------------------------------------------------------------------------------------
2,159,375
- ----------------------------------------------------------------------------------------------------
Transportation (0.1%)
....................................................................................................
220,000 Coach USA, Inc. 144A company guaranty
9 3/8s, 2007 224,950
....................................................................................................
620,000 Kitty Hawk, Inc. 144A sr. notes 9.95s, 2004 633,950
- ----------------------------------------------------------------------------------------------------
858,900
- ----------------------------------------------------------------------------------------------------
Wireless Communications (0.3%)
....................................................................................................
460,000 Advanced Radio Telecom Corp.
sr. notes 14s, 2007 446,200
....................................................................................................
2,575,000 CellNet Data Systems, Inc. 144A
sr. disc. notes stepped-coupon zero %
(14s, 10/1/02), 2007 (STP) 1,287,500
....................................................................................................
230,000 FWT, Inc. 144A sr. sub. notes 9 7/8s, 2007 235,175
....................................................................................................
245,000 Telesystem International Wireless Inc.
144A sr. disc. notes stepped-coupon
zero % (10 1/2s, 11/1/02), 2007
(Canada) (STP) 135,975
- ----------------------------------------------------------------------------------------------------
2,104,850
- ----------------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $194,218,262) $199,304,587
- ----------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (31.6%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
U.S. Government Agency Mortgage Obligations (18.2%)
....................................................................................................
$4,840,000 Federal Home Loan Mortgage Corp.
7s, TBA, January 15, 2013 $4,915,597
....................................................................................................
Government National Mortgage Association
....................................................................................................
1,490,000 7s, TBA, January 15, 2028 1,523,287
....................................................................................................
4,373,000 6s, TBA, January 16, 2028 4,411,264
....................................................................................................
4,425,000 5 1/2s, TBA, March 15, 2028 4,431,903
....................................................................................................
4,760,000 5 1/2s, TBA, February 16, 2028 4,745,125
....................................................................................................
Federal Home Loan Mortgage Corp.
....................................................................................................
11,535,434 8 1/2s, with due dates from
April 1, 2025 to August 1, 2027 12,040,120
....................................................................................................
8,444,701 7s, with due dates from
January 1, 2011 to October 1, 2012 8,579,114
....................................................................................................
4,908,693 6 1/2s, with due dates from
December 1, 2011 to April 1, 2012 4,916,355
....................................................................................................
15,193,820 Federal National Mortgage Association
6 1/2s, with due dates from
February 1, 2026 to September 1, 2027 15,003,900
....................................................................................................
Government National Mortgage Association
....................................................................................................
429,053 8 1/2s, with due dates from
September 15, 2026 to
October 15, 2027 450,639
....................................................................................................
41,284,453 7 1/2s, with due dates from
January 15, 2024 to
September 15, 2027 42,290,673
....................................................................................................
7,463,275 7s, with due dates from
August 15, 2025 to
November 15, 2027 7,525,079
- ----------------------------------------------------------------------------------------------------
110,833,056
- ----------------------------------------------------------------------------------------------------
U.S. Treasury Obligations (13.4%)
....................................................................................................
U.S. Treasury Bonds
....................................................................................................
2,355,000 8 1/8s, August 15, 2019 # 2,946,694
....................................................................................................
6,670,000 6 5/8s, February 15, 2027 7,241,085
....................................................................................................
13,070,000 6 1/2s, November 15, 2026 # 13,952,225
....................................................................................................
5,965,000 6 3/8s, August 15, 2027 6,291,226
....................................................................................................
265,000 6 1/8s, November 15, 2027 272,330
....................................................................................................
U.S. Treasury Notes
....................................................................................................
1,210,000 7s, July 15, 2006 1,306,038
....................................................................................................
11,373,000 6 1/2s, October 15, 2006 # 11,907,872
....................................................................................................
15,970,000 5 3/4s, November 30, 2002 15,982,457
....................................................................................................
10,690,000 5 5/8s, November 30, 1999 10,679,951
....................................................................................................
11,275,000 5 5/8s, October 31, 1999 11,264,402
- ----------------------------------------------------------------------------------------------------
81,844,280
- ----------------------------------------------------------------------------------------------------
Total U.S. Government and
Agency Obligations
(cost $188,108,164) $192,677,336
- ----------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (4.2%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$1,195,000 Commercial Mortgage Acceptance Corp.
Ser. 97-ML1, Class D, 7.11s, 2030 $1,196,494
....................................................................................................
1,980,000 Countrywide Mortgage Backed
Securities, Inc. Ser. 1993-C, Class A8,
9.5s, 2024 1,882,742
....................................................................................................
2,455,000 Freddie Mac Ser. 25, Class B, 6 1/2s, 2008 2,468,809
....................................................................................................
First Union-Lehman Brothers
Commercial Mortgage
....................................................................................................
1,380,000 Ser. 97-C2, Class A2, 6.6s, 2007 1,390,566
....................................................................................................
2,840,000 Ser. 97-C2, Class A3, 6.65s, 2008 2,865,738
....................................................................................................
1,935,000 Ser. 97-C2, Class D, 7.12s, 2012 1,927,441
....................................................................................................
Freddie Mac
....................................................................................................
717,626 Ser. 1935, Class JZ, 7s, 2027 689,295
....................................................................................................
715,000 Ser. 1832, Class G, 6 1/2s, 2011 710,755
....................................................................................................
745,302 Ser. 1717, Class L, 6 1/2s, 2024 739,014
....................................................................................................
865,000 Ser.1602, Class PJ, 6 1/2s, 2023 871,488
....................................................................................................
1,260,000 GMAC Commercial Mortgage
Securities Inc. Ser. 97-C2, Class A1,
6.45s, 2029 1,261,772
....................................................................................................
1,040,000 Government National Mortgage
Association Ser. 97-1, Class C,
7 1/2s, 2027 1,077,375
....................................................................................................
760,465 Housing Securities Inc. Ser. 94-1,
Class A9, 6 1/2s, 2009 758,746
....................................................................................................
PNC Mortgage Securities Corp.
....................................................................................................
3,789,382 Ser. 97-4, Class 2PP3, 7 1/4s, 2027 3,849,183
....................................................................................................
2,789,376 Ser. 97-6, Class A2, 6.6s, 2027 2,806,374
....................................................................................................
1,036,221 Rural Housing Trust Ser. 1, Class D,
6.33s, 2026 1,033,590
- ----------------------------------------------------------------------------------------------------
Total Collateralized Mortgage
Obligations (cost $25,393,852) $25,529,382
- ----------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BONDS AND NOTES (19.8%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
ARP 6,100,000 Argentina (Republic of) bonds Ser. PRE 1,
FRB 3.39s, 2001 $5,979,196
....................................................................................................
DKK 150,000 Denmark (Government of) bonds
6s, 2026 21,343
....................................................................................................
FRF 117,250,000 France Treasury Bill notes 4 3/4s, 2002 19,496,244
....................................................................................................
FRF 6,252,000 France (Government of) deb.
6 3/4s, 2003 1,132,481
....................................................................................................
FRF 90,100,000 France (Government of) bonds
5 1/2s, 2007 15,138,834
....................................................................................................
DEM 17,530,000 Germany (Federal Republic of) bonds
Ser. 97, 6 1/2s, 2027 10,451,702
....................................................................................................
DEM 6,225,000 Germany (Federal Republic of) bonds
Ser. 97, 6s, 2007 3,614,516
....................................................................................................
DEM 11,025,000 Germany (Federal Republic of)
Unity Fund bonds 8s, 2002 6,849,235
....................................................................................................
FRF 4,050,000 Ivory Coast - FLIRB collateralized FRB
2s,2049 ## 221,059
....................................................................................................
FRF 4,050,000 Ivory Coast - Past due interest bonds
FRB 1.9s, 2049 ## 252,158
....................................................................................................
NZD 6,490,000 New Zealand (Government of) bonds
8s, 2004 3,911,004
....................................................................................................
USD 1,925,000 Peru (Government of) 144A Ser. US,
4s, 2017 1,260,875
....................................................................................................
USD 7,401,000 Russia (Government of) deb. principal
loans FRB 6.719s, 2020 4,588,620
....................................................................................................
USD 1,103,053 Russian (Government of) deb. interest
notes FRB 6.719s, 2015 781,789
....................................................................................................
ZAR 46,433,000 South Africa (Republic of) bonds
Ser. 153, 13s, 2010 9,088,038
....................................................................................................
GBP 20,520,000 United Kingdom Treasury bonds
7 1/2s, 2006 36,438,905
....................................................................................................
USD 1,080,000 United Mexican States bonds
11 1/2s, 2026 1,279,800
- ----------------------------------------------------------------------------------------------------
Total Foreign Government Bonds
and Notes (cost $120,034,051) $120,505,799
- ----------------------------------------------------------------------------------------------------
BRADY BONDS (2.3%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$3,514,560 Argentina (Republic of) deb. FRB
6.688s, 2005 $3,141,314
....................................................................................................
2,245,100 Brazil (Government of) Ser. 1, FRB
6.875s, 2001 2,138,458
....................................................................................................
3,209,000 Philippines (Government of) Ser. B, FRB
6 1/2s, 2017 2,679,515
....................................................................................................
3,530,000 Poland (Government of) bonds Ser.
Past due interest, stepped-coupon 4s,
(5s, 10/1/99), 2014 (STP) 3,049,214
....................................................................................................
3,405,000 United Mexican States Ser. D, FRB
6.75s, 2019 3,153,881
....................................................................................................
14,000 United Mexican States sec. Ser. B,
6 1/4s, 2019 11,673
- ----------------------------------------------------------------------------------------------------
Total Brady Bonds
(cost $14,504,248) $14,174,055
- ----------------------------------------------------------------------------------------------------
PREFERRED STOCKS (3.8%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
8,774 AmeriKing, Inc. $3.25 pfd. (PIK) $236,898
....................................................................................................
111 Anvil Holdings Ser. B, $3.25 pfd. 2,664
....................................................................................................
25,511 Cablevision Systems Corp. Ser. M,
$11.125 dep. shs. cum. pfd. (PIK) 2,933,765
....................................................................................................
12,000 California Federated Bankcorp, Inc. Ser. B,
$11.50 pfd. 1,357,500
....................................................................................................
2,450 Capstar Broadcasting Inc. 144A
$12.00 pfd. 275,625
....................................................................................................
36,699 CGA Group Ltd. 144A Ser. A,
$13.75 pfd. (PIK) 990,873
....................................................................................................
6,390 Chevy Chase Capital Corp. Ser. A,
$5.19 pfd. 330,683
....................................................................................................
4,200 Citadel Broadcasting Inc. 144A
$13.25 pfd. (PIK) 483,000
....................................................................................................
11,360 Diva Systems Corp. Ser. C, $6.00 pfd. 129,958
....................................................................................................
320 Echostar Communications Corp. 144A
Ser. B, $12.125 pfd. 329,600
....................................................................................................
8,302 El Paso Electric Co. $11.40 pfd (PIK) 921,522
....................................................................................................
10,600 Fitzgeralds Gaming Co. $3.75 pfd. 318,000
....................................................................................................
475 Fresenius Medical Care AG Ser. D,
$9.00. pfd. (Germany) 498,750
....................................................................................................
50 Grand Union Holdings 144A Ser. C,
$12.00 pfd. (acquired 11/5/93,
cost $5,775) (In Default) (RES)(NON) 1
....................................................................................................
110 Hyperion Telecommunications Ser. B,
$12.875 pfd. (PIK) 110,825
....................................................................................................
1,665 ICG Holdings, Inc. $14.25 pfd. (Canada) 1,923,075
....................................................................................................
570 Intermedia Communication Ser. B,
13.50% pfd. 698,250
....................................................................................................
720 IXC Communications, Inc. 144A
$12.50 pfd. (PIK) 842,400
....................................................................................................
40,000 Loewen Group, Inc. Ser. A, $2.36 pfd. 1,085,000
....................................................................................................
3,750 NEXTEL Communications, Inc. Ser. D,
$13.00 cum. pfd. (PIK) 4,284,375
....................................................................................................
14,045 Nextlink Communications, Inc. 144A
$7.00 pfd. 877,813
....................................................................................................
625 NTL Inc. 144A Ser. B, $13.00 pfd. (PIK) 725,000
....................................................................................................
3,950 Pantry Pride Inc. Ser. B, $14.875 pfd. 398,950
....................................................................................................
39,995 Public Service Co. of New Hampshire
$2.65 1st mtge. pfd. 1,039,870
....................................................................................................
4,980 SFX Broadcasting, Inc. Ser. E,
$12.625 pfd. (PIK) 590,130
....................................................................................................
869 Spanish Broadcasting Systems
14.25% cum. pfd. 925,485
....................................................................................................
3,950 Von Hoffman Corp. 144A $13.50 pfd. 123,438
....................................................................................................
715 WinStar Communications. Inc. 144A
$14.25 cum. pfd. (PIK) 743,600
- ----------------------------------------------------------------------------------------------------
Total Preferred Stocks
(cost $21,105,272) $23,177,050
- ----------------------------------------------------------------------------------------------------
UNITS (1.5%) *
- ----------------------------------------------------------------------------------------------------
Number of Units Value
....................................................................................................
840 Australis Media, Ltd. units
stepped-coupon zero %
(15 3/4s, 5/15/03), 2003 (Australia) (STP) $319,200
....................................................................................................
80 Celcaribe S.A. 144A units
stepped-coupon zero %
(13 1/2s, 3/15/98), 2004 (STP) 1,600,000
....................................................................................................
395 Club Regina/CS Resort 144A units
13s, 2004 403,888
....................................................................................................
370 Colt Telecommunications Group PLC
units stepped-coupon zero % (12s,
12/15/01), 2006 (United Kingdom) (STP) 288,600
....................................................................................................
160 Concentric Network Corp. units
12 3/4s, 2007 164,400
....................................................................................................
450,000 Conecel Holdings Ltd. 144A
units 14s, 2000 454,500
....................................................................................................
175 DecisionOne Corp. units
stepped-coupon zero %
(11 1/2s, 8/01/02), 2008 (STP) 112,000
....................................................................................................
515 Diva Systems Corp. 144A units
stepped-coupon zero %
(13s, 5/15/01), 2006 (STP) 530,450
....................................................................................................
1,035 Knology Holdings Inc. units
stepped-coupon zero %
(11 7/8s,10/15/02), 2007 (STP) 558,900
....................................................................................................
1,135 MGC Communications, Inc. 144A
units 13s, 2004 1,137,838
....................................................................................................
330 Real Time Data 144A units
stepped-coupon zero %
(13 1/2s, 8/15/01), 2006 (STP) 181,500
....................................................................................................
750 Signature Brands USA Inc.
units 13s, 2002 810,000
....................................................................................................
325 Stone Container Corp. units sr. sub.
12 1/4s, 2002 329,063
....................................................................................................
615 Transamerican Refining units 16s, 2003 627,300
....................................................................................................
850 Wireless One, Inc. units stepped-coupon
zero % (13 1/2s, 8/1/01), 2006 (STP) 212,500
....................................................................................................
650 XCL Ltd. units 13 1/2s, 2004 845,000
....................................................................................................
2,800 XCL Ltd. units cum. pfd. 9.50s, 2006 504,000
- ----------------------------------------------------------------------------------------------------
Total Units (cost $8,040,421) $9,079,139
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (0.7%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$535,000 APP Global Finance (V) Ltd. 144A
cv. sec. 2s, 2000 (United Kingdom) $449,400
....................................................................................................
500,000 Corporate Express, Inc. cv. notes
4 1/2s, 2000 441,875
....................................................................................................
500,000 Exide Corp. 144A cv. sr. sub. notes
2.9s, 2005 319,375
....................................................................................................
145,000 GST Telecommunications, Inc. cv. sr. disc.
notes stepped-coupon zero %
(13 7/8s, 12/15/00), 2005 (STP) 197,200
....................................................................................................
500,000 Integrated Device Technology, Inc.
cv. sub. notes 5 1/2s, 2002 421,250
....................................................................................................
170,000 National Semiconductor Corp. 144A
cv. deb. 6 1/2s, 2002 165,963
....................................................................................................
1,000,000 NovaCare, Inc. cv. sub. deb. 5 1/2s, 2000 946,250
....................................................................................................
677,000 Pricellular Wireless Corp. 144A cv. sub.
notes stepped-coupon zero %
(10 3/4s, 8/15/00) (STP) 663,460
....................................................................................................
260,000 VLSI Technology, Inc. cv. sub. notes
8 1/4s, 2005 263,575
....................................................................................................
600,000 WinStar Communications. Inc. 144A
cv. sr. disc. notes stepped-coupon zero %
(14s, 10/15/00), 2005 (STP) 648,000
- ----------------------------------------------------------------------------------------------------
Total Convertible Bonds and Notes
(cost $3,785,932) $4,516,348
- ----------------------------------------------------------------------------------------------------
COMMON STOCKS (0.4%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
13,152 Advanced Radio Telecom Corp. (NON) $105,216
....................................................................................................
200 AmeriKing, Inc. (NON) 10,000
....................................................................................................
14,720 CellNet Data Systems, Inc. (NON) 114,080
....................................................................................................
9,224 Chesapeake Energy Corp. 69,757
....................................................................................................
4,500 Exide Corp. 116,438
....................................................................................................
41,976 Grand Union Co. (acquired 6/20/95,
cost $1,755,922) (RES)(NON) 89,199
....................................................................................................
4,852 Hedstrom Holdings, Inc. 144A 6,065
....................................................................................................
9,604 NEXTEL Communications, Inc. 144A 237,219
....................................................................................................
215 Paging Do Brazil Holdings Co.,
LLC Class B 2
....................................................................................................
61 Premium Holdings (L.P.) (acquired various
dates from 1/4/94 to 9/29/94,
cost $3,984) (RES)(NON) 244
....................................................................................................
52,810 PSF Holdings LLC Class A (acquired various
dates from 3/15/95 to 3/17/95
cost $1,832,982) (RES) 1,584,300
....................................................................................................
6,200 Terex Corp. Rights (NON) 124,000
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $4,233,287) $2,456,520
- ----------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (0.3%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$1,034,000 Chemical Master Credit Card Trust
Ser. 95-2, Class A, 6.23s, 2003 $1,038,519
....................................................................................................
525,000 Contimortgage Home Equity Loan Trust
Ser. 97-1, Class M2, 7.67s, 2025 531,725
- ----------------------------------------------------------------------------------------------------
Total Asset-Backed Securities
(cost $1,588,161) $1,570,244
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.1%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
17,000 Diva Systems Corp. Ser. D, $6.00 pfd. 194,480
....................................................................................................
5,318 Granite Broadcasting $1.938 cv. pfd. $257,923
....................................................................................................
20,000 Kelly Oil & Gas Corp. $2.625 cv. pfd. 510,000
- ----------------------------------------------------------------------------------------------------
Total Convertible Preferred Stocks
(cost $808,047) $962,403
- ----------------------------------------------------------------------------------------------------
WARRANTS (0.1%) * (NON)
- ----------------------------------------------------------------------------------------------------
Number of Warrants Expiration Date Value
....................................................................................................
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. 9/15/07 283
....................................................................................................
36,500 CGA Group Ltd. 144A 1/1/04 365
....................................................................................................
1,100 Comunicacion Cellular 144A
(Colombia) 11/15/20 77,000
....................................................................................................
100 County Seat Holdings, Inc. 10/15/98 2
....................................................................................................
2,880 Crompton & Knowles
Corp. (acquired 3/16/97,
cost $37,440) (RES) 10/31/99 36,000
....................................................................................................
375 Esat Holdings, Inc. (Ireland) 1/1/04 13,125
....................................................................................................
450 Fitzgerald Gaming Co. 144A 3/15/99 45
....................................................................................................
7,088 Fitzgerald Gaming Corp. 12/19/98 7,088
....................................................................................................
450 Foamex (L.P.) Capital
Corp. 144A 2,700
....................................................................................................
300 Globalstar Telecom 144A 2/15/04 30,600
....................................................................................................
750 Hyperion Telecommunications
144A 4/15/01 45,000
....................................................................................................
5,181 Intelcom Group 144A 10/15/05 69,944
....................................................................................................
650 Interact Systems Inc. 8/1/03 163
....................................................................................................
400 Intermedia Communications 6/1/00 44,000
....................................................................................................
270 International Wireless
Communications Holdings
144A 8/15/01 17,550
....................................................................................................
650 Iridium World Com 144A 7/15/05 74,750
....................................................................................................
678 Louisiana Casino
Cruises, Inc. 144A 12/1/98 33,900
....................................................................................................
1,660 McCaw International Ltd. 4/15/07 498
....................................................................................................
1,500 NEXTEL Communications Inc. 1/1/99 1,500
....................................................................................................
12,665 Nextlink Communications, Inc.
144A 2/1/09 127
....................................................................................................
585 Orion Network Systems 1/15/07 5,265
....................................................................................................
460 Pagemart, Inc. 144A 12/31/03 3,450
....................................................................................................
2,000 Petracom Holdings, Inc. 8/1/05 14,250
....................................................................................................
4,194 President Riverboat Casinos, Inc. 9/30/99 2,097
....................................................................................................
410 RSL Communications Ltd. 11/15/06 24,600
....................................................................................................
415 Spanish Broadcasting Systems
144A 6/30/99 97,525
....................................................................................................
235 Sterling Chemicals Holdings 8/15/08 7,050
....................................................................................................
1,390 UIH Australia/Pacific, Inc. 144A 5/15/06 16,680
....................................................................................................
600 Urohealth Systems Inc. 4/10/04 1,500
- ----------------------------------------------------------------------------------------------------
Total Warrants (cost $516,356) $627,198
- ----------------------------------------------------------------------------------------------------
PURCHASED OPTIONS OUTSTANDING (-%)
- ----------------------------------------------------------------------------------------------------
Contract Expiration Date/
Amount Strike Price Value
....................................................................................................
ITL 88,000,000 Italian Government Bond
futures contract (call) Feb. 98/113.0 ITL $138,824
....................................................................................................
ITL 88,000,000 Italian Government Bond
futures contract (put) Feb. 98/113.0 ITL 5,971
- ----------------------------------------------------------------------------------------------------
Total Purchased Options
Outstanding (cost $123,652) $144,795
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (1.0%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
TRL 427,490,000,000 Turkish T-Bill zero %
September 16, 1998 $1,122,578
....................................................................................................
TRL 565,330,000,000 Turkish T-Bill zero % July 29, 1998 1,635,405
....................................................................................................
TRL 442,110,000,000 Turkish T-Bill zero% June 4, 1998 1,473,783
....................................................................................................
$1,617,000 Interest in $509,463,000 joint
repurchase agreement dated
December 31, 1997 with
SBC Warburg due January 2, 1998
with respect to various U.S. Treasury
obligations - maturity value of
$1,617,584 for an effective yield
of 6.50% 1,617,292
- ----------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $6,636,330) $5,849,058
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $589,096,035) *** $600,573,914
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Buy at December 31, 1997
(aggregate face value $172,121,146)
- ----------------------------------------------------------------------------------------------------
Unrealized
Market Aggregate Delivery Appreciation/
Value Face Value Date (Depreciation)
....................................................................................................
Australian Dollars $1,753,358 $1,841,430 3/18/98 $(88,072)
....................................................................................................
Canadian Dollars 8,413,336 8,457,211 3/18/98 (43,875)
....................................................................................................
Danish Krone 5,201,269 5,273,299 3/18/98 (72,030)
....................................................................................................
Deutschemarks 56,310,874 57,072,433 3/18/98 (761,559)
....................................................................................................
Indonesian Rupiah 1,095,372 1,509,638 2/23/98 (414,266)
....................................................................................................
Indonesian Rupiah 3,218,861 4,844,858 6/23/98 (1,625,997)
....................................................................................................
Italian Lira 15,177,988 15,322,163 3/18/98 (144,175)
....................................................................................................
Japanese Yen 48,096,735 48,591,627 3/18/98 (494,892)
....................................................................................................
Mexican Peso 1,073,487 1,008,316 5/11/98 65,171
....................................................................................................
Mexican Peso 864,874 806,657 5/12/98 58,217
....................................................................................................
New Zealand Dollars 231,887 238,486 3/18/98 (6,599)
....................................................................................................
Philippine Peso 1,302,718 1,539,788 3/25/98 (237,070)
....................................................................................................
Polish Zloty 776,000 805,492 6/5/98 (29,492)
....................................................................................................
Spanish Peseta 8,604,329 8,710,803 3/18/98 (106,474)
....................................................................................................
Swedish Krona 12,486,067 12,773,115 3/18/98 (287,048)
....................................................................................................
Swiss Francs 282,972 290,517 3/18/98 (7,545)
....................................................................................................
Venezuelan Bolivar 604,437 605,031 1/7/98 (594)
....................................................................................................
Venezuelan Bolivar 1,878,004 1,856,262 6/5/98 21,742
....................................................................................................
Venezuelan Bolivar 567,662 574,020 6/19/98 (6,358)
- ----------------------------------------------------------------------------------------------------
$(4,180,916)
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell at December 31, 1997
(aggregate face value $190,398,963)
- ----------------------------------------------------------------------------------------------------
Unrealized
Market Aggregate Delivery Appreciation/
Value Face Value Date (Depreciation)
....................................................................................................
Australian Dollars $1,097,669 $1,152,552 3/18/98 $54,883
....................................................................................................
British Pounds 36,878,294 37,241,267 3/18/98 362,973
....................................................................................................
Deutschemarks 74,213,131 75,103,719 3/18/98 890,588
....................................................................................................
Deutschemarks 275,858 294,359 6/5/98 18,501
....................................................................................................
French Francs 36,866,475 37,424,148 3/18/98 557,673
....................................................................................................
Italian Lira 350,885 354,199 3/18/98 3,314
....................................................................................................
Japanese Yen 26,902,964 27,185,647 3/18/98 282,683
....................................................................................................
New Zealand Dollars 7,411,735 7,769,155 3/18/98 357,420
....................................................................................................
South African Rand 3,611,588 3,589,806 3/18/98 (21,782)
....................................................................................................
Swiss Francs 276,797 284,111 3/18/98 7,314
- ----------------------------------------------------------------------------------------------------
$2,513,567
- ----------------------------------------------------------------------------------------------------
Futures Contracts Outstanding at December 31, 1997
- ----------------------------------------------------------------------------------------------------
Unrealized
Total Aggregate Expiration Appreciation/
Value Face Value Date (Depreciation)
....................................................................................................
Euro DM (Long) $27,554,505 $27,470,809 Mar-98 $ 83,696
....................................................................................................
Euro DM (Short) 27,480,034 27,339,693 Sep-98 (140,341)
....................................................................................................
T-note Future
10 YR (Long) 18,954,406 18,834,676 Mar-98 119,730
....................................................................................................
T-bond Future
20 YR (Long) 24,093,750 23,779,123 Mar-98 314,627
....................................................................................................
Municipal Bond
Index (Long) 17,730,000 17,595,658 Mar-98 134,342
....................................................................................................
U.S. Treasury
Bond (Short) 17,347,500 17,213,375 Mar-98 (134,125)
- ----------------------------------------------------------------------------------------------------
$ 377,929
- ----------------------------------------------------------------------------------------------------
TBA Sale Commitments Outstanding at December 31, 1997
(proceeds receivable $4,910,873)
- ----------------------------------------------------------------------------------------------------
Principal Settlement Market
Description Amount Date Value
....................................................................................................
FHMLC 6.5s, January 15, 2013 $4,907,000 1/20/98 $4,914,655
- ----------------------------------------------------------------------------------------------------
Written Options Outstanding at December 31, 1997
(premiums received $111,848)
- ----------------------------------------------------------------------------------------------------
Contract Expiration Date/ Market
Amount Strike Price Value
....................................................................................................
DEM 97,500 German Government Bond Feb. 98/
futures contracts (put) 102.00 DEM $10,845
....................................................................................................
DEM 97,500 German Government Bond Feb. 98/
futures contracts (call) 102.00 DEM 129,602
- ----------------------------------------------------------------------------------------------------
$140,447
- ----------------------------------------------------------------------------------------------------
Diversification by Country
- ----------------------------------------------------------------------------------------------------
Distribution of investments by country of issue at
December 31, 1997: (as percentage of Market Value)
- ----------------------------------------------------------------------------------------------------
Canada 1.0%
....................................................................................................
France 6.0
....................................................................................................
Germany 3.6
....................................................................................................
Mexico 1.2
....................................................................................................
South Africa 1.5
....................................................................................................
United Kingdom 6.7
....................................................................................................
Other 7.5
....................................................................................................
United States 72.5
- ----------------------------------------------------------------------------------------------------
Total 100.0%
- ----------------------------------------------------------------------------------------------------
See page 191 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
December 31, 1997
<CAPTION>
COMMON STOCKS (61.1%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Advertising (0.1%)
....................................................................................................
8,000 Lamar Advertising Co. (NON) $318,000
....................................................................................................
5,800 Outdoor Systems, Inc. (NON) 222,575
....................................................................................................
6,000 Universal Outdoor Holdings, Inc. (NON) 312,000
- ----------------------------------------------------------------------------------------------------
852,575
- ----------------------------------------------------------------------------------------------------
Aerospace and Defense (1.2%)
....................................................................................................
50,720 Boeing Co. 2,482,110
....................................................................................................
32,700 Bombardier, Inc. (Canada) 672,670
....................................................................................................
29,090 General Motors Corp. Class H 1,074,512
....................................................................................................
15,380 Northrop Grumman Corp. 1,768,700
....................................................................................................
17,035 Raytheon Co Class A 840,043
....................................................................................................
13,050 REMEC, Inc. (NON) 293,625
....................................................................................................
324,115 Rolls-Royce PLC (United Kingdom) 1,255,994
....................................................................................................
63,483 Smiths Industries PLC (United Kingdom) 887,716
....................................................................................................
42,800 Textron, Inc. 2,675,000
- ----------------------------------------------------------------------------------------------------
11,950,370
- ----------------------------------------------------------------------------------------------------
Argicultural (-%)
....................................................................................................
126,000 Astra Argo 144A (NON) 47,251
- ----------------------------------------------------------------------------------------------------
Automotive (1.2%)
....................................................................................................
10,500 Avis Rent A Car, Inc. 335,344
....................................................................................................
1,812 Bayerische Motoren Werke (BMW) AG
(Germany) 1,355,473
....................................................................................................
19,000 Bridgestone Corp. (Japan) 412,505
....................................................................................................
16,500 Budget Group, Inc. (Japan) (NON) 570,281
....................................................................................................
30,365 Chrysler Corp. 1,068,468
....................................................................................................
52,490 Dana Corp. 2,493,275
....................................................................................................
45,180 Goodyear Tire & Rubber Co. (The) 2,874,578
....................................................................................................
9,979 Magna International, Inc. Class A,
(Canada) 626,806
....................................................................................................
24,984 Michelin Corp. Class B, (France) 1,256,874
....................................................................................................
228,000 Qingling Motors Co. (China) (NON) 111,840
....................................................................................................
4,760 Renault S.A. (France) (NON) 133,798
- ----------------------------------------------------------------------------------------------------
11,239,242
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (1.6%)
....................................................................................................
6,600 Ade Corp. (NON) 115,500
....................................................................................................
223,996 Alfa S.A. de C.V. Class A (Mexico) 1,517,016
....................................................................................................
35,530 Caterpillar, Inc. 1,725,426
....................................................................................................
38,380 Cooper Industries, Inc. 1,880,620
....................................................................................................
25,440 Deere (John) & Co. 1,483,470
....................................................................................................
52,500 Ingersoll-Rand Co. 2,126,250
....................................................................................................
7,800 Larsen & Toubro Ltd. GDR (India) 80,668
....................................................................................................
23,605 Minnesota Mining & Manufacturing Co. 1,937,085
....................................................................................................
83,585 Owens-Illinois, Inc. (NON) 3,171,006
....................................................................................................
970 Rieter Holding AG (Switzerland) 414,150
....................................................................................................
2,837 Sandvik AB (Sweden) 80,836
....................................................................................................
26,065 Sandvik AB Class B, (Sweden) 745,972
....................................................................................................
3,300 White Cap Industries, Inc. (NON) 61,463
- ----------------------------------------------------------------------------------------------------
15,339,462
- ----------------------------------------------------------------------------------------------------
Biotechnology (0.2%)
....................................................................................................
1,800 Bioreliance Corp. (NON) 41,400
....................................................................................................
11,100 Cor Therapeutics Inc (NON) 249,750
....................................................................................................
11,500 Digene Corp. (NON) 99,188
....................................................................................................
6,600 Kendle International, Inc. (NON) 110,550
....................................................................................................
27,900 Quintiles Transnational Corp. (NON) 1,067,175
- ----------------------------------------------------------------------------------------------------
1,568,063
- ----------------------------------------------------------------------------------------------------
Broadcasting (0.5%)
....................................................................................................
101,100 CBS Corp. 2,976,131
....................................................................................................
15,000 Grupo Televisa S.A.GDR (Mexico) (NON) 580,313
....................................................................................................
14,000 Heftel Broadcasting Corp. Class A (NON) 654,500
....................................................................................................
9,460 SAGA Communications Inc. Class A (NON) 201,025
....................................................................................................
2,310 Sinclair Broadcast Group, Inc. Class A (NON) 107,704
- ----------------------------------------------------------------------------------------------------
4,519,673
- ----------------------------------------------------------------------------------------------------
Building and Construction (1.0%)
....................................................................................................
8,300 Barnett, Inc. (NON) 182,600
....................................................................................................
75,400 Cemex S.A. de C.V. Class B, (Mexico) (NON) 402,158
....................................................................................................
122,917 Cemex, S.A. de C.V. (Mexico) 557,258
....................................................................................................
70,000 Cheung Kong Infrastructure Holdings
(Hong Kong) 197,888
....................................................................................................
150,000 Corporacion Moctezuma, S.A. de C.V.
(Mexico) (NON) 187,174
....................................................................................................
110,332 CRH PLC (Ireland) 1,293,374
....................................................................................................
11,800 Dycom Industries, Inc. (NON) 254,438
....................................................................................................
13,000 Grupo Imsa S.A. de C.V. ADR
(Mexico) (NON) 306,313
....................................................................................................
42,900 Gujarat Ambuja Cements Ltd. GDR
(India) (NON) 300,300
....................................................................................................
255,000 IJM Copr. Berhad (Malaysia) 84,650
....................................................................................................
13,989 Lafarge Coppee (France) 917,193
....................................................................................................
69,055 Masco Corp. 3,513,173
....................................................................................................
75,000 New World Infrastructure Ltd.
(Hong Kong) (NON) 168,941
....................................................................................................
1,400 Terex Corp. Rights
(expiration date 5/15/02) 28,000
....................................................................................................
5,973 VA Technolgies AG (Austria) 907,135
- ----------------------------------------------------------------------------------------------------
9,300,595
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (2.4%)
....................................................................................................
3,200 Caribiner Intl., Inc. (NON) 142,400
....................................................................................................
69,100 Cendant Corp. (NON) 2,375,313
....................................................................................................
6,550 Corestaff, Inc. (NON) 173,575
....................................................................................................
11,000 CORT Business Services Corp. (NON) 437,938
....................................................................................................
46,000 Dai Nippon Printing Co., Ltd. (Japan) 864,595
....................................................................................................
7,200 Data Processing Resources Corp. (NON) 183,600
....................................................................................................
10,400 Encad, Inc. (NON) 286,000
....................................................................................................
5,800 F.Y.I., Inc. (NON) 133,400
....................................................................................................
70,468 HBO & Co. 3,382,464
....................................................................................................
35,370 IBM Corp. 3,698,376
....................................................................................................
11,600 Lason Holdings, Inc. (NON) 308,850
....................................................................................................
2,300 Mannesmann AG (Germany) (NON) 1,162,792
....................................................................................................
617 Metzler Group, Inc. (NON) 24,757
....................................................................................................
17,700 NCO Group, Inc. (NON) 455,775
....................................................................................................
7,300 Outsource International, Inc. (NON) 88,513
....................................................................................................
38,105 Pitney Bowes, Inc. 3,427,068
....................................................................................................
12,700 PMT Services, Inc. (NON) 176,213
....................................................................................................
10,500 Rental Service Corp. (NON) 257,906
....................................................................................................
23,000 Ricoh Co., Ltd. (Japan) 285,846
....................................................................................................
7,300 Romac International, Inc. (NON) 178,394
....................................................................................................
11,900 Staff Leasing, Inc. (NON) 224,613
....................................................................................................
8,560 The Registry, Inc. (NON) 392,690
....................................................................................................
64,595 Xerox Corp. 4,767,918
- ----------------------------------------------------------------------------------------------------
23,428,996
- ----------------------------------------------------------------------------------------------------
Cable Television (-%)
....................................................................................................
36,600 Multicanal Participacoes S.A. ADR
(Brazil) (NON) 215,025
- ----------------------------------------------------------------------------------------------------
Chemicals (0.9%)
....................................................................................................
6,556 Akzo-Nobel N.V. (Netherlands) 1,131,282
....................................................................................................
31,960 Bayer AG ADR (Germany) 1,194,501
....................................................................................................
7,337 Ciba Specialty Chemicals AG
(Switzerland) (NON) 873,512
....................................................................................................
32,398 du Pont (E.I.) de Nemours & Co., Ltd. 1,945,905
....................................................................................................
31,480 Eastman Chemical Co. 1,875,028
....................................................................................................
41,270 Witco Chemical Corp. 1,684,332
- ----------------------------------------------------------------------------------------------------
8,704,560
- ----------------------------------------------------------------------------------------------------
Computer Equipment (0.1%)
....................................................................................................
11,800 Asustek Computer, Inc. GDR (Taiwan) (NON) 224,200
....................................................................................................
4,000 PMC - Sierra, Inc. (NON) 124,000
....................................................................................................
48,235 Seagate Technology, Inc. (NON) 928,524
- ----------------------------------------------------------------------------------------------------
1,276,724
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (3.9%)
....................................................................................................
10,800 Analysts International Corp. 372,600
....................................................................................................
7,000 Arbor Software Corp. (NON) 283,500
....................................................................................................
3,000 Aspect Development, Inc. (NON) 156,000
....................................................................................................
14,000 Aware, Inc. (NON) 143,500
....................................................................................................
8,200 Best Software, Inc. (NON) 75,850
....................................................................................................
44,200 BMC Software, Inc. (NON) 2,900,625
....................................................................................................
44,800 Compaq Computer Corp. (NON) 2,528,400
....................................................................................................
11,800 Complete Business Solutions, Inc. (NON) 513,300
....................................................................................................
126,930 Computer Associates Intl., Inc. 6,711,424
....................................................................................................
11,412 Computer Horizons Corp. (NON) 519,246
....................................................................................................
16,200 Computer Learning Centers, Inc. (NON) 992,250
....................................................................................................
9,700 Computer Task Group, Inc. 344,956
....................................................................................................
51,300 Compuware Corp. (NON) 1,641,600
....................................................................................................
23,300 Dell Computer Corp. (NON) 1,957,200
....................................................................................................
10,600 Discreet Logic, Inc. (NON) 232,538
....................................................................................................
91,600 EMC Corp. (NON) 2,513,275
....................................................................................................
8,800 Harbinger Corp. (NON) 247,500
....................................................................................................
8,400 IDT Corp. (NON) 170,100
....................................................................................................
8,900 Industri-Matematik International Corp.
(Sweden) (NON) 262,550
....................................................................................................
4,200 Information Management Associates, Inc. (NON) 39,375
....................................................................................................
8,965 Information Management Resources, Inc. (NON) 336,188
....................................................................................................
17,000 Keane, Inc. (NON) 690,625
....................................................................................................
6,800 Legato Systems, Inc. (NON) 299,200
....................................................................................................
43,200 Microsoft Corp. (NON) 5,583,600
....................................................................................................
407 Midisoft Corp. (NON) 254
....................................................................................................
45,755 NCR Corp. (NON) 1,272,561
....................................................................................................
36,800 Parametric Technology Corp. (NON) 1,743,400
....................................................................................................
8,400 Pegasus Systems, Inc. (NON) 124,950
....................................................................................................
84,200 PeopleSoft, Inc. (NON) 3,283,800
....................................................................................................
13,300 Peregrine Systems, Inc. (NON) 177,888
....................................................................................................
4,000 Peritus Software Services, Inc. (NON) 81,500
....................................................................................................
3,800 Pinnacle Systems, Inc. (NON) 92,625
....................................................................................................
11,700 Simione Central Holdings, Inc. (NON) 105,300
....................................................................................................
11,900 Simulation Sciences Inc. (NON) 190,400
....................................................................................................
1,900 Software AG Systems, Inc. (NON) 27,550
....................................................................................................
8,700 Summit Design, Inc. (NON) 90,263
....................................................................................................
17,575 Technology Solutions Co. (NON) 463,541
- ----------------------------------------------------------------------------------------------------
37,169,434
- ----------------------------------------------------------------------------------------------------
Computers (-%)
....................................................................................................
13,000 Acer Inc. GDR (Taiwan) (NON) 99,125
- ----------------------------------------------------------------------------------------------------
Conglomerates (0.8%)
....................................................................................................
252,218 BTR PLC (United Kingdom) 765,270
....................................................................................................
70,000 Hutchison Whampoa, Ltd. (Hong Kong) 439,149
....................................................................................................
162,500 Lonrho PLC (South Africa) 247,225
....................................................................................................
69,224 Securicor Group PLC Class A
(United Kingdom) 325,899
....................................................................................................
63,555 Tenneco, Inc. 2,510,423
....................................................................................................
218,632 Tomkins PLC (United Kingdom) 1,049,125
....................................................................................................
35,025 TRW, Inc. 1,869,459
- ----------------------------------------------------------------------------------------------------
7,206,550
- ----------------------------------------------------------------------------------------------------
Consumer Durable Goods (-%)
....................................................................................................
160,000 Guangdong Kelon Elec Holding
(Hong Kong) 164,197
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (2.4%)
....................................................................................................
38,400 American Brands, Inc. 2,822,400
....................................................................................................
168,241 B A T Industries PLC (United Kingdom) 1,536,959
....................................................................................................
22,000 Estee Lauder Cos. Class A 1,131,625
....................................................................................................
13,500 French Fragrances Inc. (NON) 123,188
....................................................................................................
910 Hedstrom Holdings, Inc. 144A 1,137
....................................................................................................
4,300 Holt's Cigar Holdings, Inc. (NON) 39,238
....................................................................................................
65,000 KAO Corp. (Japan) 937,476
....................................................................................................
66,940 Kimberly-Clark Corp. 3,300,979
....................................................................................................
92,900 Kimberly-Clark de Mexico, S.A. de C.V.
Class A (Mexico) 455,166
....................................................................................................
35,900 Liz Claiborne, Inc. 1,501,069
....................................................................................................
23,000 Onward Kashiyama Co. Ltd. (Japan) 266,436
....................................................................................................
64,440 Philip Morris Cos., Inc. 2,919,938
....................................................................................................
60,800 Procter & Gamble Co. 4,852,600
....................................................................................................
42,000 PT Gudang Garam (Indonesia) 65,141
....................................................................................................
44,460 RJR Nabisco Holdings Corp. 1,667,250
....................................................................................................
34,599 Svenska Cellulosa AB Class B, (Sweden) 778,648
....................................................................................................
9,200 Wesley Jessen VisionCare, Inc. (NON) 358,800
- ----------------------------------------------------------------------------------------------------
22,758,050
- ----------------------------------------------------------------------------------------------------
Consumer Products (0.5%)
....................................................................................................
54,335 Clorox Co. 4,295,861
....................................................................................................
6,500 General Cigar Holdings, Inc. (NON) 138,531
....................................................................................................
12,500 Home Products International, Inc. (NON) 146,875
....................................................................................................
600 Souza Cruz S.A. (Brazil) 4,839
....................................................................................................
5,700 Weider Nutrition Internatiional, Inc. 70,894
- ----------------------------------------------------------------------------------------------------
4,657,000
- ----------------------------------------------------------------------------------------------------
Consumer Related (0.1%)
....................................................................................................
112,400 Unilever Group (United Kingdom) 965,661
- ----------------------------------------------------------------------------------------------------
Consumer Services (0.9%)
....................................................................................................
2,900 American Coin Merchandising, Inc. (NON) 51,113
....................................................................................................
130 AmeriKing, Inc. (NON) 6,500
....................................................................................................
2,200 Applied Graphics Technologies, Inc. 117,150
....................................................................................................
6,600 Bright Horizons, Inc. (NON) 123,750
....................................................................................................
16,100 Dollar Thrify Automotive Group, Inc. (NON) 330,050
....................................................................................................
6,900 Fine Host Corp. (NON) 34,500
....................................................................................................
6,700 Indian Hotels, Co. Ltd. GDR (India) 123,950
....................................................................................................
41,100 Interpublic Group Cos. Inc. 2,047,294
....................................................................................................
78,000 Kentucky Fried Chicken Holdings Berhad
(Malaysia) 126,454
....................................................................................................
6,600 Learning Tree International, Inc. (NON) 190,575
....................................................................................................
9,300 Market Facts, Inc. (NON) 155,775
....................................................................................................
45,400 Marriott International, Inc. 3,143,950
....................................................................................................
5,600 Morton's Restaurant Group, Inc. (NON) 113,400
....................................................................................................
14,350 On Assignment, Inc. (NON) 380,275
....................................................................................................
4,200 PJ America Inc. (NON) 63,000
....................................................................................................
19,000 Rent-Way, Inc. 351,500
....................................................................................................
8,150 Stewart Enterprises, Inc. Class A 379,994
....................................................................................................
13,950 Strayer Education, Inc. (NON) 460,350
....................................................................................................
8,200 Travel Services International Inc. (NON) 194,750
....................................................................................................
3,100 Trendwest Resorts, Inc. (NON) 70,913
- ----------------------------------------------------------------------------------------------------
8,465,243
- ----------------------------------------------------------------------------------------------------
Correctional Facilities (-%)
....................................................................................................
8,000 Wackenhut Corrections Corp. (NON) 215,000
- ----------------------------------------------------------------------------------------------------
Education (0.1%)
....................................................................................................
10,100 Education Management Corp. 313,100
....................................................................................................
11,500 Youth Services International, Inc. (NON) 180,406
- ----------------------------------------------------------------------------------------------------
493,506
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (3.7%)
....................................................................................................
166 ABB AG Bearer (Switzerland) (NON) 208,423
....................................................................................................
5,500 Act Manufacturing, Inc. (NON) 77,688
....................................................................................................
7,000 Adflex Solutions, Inc. (NON) 112,875
....................................................................................................
16,300 Advanced Lighting Technologies, Inc. (NON) 309,700
....................................................................................................
2,500 Applied Micro Circuits Corp. (NON) 30,938
....................................................................................................
3,800 Ase Test Limited (Taiwan) (NON) 248,425
....................................................................................................
4,300 ATMI, Inc. 104,275
....................................................................................................
6,300 Brooks Automation, Inc. 115,763
....................................................................................................
41,000 Canon, Inc. (Japan) 956,194
....................................................................................................
18,500 Computer Products, Inc. (NON) 418,563
....................................................................................................
72,400 Cookson Group PLC (United Kingdom) 235,194
....................................................................................................
15,386 Credence Systems Corp. (NON) 455,810
....................................................................................................
15,286 Delaware Global Technologies Corp. (NON) 152,860
....................................................................................................
17,580 Eaton Corp. 1,569,015
....................................................................................................
11,700 EFTC Corp. (NON) 190,125
....................................................................................................
37,515 Emerson Electric Co. 2,117,253
....................................................................................................
9,000 Flextronics International Ltd. (NON) 310,500
....................................................................................................
107,000 General Electric Co. 7,851,125
....................................................................................................
151,162 General Electric Co. PLC
(United Kingdom) 983,355
....................................................................................................
13,900 Harmonic Lightwaves, Inc. (NON) 151,163
....................................................................................................
4,200 Helix Technology Corp. 81,900
....................................................................................................
58,615 Hewlett-Packard Co. 3,663,438
....................................................................................................
7,000 Hirose Electric Co. Ltd. (Japan) 358,189
....................................................................................................
2,900 Innovative Valve Technologies, Inc. (NON) 58,725
....................................................................................................
5,400 Integrated Process Equipment Corp. (NON) 85,050
....................................................................................................
46,210 Intel Corp. 3,246,253
....................................................................................................
3,900 LeCroy Corp. (NON) 117,975
....................................................................................................
6,300 Micrel, Inc. (NON) 176,400
....................................................................................................
15,481 Molins PLC (United Kingdom) 74,287
....................................................................................................
11,000 Murata Manufacturing Co. Ltd. (Japan) 276,793
....................................................................................................
46,000 Omron Corp. (Japan) 719,908
....................................................................................................
19,102 Philips Electronics N.V. (Netherlands) 1,146,497
....................................................................................................
7,000 Photronics, Inc. (NON) 169,750
....................................................................................................
11,300 Power Integrations, Inc. (NON) 104,525
....................................................................................................
7,000 Rohm Co. Ltd. (Japan) 714,231
....................................................................................................
4,824 Sanmina Corp. (NON) 326,826
....................................................................................................
5,100 SDL, Inc. (NON) 73,950
....................................................................................................
17,026 SGS-Thomson Microelectronics ADR
(France) (NON) 1,039,650
....................................................................................................
15,400 Siebe PLC (United Kingdom) 303,465
....................................................................................................
7,200 Siliconware Precision Industries Co. GDR
(Taiwan) (NON) 92,340
....................................................................................................
13,000 Sony Corp. (Japan) 1,156,885
....................................................................................................
8,200 Taiwan Semiconductor Manufacturing Co.
ADR (Taiwan) (NON) 149,138
....................................................................................................
97,270 Texas Instruments, Inc. 4,377,150
....................................................................................................
10,000 Tokyo Electron Ltd. (Japan) 320,675
- ----------------------------------------------------------------------------------------------------
35,433,244
- ----------------------------------------------------------------------------------------------------
Energy-Related (0.1%)
....................................................................................................
124,000 Beijing Datang Power
Generation Co., Ltd. (China) (NON) 56,823
....................................................................................................
12,800 BSES Ltd. (India) (NON) 224,000
....................................................................................................
7,500 Huaneng Power International, Inc. ADR
(China)(NON) 173,906
....................................................................................................
3,400 KTI, Inc. (NON) 55,675
....................................................................................................
86,000 Malakoff Berhard (Malaysia) 179,259
- ----------------------------------------------------------------------------------------------------
689,663
- ----------------------------------------------------------------------------------------------------
Entertainment (0.6%)
....................................................................................................
106,000 Berjaya Sports Toto Berhad (Malaysia) 271,410
....................................................................................................
44,300 Carnival Corp. Class A 2,453,113
....................................................................................................
20,400 ITT Corp. (NON) 1,690,650
....................................................................................................
6,500 Penske Motorsports, Inc. (NON) 161,688
....................................................................................................
102,000 Resorts World Bhd (Malaysia) 171,925
....................................................................................................
13,800 Signature Resorts, Inc. (NON) 301,875
....................................................................................................
14,400 Vistana, Inc. 331,200
- ----------------------------------------------------------------------------------------------------
5,381,861
- ----------------------------------------------------------------------------------------------------
Environmental Control (0.6%)
....................................................................................................
55,305 Browning-Ferris Industries, Inc. 2,046,285
....................................................................................................
8,005 Compagnie Generale des Eaux (France) (NON) 1,116,420
....................................................................................................
9,600 Superior Services, Inc. (NON) 277,200
....................................................................................................
55,200 USA Waste Services, Inc. (NON) 2,166,600
....................................................................................................
6,500 Waterlink, Inc. (NON) 107,250
- ----------------------------------------------------------------------------------------------------
5,713,755
- ----------------------------------------------------------------------------------------------------
Food and Beverages (3.1%)
....................................................................................................
77,700 Bass PLC (United Kingdom) 1,210,162
....................................................................................................
31,000 Campbell Soup Co. 1,801,875
....................................................................................................
216,000 China Foods Holdings Ltd. (Hong Kong) (NON) 71,100
....................................................................................................
82,800 Coca-Cola Enterprises, Inc. 2,944,575
....................................................................................................
22,600 Companhia Brasileira de Distribuicao
Grupo Pao de Acucar ADR (Brazil) (NON) 437,875
....................................................................................................
48,100 ConAgra, Inc. 1,578,281
....................................................................................................
126,700 Fomento Economico Mexicano, S.A.
de C.V. Class B, (Mexico)(NON) 1,018,378
....................................................................................................
41,085 General Mills, Inc. 2,942,713
....................................................................................................
292,828 Goodman Fielder Ltd. ADR (Australia) 465,140
....................................................................................................
132,856 Greencore Group PLC (Ireland) 625,238
....................................................................................................
75,000 Guangnan Holdings (Hong Kong) 61,477
....................................................................................................
42,665 Heinz (H.J.) Co. 2,167,915
....................................................................................................
1,600 NBTY, Inc. 53,400
....................................................................................................
1,312 Nestle S.A. (Switzerland) 1,965,082
....................................................................................................
95,000 NgFung Hong Ltd. (Hong Kong) 99,944
....................................................................................................
20,200 Panamerican Beverages, Inc. Class A,
(Mexico) 659,025
....................................................................................................
57,380 PepsiCo, Inc. 2,090,784
....................................................................................................
45,325 Quaker Oats Co. (The) 2,390,894
....................................................................................................
14,950 Ralston-Ralston Purina Group 1,389,416
....................................................................................................
69,770 Sara Lee Corp. 3,928,923
....................................................................................................
63,520 Whitman Corp. 1,655,490
- ----------------------------------------------------------------------------------------------------
29,557,687
- ----------------------------------------------------------------------------------------------------
Funeral/Cemetery Services (-%)
....................................................................................................
15,050 Equity Corporation International (NON) 348,031
- ----------------------------------------------------------------------------------------------------
Health Care (0.6%)
....................................................................................................
6,437 American HomePatient, Inc. (NON) 151,270
....................................................................................................
25,550 Cardinal Health, Inc. 1,919,444
....................................................................................................
7,000 Carematrix Corp. (NON) 201,250
....................................................................................................
5,450 Compdent Corp. (NON) 110,533
....................................................................................................
8,885 Concentra Managed Care, Inc. 299,869
....................................................................................................
98,400 HEALTHSOUTH Corp. (NON) 2,730,600
....................................................................................................
6,600 IMPATH, Inc. (NON) 216,150
....................................................................................................
4,600 NCS HealthCare, Inc. Class A (NON) 121,325
....................................................................................................
1,700 Pediatrix Medical Group, Inc. (NON) 72,675
....................................................................................................
6,050 Renal Care Group, Inc. (NON) 193,600
- ----------------------------------------------------------------------------------------------------
6,016,716
- ----------------------------------------------------------------------------------------------------
Hospital Management and Medical Services (0.1%)
....................................................................................................
8,600 Centennial HealthCare Corp. (NON) 195,650
....................................................................................................
7,700 Medquist, Inc. (NON) 267,575
....................................................................................................
3,900 Monarch Dental Corp. (NON) 51,675
....................................................................................................
10,125 National Surgery Centers, Inc. (NON) 265,781
....................................................................................................
3,400 OrthAlliance, Inc. Class A (NON) 31,025
....................................................................................................
11,500 Phymatrix, Inc. (NON) 181,125
....................................................................................................
12,000 ProMedCo Management Co. (NON) 121,500
- ----------------------------------------------------------------------------------------------------
1,114,331
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (10.6%)
....................................................................................................
20,041 ABN AMRO Holding N.V. (Netherlands) 390,730
....................................................................................................
37,870 Ahmanson (H.F.) & Co. 2,534,923
....................................................................................................
118,128 Allied Irish Banks PLC (Ireland) 1,145,544
....................................................................................................
59,400 American Express Co. 5,301,450
....................................................................................................
44,290 American General Corp. 2,394,428
....................................................................................................
33,300 American International Group, Inc. 3,621,375
....................................................................................................
38,715 AON Corp. 2,269,667
....................................................................................................
10,300 Associates First Capital Corp. 732,588
....................................................................................................
336 Baer Holdings AG (Switzerland) 623,031
....................................................................................................
34,205 Banc One Corp. 1,857,759
....................................................................................................
53,800 Banco Bradesco BRC . (Brazil) 530,287
....................................................................................................
12,100 Banco Frances del Rio de la Plata ADR
(Argentina) 331,238
....................................................................................................
21,348 Banco Frances del Rio de la Plata S.A.
ADR (Argentina) 198,149
....................................................................................................
29,000 Bangkok Bank Public Co., Ltd. (Thailand) 72,651
....................................................................................................
200,000 Bank Leumi Le-Israel (Israel) 336,011
....................................................................................................
63,930 Bank of Ireland (Ireland) 986,469
....................................................................................................
21,880 Bank of Nova Scotia (Canada) 1,031,079
....................................................................................................
70,200 BankAmerica Corp. 5,124,600
....................................................................................................
12,400 BankBoston Corp. 1,164,825
....................................................................................................
19,516 Bankers Trust New York Corp. (CUS) 2,194,330
....................................................................................................
8,590 Banque Nationale de Paris (France) 456,241
....................................................................................................
15,090 Beneficial Corp. 1,254,356
....................................................................................................
11,275 CIGNA Corp. 1,951,280
....................................................................................................
26,900 Comerica, Inc. 2,427,725
....................................................................................................
39,846 Commonwealth Bank of Australia
(Australia) 456,540
....................................................................................................
3,690 Compagnie Financiere de Paribas
Class A (France) 320,417
....................................................................................................
58,900 Conseco Inc. 2,676,269
....................................................................................................
1,200 Crestar Financial Corp. 68,400
....................................................................................................
76,000 Dao Heng Bank Group Ltd. (Hong Kong) 189,833
....................................................................................................
14,200 Deutsche Bank AG (Germany) (NON) 1,003,003
....................................................................................................
59,000 Development Bank of Singapore Ltd.
(Singapore) 505,413
....................................................................................................
9,400 Fifth Third Bancorp 768,450
....................................................................................................
63,290 First Chicago NBD Corp. 5,284,715
....................................................................................................
49,200 First National Bank Holdings Ltd.
(South Africa) 437,479
....................................................................................................
10,320 First Tennessee National Corp. 688,860
....................................................................................................
23,100 Franklin Resources, Inc. 2,008,256
....................................................................................................
170,000 Grupo Financiero Banamex Accival,
S.A. de C.V. Class B (Mexico) (NON) 509,241
....................................................................................................
63,800 Guoco Group Ltd. (Hong Kong) 156,066
....................................................................................................
28,500 Haci Omer Sabanci Holdings (Turkey)(NON) 434,625
....................................................................................................
16,700 Healthcare Recoveries, Inc. 371,575
....................................................................................................
1,408 Housing & Coml Bank Korea GDR (Korea) 10,208
....................................................................................................
46,461 HSBC Holdings PLC (United Kingdom) 1,145,512
....................................................................................................
30,300 Industrial Finance Corp. of Thailand
(Thailand) 4,681
....................................................................................................
30,754 Internationale Nederlanden Groep
(Netherlands) 1,296,343
....................................................................................................
21,000 Liberty Life Association fo Africa Ltd. 539,679
....................................................................................................
71,000 Malaysian Assurance Alliance Berhad
Class A (Malaysia) (NON) 81,487
....................................................................................................
123,712 MBNA Corp. 3,378,884
....................................................................................................
18,465 Mercantile Bancorpation, Inc. 1,135,598
....................................................................................................
19,566 Morgan (J.P.) & Co., Inc. 2,208,512
....................................................................................................
41,200 Morgan Stanley, Dean Witter,
Discover and Co. 2,435,950
....................................................................................................
16,300 National City Corp. 1,071,725
....................................................................................................
128,000 Nikko Securities Co. Ltd. (Japan) 339,762
....................................................................................................
34,000 Overseas Chinese Banking Corp.
(Singapore) 198,215
....................................................................................................
53,000 Overseas Union Bank Ltd. (Singapore) 203,361
....................................................................................................
84,915 PNC Bank Corp. 4,845,462
....................................................................................................
8,140 Promise Co., Ltd. (Japan) 452,118
....................................................................................................
38,450 QBE Insurance Group Ltd. (Australia) 172,889
....................................................................................................
22,440 Regions Financial Corp. 946,688
....................................................................................................
7,950 Reinsurance Group America, Inc. 338,372
....................................................................................................
22,900 Royal & Sun Alliance Insurance
Group PLC (United Kingdom) 231,482
....................................................................................................
9,000 Royal Bank of Canada (Canada) 477,960
....................................................................................................
31,000 Sivensa A ADR (Sweden) 129,707
....................................................................................................
5,494 Societe Generale (France) 747,979
....................................................................................................
700 Southtrust Corp. 44,406
....................................................................................................
13,000 State Bank of India 144A GDR (India) 225,875
....................................................................................................
21,020 Summit Bancorp 1,119,315
....................................................................................................
16,775 SunTrust Banks, Inc. 1,197,316
....................................................................................................
63,800 Tele-Communications TCI ventures
Group Class A (NON) 1,806,338
....................................................................................................
102,348 Travelers Group Inc. 5,513,999
....................................................................................................
19,935 Union Planters Corp. 1,354,334
....................................................................................................
1,143 United Bank of Switzerland (Switzerland) 1,651,739
....................................................................................................
119,000 United Overseas Bank Ltd. (Singapore) (NON) 661,898
....................................................................................................
99,550 USF&G Corp. 2,196,322
....................................................................................................
75,575 Washington Mutual, Inc. 4,822,630
....................................................................................................
5,400 Wells Fargo & Co. 1,832,963
....................................................................................................
145,900 Westpac Banking Corp. (Australia) 932,333
....................................................................................................
13,500 Yapi ve Kredi Bankasi A.S. GDR (Turkey) (NON) 519,750
....................................................................................................
905 Zurich Versicherungs-Gesellschaft
(Switzerland) 430,982
- ----------------------------------------------------------------------------------------------------
101,512,652
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (1.0%)
....................................................................................................
58,325 Baxter International, Inc. 2,941,767
....................................................................................................
4,700 CN Biosciences, Inc. (NON) 117,500
....................................................................................................
11,400 Cytyc Corp. (NON) 283,575
....................................................................................................
7,400 Igen, Inc. (NON) 98,050
....................................................................................................
5,900 Minimed, Inc. (NON) 229,363
....................................................................................................
9,600 Ranbaxy Laboratories GDR Ltd. (India) 246,000
....................................................................................................
10,300 Sabratek Corp. (NON) 296,125
....................................................................................................
6,800 Spine-Tech, Inc. (NON) 349,775
....................................................................................................
106,000 Tyco International Ltd. (NON) 4,776,625
....................................................................................................
5,100 Xomed Surgical Products Inc. (NON) 122,400
- ----------------------------------------------------------------------------------------------------
9,461,180
- ----------------------------------------------------------------------------------------------------
Metals and Mining (0.3%)
....................................................................................................
86,500 Billiton PLC (United Kingdom) (NON) 222,296
....................................................................................................
33,300 Companhia Vale do Rio Doce ADR
(Brazil) 659,373
....................................................................................................
10,200 Compania Siderurgica Nacional (Brazil) 283,333
....................................................................................................
7,200 Hindalco Industries Ltd. (Luxembourg) (NON) 141,750
....................................................................................................
20,900 KGHM Polska Miedz S.A. GDR (Poland) (NON) 143,688
....................................................................................................
16,300 Madeco S. A. ADR (Chile) 248,575
....................................................................................................
2,240 Pohang Iron & Steel Company, Ltd.
(South Korea) 62,478
....................................................................................................
69,820 Rio Tinto PLC (United Kingdom) 862,348
....................................................................................................
48,200 Sasol Ltd. (South Africa) 504,396
- ----------------------------------------------------------------------------------------------------
3,128,237
- ----------------------------------------------------------------------------------------------------
Oil and Gas (5.0%)
....................................................................................................
28,070 Amoco Corp. 2,389,459
....................................................................................................
27,985 Atlantic Richfield Co. 2,242,298
....................................................................................................
78,412 British Petroleum Co. PLC
(United Kingdom) 1,034,411
....................................................................................................
24,490 British Petroleum PLC ADR
(United Kingdom) 1,951,547
....................................................................................................
66,126 Burmah Castrol PLC (United Kingdom) 1,155,843
....................................................................................................
52,000 Cia Naviera Perez Co. (Argentina) 371,354
....................................................................................................
27,952 Coastal Corp. 1,731,277
....................................................................................................
10,636 Elf Aquitaine SA (France) 1,236,128
....................................................................................................
53,410 Elf Aquitane ADR (France) 3,131,161
....................................................................................................
75,000 Engen Ltd. (South Africa) 381,630
....................................................................................................
15,700 Enron Corp. 652,531
....................................................................................................
226,476 Ente Nazionale Idrocarburi SPA (Italy) (NON) 1,284,405
....................................................................................................
89,576 Exxon Corp. 5,480,932
....................................................................................................
82,000 Halliburton Co. 4,258,875
....................................................................................................
144,000 Hong Kong and China Gas Co., Ltd.
(Hong Kong) 278,825
....................................................................................................
18,375 Kerr-McGee Corp. 1,163,367
....................................................................................................
7,400 Lukoil Holding ADR (Russia) 680,800
....................................................................................................
55,540 Mobil Corp. 4,009,294
....................................................................................................
61,146 Occidental Petroleum Corp. 1,792,342
....................................................................................................
16,100 Petroleo Brasileiro S/A-Petrobras ADR
(Brazil) 380,363
....................................................................................................
13,900 Petroleo Brasileiro S/A-Petrobras ADR
(Brazil) (NON) 328,388
....................................................................................................
12,300 PTT Exploration & Production PLC
(Thailand) 142,259
....................................................................................................
23,600 Ramco Energy PLC ADR
(United Kingdom) (NON) 314,175
....................................................................................................
53,700 Schlumberger Ltd. 4,322,850
....................................................................................................
144,869 Shell Transportation & Trading
(United Kingdom) 1,051,112
....................................................................................................
2,400 Tatneft ADR (Russia) 342,000
....................................................................................................
58,735 Tosco Corp. 2,220,917
....................................................................................................
12,591 Total Corp. ADR Class B, (France) 1,369,269
....................................................................................................
50,400 YPF S.A. ADR (Argentina) 1,723,050
....................................................................................................
150,000 Zhenhai Refining and Chemical Co.
Class H, (China) (NON) 62,445
- ----------------------------------------------------------------------------------------------------
47,483,307
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (0.4%)
....................................................................................................
11,200 Asia Pulp & Paper Co. Ltd. ADR
(Singapore) (NON) 112,700
....................................................................................................
54,795 Boise Cascade Corp. 1,657,549
....................................................................................................
15,481 Mayr-Melnhof Karton AG 144A ADS
(Austria) (NON) 205,123
....................................................................................................
296,000 PT Indah Kiat Pulp & Paper Corp.
(Indonesia) 53,446
....................................................................................................
12,685 Temple Inland, Inc. 663,584
....................................................................................................
42,420 Willamette Industries, Inc. 1,365,394
- ----------------------------------------------------------------------------------------------------
4,057,796
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (5.0%)
....................................................................................................
39,490 American Home Products Corp. 3,020,985
....................................................................................................
16,894 Astra AB (Sweden) 292,870
....................................................................................................
89,160 Bristol-Myers Squibb Co. 8,436,765
....................................................................................................
8,150 Dura Pharmaceuticals, Inc. (NON) 373,881
....................................................................................................
43,800 Glaxo Wellcome PLC (United Kingdom) 1,040,057
....................................................................................................
23,445 Glaxo Wellcome PLC ADR
(United Kingdom) (NON) 1,122,429
....................................................................................................
39,200 Johnson & Johnson 2,582,300
....................................................................................................
35,900 Lilly (Eli) & Co. 2,499,538
....................................................................................................
12,700 Medicis Pharmaceutical Corp. Class A (NON) 649,288
....................................................................................................
71,875 Merck & Co., Inc. 7,636,719
....................................................................................................
547 Novartis AG ADR (Switzerland) 887,027
....................................................................................................
73,000 Pfizer, Inc. 5,443,063
....................................................................................................
119,867 Pharmacia & Upjohn, Inc. 4,390,129
....................................................................................................
13,709 Pharmacia & Upjohn, Inc. ADS (Sweden) 504,694
....................................................................................................
17,000 Sankyo Co., Ltd. (Japan) 384,733
....................................................................................................
49,700 Schering-Plough Corp. 3,087,613
....................................................................................................
6,800 Trimeris, Inc. (NON) 88,400
....................................................................................................
39,100 Warner-Lambert Co. 4,848,400
....................................................................................................
18,000 Yamanouchi Pharmaceutical Co., Ltd.
(Japan) 386,651
- ----------------------------------------------------------------------------------------------------
47,675,542
- ----------------------------------------------------------------------------------------------------
Photography (0.6%)
....................................................................................................
42,795 Eastman Kodak Co. 2,602,471
....................................................................................................
21,000 Fuji Photo Film Co. (Japan) 805,523
....................................................................................................
46,985 Polaroid Corp. 2,287,582
- ----------------------------------------------------------------------------------------------------
5,695,576
- ----------------------------------------------------------------------------------------------------
Publishing (0.8%)
....................................................................................................
5,000 Consolidated Graphics, Inc. (NON) 233,125
....................................................................................................
88,000 Gannett Co., Inc. 5,439,500
....................................................................................................
23,445 McGraw-Hill, Inc. 1,734,930
....................................................................................................
11,200 Times Mirror Co. Class A 688,800
- ----------------------------------------------------------------------------------------------------
8,096,355
- ----------------------------------------------------------------------------------------------------
Real Estate (0.3%)
....................................................................................................
377,000 Amoy Properties Ltd. (Hong Kong) 330,924
....................................................................................................
602,000 Ayala Land, Inc. Class B, (France) 240,800
....................................................................................................
1,822,000 Belle Corp. (Philippines) (NON) 71,058
....................................................................................................
1,200 CB Commercial Real Estate
Services Group, Inc. (R)(NON) 38,625
....................................................................................................
95,000 Cheung Kong Holdings Ltd. (Hong Kong) 622,354
....................................................................................................
14,700 Grupo Accion, S.A. de C.V. 144A ADR
(Mexico) (NON) 152,513
....................................................................................................
1,000,000 SM Prime Holdings Inc. 150,000
....................................................................................................
17,500 Starwood Lodging Trust 1,012,813
....................................................................................................
42,000 Sun Hung Kai Properties Ltd.
(Hong Kong) 292,766
- ----------------------------------------------------------------------------------------------------
2,911,853
- ----------------------------------------------------------------------------------------------------
Retail (4.3%)
....................................................................................................
3,750 99 Cents Only Stores (NON) 110,625
....................................................................................................
166,000 Cifra S.A. de CV (Mexico) 408,102
....................................................................................................
41,400 CompUSA, Inc. (NON) 1,283,400
....................................................................................................
49,400 Consolidated Stores Corp. (NON) 2,170,513
....................................................................................................
6,000 Cost Plus, Inc. (NON) 174,000
....................................................................................................
72,700 Costco Companies, Inc. (NON) 3,244,238
....................................................................................................
78,327 CVS Corp. 5,017,823
....................................................................................................
45,400 Dayton Hudson Corp. 3,064,500
....................................................................................................
10,500 Distribucion y Servicio D&S S.A. ADR
(Chile) (NON) 194,906
....................................................................................................
43,800 Dixons Group PLC (United Kingdom) 441,302
....................................................................................................
6,300 Hibbett Sporting Goods, Inc. (NON) 138,600
....................................................................................................
29,900 Home Depot, Inc. (The) 1,760,363
....................................................................................................
6,100 Hot Topic, Inc. (NON) 138,775
....................................................................................................
900 Il Fornaio (America) Corp. 13,388
....................................................................................................
15,000 Ito-Yokado Co., Ltd. (Japan) 765,247
....................................................................................................
23,300 Jones Apparel Group, Inc. (NON) 1,001,900
....................................................................................................
163,195 K mart Corp. (NON) 1,886,942
....................................................................................................
8,900 Linens 'N Things, Inc. 388,263
....................................................................................................
44,690 Lowe's Cos., Inc. 2,131,154
....................................................................................................
7,000 Men's Wearhouse, Inc. (The) (NON) 243,250
....................................................................................................
1,300 Penney (J.C.) Co., Inc. 78,406
....................................................................................................
8,200 Piercing Pagoda, Inc. (NON) 235,750
....................................................................................................
59,000 PT Ramayana Lestari Sentosa (Indonesia) 56,543
....................................................................................................
25,400 Rexall Sundown, Inc. (NON) 766,763
....................................................................................................
26,300 Safeway, Inc. (NON) 1,663,475
....................................................................................................
35,500 Supersol Ltd. ADR (NON) (Israel) 499,219
....................................................................................................
15,500 The North Face, Inc. (NON) 341,000
....................................................................................................
69,500 TJX Cos., Inc. (The) 2,389,063
....................................................................................................
77,980 Toys R Us (NON) 2,451,496
....................................................................................................
7,600 Track 'n Trail Inc. (NON) 67,450
....................................................................................................
14,269 Vendex International N.V. (Netherlands) 788,105
....................................................................................................
125,200 Wal-Mart Stores, Inc. 4,937,575
....................................................................................................
73,800 Walgreen Co. 2,315,475
....................................................................................................
11,879 Wolverine World Wide, Inc. 268,762
- ----------------------------------------------------------------------------------------------------
41,436,373
- ----------------------------------------------------------------------------------------------------
Specialty Consumer Products (0.1%)
....................................................................................................
9,200 Action Performance Cos., Inc. (NON) 348,450
....................................................................................................
9,200 Guitar Center, Inc. (NON) 211,600
- ----------------------------------------------------------------------------------------------------
560,050
- ----------------------------------------------------------------------------------------------------
Telecommunications (1.6%)
....................................................................................................
23,400 Advanced Info Service Public Co., Ltd.
(Thailand) 112,359
....................................................................................................
5,100 AmeriLink Corp. (NON) 131,325
....................................................................................................
47,000 Asia Satellite Telecommunications
Holdings Ltd. (Hong Kong) 80,388
....................................................................................................
9,700 Bell Canada International Inc. (NON) 147,925
....................................................................................................
8,400 Black Box Corp. (NON) 297,150
....................................................................................................
6,000 Compania Anonima Nacional Telefonos de
Venezuela ADR (Venezuela) (NON) 249,750
....................................................................................................
25,800 Compania de Tele Chile ADS (Chile) 770,775
....................................................................................................
64,256 Deutsche Telekom AG (Germany) 1,209,714
....................................................................................................
11,471 Deutsche Telekom AG ADR (Germany) (NON) 213,647
....................................................................................................
5,450 Excel Switching Corp. (NON) 97,419
....................................................................................................
10,100 Hybrid Networks, Inc. (NON) 112,363
....................................................................................................
6,300 Intermedia Communications, Inc. (NON) 382,725
....................................................................................................
4,200 ITC Deltacom, Inc. 69,300
....................................................................................................
29,900 Lucent Technologies, Inc. 2,388,263
....................................................................................................
19,200 Mahanagar Telephone Nigam Ltd. (India) 296,640
....................................................................................................
11,250 Newbridge Networks Corp. (Canada) (NON) 393,970
....................................................................................................
1,269 NEXTEL Communications, Inc. 144A
(acquired 9/12/97, cost $20,477) 31,344
....................................................................................................
10,457 Northern Telecom Ltd. (Canada) (NON) 930,316
....................................................................................................
12,800 Omtool, Ltd. (NON) 131,200
....................................................................................................
9,997 Oy Nokia AB Class A, (Finland) 710,504
....................................................................................................
12,100 Philippine Long Distance ADR 266,200
....................................................................................................
14,659 Portugal Telecom S.A. (Portugal) 680,739
....................................................................................................
9,100 Portugal Telecom S.A. ADR (Portugal) 427,700
....................................................................................................
8,200 Premisys Communications, Inc. (NON) 214,225
....................................................................................................
45,000 PT Indosat (Indonesia) 85,002
....................................................................................................
11,900 PT Telekomunikasi Indonesia ADR
(Indonesia) (NON) 131,644
....................................................................................................
3,500 RF Micro Devices, Inc. (NON) 43,094
....................................................................................................
340 SK Telecom Co., Ltd. (South Korea) 105,330
....................................................................................................
18,279 Telefonaktiebolaget LM Ericsson Class B,
(Sweden) 687,917
....................................................................................................
40,300 Tellabs, Inc. (NON) 2,130,863
....................................................................................................
12,000 Videsh Sanchar Nigam Ltd. GDR (India)(NON) 162,000
....................................................................................................
291,244 Vodafone Group PLC (United Kingdom) 2,108,350
....................................................................................................
12,900 WinStar Communications. Inc. 321,694
- ----------------------------------------------------------------------------------------------------
16,121,835
- ----------------------------------------------------------------------------------------------------
Textiles (-%)
....................................................................................................
177,000 PT Indorama Synthetics (Indonesia) 80,308
- ----------------------------------------------------------------------------------------------------
Transportation (1.0%)
....................................................................................................
23,500 Canadian National Railway Co. (Canada) (NON) 1,110,375
....................................................................................................
16,420 Delta Air Lines, Inc. 1,953,980
....................................................................................................
10,050 Expeditors International of
Washington, Inc. 386,925
....................................................................................................
5,450 Jevic Transportation, Inc. (NON) 87,881
....................................................................................................
16,900 Linea Aerea Nacional Chile S.A. ADR
(Chile) (NON) 230,263
....................................................................................................
610 Norfolk Southern Corp. 18,796
....................................................................................................
41,300 Peninsular and Oriental Steam
Navigation Co. (United Kingdom) 471,618
....................................................................................................
50,530 Ryder System, Inc. 1,654,858
....................................................................................................
21,000 Tata Engineering & Locomotive Co., Ltd.
GDR (India) (NON) 173,250
....................................................................................................
41,705 Union Pacific Corp. 2,603,956
....................................................................................................
33,000 Yamato Transport Co., Ltd. (Japan) 443,038
- ----------------------------------------------------------------------------------------------------
9,134,940
- ----------------------------------------------------------------------------------------------------
Utilities (3.4%)
....................................................................................................
34,195 American Telephone & Telegraph Co. 2,094,444
....................................................................................................
26,780 Bell Atlantic Corp. 2,436,980
....................................................................................................
46,570 BellSouth Corp. 2,622,473
....................................................................................................
2,800 Centrais Eletricas de Santa Catarina S.A.
144A GDR (Brazil) (NON) 295,400
....................................................................................................
15,000 Companhia Energetica de Minas Gerais
ADR (Brazil) 652,500
....................................................................................................
70,328 Electricidade de Portugal S.A. (Portugal) (NON) 1,332,752
....................................................................................................
57,000 Electricity Generating Public Co. Ltd.
(Thailand) 107,098
....................................................................................................
31,500 Ericsson (L. M.) Telephone Co. ADR
Class B, (Sweden) 1,175,344
....................................................................................................
43,000 Hong Kong Electric Holdings Ltd.
(Hong Kong) 163,467
....................................................................................................
28,800 Korea Electric Power Corp. (South Korea) 266,761
....................................................................................................
16,000 Kurita Water Industries Ltd. (Japan) 163,253
....................................................................................................
84,000 Manila Electric Co. Class B (Philippines) 281,400
....................................................................................................
7,500 Mosenergo ADR (Russia) (NON) 277,500
....................................................................................................
66,328 SBC Communications, Inc. 4,858,526
....................................................................................................
162,895 Scottish Power PLC (United Kingdom) 1,445,143
....................................................................................................
134,450 Sprint Corp. 7,882,131
....................................................................................................
6,600 Telebras Co. ADR (Brazil) 768,488
....................................................................................................
17,600 Telefonica de Argentina S.A. ADR
(Argentina) 655,600
....................................................................................................
11,500 Telefonos de Mexico S.A. ADR Class L
(Mexico) 644,719
....................................................................................................
100,000 Telekom Malaysia (Malaysia) 295,934
....................................................................................................
18,500 Unified Energy Ststems GDR (Russia)(NON) 555,000
....................................................................................................
49,720 US West Communicatioins, Inc. 2,243,615
....................................................................................................
20,377 Veba (Vereinigte Elektrizitaets Bergwerks)
AG (Germany) 1,388,311
- ----------------------------------------------------------------------------------------------------
32,606,839
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $466,788,469) $584,854,433
- ----------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BONDS AND NOTES (8.7%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
FRF 39,330,000 France (Government of) bonds
5 1/2s, 2007 $6,608,328
....................................................................................................
DEM 15,195,000 Germany (Federal Republic of) bonds
Ser. 97, 6s, 2007 8,827,129
....................................................................................................
DEM 17,975,000 Germany (Federal Republic of) bonds
Ser. 92, 7 1/4s, 2002 11,001,940
....................................................................................................
DEM 23,880,000 Germany (Federal Republic of) bonds
Ser. 92, 8s, 2002 14,968,165
....................................................................................................
DEM 21,345,000 Germany (Federal Republic of) bonds
Ser. 97, 6s, 2007 12,393,871
....................................................................................................
DEM 9,020,000 Germany (Federal Republic of)
Unity Fund bonds 8s, 2002 5,603,637
....................................................................................................
NZD 3,565,000 New Zealand (Government of)
bonds 10s, 2002 2,263,098
....................................................................................................
NZD 2,705,000 New Zealand (Government of)
bonds 8s, 2004 1,630,087
....................................................................................................
USD 1,810,000 Quebec (Province of) deb. Ser. NM,
7 1/8s, 2024 1,864,137
....................................................................................................
USD 280,000 Russia (Government of) deb. principal
loans FRB 6.719s, 2020 173,600
....................................................................................................
ZAR 4,605,000 South Africa (Republic of) bonds
Ser. 153, 13s, 2010 901,308
....................................................................................................
SEK 20,900,000 Sweden (Government of) bonds,
Ser. 1037, 8s, 2007 3,014,210
....................................................................................................
GBP 3,775,000 United Kingdom Treasury bonds
7 1/2s, 2006 6,703,551
....................................................................................................
GBP 4,565,000 United Kingdom Treasury bonds 7s, 2002 7,661,753
- ----------------------------------------------------------------------------------------------------
Total Foreign Government Bonds
and Notes (cost $85,115,114) $83,614,814
- ----------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (8.9%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
U.S. Government Agency Mortgage Obligations (7.7%)
....................................................................................................
$1,408,947 Federal Home Loan Mortgage Corp.
8 1/2s, with due dates from July 1, 2026
to August 1, 2027 $1,470,589
....................................................................................................
Federal National Mortgage Association
Adjustable Rate Mortgages
....................................................................................................
435,543 7.346s, July 1, 2025 442,961
....................................................................................................
2,118,600 7s, with due dates from October 1, 2012
to December 1, 2012 2,151,692
....................................................................................................
Federal National Mortgage Association
Pass-through Certificates
....................................................................................................
1,450,569 9 1/2s, Dwarf, May 1, 2007 1,514,264
....................................................................................................
1,374,829 7.4s, May 1, 2026 1,352,488
....................................................................................................
459,061 7 1/2s, July 1, 2007 475,441
....................................................................................................
1,550,000 6 3/8s, August 15, 2007 1,017,122
....................................................................................................
6,662,492 6 1/2s, with due dates from
August 1, 2025 to September 1, 2027 6,579,219
....................................................................................................
5,123,127 5 1/2s, Dwarf, with due dates from
February 1, 2011 to June 1, 2011 4,948,588
....................................................................................................
Government National Mortgage Association
....................................................................................................
635,000 7s, TBA, January 15, 2028 640,156
....................................................................................................
450,000 7s, TBA, January 15, 2028 460,053
....................................................................................................
1,415,000 6s, TBA, January 16, 2028 1,427,381
....................................................................................................
275,000 5 1/2s, TBA, March 15, 2028 275,429
....................................................................................................
4,335,000 5 1/2s, TBA, February 16, 2028 4,321,453
....................................................................................................
Government National Mortgage Association
Adjustable Rate Mortgages
....................................................................................................
1,405,829 7 3/8s, with due dates from
April 20, 2023 to June 20, 2026 1,446,052
....................................................................................................
117,282 7 1/8s, September 20, 2023 120,104
....................................................................................................
1,957,199 6 7/8s, with due dates from
November 20, 2021 to
October 20, 2025 1,992,939
....................................................................................................
946,766 6 1/2s, August 20, 2025 972,655
....................................................................................................
1,013,429 6s, with due dates from May 20, 2024
to June 20, 2024 1,040,261
....................................................................................................
652,524 5 1/2s, November 1, 2023 671,389
....................................................................................................
Government National Mortgage Association
Pass-through Certificates
....................................................................................................
82,567 11s, December 15, 2015 94,011
....................................................................................................
1,138,696 10s, June 15, 2013 1,255,560
....................................................................................................
294,793 8 1/2s, with due dates from
May 15, 2026 to November 15, 2026 309,626
....................................................................................................
19,155,187 7 1/2s, with due dates from
January 15, 2024 to October 15, 2027 19,622,303
....................................................................................................
14,819,171 7s, with due dates from July 15, 2025
to November 15, 2027 14,940,720
....................................................................................................
3,688,314 7s, Midget, with due dates from
September 15, 2010 to
November 15, 2012 3,755,151
- ----------------------------------------------------------------------------------------------------
73,297,607
- ----------------------------------------------------------------------------------------------------
U.S. Treasury Obligations (1.3%)
....................................................................................................
U.S. Treasury Notes
....................................................................................................
1,090,000 6 1/8s, August 15, 2007 1,120,149
....................................................................................................
7,290,000 5 3/4s, November 15, 2000 # 7,303,632
....................................................................................................
3,590,000 5 5/8s, October 31, 1999 # 3,586,625
- ----------------------------------------------------------------------------------------------------
12,010,406
- ----------------------------------------------------------------------------------------------------
Total U.S. Government and
Agency Obligations
(cost $84,866,217) $85,308,013
- ----------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES (9.7%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
Advertising (0.1%)
....................................................................................................
$95,000 Adams Outdoor Advertising sr. notes
10 3/4s, 2006 $104,025
....................................................................................................
75,000 Lamar Advertising Co. company guaranty
8 5/8s, 2007 76,781
....................................................................................................
255,000 Lamar Advertising Co. sr. sub. notes
9 5/8s, 2006 272,850
....................................................................................................
10,000 Outdoor Comunications Inc. sr. sub.
notes 9 1/4s, 2007 10,225
....................................................................................................
100,000 Outdoor Systems, Inc. company guaranty
8 7/8s, 2007 104,250
....................................................................................................
15,000 Outdoor Systems, Inc. sr. sub. notes
9 3/8s, 2006 15,938
....................................................................................................
112,000 Universal Outdoor, Inc. sr. sub. notes
9 3/4s, 2006 125,720
- ----------------------------------------------------------------------------------------------------
709,789
- ----------------------------------------------------------------------------------------------------
Aerospace and Defense (0.2%)
....................................................................................................
325,000 BE Aerospace sr. sub. notes Ser. B,
9 7/8s, 2006 342,875
....................................................................................................
25,000 K & F Industries, Inc.144A sr. sub. notes
9 1/4s, 2007 25,625
....................................................................................................
275,000 Lockheed Martin Corp. company guaranty
7 1/4s, 2006 288,225
....................................................................................................
1,125,000 Raytheon Co notes 6.45s, 2002 1,130,524
....................................................................................................
5,000 Sequa Corp. sr. sub. notes 9 3/8s, 2003 5,200
....................................................................................................
10,000 Tracor, Inc. sr. sub. notes 8 1/2s, 2007 10,100
- ----------------------------------------------------------------------------------------------------
1,802,549
- ----------------------------------------------------------------------------------------------------
Agriculture (0.1%)
....................................................................................................
585,000 Potash Corp. of Saskatchewan notes
7 1/8s, 2007 (Cananda) 598,315
....................................................................................................
579,913 Premium Standard Farms, Inc. sr. secd.
notes 11s, 2003 (PIK) 637,904
- ----------------------------------------------------------------------------------------------------
1,236,219
- ----------------------------------------------------------------------------------------------------
Apparel (-%)
....................................................................................................
60,000 GFSI, Inc. sr. sub. notes Ser. B, 9 5/8s, 2007 61,800
....................................................................................................
50,000 Sassco Fashions Ltd. sr. notes 12 3/4s, 2004 52,938
- ----------------------------------------------------------------------------------------------------
114,738
- ----------------------------------------------------------------------------------------------------
Automotive (-%)
....................................................................................................
30,000 Delco Remy International, Inc. 144A
sr. notes 8 5/8s, 2007 30,413
....................................................................................................
30,000 Hayes Wheels International, Inc.
company guaranty Ser. B, 9 1/8s, 2007 31,013
....................................................................................................
75,000 Lear Corp. sub. notes 9 1/2s, 2006 82,500
....................................................................................................
45,000 Safety Components International, Inc.
sr. sub. notes Ser. B, 10 1/8s, 2007 46,575
- ----------------------------------------------------------------------------------------------------
190,501
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (-%)
....................................................................................................
105,000 Clark-Schwebel sr. notes 10 1/2s, 2006 114,450
....................................................................................................
55,000 Owens-Illinois, Inc. sr. notes 8.1s, 2007 58,538
- ----------------------------------------------------------------------------------------------------
172,988
- ----------------------------------------------------------------------------------------------------
Biotechnology (0.1%)
....................................................................................................
660,000 Millipore Corp. notes 7.2s, 2002 672,877
- ----------------------------------------------------------------------------------------------------
Broadcasting (0.3%)
....................................................................................................
40,000 Acme Television/Finance 144A sr. disc.
notes stepped-coupon zero %
(10 7/8s, 9/30/00), 2004 (STP) 29,450
....................................................................................................
115,000 Affinity Group Holdings sr. notes 11s, 2007 122,475
....................................................................................................
50,000 American Telecasting, Inc. sr. disc.
notes stepped-coupon zero %
(14 1/2s, 8/15/00), 2005 (STP) 15,000
....................................................................................................
77,000 Argyle Television Corp. sr. sub. notes
9 3/4s, 2005 86,240
....................................................................................................
175,000 Capstar Broadcasting sr. disc. notes
stepped-coupon zero %
(12 3/4s, 2/1/02), 2009 (STP) 124,250
....................................................................................................
110,000 Capstar Broadcasting sr. sub. notes
9 1/4s, 2007 110,550
....................................................................................................
10,000 Central European Media Enterprises Ltd.
sr. notes 9 3/8s, 2004 (Bermuda) 9,900
....................................................................................................
150,000 Chancellor Media Corp. 144A sr. sub.
notes 8 1/8s, 2007 146,813
....................................................................................................
40,000 Citadel Broadcasting Co. 144A
10 1/4s, 2007 43,300
....................................................................................................
100,000 Comcast Corp. sr. sub. notes 9 1/2s, 2008 105,996
....................................................................................................
95,000 Commodore Media, Inc. sr. sub. notes
stepped-coupon zero % (7 1/2s, 5/1/98),
2003 (STP) 106,400
....................................................................................................
130,000 Fox/Liberty Networks LLC 144A sr.
discount notes stepped-coupon zero %
(9 3/4s,8/15/02), 2007 (STP) 83,200
....................................................................................................
60,000 Fox/Liberty Networks LLC 144A sr.
notes 8 7/8s, 2007 59,850
....................................................................................................
150,000 Granite Broadcasting Corp. sr. sub. notes
10 3/8s, 2005 157,125
....................................................................................................
225,000 Granite Broadcasting Corp. sr. sub. notes
9 3/8s, 2005 227,813
....................................................................................................
15,000 Gray Communications Systems, Inc.
sr. sub. notes 10 5/8s, 2006 16,200
....................................................................................................
110,000 JCAC, Inc. sr. sub. notes 10 1/8s, 2006 119,625
....................................................................................................
5,000 Jacor Communications, Inc. company
guaranty 9 3/4s, 2006 5,375
....................................................................................................
75,000 Jacor Communications, Inc. 144A
company guaranty 8 3/4s, 2007 76,875
....................................................................................................
75,000 Marcus Cable Co. (L.P.) sr. sub. disc. notes
stepped-coupon zero %
(13 1/2s, 8/1/99), 2004 (STP) 69,375
....................................................................................................
10,000 Radio One Inc. company guaranty
stepped-coupon Ser. B, 7s,
(12s, 5/1/00), 2004 (STP) 9,900
....................................................................................................
275,000 SFX Broadcasting, Inc. sr. sub. notes
Ser. B, 10 3/4s, 2006 301,813
....................................................................................................
300,000 Sinclair Broadcast Group, Inc. sr. sub. notes
8 3/4s, 2007 298,500
....................................................................................................
75,000 Sinclair Broadcasting Group sr. sub. notes
10s, 2005 79,500
....................................................................................................
80,000 Spanish Broadcasting sr. notes Ser. B,
11s, 2004 88,000
....................................................................................................
100,000 Sullivan Broadcasting sr. sub. notes
10 1/4s, 2005 107,000
....................................................................................................
150,000 UIH Australia/Pacific, Inc. 144A sr. disc.
notes stepped-coupon zero %
(14s, 5/15/01), 2006 (Australia) (STP) 99,000
- ----------------------------------------------------------------------------------------------------
2,699,525
- ----------------------------------------------------------------------------------------------------
Building Products (-%)
....................................................................................................
75,000 Southdown, Inc. sr. sub. notes Ser. B,
10s, 2006 82,313
- ----------------------------------------------------------------------------------------------------
Building and Construction (-%)
....................................................................................................
55,000 Atrium Companies Inc. sub. notes
10 1/2s, 2006 57,750
....................................................................................................
10,000 Building Materials Corp. sr. notes Ser. B,
8 5/8s, 2006 10,325
....................................................................................................
10,000 Cemex S.A. 144A bonds 12 3/4s, 2006
(Mexico) 11,975
....................................................................................................
25,000 Cia Latino Americana 144A company
guaranty 11 5/8s, 2004 (Argentina) 25,250
....................................................................................................
5,000 Consumers International 144A sr. notes
10 1/4s, 2005 5,450
....................................................................................................
80,000 Continental Homes Holding Corp.
sr. notes 10s, 2006 85,600
....................................................................................................
75,000 GS Superhighway Holdings 144A
sr. notes 10 1/4s, 2007 72,938
....................................................................................................
75,000 M.D.C. Holdings, Inc. notes Ser. B,
11 1/8s, 2003 82,875
....................................................................................................
35,000 Presley Cos. sr. notes 12 1/2s, 2001 33,600
....................................................................................................
20,000 Terex Corp. sr. notes Ser. B, 13 1/4s, 2002 22,600
....................................................................................................
10,000 Waxman Industries Inc. sr. notes
stepped-coupon Ser. B, zero %
(12 3/4s, 6/1/99), 2004 (STP) 8,850
....................................................................................................
25,000 American Architectural Products Corp.
144A sr. notes 11 3/4s, 2007 25,250
- ----------------------------------------------------------------------------------------------------
442,463
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (0.1%)
....................................................................................................
20,000 Iron Mountain, Inc. med. term notes
company guaranty 10 1/8s, 2006 22,000
....................................................................................................
50,000 Iron Mountain, Inc. 144A sr. sub. notes
8 3/4s, 2009 51,250
....................................................................................................
50,000 Outsourcing Solutions, Inc. sr. sub. notes
Ser. B, 11s, 2006 55,250
....................................................................................................
106,000 Pierce Leahy Corp. sr. sub. notes
11 1/8s, 2006 119,780
....................................................................................................
153,000 United Stationer Supply, Inc. sr. sub.
notes 12 3/4s, 2005 174,038
....................................................................................................
40,000 Williams Scotsman, Inc. 144A sr. notes
9 7/8s, 2007 41,200
....................................................................................................
15,000 Axiohm Transactions Solutions 144A
sr. sub. notes 9 3/4s, 2007 15,225
- ----------------------------------------------------------------------------------------------------
478,743
- ----------------------------------------------------------------------------------------------------
Cable Television (0.2%)
....................................................................................................
10,000 Adelphia Communications Corp. sr. notes
Ser. B, 10 1/4s, 2000 10,350
....................................................................................................
200,000 Adelphia Communications Corp. sr. notes
Ser. B, 9 7/8s, 2007 210,500
....................................................................................................
5,237 Adelphia Communications Corp. sr. notes
9 1/2s, 2004 (PIK) 5,368
....................................................................................................
300,000 Cablevision Systems Corp. sr. sub. notes
9 7/8s, 2013 330,750
....................................................................................................
10,000 Cablevision Systems Corp. sr. sub. notes
9 1/4s, 2005 10,600
....................................................................................................
100,000 Century Communications Corp. sr. notes
9 1/2s, 2005 106,000
....................................................................................................
200,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(13 1/2s, 9/30/99), 2004
(United Kingdom) (STP) 180,000
....................................................................................................
126,600 Falcon Holdings Group, Inc. sr. sub. notes
11s, 2003 (PIK) 136,412
....................................................................................................
115,000 Fox Kids Worldwide Inc. 144A sr. disc.
notes stepped-coupon zero %
(10 1/4s, 11/1/02), 2007 (STP) 68,138
....................................................................................................
275,000 Fox Kids Worldwide Inc. 144A sr. notes
9 1/4s, 2007 266,750
....................................................................................................
160,000 Frontiervision Operating Partners L.P.
sr. sub. notes 11s, 2006 177,600
....................................................................................................
100,000 FrontierVision Operating Partners LP
sr. disc. notes stepped-coupon zero %
(11 7/8s, 9/15/01), 2007 (STP) 74,000
....................................................................................................
50,000 Heartland Wireless Communications, Inc.
sr. notes Ser. B, 14s, 2004 19,000
- ----------------------------------------------------------------------------------------------------
1,595,468
- ----------------------------------------------------------------------------------------------------
Chemicals (0.3%)
....................................................................................................
115,000 Harris Chemical N.A. Corp. sr. sub. notes
10 3/4s, 2003 123,050
....................................................................................................
110,000 Huntsman Corp. 144A sr. sub. notes
FRN 9.094s, 2007 113,575
....................................................................................................
105,000 ISP Holdings, Inc. sr. notes Ser. B,
9 3/4s, 2002 110,775
....................................................................................................
95,000 NL Industries, Inc. sr. notes
stepped-coupon zero % (13s, 10/15/98),
2005 (STP) 94,525
....................................................................................................
25,000 Pharmaceutical Fine Chemicals 144A
sr. sub. notes 9 3/4s, 2007 (Switzerland) 25,375
....................................................................................................
280,000 Sociedad Quimica Y Minera de Chile S.A.
144A bonds 7.7s, 2006 (Chile) 286,650
....................................................................................................
1,710,000 Solutia Inc. bonds 6.72s, 2037 1,733,564
....................................................................................................
50,000 Sovereign Specialty Chemical 144A
sr. sub. notes 9 1/2s, 2007 51,375
....................................................................................................
100,000 Sterling Chemicals Holdings sr. disc. notes
stepped-coupon zero % (13 1/2s, 8/15/01),
2008 (STP) 61,000
....................................................................................................
50,000 Trikem S.A. 144A bonds 10 5/8s, 2007
(Brazil) 45,000
....................................................................................................
80,000 Union Carbide Global Enterprises sr. sub.
notes Ser. B, 12s, 2005 89,600
- ----------------------------------------------------------------------------------------------------
2,734,489
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (-%)
....................................................................................................
25,000 DecisionOne Corp. sr. sub. notes
9 3/4s, 2007 25,625
- ----------------------------------------------------------------------------------------------------
Consumer Durable Goods (-%)
....................................................................................................
35,000 CLN Holdings, Inc. sr. disc. notes
zero %, 2001 21,088
....................................................................................................
35,000 Foamex, L.P. company guaranty
9 7/8s, 2007 35,875
....................................................................................................
35,000 Hedstrom Corp. 144A 10s, 2007 35,263
....................................................................................................
15,000 Hedstrom Holdings, Inc. 144A sr. disc.
notes stepped-coupon zero %
(12s, 6/1/02), 2009 (STP) 9,000
....................................................................................................
140,000 Icon Fitness Corp. 144A sr. disc. notes
stepped-coupon Ser. B, zero %
(14s, 11/15/01), 2006 (STP) 79,100
....................................................................................................
25,000 Remington Products Co. sr. sub. notes
Ser. B, 11s, 2006 21,000
- ----------------------------------------------------------------------------------------------------
201,326
- ----------------------------------------------------------------------------------------------------
Consumer Durables (-%)
....................................................................................................
30,000 French Fragrances, Inc. sr. notes Ser. B,
10 3/8s, 2007 31,500
....................................................................................................
30,000 Sealy Mattress Co. 144A sr. disc. notes
stepped-coupon zero %
(10 7/8s, 12/15/02), 2007 (STP) 18,150
- ----------------------------------------------------------------------------------------------------
49,650
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (0.3%)
....................................................................................................
20,000 Amscan Holdings, Inc. 144A sr. sub. notes
9 7/8s, 2007 20,450
....................................................................................................
50,000 Carson, Inc. 144A sr. sub. notes
10 3/8s, 2007 50,000
....................................................................................................
360,000 Guess Jeans, Inc. sr. sub. notes
9 1/2s, 2003 369,900
....................................................................................................
530,000 Philip Morris Cos., Inc. deb. 7 3/4s, 2027 572,368
....................................................................................................
1,340,000 Philip Morris Cos., Inc. notes 7 1/2s, 2002 1,386,444
....................................................................................................
1,065,000 Sampoerna International Finance Co.
144A company guaranty 8 3/8s, 2006
(Indonesia) 784,287
....................................................................................................
10,000 Viasystems Inc. sr. sub notes 9 3/4s, 2007 10,325
- ----------------------------------------------------------------------------------------------------
3,193,774
- ----------------------------------------------------------------------------------------------------
Consumer Products (-%)
....................................................................................................
50,000 Revlon Worldwide Corp. sr. disc. notes
Ser. B, zero %, 2001 34,875
- ----------------------------------------------------------------------------------------------------
Consumer Services (0.2%)
....................................................................................................
160,000 Coinmach Corp. sr. notes Ser. B,
11 3/4s, 2005 177,200
....................................................................................................
25,000 Coinmach Corp. 144A sr. notes
11 3/4s, 2005 27,750
....................................................................................................
55,000 FRD Acquisition Co. sr. notes Ser. B,
12 1/2s, 2004 59,744
....................................................................................................
105,000 Host Marriott Travel Plaza sr. notes
Ser. B, 9 1/2s, 2005 111,825
....................................................................................................
350,000 John Q Hammons Hotels, Inc. 1st mtge.
8 7/8s, 2004 357,875
....................................................................................................
150,000 Jones Intercable, Inc. sr. notes 9 5/8s, 2002 160,875
....................................................................................................
150,000 Jones Intercable, Inc. sr. sub. deb.
10 1/2s, 2008 162,750
....................................................................................................
150,000 Prime Hospitality Corp. 1st mtge.
9 1/4s, 2006 158,250
....................................................................................................
95,000 Prime Hospitality Corp. sub. notes
9 3/4s, 2007 101,650
....................................................................................................
150,000 Sun International Hotels Ltd. sr. sub.
notes 8 5/8s, 2007 152,250
- ----------------------------------------------------------------------------------------------------
1,470,169
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (0.1%)
....................................................................................................
20,000 Argo-Tech Corp. 144A sr. sub. notes
8 5/8s, 2007 20,000
....................................................................................................
55,000 Celestica International Ltd. 144A sr. sub.
notes 10 1/2s, 2006 (Canada) 58,025
....................................................................................................
64,047 Cirent Semiconductor sr. sub. notes
10.22s, 2002 65,409
....................................................................................................
67,971 Cirent Semiconductor 144A sr. sub. notes
10.14s, 2004 69,586
....................................................................................................
30,000 Details, Inc. 144A sr. sub. notes 10s, 2005 30,825
....................................................................................................
40,000 DII Group, Inc. 144A sr. sub. notes
8 1/2s, 2007 39,300
....................................................................................................
120,000 Dobson Communications Corp. sr. notes
11 3/4s, 2007 126,900
....................................................................................................
55,000 Fairchild Semiconductor Corp. sr. sub.
notes 10 1/8s, 2007 57,750
....................................................................................................
74,232 Fairchild Semiconductor Corp. 144A
sr. sub. notes 11.74s, 2008 76,459
....................................................................................................
350,000 Figgie International, Inc. sr. notes
9 7/8s, 1999 362,250
....................................................................................................
35,000 Flextronics Internationsl Ltd. 144A
sr. sub. notes 8 3/4s, 2007 34,913
....................................................................................................
40,000 HCC Industries, Inc. company guaranty
10 3/4s, 2007 41,500
....................................................................................................
117,000 International Semi-Tech. Corp. sr. secd.
disc. notes stepped-coupon zero %
(11 1/2s, 8/15/00), 2003 (Canada) (STP) 42,120
....................................................................................................
95,000 Motors and Gears, Inc. sr. notes Ser. B,
10 3/4s, 2006 100,700
....................................................................................................
20,000 Wavetek Corp. company guaranty
10 1/8s, 2007 20,600
- ----------------------------------------------------------------------------------------------------
1,146,337
- ----------------------------------------------------------------------------------------------------
Energy-Related (-%)
....................................................................................................
60,000 AES Corp. sr. sub. notes 8 3/8s, 2007 59,850
....................................................................................................
5,000 Panda Global Energy Co. company
guaranty 12 1/2s, 2004 4,600
- ----------------------------------------------------------------------------------------------------
64,450
- ----------------------------------------------------------------------------------------------------
Entertainment (0.5%)
....................................................................................................
575,000 AMC Entertainment, Inc. sr. sub. notes
9 1/2s, 2009 589,375
....................................................................................................
120,000 Argosy Gaming Co. 1st mtge.
13 1/4s, 2004 125,400
....................................................................................................
175,000 Cinemark USA, Inc. sr. sub. notes
9 5/8s, 2008 180,688
....................................................................................................
50,000 Coast Hotels & Casinos, Inc. company
guaranty Ser. B, 13s, 2002 56,500
....................................................................................................
185,150 Colorado Gaming & Entertainment Co.
sr. notes 12s, 2003 (PIK) 196,259
....................................................................................................
140,000 Fitzgeralds Gaming Corp. 144A
company guaranty 12 1/4s, 2004 140,000
....................................................................................................
90,000 Empress River Casino sr. notes
10 3/4s, 2002 97,200
....................................................................................................
100,000 Harveys Casino Resorts sr. sub. notes
10 5/8s, 2006 109,000
....................................................................................................
75,000 Hollywood Casino Corp. sr. notes
12 3/4s, 2003 80,438
....................................................................................................
10,000 Isle of Capri Black Hawk LLC 144A
1st mortgage 13s, 2004 10,100
....................................................................................................
110,000 Lady Luck Gaming Corp. 1st mtge.
11 7/8s, 2001 111,650
....................................................................................................
90,000 Mohegan Tribal Gaming sr. secd. notes
Ser. B, 13 1/2s, 2002 115,425
....................................................................................................
20,000 Penn National Gaming, Inc. 144A
sr. notes 10 5/8s, 2004 20,800
....................................................................................................
100,000 Premier Parks, Inc. sr. notes Ser. A,
12s, 2003 111,125
....................................................................................................
90,000 PRT Funding Corp. sr. notes 11 5/8s, 2004 70,200
....................................................................................................
225,000 Six Flags Corp. sr. sub. notes
stepped-coupon zero %
(12 1/4s, 6/15/98), 2005 (STP) 239,625
....................................................................................................
365,000 Time Warner Entertainment Co. notes
8 7/8s, 2012 428,116
....................................................................................................
1,080,000 Time Warner Entertainment sr. notes
8 3/8s, 2033 1,236,341
....................................................................................................
80,000 Trump A.C. 1st mtge. company guaranty
11 1/4s, 2006 79,000
....................................................................................................
800,000 Viacom International, Inc. sub. deb.
8s, 2006 804,000
- ----------------------------------------------------------------------------------------------------
4,801,242
- ----------------------------------------------------------------------------------------------------
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, 6/1/07),
2007 (STP) 97,300
....................................................................................................
1,705,000 WMX Technologies Inc. notes 7.1s, 2026 1,763,243
- ----------------------------------------------------------------------------------------------------
1,887,981
- ----------------------------------------------------------------------------------------------------
Food and Beverages (0.4%)
....................................................................................................
30,000 Ameriserve Food Co. company guaranty
10 1/8s, 2007 31,200
....................................................................................................
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 47,475
....................................................................................................
5,000 Canandaigua Wine Co. sr. sub. notes
Ser. C, 8 3/4s, 2003 5,050
....................................................................................................
35,000 Chiquita Brands sr. notes 9 5/8s, 2004 35,656
....................................................................................................
25,000 Del Monte Corp. sr. sub. notes Ser. B,
12 1/4s, 2007 28,188
....................................................................................................
65,000 Fleming Companies, Inc. 144A sr. sub.
notes 10 1/2s, 2004 68,575
....................................................................................................
2,425,000 Philip Morris Companies., Inc. notes
7 1/2s, 2004 2,539,630
....................................................................................................
350,000 Ralphs Grocery Co. sr. notes 10.45s, 2004 395,500
....................................................................................................
200,000 Signature Brands Ltd. sr. sub. notes 13s,
2002 (Canada) 222,000
....................................................................................................
20,000 Southern Foods Group 144A sr. sub.
notes 9 7/8s, 2007 20,900
....................................................................................................
135,000 Stater Brothers Holdings sr. notes
11s, 2001 148,500
....................................................................................................
100,000 Stater Brothers Holdings 144A sr. sub.
notes 9s, 2004 104,000
....................................................................................................
15,000 Windy Hill Pet Food Co. sr. sub. notes
9 3/4s, 2007 15,600
- ----------------------------------------------------------------------------------------------------
3,712,524
- ----------------------------------------------------------------------------------------------------
Health Care (0.2%)
....................................................................................................
60,000 Genesis Eldercare 144A sr. sub. notes
9s, 2007 58,875
....................................................................................................
105,000 Genesis Health Ventures, Inc. sr. sub.
notes 9 1/4s, 2006 107,363
....................................................................................................
40,000 Integrated Health Services, Inc. 144A
sr. sub. notes 9 1/2s, 2007 41,200
....................................................................................................
85,000 Integrated Health Services, Inc. 144A
sr. sub. notes 9 1/4s, 2008 86,700
....................................................................................................
630,000 Manor Care, Inc. sr. notes 7 1/2s, 2006 620,575
....................................................................................................
100,000 Merit Behavioral Care sr. sub. notes
11 1/2s, 2005 115,500
....................................................................................................
60,000 Paracelsus Healthcare sr. sub. notes
10s, 2006 61,200
....................................................................................................
130,000 Paragon Health Networks, Inc. 144A
sr. sub. notes 9 1/2s, 2007 130,325
....................................................................................................
275,000 Tenet Healthcare Corp. sr. sub. notes
8 5/8s, 2007 283,938
- ----------------------------------------------------------------------------------------------------
1,505,676
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (2.6%)
....................................................................................................
100,000 Aames Financial Corp. sr. notes
9 1/8s, 2003 97,000
....................................................................................................
385,000 Abbey National First Capital PLC
sub. notes 7.35s, 2049 (United Kingdom) 403,072
....................................................................................................
2,335,000 Aegon NV sub. notes 8s, 2006
(Netherlands) 2,539,873
....................................................................................................
530,000 AFC Capital Trust company guaranty
Ser. B, 8.207s, 2027 583,742
....................................................................................................
215,000 Allstate Financing II company guaranty
7.83s, 2045 223,407
....................................................................................................
1,515,000 American General Institute 144A
company guaranty 8 1/8s, 2046 1,685,862
....................................................................................................
105,000 Banco Nacional Comercio Exterior
sovereign eurobond 11 1/4s, 2006
(Mexico) 116,550
....................................................................................................
805,000 Banponce Financial Corp. med. term
note 7 1/8s, 2002 822,758
....................................................................................................
115,000 Chevy Chase Savings Bank Inc. sub. deb.
9 1/4s, 2005 118,450
....................................................................................................
80,000 Colonial Capital I 144A company
guaranty 8.92s, 2027 85,863
....................................................................................................
995,000 Conseco Inc. sr. notes 10 1/2s, 2004 1,197,264
....................................................................................................
40,000 Delta Financial Corp. sr. notes 9 1/2s, 2004 39,700
....................................................................................................
35,000 Dime Capital Trust I bank guaranty Ser. A,
9.33s, 2027 39,591
....................................................................................................
30,000 Dine S.A. de C.V. 144A company guaranty
8 3/4s, 2007 (Luxembourg) 28,500
....................................................................................................
45,000 Dollar Financial Group Inc. sr. notes
Ser. A, 10 7/8s, 2006 48,600
....................................................................................................
60,000 Espirto Santo Centrais 144A sr. notes
10s, 2007 (Luxembourg) 57,600
....................................................................................................
325,000 First Financial Caribbean Corp. sr. notes
7.84s, 2006 341,656
....................................................................................................
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 111,750
....................................................................................................
765,000 Firstar Bank Milwaukee sr. bank notes
6 1/4s, 2002 764,402
....................................................................................................
570,000 Greenpoint Bank sr. notes 6.7s, 2002 574,469
....................................................................................................
30,000 Greenpoint Capital Trust I company
guaranty 9.1s, 2027 33,428
....................................................................................................
885,000 Hartford Life, Inc. 7.1s, 2007 (ITT) 916,081
....................................................................................................
60,000 Imperial Credit Capital Trust I 144A
company guaranty 10 1/4s, 2002 59,700
....................................................................................................
85,000 Imperial Credit Industries, Inc. sr. notes
9 7/8s, 2007 83,300
....................................................................................................
75,000 Intertek Finance PLC 144A sr. sub. notes
10 1/4s, 2006 78,750
....................................................................................................
10,000 Investors Capital Trust I company guaranty
Ser. B, 9.77s, 2027 10,913
....................................................................................................
350,000 Korea Developmental Bank notes 7.9s,
2002 (Korea) 295,015
....................................................................................................
75,000 Korea Developmental Bank 7 1/8s, 2001
(Korea) 63,600
....................................................................................................
1,290,000 Merita Bank Ltd. sub. notes 6 1/2s, 2006
(Finland) 1,270,740
....................................................................................................
725,000 Money Store, Inc. notes 8.05s, 2002 732,395
....................................................................................................
1,950,000 NationsBank Corp. sub. notes 6 7/8s, 2005 2,000,544
....................................................................................................
20,000 Netia Holdings B.V. 144A company
guaranty 10 1/4s, 2007(Poland) 19,200
....................................................................................................
10,000 Netia Holdings B.V. 144A company
guaranty stepped-coupon zero %
(11 1/4s, 11/1/02), 2007(Poland) (STP) 5,700
....................................................................................................
5,000 North Fork Capital Trust I company
guaranty 8.7s, 2026 5,452
....................................................................................................
15,000 Ocwen Capital Trust I company guaranty
10 7/8s, 2027 16,350
....................................................................................................
5,000 Ocwen Federal Bank FSB sub. deb.
12s, 2005 5,538
....................................................................................................
10,000 Ocwen Financial Corp. notes
11 7/8s, 2003 11,225
....................................................................................................
275,000 Orange Cogen Funding 144A company
guaranty 8.175s, 2022 297,275
....................................................................................................
705,000 Peoples Bank- Bridgeport sub. notes
7.2s, 2006 721,483
....................................................................................................
30,000 Peoples Heritage Capital Trust company
guaranty Ser. B, 9.06s, 2027 33,032
....................................................................................................
765,000 Phoenix Home Life Mutual Insurance Co.
144A notes 6.95s, 2006 777,929
....................................................................................................
30,000 Pioneer Americas Acquisition 144A
sr. notes 9 1/4s, 2007 30,150
....................................................................................................
55,000 Polytama International notes
11 1/4s, 2007 41,250
....................................................................................................
1,040,000 Popular, Inc. med. term notes 6.4s, 2000 1,041,674
....................................................................................................
70,000 Provident Capital Trust company guaranty
8.6s, 2026 74,110
....................................................................................................
1,509,153 Railcar Leasing L.L.C. Ser. 1, Class A1,
6 3/4s, 2006 1,543,109
....................................................................................................
80,000 Riggs Capital Trust 144A bonds
8 5/8s, 2026 80,000
....................................................................................................
235,000 Societe Generale 144A notes 7.85s,
2049 (France) 245,281
....................................................................................................
1,465,000 Southern Investments Service Co.
sr. notes 6.8s, 2006 (United Kingdom) 1,477,160
....................................................................................................
50,000 Sovereign Capital Trust company guaranty
9s, 2027 54,325
....................................................................................................
710,000 Sparbanken Sverige AB (Swedbank)
144A sub. 7 1/2s, 2006 (Sweden) 728,268
....................................................................................................
650,000 St. Paul Bancorp sr. notes 7 1/8s, 2004 661,609
....................................................................................................
1,260,000 State Development Bank of China notes
7 3/8s, 2007 (China) 1,214,199
....................................................................................................
275,000 Travelers Capital Trust II bonds
7 3/4s, 2036 285,183
....................................................................................................
55,000 Vicap SA. 144A company guaranty
10 1/4s, 2002 (Mexico) 57,200
....................................................................................................
5,000 Webster Capital Trust I 144A bonds
9.36s, 2027 5,675
- ----------------------------------------------------------------------------------------------------
24,993,152
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (0.1%)
....................................................................................................
120,000 ALARIS Medical Inc. company guaranty
9 3/4s, 2006 126,300
....................................................................................................
105,000 Graphic Controls Corp. sr. sub. notes
Ser. A, 12s, 2005 117,075
....................................................................................................
45,000 Imagyn Medical Technologies company
guaranty 12 1/2s, 2004 42,638
....................................................................................................
100,000 Kinetic Concepts, Inc. 144A sr. sub. notes
9 5/8s, 2007 102,000
....................................................................................................
110,000 Wright Medical Technology, Inc. 144A
notes Ser. C, 11 3/4s, 2000 111,100
- ----------------------------------------------------------------------------------------------------
499,113
- ----------------------------------------------------------------------------------------------------
Metals and Mining (0.2%)
....................................................................................................
35,000 Altos Hornos de Mexico 7/8s, 2004
(Mexico) 36,313
....................................................................................................
40,000 Anker Coal Group, Inc. 144A sr. notes
9 3/4s, 2007 40,400
....................................................................................................
65,000 Acindar Industria Argentina de Aceros
S.A. bonds 11 1/4s, 2004 (Argentina) 64,025
....................................................................................................
155,000 AK Steel Corp. sr. notes 9 1/8s, 2006 158,488
....................................................................................................
65,000 Continental Global Group sr. notes
Ser. B, 11s, 2007 69,225
....................................................................................................
295,000 Freeport-McMoRan Copper &
Gold Co., Inc. sr. notes 7 1/2s, 2006 250,827
....................................................................................................
80,000 Hylsa S.A. de C.V. 144A bonds 9 1/4s,
2007 (Mexico) 78,400
....................................................................................................
$10,000 Maxxam Group Holdings
Ser. B, 12s, 2003 10,800
....................................................................................................
30,000 Murrin Holdings 144A sr. notes 9 3/8s,
2007 (Australia) 29,550
....................................................................................................
160,000 Noranda, Inc. deb. 8s, 2003 (Canada) 170,338
....................................................................................................
1,230,000 Noranda, Inc. deb. 7s, 2005 (Canada) 1,251,968
....................................................................................................
100,000 WCI Steel, Inc. sr. notes Ser. B, 10s, 2004 102,250
....................................................................................................
25,000 Armco, Inc. sr. notes 9s, 2007 24,500
- ----------------------------------------------------------------------------------------------------
2,287,084
- ----------------------------------------------------------------------------------------------------
Oil and Gas (0.7%)
....................................................................................................
75,000 Abraxas Petroleum Corp. 144A sr. notes
Ser. B, 11 1/2s, 2004 82,125
....................................................................................................
30,000 Benton Oil & Gas Co. 144A sr. notes
9 3/8s, 2007 30,750
....................................................................................................
175,000 Chesapeake Energy Corp. sr. notes
9 1/8s, 2006 181,125
....................................................................................................
80,000 CIA Naviera Perez Companc S.A. 144A
bonds 9s, 2004 (Argentina) 81,200
....................................................................................................
30,000 Coho Energy, Inc. sr. sub. notes
8 7/8s, 2007 30,000
....................................................................................................
1,000,000 Columbia Gas System, Inc. notes Ser. E,
7.32s, 2010 1,035,940
....................................................................................................
20,000 Costilla Energy, Inc. sr. notes 10 1/4s, 2006 20,900
....................................................................................................
5,000 Dailey Petroleum Services Corp. 144A
company guaranty 9 3/4s, 2007 5,213
....................................................................................................
110,000 Flores & Rucks, Inc. sr. sub. notes
9 3/4s, 2006 120,725
....................................................................................................
20,000 Newpark Resources, Inc. 144A sr. sub.
notes 8 5/8s, 2007 20,300
....................................................................................................
30,000 Pacalta Resources Ltd. sr. notes Ser. B,
10 3/4s, 2004 (Canada) 29,400
....................................................................................................
150,000 Panaco, Inc. 144a sr. notes 10 5/8s, 2004 150,750
....................................................................................................
80,000 Parker Drilling Corp. sr. notes Ser. B,
9 3/4s, 2006 85,800
....................................................................................................
400,000 Petro Geo-Services AS ADR notes
7 1/2s, 2007 (Norway) 423,300
....................................................................................................
15,000 Pogo Producing Co. sr. sub. notes Ser. B,
8 3/4s, 2007 15,375
....................................................................................................
50,000 Pride Petroleum Services, Inc. sr. notes
9 3/8s, 2007 53,750
....................................................................................................
655,000 Saga Petroleum ASA deb. 7 1/4s, 2027
(Norway) 668,139
....................................................................................................
30,000 Snyder Oil Corp. sr. sub. notes 8 3/4s, 2007 30,188
....................................................................................................
280,000 Transamerican Energy 144A sr. disc.
notes stepped-coupon zero %
(13s 6/15/2000), 2002 (STP) 226,100
....................................................................................................
530,000 Transamerican Energy 144A sr. notes
11 1/2s, 2002 532,650
....................................................................................................
360,000 TransTexas Gas Corp. sr. sub. notes
Ser. D, 13 3/4s, 2001 403,200
....................................................................................................
35,000 Wiser Oil Co. company guaranty
9 1/2s, 2007 34,738
....................................................................................................
2,710,000 YPF Sociedad Anonima notes
7 3/4s, 2007 (Argentina) 2,741,897
- ----------------------------------------------------------------------------------------------------
7,003,565
- ----------------------------------------------------------------------------------------------------
Packaging and Containers (-%)
....................................................................................................
35,000 Huntsman Packaging Corp. 144A sr. sub.
notes 9 1/8s, 2007 36,225
....................................................................................................
80,000 Innova S De R.L. sr. notes 12 7/8s, 2007
(Mexico) 80,000
....................................................................................................
30,000 Radnor Holdings Corp. 144A sr. notes
Ser. B, 10s, 2003 31,125
....................................................................................................
10,000 Radnor Holdings Inc. sr. notes 10s, 2003 10,400
....................................................................................................
10,000 Riverwood International Corp. company
guranty 10 7/8s, 2008 9,450
....................................................................................................
20,000 AEP Industries, Inc. 144A sr. sub. notes
9 7/8s, 2007 20,550
- ----------------------------------------------------------------------------------------------------
187,750
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (0.1%)
....................................................................................................
100,000 APP International Finance Co. notes
11 3/4s, 2005 (Netherlands) 92,500
....................................................................................................
211,000 Pindo Deli Finance Mauritius Ltd. 144A
company guaranty 10 3/4s, 2007 (India) 180,405
....................................................................................................
100,000 PT Pabrik Kertas Tjiwi Kimia 144A
company guaranty 10s, 2004 (Indonesia) 82,000
....................................................................................................
35,000 Repap New Brunswick sr. notes 10 5/8s,
2005 (Canada) 33,250
....................................................................................................
10,000 Stone Container Corp. 1st mtge.
10 3/4s, 2002 10,400
....................................................................................................
70,000 Stone Container Corp. sr. notes
11 1/2s, 2004 74,550
....................................................................................................
10,000 Stone Container Corp. 144A company
guaranty 11 1/2s, 2006 10,250
- ----------------------------------------------------------------------------------------------------
483,355
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (-%)
....................................................................................................
50,000 ICN Pharmaceuticals, Inc. 144A sr. notes
9 1/4s, 2005 52,750
- ----------------------------------------------------------------------------------------------------
Publishing (0.3%)
....................................................................................................
200,000 American Media Operation, Inc. sr. sub.
notes 11 5/8s, 2004 217,000
....................................................................................................
45,000 Garden State Newspapers 144A sr. sub.
notes 8 3/4s, 2009 45,000
....................................................................................................
250,000 Hollinger International Publishing, Inc.
company guaranty 9 1/4s, 2007 262,500
....................................................................................................
40,000 Hollinger International Publishing, Inc.
company guaranty 8 5/8s, 2005 41,400
....................................................................................................
1,550,000 News America Holdings, Inc. deb.
7 3/4s, 2045 1,604,932
....................................................................................................
210,000 News America Holdings, Inc. deb.
7.7s, 2025 217,451
....................................................................................................
30,000 Perry-Judd 144A sr. sub. notes
10 5/8s, 2007 31,200
....................................................................................................
35,000 Von Hoffman Press Inc. 144A sr. sub.
notes 10 3/8s, 2007 37,363
- ----------------------------------------------------------------------------------------------------
2,456,846
- ----------------------------------------------------------------------------------------------------
Real Estate (-%)
....................................................................................................
60,000 Brylane (L.P.) sr. sub. notes 10s, 2003 (R) 63,675
....................................................................................................
90,000 HMH Properties, Inc. company guaranty
Ser. B, 8 7/8s, 2007 (R) 94,725
- ----------------------------------------------------------------------------------------------------
158,400
- ----------------------------------------------------------------------------------------------------
Retail (0.4%)
....................................................................................................
30,000 Color Spot Nurseries sr. sub. notes
10 1/2s, 2007 30,300
....................................................................................................
1,405,000 Federated Department Stores sr. notes
8 1/2s, 2003 1,534,105
....................................................................................................
100,000 Jitney-Jungle Stores company guaranty
12s, 2006 113,500
....................................................................................................
10,000 K mart Corp. med. term notes
8.19s, 2003 10,235
....................................................................................................
10,000 K mart Corp. med. term notes 8s, 2001 10,137
....................................................................................................
10,000 K mart Corp. med. term notes
6.88s, 1999 9,936
....................................................................................................
10,000 K mart Corp. notes 8 1/8s, 2006 10,175
....................................................................................................
1,295,000 National Health Investors, Inc. bonds
7.3s, 2007 (R) 1,331,273
....................................................................................................
10,000 Ralphs Grocery Co. company guaranty
10.45s, 2004 11,275
....................................................................................................
275,000 Rite Aid Corp. notes 6.7s, 2001 277,937
....................................................................................................
5,000 Specialty Retailers, Inc. company guaranty
Ser. B, 8 1/2s, 2005 5,075
....................................................................................................
50,000 William Carter Co. 144A sr. sub. notes
12s, 2008 53,500
....................................................................................................
50,000 Zale Corp. 144A sr. notes 8 1/2s, 2007 49,750
- ----------------------------------------------------------------------------------------------------
3,447,198
- ----------------------------------------------------------------------------------------------------
Satellite Services (0.1%)
....................................................................................................
175,000 Esat Holdings Ltd. 144A sr. notes
stepped-coupon zero %
(12 1/2s, 2/01/02), 2007 (Ireland) (STP) 125,125
....................................................................................................
80,000 Globalstar L.P. Capital sr. notes
11 3/8s, 2004 80,400
....................................................................................................
150,000 ICG Holdings, Inc. sr. disc. notes
stepped-coupon zero %
(13 1/2s, 9/15/00), 2005 (STP) 123,188
....................................................................................................
105,000 Orbcomm Global Capital Corp. sr. notes
Ser. B, 14s, 2004 113,925
....................................................................................................
35,000 Pratama Datakom Asia BV 144A
company guaranty 12 3/4s, 2005
(Indonesia) 19,250
....................................................................................................
55,000 TCI Satellite Entertainment 144A sr. sub.
notes 10 7/8s, 2007 57,475
- ----------------------------------------------------------------------------------------------------
519,363
- ----------------------------------------------------------------------------------------------------
Specialty Consumer Products (-%)
....................................................................................................
100,000 Herff Jones, Inc. sr. sub. notes 11s, 2005 109,000
- ----------------------------------------------------------------------------------------------------
Telecommunications (1%)
....................................................................................................
45,000 America Communication Services, Inc.
144A sr. notes 13 3/4s, 2007 53,550
....................................................................................................
200,000 American Communications Services, Inc.
sr. disc. notes stepped-coupon zero %
(12 3/4s, 4/1/01), 2006 (STP) 154,000
....................................................................................................
190,000 American Communications Services, Inc.
sr. disc. notes stepped-coupon zero %
(13s, 11/1/00), 2005 (STP) 152,950
....................................................................................................
30,000 Antenna TV S.A. 144A 9s, 2007 (Greece) 30,000
....................................................................................................
55,000 Barak ITC 144A sr. disc. notes
stepped-coupon zero %
(12 1/2s, 11/15/02), 2007 (Israel) (STP) 31,075
....................................................................................................
175,000 Celcaribe S.A. sr. notes stepped-coupon
zero % (13 1/2s, 3/15/98), 2004 (STP) 179,375
....................................................................................................
275,000 CellNet Data Systems, Inc. 144A sr. disc.
notes stepped-coupon zero %
(14s, 10/1/02), 2007 (STP) 137,500
....................................................................................................
50,000 Centennial Cellular Corp. sr. notes
8 7/8s, 2001 50,875
....................................................................................................
135,000 Comcast Cellular Holdings sr. notes
Ser. B, 9 1/2s, 2007 140,400
....................................................................................................
2,490,000 Compania Telecom Chile notes 7 5/8s,
2006 (Chile) 2,581,532
....................................................................................................
35,000 Consorcio Ecuatoriano 144A notes
14s, 2002 (Ecuador) 35,000
....................................................................................................
30,000 Esprit Teleom Group PLC sr. notes
11 1/2s, 2007 (United Kingdom) 30,900
....................................................................................................
20,000 FWT, Inc. 144A sr. sub. notes 9 7/8s, 2007 20,450
....................................................................................................
240,000 GST Telecommunications, Inc. company
guaranty stepped-coupon zero %
(13 7/8s, 12/15/00), 2005 (STP) 184,800
....................................................................................................
120,000 Hyperion Telecommunication Corp.
sr. disc. notes stepped-coupon Ser. B,
zero % (13s, 4/15/01), 2003 (STP) 87,900
....................................................................................................
90,000 Hyperion Telecommunications , Inc.
sr. notes Ser. B, 12 1/4s, 2004 99,000
....................................................................................................
130,000 Intelcom Group (USA), Inc. company
guaranty stepped-coupon zero %
(12 1/2s, 5/1/01), 2006 (STP) 98,150
....................................................................................................
170,000 Intercel, Inc. sr. disc. notes stepped-coupon
zero % (12s, 2/1/01), 2006 (STP) 125,800
....................................................................................................
235,000 Intermedia Communications, Inc. 144A
sr. notes 8 1/2s, 2008 235,000
....................................................................................................
305,000 International Cabletel, Inc. sr. notes
stepped-coupon Ser. B, zero %
(11 1/2s, 2/01/01), 2006 (STP) 239,425
....................................................................................................
180,000 Iridium LLC/Capital Corp. company
guaranty Ser. B, 14s, 2005 196,650
....................................................................................................
10,000 Iridium LLC/Capital Corp. 144A sr. notes
11 1/4s, 2005 9,850
....................................................................................................
85,000 ITC Deltacom, Inc. sr. notes 11s, 2007 92,863
....................................................................................................
50,000 L-3 Communications Corp. sr. sub. notes
Ser. B, 10 3/8s, 2007 54,000
....................................................................................................
10,000 McCaw International Ltd sr. discount
notes stepped coupon zero %
(13s, 4/15/02), 2007 (STP) 5,800
....................................................................................................
140,000 McLeodUSA, Inc. sr. disc. notes
stepped-coupon zero %
(10 1/2s, 3/1/02), 2007 (STP) 101,850
....................................................................................................
70,000 Metrocall, Inc. sr. sub. notes 10 3/8s, 2007 70,875
....................................................................................................
30,000 Metrocall, Inc. 144A sr. sub. notes
9 3/4s, 2007 29,400
....................................................................................................
25,000 Metronet Communications 144A sr. disc.
notes stepped-coupon zero %
(10.75s,5/1/98), 2007 (STP) 15,313
....................................................................................................
145,000 Millicom International Cellular S.A.
sr. disc. notes stepped-coupon zero %
(13 1/2s, 6/1/01), 2006 (Luxembourg) (STP) 106,575
....................................................................................................
60,000 Mobile Telecommunications Tech.
sr. notes 13 1/2s, 2002 69,600
....................................................................................................
560,000 NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero %
(9 3/4s, 2/15/99), 2004 (STP) 498,400
....................................................................................................
650,000 NEXTEL Communications, Inc. 144A
sr. disc. notes stepped-coupon zero %
(10.65s, 9/15/02), 2007 (STP) 411,125
....................................................................................................
60,000 Nextlink Communications sr. notes
12 1/2s, 2006 68,400
....................................................................................................
10,000 Northland Cable Television 144A sr. sub.
notes 10 1/4s, 2007 10,538
....................................................................................................
110,000 NTL Inc. sr. notes Ser. B, 10s, 2007
(United Kingdom) 116,050
....................................................................................................
60,000 Omnipoint Corp. sr. notes Ser. A,
11 5/8s, 2006 63,825
....................................................................................................
60,000 Pagemart Nationwide, Inc. sr. disc. notes
stepped-coupon zero % (15s, 2/1/00),
2005 (STP) 49,350
....................................................................................................
5,000 Paging Network Do Brasil sr. notes
13 1/2s, 2005 (Brazil) 4,550
....................................................................................................
15,000 Pegasus Communications Corp. 144A
sr. notes 9 5/8s, 2005 15,300
....................................................................................................
100,000 Powertel, Inc. sr. notes 11 1/8s, 2007 109,000
....................................................................................................
65,000 Qwest Communications International, Inc.
144A sr. disc. ntoes stepped-coupon
zero % (9.47s, 10/15/02), 2007 (STP) 44,363
....................................................................................................
120,000 RCN Corp. 144A sr. disc. notes
stepped-coupon zero %
(11 1/8s, 10/15/02), 2007 (STP) 75,300
....................................................................................................
20,000 RCN Corp. 144A sr. notes 10s, 2007 20,750
....................................................................................................
175,000 RSL Communications, Ltd. company
guaranty 12 1/4s, 2006 192,500
....................................................................................................
635,000 SK Telecom Co. Ltd. notes 7 3/4s,
2004 (South Korea) 488,404
....................................................................................................
30,000 Sygnet Wireless, Inc. sr. notes
11 1/2s, 2006 31,800
....................................................................................................
100,000 Teleport Communications Group Inc.
sr. disc. notes stepped-coupon zero %
(11 1/8s, 7/1/01), 2007 (STP) 81,500
....................................................................................................
25,000 Telesystem International Wireless Inc.
144A sr. disc. notes stepped-coupon
zero % (10 1/2s, 11/1/02), 2007
(Canada) (STP) 13,875
....................................................................................................
130,000 Teligent, Inc. sr. notes 11 1/2s, 2007 130,325
....................................................................................................
20,000 Transtel S.A. 144A pass through
Certificates 12 1/2s, 2007 (Colombia) 18,900
....................................................................................................
65,000 Winstar Communications. Inc. 144A
sr. sub. notes 15s, 2007 79,625
....................................................................................................
65,000 Winstar Equipment Corp. company
guaranty 12 1/2s, 2004 72,475
....................................................................................................
65,000 Wireless One, Inc. sr. notes 13s, 2003 20,150
....................................................................................................
1,360,000 WorldCom, Inc. notes 7 3/4s, 2007 1,460,490
- ----------------------------------------------------------------------------------------------------
9,497,453
- ----------------------------------------------------------------------------------------------------
Textiles (-%)
....................................................................................................
30,000 Glenoit Corp. 144A sr. sub. notes 11s, 2007 32,250
....................................................................................................
60,000 Polymer Group, Inc. company guaranty
Ser. B, 9s, 2007 60,000
....................................................................................................
80,000 Polysindo International Finance company
guaranty 11 3/8s, 2006 (Indonesia) 64,800
....................................................................................................
30,000 Worldtex, Inc. 144A sr. notes 9 5/8s, 2007 30,750
- ----------------------------------------------------------------------------------------------------
187,800
- ----------------------------------------------------------------------------------------------------
Transportation (0.5%)
....................................................................................................
5,000 Atlantic Express, Transportation Corp.
144A company guaranty 10 3/4s, 2004 5,313
....................................................................................................
60,000 Blue Bird Body Co. sr. sub. notes Ser. B,
10 3/4s, 2006 64,500
....................................................................................................
20,000 Chemical Leaman Corp. sr. notes
10 3/8s, 2005 20,800
....................................................................................................
60,000 Consorcio/MCII Holdings sec. notes
stepped-coupon zero % (12s, 11/15/98),
2002 (STP) 54,900
....................................................................................................
310,000 Continental Airlines pass thru cert.
Ser. 97CI, 7.42s, 2007 321,520
....................................................................................................
150,000 Continental Airlines, Inc. sr. notes
9 1/2s, 2001 157,500
....................................................................................................
725,000 CSX Corp. deb. 7.95s, 2027 819,511
....................................................................................................
20,000 Hermes Europe Railtel 144a sr. notes
11 1/2s, 2007 (Netherlands) 22,200
....................................................................................................
45,000 Johnstown America Industries, Inc.
company guaranty Ser. C, 11 3/4s, 2005 49,275
....................................................................................................
70,000 Kitty Hawk, Inc. 144A sr. notes 9.95s, 2004 71,575
....................................................................................................
115,000 Newport News Shipbuilding sr. notes
8 5/8s, 2006 121,038
....................................................................................................
1,230,000 Norfolk Southern Corp. bonds 7.05s, 2037 1,300,036
....................................................................................................
1,200,000 Norfolk Southern Corp. notes 6.95s, 2002 1,230,672
....................................................................................................
25,000 TFM S.A. de C.V. 144A company guaranty
10 1/4s, 2007 (Mexico) 26,250
....................................................................................................
130,000 TFM S.A. de C.V. 144A company guaranty
stepped-coupon zero % (11 3/4s, 6/15/02),
2009 (Mexico) (STP) 86,450
....................................................................................................
30,000 Trans World Airlines 144A sr. notes
11 1/2s, 2004 30,150
....................................................................................................
30,000 Trico Marine Services, Inc. 144A
company guaranty Ser. C, 8 1/2s, 2005 30,150
....................................................................................................
9,000 Viking Star Shipping sr. secd. notes
9 5/8s, 2003 9,135
- ----------------------------------------------------------------------------------------------------
4,420,975
- ----------------------------------------------------------------------------------------------------
Utilities (0.5%)
....................................................................................................
5,000 AES China Generating Co. sr. notes
10 1/8s, 2006 (China) 5,075
....................................................................................................
715,000 Arizona Public Service Co. sr. notes
6 3/4s, 2006 727,126
....................................................................................................
60,000 BTI Telecom Corp. 144A sr. notes
10 1/2s, 2007 61,200
....................................................................................................
300,000 Calpine Corp. sr. notes 10 1/2s, 2006 328,500
....................................................................................................
60,000 Cleveland Electric Illuminating Co.
1st mtge. Ser. B, 9 1/2s, 2005 66,541
....................................................................................................
485,000 Connecticut Light & Power Co.
1st mtge. Ser. A, 7 7/8s, 2001 490,602
....................................................................................................
10,000 El Paso Electric Co. 1st mtge. Ser. E,
9.4s, 2011 11,306
....................................................................................................
1,240,000 Enersis S.A. ADR notes 7.4s, 2016 (Chile) 1,230,402
....................................................................................................
735,000 Illinova Corp. sr. notes 7 1/8s, 2004 753,581
....................................................................................................
275,000 Jersey Central Power & Light Co.
1st mtge. med. term note 6.85s, 2006 281,496
....................................................................................................
100,000 Long Island Lighting Co. deb. 9s, 2022 111,657
....................................................................................................
100,000 Long Island Lighting Co. deb. 8.9s, 2019 106,409
....................................................................................................
45,000 Midland Funding Corp. deb. Ser. A,
11 3/4s, 2005 54,061
....................................................................................................
100,000 Niagara Mohawk Power Corp. med. term
notes 9.95s, 2000 100,055
....................................................................................................
31,204 Northeast Utilities System notes Ser. A,
8.58s, 2006 31,057
....................................................................................................
153,333 Northeast Utilities System notes Ser. B,
8.38s, 2005 154,028
....................................................................................................
510,000 US West Capital Funding, Inc. company
guaranty 6.95s, 2037 525,336
- ----------------------------------------------------------------------------------------------------
5,038,432
- ----------------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $90,360,364) $92,368,527
- ----------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (1.3%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$1,560,000 Advanta Mortgage Loan Trust Ser. 97-2,
Class A2, 7.05s, 2021 $1,580,963
....................................................................................................
1,340,000 Advanta Mortgage Loan Trust Ser. 97-3,
Class A3, 6.69s, 2017 1,344,816
....................................................................................................
1,355,000 Advanta Mortgage Loan Trust Ser. 97-4,
Class A7, 6.63s, 2029 1,359,658
....................................................................................................
885,000 Amresco Residential Securities Mortgage
Loan Ser. 97-3, Class A3, 6.6s, 2018 888,872
....................................................................................................
420,000 Capita Equipment Receivables Trust
Ser. 96-1, Class A4, 6.28s, 2000 422,297
....................................................................................................
1,185,000 Carco Auto Loan Master Trust Ser. 97-1,
Class A, 6.689s, 2004 1,188,333
....................................................................................................
1,195,000 Green Tree Financial Corp. Ser. 97-2,
Class A6, 7.24s, 2028 1,234,578
....................................................................................................
2,125,000 Green Tree Financial Corp. Ser. 97-3,
Class A-4, 6.93s, 2028 2,159,531
....................................................................................................
1,892,170 Green Tree Recreational Equipment &
Cons Ser. 97-B, Class A1, 6.55s, 2028 1,901,631
....................................................................................................
425,000 Provident Bank Home Equity Loan Trust
Ser. 97-4, Class A3, 6.91s, 2029 426,395
- ----------------------------------------------------------------------------------------------------
Total Asset-Backed Securities
(cost $12,388,871) $12,507,074
- ----------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (1.9%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$1,010,720 Chase Mortgage Finance Corp. Ser. 94-1,
Class B2, 6.601s $993,980
....................................................................................................
3,222,882 Collateralized Mortgage Obligation Trust
Ser. 64, Class Z, 9s 3,518,481
....................................................................................................
350,000 Commercial Mortgage Acceptance Corp.
Ser. 97-ML1, Class A3, 6.53s, 2007 352,953
....................................................................................................
125,000 Commercial Mortgage Acceptance Corp.
Ser. 97-ML1, Class A2, 6.53s, 2007 126,094
....................................................................................................
Fannie Mae
....................................................................................................
1,695,000 Ser. 89-71, Class J, 8 1/2s, 2019 1,835,897
....................................................................................................
435,329 Ser. 97-25, Class VA, 7s, 2002 442,063
....................................................................................................
639,712 Ser. 97-61, Class ZC, 7s, 2023 626,649
....................................................................................................
1,087,114 Ser. 93-240, Class B, 6 1 /4s, 2013 1,069,109
....................................................................................................
2,760,000 Ser. 94-86, Class PF, 6s, 2009 2,701,350
....................................................................................................
3,425,000 Freddie Mac Ser. 1601, Class PJ, 6s, 2008 3,356,500
....................................................................................................
920,000 First Union-Lehman Brothers commercial
Mortgage Ser. 97-C2, Class A3, 6.65s,
June 18, 2008 928,338
....................................................................................................
880,710 GE Capital Mortgage Services Inc.
Ser. 94-8A2, 6s 882,086
....................................................................................................
1,145,321 PNC Mortgage Securities Corp.
Ser. 97-6, Class A2, 6.6s, January 1, 2000 1,152,300
- ----------------------------------------------------------------------------------------------------
Total Collateralized Mortgage
Obligations (cost $17,323,402) $17,985,800
- ----------------------------------------------------------------------------------------------------
UNITS (0.1%) *
- ----------------------------------------------------------------------------------------------------
Number of Units Value
....................................................................................................
40 Club Regina/CS Resort 144A units
13s, 2004 $40,900
....................................................................................................
225 Colt Telecommunications Group PLC
units stepped-coupon zero % (12s,
12/15/01), 2006 (United Kingdom) (STP) 175,500
....................................................................................................
20 Concentric Network Corp. units
12 3/4s, 2007 20,550
....................................................................................................
45 Conecel Holdings Ltd. 144A units
14s, 2000 45,450
....................................................................................................
105 Knology Holdings Inc. units
stepped-coupon zero %
(11 7/8s, 10/15/02), 2007 (STP) 56,700
....................................................................................................
20 MGC communications, Inc. 144A units
13s, 2004 20,050
....................................................................................................
50 Real Time Data 144A units
stepped-coupon zero %
(13 1/2s, 8/15/01), 2006 (STP) 27,500
....................................................................................................
90 Transamerican Refining units 16s, 2003 91,800
- ----------------------------------------------------------------------------------------------------
Total Units (cost $485,525) $478,450
- ----------------------------------------------------------------------------------------------------
PREFERRED STOCKS (0.3%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
13 American Radio Systems Inc. Ser. B,
$11.375 pfd. $1,536
....................................................................................................
5,904 AmeriKing, Inc. $3.25 pfd. (PIK) 159,408
....................................................................................................
52 Anvil Holdings Ser. B, $3.25 pfd. (PIK) 1,248
....................................................................................................
900 Banco Itau S.A. BRC 6.86 No par value
(NPV) pfd. (Brazil) 483,871
....................................................................................................
705 Cablevision Systems Corp. Ser. M,
$11.125 dep. shs. cum. pfd. (PIK) 81,075
....................................................................................................
4,600 California Federal Bancorp Inc. Ser. A,
$2.281 pfd. 119,600
....................................................................................................
500 Capstar Broadcasting Inc. 144A $12.00 pfd. 56,250
....................................................................................................
1,085 Chancellor Media Corp. $12.00 pfd. (PIK) 125,860
....................................................................................................
600 Citadel Broadcasting Inc. 144A
$13.25 pfd. (PIK) 69,000
....................................................................................................
30 Echostar Communications Corp. 144A
Ser. B, 12.125% pfd. 30,900
....................................................................................................
922 El Paso Electric Co. $11.40 pfd (PIK) 102,340
....................................................................................................
110 Fresenius Medical Care AG Ser. D,
$9.00 pfd. (Germany) 115,500
....................................................................................................
176 Intermedia Communication Ser. B,
13.50% pfd. (PIK) 215,600
....................................................................................................
41 IXC Communications, Inc. 144A
$12.50 pfd. (PIK) 47,970
....................................................................................................
60 NEXTEL Communications, Inc. Ser. D,
$13.00 cum. pfd. (PIK) 68,550
....................................................................................................
1,075 Nextlink Communications, Inc. 144A
$7.00 pfd. (PIK) 67,188
....................................................................................................
356 NTL Inc. 144A Ser. B, $13.00 pfd. (PIK) 412,960
....................................................................................................
2,425 Petroleo Brasileiro S.A. BRC
6.258 pfd. (Brazil) 567,137
....................................................................................................
1,380 SFX Broadcasting, Inc. Ser. E,
$12.625 pfd. (PIK) 163,530
....................................................................................................
135 Spanish Broadcasting Systems 144A
14.25% cum. pfd. (PIK) 143,775
....................................................................................................
13 Time Warner Inc. Ser. M, 10.25% pfd. 14,593
....................................................................................................
810 Von Hoffman Corp. 144A $13.50 pfd. 25,313
....................................................................................................
110 Winstar Communications. Inc. 144A
$14.25 cum. pfd. (PIK) 114,400
- ----------------------------------------------------------------------------------------------------
Total Preferred Stocks
(cost $2,852,710) $3,187,604
- ----------------------------------------------------------------------------------------------------
BRADY BONDS (0.2%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$511,000 Philippines (Government of) Ser. B, FRB
6 1/2s, 2017 $426,685
....................................................................................................
175,000 Poland (Government of) bonds Ser. PDI,
stepped-coupon 4s (5s, 10/1/99), 2014 (STP) 151,165
....................................................................................................
1,223,000 United Mexican States Ser. C,
FRB 6.719s, 2019 1,132,804
- ----------------------------------------------------------------------------------------------------
Total Brady Bonds (cost $1,723,213) $1,710,654
- ----------------------------------------------------------------------------------------------------
INVESTMENT COMPANIES (0.1%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
7,166 Inversiones Y Represent GDR
(Argentina) (NON) $269,621
....................................................................................................
68,000 ROC Taiwan Fund (United Kingdom) 552,500
....................................................................................................
20,400 Taiwan Fund, Inc. (Taiwan) 336,600
- ----------------------------------------------------------------------------------------------------
Total Investment Companies
(cost $1,487,839) $1,158,721
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (0.1%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$70,000 APP Global Finance (V) Ltd. 144A
cv. sec. 2s, 2000 (United Kingdom) $58,800
....................................................................................................
90,000 Delta Electronics, Inc. cv. bonds 1/2s,
2004 (Taiwan) 109,800
....................................................................................................
45,000 Exide Corp. 144A cv. sr. sub. notes
2.9s, 2005 28,744
....................................................................................................
50,000 Integrated Device Technology, Inc.
cv. sub. notes 5 1/2s, 2002 42,125
....................................................................................................
120,000 Mahindra & Mahindra Ltd. cv. bonds 5s,
2001 (India) 114,300
....................................................................................................
30,000 National Semiconductor Corp. 144A
cv. deb. 6 1/2s, 2002 29,288
....................................................................................................
50,000 VLSI Technology, Inc. cv. sub. notes
8 1/4s, 2005 50,688
....................................................................................................
85,000 Winstar Communications. Inc. 144A
cv. sr. disc. notes stepped-coupon zero %
(14s, 10/15/00), 2005 (STP) 91,800
- ----------------------------------------------------------------------------------------------------
Total Convertible Bonds and Notes
(cost $542,163) $525,545
- ----------------------------------------------------------------------------------------------------
PURCHASED OPTIONS OUTSTANDING (-%)*
- ----------------------------------------------------------------------------------------------------
Contract Expiration Date/
Amount Strike Price Value
....................................................................................................
ITL 50,000,000 Italian Government Bond Feb. 98/
futures contract (call) 113.0 ITL $78,877
....................................................................................................
ITL 50,000,000 Italian Government Bond Feb. 98/
futures contract (put) 113.0 ITL 3,393
- ----------------------------------------------------------------------------------------------------
Total Purchased Options
Outstanding (cost $66,892) $82,270
- ----------------------------------------------------------------------------------------------------
WARRANTS (-%)*(NON)
- ----------------------------------------------------------------------------------------------------
Number of Warrants Expiration Date Value
....................................................................................................
275 Cellnet Data Systems, Inc. 9/15/07 $30
....................................................................................................
175 Esat Holdings, Inc. (Ireland) 9/9/99 6,125
....................................................................................................
1,400 Generale Des Eaux (France) 5/2/01 951
....................................................................................................
80 Globalstar Telecom 144A 2/15/04 8,160
....................................................................................................
425 Hyperion Telecommunications
144A 4/15/01 25,500
....................................................................................................
10 McCaw International Ltd. 4/15/07 3
....................................................................................................
970 Nextlink Communications, Inc.
144A 2/1/09 10
....................................................................................................
120 Orion Network Systems 1/15/07 1,080
....................................................................................................
1,920 Powertel, Inc. 2/1/06 13,824
....................................................................................................
80 Spanish Broadcasting Systems
144A 6/30/99 18,800
....................................................................................................
45 Urohealth Systems Inc. 4/10/04 113
- ----------------------------------------------------------------------------------------------------
Total Warrants (cost $36,021) $74,596
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (6.3%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
TRL 68,160,000,000 Turkey Treasury bills zero %,
September 16, 1998 $178,986
....................................................................................................
TRL 90,120,000,000 Turkey Treasury bills zero %,
July 29, 1998 260,702
....................................................................................................
TRL 70,270,000,000 Turkey Treasury bills zero %,
June 4, 1998 234,247
....................................................................................................
$4,220,000 U. S. Treasury Bills zero %,
January 22, 1998 # 4,177,680
....................................................................................................
55,239,000 Interest in $622,557,000 joint
repurchase agreement dated
December 31, 1997 with UBS
Securities due January 2, 1998
with respect to various U.S. Treasury
obligations - maturity value of
$55,258,794 for an effective yield
of 6.45% 55,248,897
- ----------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $60,107,438) $60,100,512
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $824,144,238) *** $943,957,013
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Buy at December 31, 1997
(aggregate face value $105,732,460)
- ----------------------------------------------------------------------------------------------------
Unrealized
Market Aggregate Delivery Appreciation/
Value Face Value Date (Depreciation)
....................................................................................................
Australian Dollars $714,885 $750,794 Mar-98 $(35,909)
....................................................................................................
Canadian Dollars 4,689,418 4,679,566 Mar-98 9,852
....................................................................................................
Danish Krone 2,280,396 2,300,015 Mar-98 (19,619)
....................................................................................................
Deutschemarks 17,950,647 18,132,432 Mar-98 (181,785)
....................................................................................................
Finnish Marka 569,739 577,668 Mar-98 (7,929)
....................................................................................................
French Francs 3,012,064 3,061,356 Mar-98 (49,292)
....................................................................................................
Indonesian Rupiah 430,543 648,032 Jun-98 (217,489)
....................................................................................................
Indonesian Rupiah 146,511 201,921 Feb-98 (55,410)
....................................................................................................
Italian Lira 13,360,747 13,487,987 Mar-98 (127,240)
....................................................................................................
Japanese Yen 46,546,351 47,015,622 Mar-98 (469,271)
....................................................................................................
Mexican Peso 143,582 134,865 May-98 8,717
....................................................................................................
Mexican Peso 115,675 107,889 May-98 7,786
....................................................................................................
Philippines Peso 174,232 205,938 Mar-98 (31,706)
....................................................................................................
Polish Zolty 232,750 241,595 Jun-98 (8,845)
....................................................................................................
Spanish Peseta 3,998,278 4,047,755 Mar-98 (49,477)
....................................................................................................
Swedish Krona 5,972,142 6,110,428 Mar-98 (138,286)
....................................................................................................
Swiss Franc 3,555,091 3,622,610 Mar-98 (67,519)
....................................................................................................
Venezuelan Bolivar 80,846 80,925 Jan-98 (79)
....................................................................................................
Venezuelan Bolivar 75,900 76,780 Jun-98 (880)
....................................................................................................
Venezuelan Bolivar 251,191 248,282 Jun-98 2,909
- ----------------------------------------------------------------------------------------------------
$(1,431,472)
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell at December 31, 1997
(aggregate face value $104,236,224)
- ----------------------------------------------------------------------------------------------------
Unrealized
Market Aggregate Delivery Appreciation/
Value Face Value Date (Depreciation)
....................................................................................................
Australian Dollars $324,049 $340,252 Mar-98 $16,203
....................................................................................................
British Pounds 5,829,506 5,864,247 Mar-98 34,741
....................................................................................................
Deutschemarks 57,235,545 57,955,851 Mar-98 720,306
....................................................................................................
Italian Lira 4,567,357 4,610,500 Mar-98 43,143
....................................................................................................
Japanese Yen 5,593,678 5,644,989 Jun-98 51,311
....................................................................................................
Japanese Yen 18,090,769 18,207,974 Mar-98 117,205
....................................................................................................
New Zealand Dollars 4,865,187 5,100,245 Mar-98 235,058
....................................................................................................
South African Rand 736,906 730,196 Mar-98 (6,710)
....................................................................................................
Swedish Krona 2,639,505 2,676,284 Mar-98 36,779
....................................................................................................
Swiss Francs 3,028,339 3,105,686 Mar-98 77,347
- ----------------------------------------------------------------------------------------------------
$1,325,383
- ----------------------------------------------------------------------------------------------------
Futures Contracts Outstanding at December 31, 1997
- ----------------------------------------------------------------------------------------------------
Unrealized
Total Aggregate Expiration Appreciation/
Value Face Value Date (Depreciation)
....................................................................................................
CAC40 Index (Short) $6,530,218 $6,178,220 Mar-98 $(351,998)
....................................................................................................
DAX Index (Short) 2,379,588 2,350,538 Mar-98 (29,050)
....................................................................................................
Euro DM (Long) 14,713,571 14,668,251 Mar-98 45,320
....................................................................................................
Euro DM (Long) 37,875,835 37,897,429 Mar-99 (21,594)
....................................................................................................
Euro DM (Short) 14,673,804 14,598,237 Mar-98 (75,567)
....................................................................................................
Euro Lira (Short) 38,461,891 38,487,963 Mar-99 26,072
....................................................................................................
FT-SE 100
Index (Long) 56,836,001 57,113,836 Mar-98 (277,835)
....................................................................................................
Gilt (Short) 10,189,119 10,083,074 Mar-98 (106,045)
....................................................................................................
German 10 Yr (Short) 9,561,374 9,516,689 Mar-98 (44,685)
....................................................................................................
Japanese Government
Bonds 10 Yr (Short) 8,962,712 8,875,280 Mar-98 (87,432)
....................................................................................................
Municipal Bond
Index (Long) 19,453,750 19,302,006 Mar-98 151,744
....................................................................................................
NASDAQ 100 (Long) 13,336,575 14,570,150 Mar-98 (1,233,575)
....................................................................................................
Nikkei 225 SMX
(Short) 9,484,883 10,366,693 Mar-98 881,810
....................................................................................................
Russell 2000IDX
(Long) 14,564,550 14,784,000 Mar-98 (219,450)
....................................................................................................
S&P Index (Long) 19,582,000 19,843,010 Mar-98 (261,010)
....................................................................................................
U.S. Treasury
Bond 10 Yr (Short) 8,187,406 8,144,062 Mar-98 (43,344)
....................................................................................................
U.S. Treasury
Bond (Short) 5,300,625 5,274,500 Mar-98 (26,125)
....................................................................................................
U.S. Treasury
Bond (Short) 13,733,438 13,584,125 Mar-98 (149,313)
....................................................................................................
U.S. Treasury
Bond 10 Yr (Short) 15,477,563 15,378,376 Mar-98 (99,187)
- ----------------------------------------------------------------------------------------------------
$(1,921,264)
- ----------------------------------------------------------------------------------------------------
TBA Sale Commitments Outstanding at December 31, 1997
(proceeds receivable $413,831)
- ----------------------------------------------------------------------------------------------------
Principal Settlement Market
Description Amount Date Value
....................................................................................................
FNMA 6 1/2s,
January 16, 2028 $420,000 1/14/98 $414,750
- ----------------------------------------------------------------------------------------------------
Written Options Outstanding at December 31, 1997
(premiums received $63,094)
- ----------------------------------------------------------------------------------------------------
Contract Expiration Date/ Market
Amount Strike Price Value
....................................................................................................
DEM 55,000 German Government Bond Feb. 98/
futures contracts (put) 102.00 DEM $6,118
....................................................................................................
DEM 55,000 German Government Bond Feb. 98/
futures contracts (call) 102.00 DEM 73,109
- ----------------------------------------------------------------------------------------------------
$79,227
- ----------------------------------------------------------------------------------------------------
Diversification by Country
- ----------------------------------------------------------------------------------------------------
Distribution of investments by country of issue at
December 31, 1997: (as percentage of Market Value)
- ----------------------------------------------------------------------------------------------------
Brazil 0.6%
....................................................................................................
Canada 1.0
....................................................................................................
Chile 0.6
....................................................................................................
France 2.0
....................................................................................................
Germany 6.4
....................................................................................................
Japan 1.2
....................................................................................................
Mexico 0.8
....................................................................................................
Netherlands 0.8
....................................................................................................
Sweden 0.9
....................................................................................................
Switzerland 0.7
....................................................................................................
United Kingdom 2.8
....................................................................................................
United States 77.4
....................................................................................................
Other 4.8
- ----------------------------------------------------------------------------------------------------
Total 100.0%
- ----------------------------------------------------------------------------------------------------
See page 191 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
December 31, 1997
<CAPTION>
COMMON STOCKS (98.3%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Aerospace and Defense (1.6%)
....................................................................................................
392,600 Bombardier, Inc. (Canada) $8,076,155
....................................................................................................
1,279,300 Smiths Industries PLC (United Kingdom) 17,889,117
- ----------------------------------------------------------------------------------------------------
25,965,272
- ----------------------------------------------------------------------------------------------------
Agricultural (-%)
....................................................................................................
403,500 Astra Argo 144A (NON) 151,316
- ----------------------------------------------------------------------------------------------------
Apparel (0.5%)
....................................................................................................
20,830 Adidas AG (Germany) (NON) 2,741,033
....................................................................................................
7,850 Adidas AG 144A (Germany) (NON) 1,012,903
....................................................................................................
142,200 Jones Apparel Group, Inc. (NON) 6,114,600
- ----------------------------------------------------------------------------------------------------
9,868,536
- ----------------------------------------------------------------------------------------------------
Automotive (2.1%)
....................................................................................................
23,359 Bayerische Motoren Werke (BMW) AG
(Germany) 17,473,779
....................................................................................................
705,000 Qingling Motors Co. (China) (NON) 345,820
....................................................................................................
55,000 Tata Engineering and Locomotive Co., Ltd.
(India) (NON) 416,720
....................................................................................................
30,620 Telco (Tata Engineering & Locomotive
Co, Ltd.) 144A GDR (India)(NON) 260,270
....................................................................................................
226,408 Valeo S.A. (France) 15,344,471
- ----------------------------------------------------------------------------------------------------
33,841,060
- ----------------------------------------------------------------------------------------------------
Biotechnology (0.5%)
....................................................................................................
222,100 Quintiles Transnational Corp. (NON) 8,495,325
- ----------------------------------------------------------------------------------------------------
Broadcasting (0.7%)
....................................................................................................
387,900 CBS Corp. 11,418,806
- ----------------------------------------------------------------------------------------------------
Broadcasting and Media (0.2%)
....................................................................................................
50,900 Grupo Televisa S.A.GDR (Mexico) (NON) 1,969,194
....................................................................................................
38,600 Investec Consultadoria International
(Portugal) (NON) 1,143,937
- ----------------------------------------------------------------------------------------------------
3,113,131
- ----------------------------------------------------------------------------------------------------
Building and Construction (0.7%)
....................................................................................................
237,000 Cemex S.A. de C.V. Class B, (Mexico) (NON) 1,264,078
....................................................................................................
100,000 Cemex, S.A. de C.V. (Mexico) 453,361
....................................................................................................
220,000 Cheung Kong Infrastructure Holdings
(Hong Kong) 621,934
....................................................................................................
486,500 Corporacion Moctezuma, S.A. de C.V.
(Mexico) (NON) 607,069
....................................................................................................
67,600 Grupo Imsa S.A. de C.V. ADR (Mexico) (NON) 1,592,825
....................................................................................................
136,000 Gujarat Ambuja Cements Ltd. GDR
(India) (NON) 952,000
....................................................................................................
102,300 Masco Corp. 5,204,513
....................................................................................................
349,400 New World Infrastructure Ltd.
(Hong Kong) (NON) 787,039
- ----------------------------------------------------------------------------------------------------
11,482,819
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (6.2%)
....................................................................................................
228,000 Aurora Corp. (Taiwan) (NON) 498,860
....................................................................................................
1,010,300 Compass Group PLC (United Kingdom) 12,478,225
....................................................................................................
191,200 HBO & Co. 9,177,600
....................................................................................................
113,400 Herman Miller, Inc. 6,187,388
....................................................................................................
3,020,200 International Container
Terminal Services, Inc. (Philippines) 377,525
....................................................................................................
43,244 Mannesmann AG (Germany)(NON) 21,862,512
....................................................................................................
156,700 Paychex, Inc. 7,932,938
....................................................................................................
1,665,800 Reuters Holdings PLC ADR
(United Kingdom)(NON) 18,266,913
....................................................................................................
509,000 Ricoh Co., Ltd. (Japan) 6,325,889
....................................................................................................
65,700 Wolters Kluwer N.V. (Netherlands) 8,493,006
....................................................................................................
210,400 Cendant Corp. (NON) 7,232,500
- ----------------------------------------------------------------------------------------------------
98,833,356
- ----------------------------------------------------------------------------------------------------
Cable Television (-%)
....................................................................................................
38,400 Multicanal Participacoes S.A. ADR
(Brazil) (NON) 225,600
- ----------------------------------------------------------------------------------------------------
Computer Equipment (-%)
....................................................................................................
46,000 Asustek Computer, Inc. (Taiwan) (NON) 732,881
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (5.6%)
....................................................................................................
108,900 BMC Software, Inc. (NON) 7,146,563
....................................................................................................
195,450 Computer Associates Intl., Inc. 10,334,419
....................................................................................................
196,600 Compuware Corp. (NON) 6,291,200
....................................................................................................
282,100 EMC Corp. (NON) 7,740,119
....................................................................................................
190,998 Getronics Electric N.V. (Netherlands) 6,090,065
....................................................................................................
122,300 Microsoft Corp. (NON) 15,807,275
....................................................................................................
144,700 Parametric Technology Corp. (NON) 6,855,163
....................................................................................................
270,100 PeopleSoft, Inc. (NON) 10,533,900
....................................................................................................
21,296 SAP AG (Germany) 6,472,894
....................................................................................................
544,200 SEMA Group PLC (United Kingdom) 13,281,310
- ----------------------------------------------------------------------------------------------------
90,552,908
- ----------------------------------------------------------------------------------------------------
Computers (0.7%)
....................................................................................................
411,000 Acer, Inc. GDR (Taiwan) (NON) 633,282
....................................................................................................
181,400 Compaq Computer Corp. (NON) 10,237,763
- ----------------------------------------------------------------------------------------------------
10,871,045
- ----------------------------------------------------------------------------------------------------
Conglomerates (0.8%)
....................................................................................................
50,000 Benpres Holdings Corp. GDR
(Philippines) (NON) 132,500
....................................................................................................
20,000 Benpres Holdings Corp. 144A GDR
(Philippines) (NON) 54,000
....................................................................................................
812,640 Granada Group PLC (United Kingdom) 12,462,403
....................................................................................................
518,000 Lonrho PLC (South Africa) 788,076
- ----------------------------------------------------------------------------------------------------
13,436,979
- ----------------------------------------------------------------------------------------------------
Consumer Durable Goods (-%)
....................................................................................................
514,000 Guangdong Kelon Elec Holding
(Hong Kong) 527,482
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (1.6%)
....................................................................................................
110,600 American Brands, Inc. 8,129,100
....................................................................................................
372,000 Kimberly-Clark de Mexico, S.A. de C.V.
Class A 1,822,625
....................................................................................................
38,638 L'OREAL (France) 15,107,503
....................................................................................................
128,000 PT Gudang Garam (Indonesia) 198,524
- ----------------------------------------------------------------------------------------------------
25,257,752
- ----------------------------------------------------------------------------------------------------
Consumer Products (2.6%)
....................................................................................................
103,000 Clorox Co. 8,143,438
....................................................................................................
265,700 Procter & Gamble Co. 21,206,181
....................................................................................................
2,200 Souza Cruz S.A. (Brazil) 17,742
....................................................................................................
1,212,500 Unilever PLC (United Kingdom) 10,416,939
- ----------------------------------------------------------------------------------------------------
39,784,300
- ----------------------------------------------------------------------------------------------------
Consumer Services (0.9%)
....................................................................................................
136,300 Interpublic Group Cos., Inc. 6,789,444
....................................................................................................
113,200 Marriott International, Inc. 7,839,100
- ----------------------------------------------------------------------------------------------------
14,628,544
- ----------------------------------------------------------------------------------------------------
Cosmetics (0.9%)
....................................................................................................
1,112,000 Shiseido Co., Ltd. (Japan) 15,184,957
- ----------------------------------------------------------------------------------------------------
Educational Services (0.2%)
....................................................................................................
75,500 Apollo Group, Inc. Class A (NON) 3,567,375
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (9.4%)
....................................................................................................
17,100 Ase Test Limited (NON) (Taiwan) 1,117,913
....................................................................................................
224,800 ASM Lithography Holding N.V.
(Netherlands) (NON) 14,757,355
....................................................................................................
359,000 Canon, Inc. (Japan) 8,372,532
....................................................................................................
163,000 Delta Electronics, Inc. (Taiwan) 653,005
....................................................................................................
99,500 Diebold, Inc. 5,037,188
....................................................................................................
732,800 Electrocomponents PLC
(United Kingdom) 5,473,994
....................................................................................................
429,300 General Electric Co. 31,499,888
....................................................................................................
75,500 Hirose Electric Co. Ltd. (Japan) 3,863,328
....................................................................................................
110,000 Hon Hai Precision Industry (Taiwan) (NON) 559,322
....................................................................................................
53,900 Keyence Corp (Japan) 7,980,587
....................................................................................................
91,000 Rohm Co. Ltd. (Japan) 9,284,998
....................................................................................................
184,400 SCI Systems, Inc. (NON) 8,032,925
....................................................................................................
893,200 Siebe PLC (United Kingdom) 17,600,997
....................................................................................................
40,000 Siliconware Precision Industries Co.
GDR (Taiwan) (NON) 513,000
....................................................................................................
120,600 Solectron Corp. (NON) 5,012,438
....................................................................................................
180,300 Sony Corp. (Japan) 16,045,103
....................................................................................................
29,300 Tadiran Ltd. (Israel) 1,045,837
....................................................................................................
65,000 Taiwan Semiconductor Manufacturing Co.
(Taiwan) (NON) 224,345
....................................................................................................
408,500 Tokyo Electron Ltd. (Japan) 13,099,573
- ----------------------------------------------------------------------------------------------------
150,174,328
- ----------------------------------------------------------------------------------------------------
Energy-Related (0.6%)
....................................................................................................
179,300 AES Corp. (NON) 8,359,863
....................................................................................................
800,000 Beijing Datang Power
Generation Co., Ltd. (China) (NON) 366,603
....................................................................................................
34,000 BSES Ltd. (India) (NON) 595,000
- ----------------------------------------------------------------------------------------------------
9,321,466
- ----------------------------------------------------------------------------------------------------
Entertainment (0.8%)
....................................................................................................
111,000 Berjaya Sports Toto Berhad (Malaysia) 284,213
....................................................................................................
126,100 Disney (Walt) Productions, Inc. 12,491,781
- ----------------------------------------------------------------------------------------------------
12,775,994
- ----------------------------------------------------------------------------------------------------
Environmental Control (0.3%)
....................................................................................................
130,600 USA Waste Services, Inc. (NON) 5,126,050
- ----------------------------------------------------------------------------------------------------
Food and Beverages (5.2%)
....................................................................................................
561,400 Bass PLC (United Kingdom) 8,743,696
....................................................................................................
170,400 Campbell Soup Co. 9,904,500
....................................................................................................
347,100 Coca-Cola Enterprises, Inc. 12,343,744
....................................................................................................
230,200 Conagra, Inc. 7,553,438
....................................................................................................
197,100 Fomento Economico Mexicano,
S.A. de C.V. Class B, (Mexico)(NON) 1,584,232
....................................................................................................
237,000 Guangnan Holdings (Hong Kong) 194,267
....................................................................................................
16,566 Nestle S.A. (Switzerland) 24,812,161
....................................................................................................
326,000 NgFung Hong Ltd. (Hong Kong) 342,967
....................................................................................................
63,300 Panamerican Beverages, Inc. Class A,
(Mexico) 2,065,163
....................................................................................................
270,700 PepsiCo, Inc. 9,863,631
....................................................................................................
114,200 Sara Lee Corp. 6,430,888
- ----------------------------------------------------------------------------------------------------
83,838,687
- ----------------------------------------------------------------------------------------------------
Health Care (1.2%)
....................................................................................................
121,300 Cardinal Health, Inc. 9,112,663
....................................................................................................
328,500 HEALTHSOUTH Corp. (NON) 9,115,875
- ----------------------------------------------------------------------------------------------------
18,228,538
- ----------------------------------------------------------------------------------------------------
Hospital Management and Medical Services (0.4%)
....................................................................................................
238,400 Quorum Health Group, Inc. (NON) 6,228,200
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (15.5%)
....................................................................................................
127,500 Acom Co. Ltd. (Japan) 7,042,575
....................................................................................................
231,400 Aegon N.V. (Netherlands)(NON) 20,615,844
....................................................................................................
20,400 Aiful Corp. (Japan) 1,385,040
....................................................................................................
159,800 American Express Co. 14,262,150
....................................................................................................
91,900 American International Group, Inc. 9,994,125
....................................................................................................
127,082 Australia & New Zealand Banking
Group Ltd. (Australia)(NON) 838,886
....................................................................................................
171,400 Banco Bradesco BRC (Brazil) 1,689,427
....................................................................................................
7,328 Banco Bradesco Rights (Brazil)
(expiration date 2/9/98) 1
....................................................................................................
200,594 Banco Frances del Rio de la Plata S.A.
ADR (Argentina) 1,861,885
....................................................................................................
92,000 Bangkok Bank Public Co., Ltd. (Thailand) 230,480
....................................................................................................
14,300 Bank Handlowy 144A (Poland) (NON) 182,813
....................................................................................................
607,000 Bank Leumi Le-Israel (Israel) 1,019,793
....................................................................................................
193,378 Bank of Nova Scotia (Canada) 9,112,796
....................................................................................................
803,520 Bank Sinopac (Taiwan) (NON) 614,092
....................................................................................................
35,800 Commerce Bank of Lebanon 144A GDR
(United Kingdom)(NON) 640,820
....................................................................................................
112,400 Credit Saison Co., Ltd. (Japan) 2,776,585
....................................................................................................
4,453,600 Credito Italiano SPA (Italy) 13,736,776
....................................................................................................
147,477 Deutsche Bank AG (Germany) 10,416,896
....................................................................................................
209,000 First National Bank Holdings Ltd.
(South Africa) 1,858,398
....................................................................................................
70,500 Franklin Resources, Inc. 6,129,094
....................................................................................................
540,000 Grupo Financiero Banamex Accival,
S.A. de C.V. Class B (Mexico) (NON) 1,617,589
....................................................................................................
88,500 Haci Omer Sabanci Holdings (Turkey)(NON) 1,349,625
....................................................................................................
661,200 HSBC Holdings PLC (United Kingdom) 17,008,973
....................................................................................................
3,520 Housing & Commerical Bank of Korea
GDR (Korea) 25,520
....................................................................................................
243,800 Industrial Finance Corp. of Thailand (The)
(Thailand) 37,664
....................................................................................................
297,912 Internationale Nederlanden Groep
(Netherlands) 12,557,594
....................................................................................................
45,000 Liberty Life Association of Africa Ltd.
(South Africa) 1,156,456
....................................................................................................
291,400 MBNA Corp. 7,958,863
....................................................................................................
5,642,000 National Mutual Asia Ltd. (Hong Kong) 5,607,916
....................................................................................................
183,700 Promise Co., Ltd. (Japan) 10,203,202
....................................................................................................
1,790,105 QBE Insurance Group Ltd. (Australia) 8,049,130
....................................................................................................
36,043 Schweizerischer Bankverein (Switzerland) 11,196,389
....................................................................................................
36,400 Shohkoh Fund & Co., Ltd. (Japan) 11,114,073
....................................................................................................
99,000 Sivensa A ADR (Sweden) 414,226
....................................................................................................
131,000 Southtrust Corp. 8,310,313
....................................................................................................
20,800 State Bank of India GDR (India) (NON) 369,200
....................................................................................................
29,000 State Bank of India Ltd. 144A (India) 180,230
....................................................................................................
182,600 SunAmerica, Inc. 7,806,150
....................................................................................................
2,099,900 Telecom Italia SPA (Italy) 13,417,015
....................................................................................................
236,900 Toronto-Dominion Bank (Canada) 8,917,730
....................................................................................................
167,500 Travelers Group, Inc. 9,024,063
....................................................................................................
100,600 Washington Mutual, Inc. 6,419,538
....................................................................................................
43,900 Yapi ve Kredi Bankasi A.S. (Turkey) (NON) 1,690,150
- ----------------------------------------------------------------------------------------------------
248,840,085
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (0.7%)
....................................................................................................
223,400 Omnicare, Inc. 6,925,400
....................................................................................................
143,000 Takeda Chemical Industries (Japan) 4,081,011
- ----------------------------------------------------------------------------------------------------
11,006,411
- ----------------------------------------------------------------------------------------------------
Metals and Mining (1.4%)
....................................................................................................
65,900 KGHM Polska Miedz S.A. GDR (Poland) (NON) 453,063
....................................................................................................
410,000 Billiton PLC (United Kingdom) (NON) 1,053,660
....................................................................................................
110,500 Companhia Vale do Rio Doce ADR
(Brazil) 2,188,011
....................................................................................................
23,500 Compania Siderurgica Nacional (Brazil) 652,778
....................................................................................................
67,840 Gencor Ltd. (South Africa) 111,579
....................................................................................................
45,000 Hindalco Industries (India) 855,115
....................................................................................................
197,800 Ispat International NV (Netherlands) (NON) 3,758,786
....................................................................................................
131,500 Ispat International NV N.Y. Shares
(Canada) (NON) 2,843,688
....................................................................................................
50,200 Madeco S.A. ADR (Chile) 765,550
....................................................................................................
7,100 Pohang Iron & Steel Company, Ltd.
(South Korea) 198,033
....................................................................................................
688,684 Rio Tinto PLC (United Kingdom) 8,505,943
....................................................................................................
153,700 Sasol Ltd. (South Africa) 1,608,415
- ----------------------------------------------------------------------------------------------------
22,994,621
- ----------------------------------------------------------------------------------------------------
Oil and Gas (5.8%)
....................................................................................................
165,000 Cia Naviera Perez Co. (Argentina) 1,178,336
....................................................................................................
26,700 Energy Africa Ltd. 144A (South Africa) (NON) 680,850
....................................................................................................
1,192,300 Ente Nazionale Idrocarburi SPA
(Italy) (ENI)(NON) 6,761,847
....................................................................................................
216,700 Halliburton Co. 11,254,856
....................................................................................................
25,000 Hindustan Petroleum Corp. Ltd. GDR
(India) 309,783
....................................................................................................
16,500 Lukoil Holding ADR (Russia) 1,518,000
....................................................................................................
37,100 PTT Exploration & Production PLC
(Thailand) 429,090
....................................................................................................
58,500 Ramco Energy PLC ADR
(United Kingdom) (NON) 778,781
....................................................................................................
209,300 Schlumberger Ltd. 16,848,650
....................................................................................................
15,700 Tatneft 144A ADR (Russia) (NON) 2,237,250
....................................................................................................
600 Tatneft ADR (Russia) 85,500
....................................................................................................
162,400 Tosco Corp. 6,140,750
....................................................................................................
233,600 Total Corp. ADR Class B, (France) 25,403,952
....................................................................................................
99,500 Western Atlas, Inc. (NON) 7,363,000
....................................................................................................
1,418,908 Woodside Petroleum Ltd. (Australia) 9,994,533
....................................................................................................
63,500 YPF S.A. ADR (Argentina) 2,170,906
....................................................................................................
500,000 Zhenhai Refining and Chemical Co.
Class H (China) (NON) 208,150
- ----------------------------------------------------------------------------------------------------
93,364,234
- ----------------------------------------------------------------------------------------------------
Packaging and Containers (-%)
....................................................................................................
43,900 Colep-Companhia Portuguesa de
Embalagens (Portugal) (NON) 620,664
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (0.5%)
....................................................................................................
30,175 Asia Pulp & Paper Co. Ltd. ADR
(Singapore) (NON) 303,636
....................................................................................................
102,600 Enso Oy Class R (Finland) 795,144
....................................................................................................
179,400 Fort James Corp. 6,862,050
....................................................................................................
953,500 PT Indah Kiat Pulp & Paper Corp.
Class F (Indonesia) 172,164
- ----------------------------------------------------------------------------------------------------
8,132,994
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (7.7%)
....................................................................................................
222,400 Bristol-Myers Squibb Co. 21,044,600
....................................................................................................
353,384 Glaxo Wellcome PLC (United Kingdom) 8,391,315
....................................................................................................
148,700 Lilly (Eli) & Co. 10,353,238
....................................................................................................
107,800 Merck & Co., Inc. 11,453,750
....................................................................................................
8,503 Novartis AG ADR (Switzerland) 13,788,649
....................................................................................................
220,100 Pfizer, Inc. 16,411,206
....................................................................................................
26,000 Ranbaxy Laboratories Ltd. (India) 468,299
....................................................................................................
189,300 Schering-Plough Corp. 11,760,263
....................................................................................................
1,600,279 Smithkline Beecham PLC ADR
(United Kingdom) 16,440,098
....................................................................................................
113,150 Warner-Lambert Co. 14,030,600
- ----------------------------------------------------------------------------------------------------
124,142,018
- ----------------------------------------------------------------------------------------------------
Publishing (0.4%)
....................................................................................................
109,600 Gannett Co., Inc. 6,774,650
- ----------------------------------------------------------------------------------------------------
Real Estate (1.4%)
....................................................................................................
1,727,600 Ayala Land, Inc. Class B (Philippines) 691,040
....................................................................................................
4,670,900 Belle Corp. (Philippines) (NON) 182,165
....................................................................................................
43,200 Brazil Realty S.A. 144A ADR (Brazil) (NON) 842,400
....................................................................................................
940,000 Cheung Kong Holdings Ltd. (Hong Kong) 6,158,027
....................................................................................................
50,000 Grupo Accion, S.A. de C.V. 144A ADR
(Mexico) (NON) 518,750
....................................................................................................
27,833 Inversiones Y Represent ADR (Argentina) 1,047,217
....................................................................................................
4,100,000 SM Prime Holdings, Inc. 615,000
....................................................................................................
1,843,000 Sun Hung Kai Properties Ltd.
(Hong Kong) 12,846,853
- ----------------------------------------------------------------------------------------------------
22,901,452
- ----------------------------------------------------------------------------------------------------
Retail (7.6%)
....................................................................................................
982,500 Argos PLC (United Kingdom) 8,902,683
....................................................................................................
450,000 Cifra S.A. de CV (Mexico) 1,106,301
....................................................................................................
66,200 Companhia Brasileira de Distribuicao
Grupo Pao de Acucar ADR (Brazil) (NON) 1,282,625
....................................................................................................
161,900 Consolidated Stores Corp. (NON) 7,113,481
....................................................................................................
216,300 Costco Companies, Inc. (NON) 9,652,388
....................................................................................................
195,300 CVS Corp. 12,511,406
....................................................................................................
132,400 Dayton Hudson Corp. 8,937,000
....................................................................................................
48,400 Distribucion y Servicio D&S S.A. ADR
(Chile)(NON) 898,425
....................................................................................................
818,348 Dixons Group PLC (United Kingdom) 8,245,175
....................................................................................................
998,800 La Rinascente SPA (Italy) 7,454,701
....................................................................................................
98,900 Payless Shoesource, Inc. (NON) 6,638,663
....................................................................................................
212,000 PT Ramayana Lestari Sentosa (Indonesia) 203,172
....................................................................................................
123,900 Rite Aid Corp. 7,271,381
....................................................................................................
257,300 Super Sol Ltd. (Israel) (NON) 729,924
....................................................................................................
30,000 Super Sol Ltd. ADR (Israel) (NON) 421,875
....................................................................................................
161,700 Tiffany & Co. 5,831,306
....................................................................................................
270,700 TJX Cos., Inc. (The) 9,305,313
....................................................................................................
262,300 Wal-Mart Stores, Inc. 10,344,456
....................................................................................................
222,300 Walgreen Co. 6,974,663
....................................................................................................
2,641,156 Woolworth Co. (Australia) (NON) 8,820,484
- ----------------------------------------------------------------------------------------------------
122,645,422
- ----------------------------------------------------------------------------------------------------
Semiconductors (0.8%)
....................................................................................................
198,400 SGS-Thomson Microelectronics ADR
(France) (NON) 12,114,800
- ----------------------------------------------------------------------------------------------------
Telecommunications (9.4%)
....................................................................................................
40,500 @Entertainment, Inc. (NON) 450,563
....................................................................................................
74,000 Advanced Info Service Public Co., Ltd.
(Thailand) 355,324
....................................................................................................
151,000 Asia Satellite Telecommunications
Holdings Ltd. (Hong Kong) 258,268
....................................................................................................
26,900 Bell Canada International, Inc. (NON) 410,225
....................................................................................................
145,200 Cisco Systems, Inc. (NON) 8,094,900
....................................................................................................
19,000 Compania Anonima Nacional Telefonos de
Venezuela (CANTV) ADR (Venezuela) (NON) 790,875
....................................................................................................
80,200 Compania de Tele Chile ADS (Chile) 2,395,975
....................................................................................................
112,800 Lucent Technologies, Inc. 9,009,900
....................................................................................................
111,400 Mahanagar Telephone Nigam Ltd. (India) 735,069
....................................................................................................
118,600 Newbridge Networks Corp. (Canada) (NON) 4,153,324
....................................................................................................
145,792 Northern Telecom Ltd. (Canada) (NON) 12,970,490
....................................................................................................
248,400 Oy Nokia AB Class A (Finland) 17,654,227
....................................................................................................
5,000 Philippine Long Distance Telephone Co.
(Philippines) 110,000
....................................................................................................
27,000 Philippine Long Distance Telephone Co.
ADR (Philippines) 607,500
....................................................................................................
306,100 Portugal Telecom S.A. (Portugal) 14,214,764
....................................................................................................
144,000 PT Indosat (Indonesia) 272,007
....................................................................................................
37,300 PT Telekomunikasi Indonesia ADR
(Indonesia) (NON) 412,631
....................................................................................................
1,322 SK Telecom Co., Ltd. (South Korea) 409,547
....................................................................................................
81 Telec de Minas Gerais S.A. (Brazil)(NON) 10,234
....................................................................................................
12,500 Telecel-Comunicacaoes Pessoais, S.A.
(Portugal) (NON) 1,331,250
....................................................................................................
3,254,400 Telecom Corp. of New Zealand Ltd.
(New Zealand) 15,761,059
....................................................................................................
2,664,037 Telecom Italia Mobile SPA (Italy) 12,299,155
....................................................................................................
456,873 Telefonaktiebolaget LM Ericsson
Class B (Sweden) 17,194,084
....................................................................................................
33,900 Telefonos de Mexico S.A. ADR Class L
(Mexico) 1,900,519
....................................................................................................
108,400 Tellabs, Inc. (NON) 5,731,650
....................................................................................................
26,700 Videsh Sanchar Nigam Ltd. GDR (India) (NON) 367,125
....................................................................................................
3,366,479 Vodafone Group PLC (United Kingdom) 24,370,312
- ----------------------------------------------------------------------------------------------------
152,270,977
- ----------------------------------------------------------------------------------------------------
Transportation (2.0%)
....................................................................................................
54,700 AMR Corp. (NON) 7,028,950
....................................................................................................
1,815,800 British Airways PLC (United Kingdom) 16,767,824
....................................................................................................
53,900 Linea Aerea Nacional Chile S.A. ADR
(Chile) (NON) 734,388
....................................................................................................
284,200 Southwest Airlines Co. 6,998,425
....................................................................................................
835,000 U-Ming Marine Transport Corp. (Taiwan) 527,504
- ----------------------------------------------------------------------------------------------------
32,057,091
- ----------------------------------------------------------------------------------------------------
Utilities (1.4%)
....................................................................................................
918,500 Centrais Electricas de Santa Catarina
S.A. (Brazil) 1,144,012
....................................................................................................
39,500 Comp Energetica De Minas Gerais
(Cemig) 144A ADS (Brazil) 1,708,375
....................................................................................................
19,000 Electricidade de Portugal S.A. (Portugal) (NON) 360,060
....................................................................................................
183,400 Electricity Generating Public Co. Ltd.
(Thailand) 344,593
....................................................................................................
94,270 Gas Natural SDG, S.A. Class E (Spain) 4,889,269
....................................................................................................
92,000 Korea Electric Power Corp. (South Korea) 852,153
....................................................................................................
175,000 Manila Electric Co. Class B (Philippines) 586,250
....................................................................................................
27,100 Mosenergo 144A ADR (Russia) 1,002,700
....................................................................................................
93,400 SBC Communications, Inc. 6,841,555
....................................................................................................
15,400 Telebras Co. ADR (Brazil) 1,793,138
....................................................................................................
36,900 Telefonica de Argentina S.A. ADR
(Argentina) 1,374,525
....................................................................................................
4,000,000 Unified Energy Systems (Russia) 1,200,000
- ----------------------------------------------------------------------------------------------------
22,096,630
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $1,447,204,322) $1,583,594,756
- ----------------------------------------------------------------------------------------------------
PREFERRED STOCKS (0.2%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
1,990 Banco Itau S.A. BRC $6.86 No par value
(NPV) pfd. (Brazil) $1,069,892
....................................................................................................
8,000 Petroleo Brasileiro S.A. BRC $6.258 pfd.
(Brazil) 1,870,968
....................................................................................................
1 Telecomunicacoes do Rio de Janeiro
Telerj S.A. BRC $4.319 pfd. (Brazil) (NON) 102
- ----------------------------------------------------------------------------------------------------
Total Preferred Stocks
(cost $2,294,657) $2,940,962
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (0.1%) *(cost $1,893,640)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$1,480,000 Alfa S.A. 144A cv. sub. notes 8s, 2000
(Mexico) $2,112,700
- ----------------------------------------------------------------------------------------------------
INVESTMENT COMPANIES (0.1%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
52,000 Fleming Russia Securities Fund Ltd.
(Russia) (NON) $1,092,000
....................................................................................................
7,300 India Magnum Fund Class A,
(acquired 11/1/96, cost $384,300)
(India) (RES)(NON) 273,750
- ----------------------------------------------------------------------------------------------------
Total Investment Companies
(cost $1,175,920) $1,365,750
- ----------------------------------------------------------------------------------------------------
CONVERTABLE PREFERRED STOCKS (-%) * (cost $20,157)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
5,720 Internationale Nederlanden Groep NLG
$0.53 N.V. cv. pfd. (Netherlands) $27,809
- ----------------------------------------------------------------------------------------------------
WARRANTS (-%) * (NON) (cost $-)
- ----------------------------------------------------------------------------------------------------
Number of Warrants Expiration Date Value
....................................................................................................
934,180 Belle Corp. (Philippines) 9/11/00 $1,460
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (1.4%) *(cost $22,501,093)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$22,497,000 Interest in $500,000,000 joint repurchase
agreement dated December 31, 1997
with Lehman Brothers due January 2, 1998
with respect to various U.S. Treasury
obligations - maturity value of
$22,505,186 for an effective yield
of 6.55% $22,501,093
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $1,475,089,789) *** $1,612,544,530
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell at December 31, 1997
(aggregate face value $136,733,640)
- ----------------------------------------------------------------------------------------------------
Unrealized
Market Aggregate Delivery Appreciation/
Value Face Value Date (Depreciation)
....................................................................................................
British Pounds $77,465,697 $79,877,021 2/13/98 $2,411,324
....................................................................................................
Japanese Yen 54,214,443 56,856,619 2/13/98 2,642,176
- ----------------------------------------------------------------------------------------------------
$5,053,500
- ----------------------------------------------------------------------------------------------------
Diversification by Country
- ----------------------------------------------------------------------------------------------------
Distribution of investments by country of issue at
December 31, 1997: (as percentage of Market Value)
- ----------------------------------------------------------------------------------------------------
Australia 1.2%
....................................................................................................
Canada 2.9
....................................................................................................
Finland 1.1
....................................................................................................
France 4.3
....................................................................................................
Germany 3.7
....................................................................................................
Hong Kong 1.7
....................................................................................................
Italy 3.3
....................................................................................................
Japan 7.2
....................................................................................................
Mexico 1.2
....................................................................................................
Netherlands 4.1
....................................................................................................
New Zealand 1.0
....................................................................................................
Portugal 1.1
....................................................................................................
Sweden 1.1
....................................................................................................
Switzerland 3.1
....................................................................................................
United Kingdom 14.1
....................................................................................................
United States 44.5
....................................................................................................
Other 4.4
- ----------------------------------------------------------------------------------------------------
Total 100.0%
- ----------------------------------------------------------------------------------------------------
See page 191 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT Growth & Income Fund
Portfolio of investments owned
December 31, 1997
<CAPTION>
COMMON STOCKS (96.7%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Aerospace and Defense (2.4%)
....................................................................................................
2,016,650 Boeing Co. $98,689,809
....................................................................................................
379,329 General Motors Corp. Class H 14,011,465
....................................................................................................
640,120 Lockheed Martin Corp. 63,051,820
....................................................................................................
135,000 Northrop Grumman Corp. 15,525,000
....................................................................................................
222,445 Raytheon Co Class A 10,969,319
- ----------------------------------------------------------------------------------------------------
202,247,413
- ----------------------------------------------------------------------------------------------------
Automotive (1.5%)
....................................................................................................
626,985 Chrysler Corp. 22,062,035
....................................................................................................
415,000 Ford Motor Co. 20,205,313
....................................................................................................
1,360,640 Goodyear Tire & Rubber Co. (The) 86,570,707
- ----------------------------------------------------------------------------------------------------
128,838,055
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (2.7%)
....................................................................................................
745,000 Caterpillar, Inc. 36,179,063
....................................................................................................
946,384 Cooper Industries, Inc. 46,372,816
....................................................................................................
1,415,411 Deere (John) & Co. 82,536,154
....................................................................................................
767,455 Minnesota Mining & Manufacturing Co. 62,979,276
- ----------------------------------------------------------------------------------------------------
228,067,309
- ----------------------------------------------------------------------------------------------------
Broadcasting (0.3%)
....................................................................................................
831,267 Comcast Corp. Class A 26,236,865
- ----------------------------------------------------------------------------------------------------
Building and Construction (0.2%)
....................................................................................................
356,074 Masco Corp. 18,115,265
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (3.5%)
....................................................................................................
1,635,370 IBM Corp. 170,998,376
....................................................................................................
1,651,950 Xerox Corp. 121,934,559
- ----------------------------------------------------------------------------------------------------
292,932,935
- ----------------------------------------------------------------------------------------------------
Chemicals (3.0%)
....................................................................................................
555,980 Dow Chemical Co. 56,431,970
....................................................................................................
1,715,886 du Pont (E.I.) de Nemours & Co., Ltd. 103,060,403
....................................................................................................
762,263 Eastman Chemical Co. 45,402,290
....................................................................................................
254,205 PPG Industries, Inc. 14,521,461
....................................................................................................
700,188 Witco Chemical Corp. 28,576,423
- ----------------------------------------------------------------------------------------------------
247,992,547
- ----------------------------------------------------------------------------------------------------
Computer Equipment (0.2%)
....................................................................................................
957,880 Seagate Technology, Inc. (NON) 18,439,190
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (2.4%)
....................................................................................................
1,509,000 3Com Corp. (NON) 52,720,688
....................................................................................................
2,112,260 Computer Associates Intl., Inc. 111,685,748
....................................................................................................
1,139,148 NCR Corp. (NON) 31,682,554
- ----------------------------------------------------------------------------------------------------
196,088,990
- ----------------------------------------------------------------------------------------------------
Conglomerates (1.4%)
....................................................................................................
375,000 Ogden Corp. 10,570,313
....................................................................................................
460,405 Temple Inland, Inc. (NON) 24,084,937
....................................................................................................
810,700 Tenneco, Inc. 32,022,650
....................................................................................................
993,524 TRW, Inc. 53,029,344
- ----------------------------------------------------------------------------------------------------
119,707,244
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (5.4%)
....................................................................................................
1,221,588 American Brands, Inc. 89,786,718
....................................................................................................
950,000 Gallaher Group PLC (United Kingdom) (NON) 20,306,250
....................................................................................................
2,960,001 Kimberly-Clark Corp. 145,965,049
....................................................................................................
3,084,225 Philip Morris Cos., Inc. 139,753,945
....................................................................................................
1,459,073 RJR Nabisco Holdings Corp. 54,715,238
- ----------------------------------------------------------------------------------------------------
450,527,200
- ----------------------------------------------------------------------------------------------------
Consumer Related (0.4%)
....................................................................................................
3,618,600 Unilever Group (United Kingdom) 31,088,442
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (8.5%)
....................................................................................................
90,265 Eaton Corp. 8,056,151
....................................................................................................
1,541,395 Emerson Electric Co. 86,992,480
....................................................................................................
2,134,600 General Electric Co. 156,626,275
....................................................................................................
2,590,860 Hewlett-Packard Co. 161,928,750
....................................................................................................
2,018,305 Intel Corp. 141,785,926
....................................................................................................
255,000 Micron Technology, Inc. (NON) 6,630,000
....................................................................................................
605,800 Motorola, Inc. 34,568,463
....................................................................................................
694,317 Rockwell International Corp. 36,278,063
....................................................................................................
200,000 Siebe PLC (United Kingdom) 3,941,110
....................................................................................................
1,539,750 Texas Instruments, Inc. 69,288,750
- ----------------------------------------------------------------------------------------------------
706,095,968
- ----------------------------------------------------------------------------------------------------
Entertainment (0.6%)
....................................................................................................
580,700 ITT Corp. (NON) 48,125,513
- ----------------------------------------------------------------------------------------------------
Environmental Control (0.4%)
....................................................................................................
1,140,000 Waste Management, Inc. 31,350,000
- ----------------------------------------------------------------------------------------------------
Food and Beverages (5.5%)
....................................................................................................
1,581,088 Anheuser-Busch Cos., Inc. 69,567,872
....................................................................................................
1,735,540 General Mills, Inc. 124,308,053
....................................................................................................
1,117,380 Heinz (H.J.) Co. 56,776,871
....................................................................................................
20,000 Nestle S.A. (Switzerland) 29,955,525
....................................................................................................
1,733,020 PepsiCo, Inc. 63,146,916
....................................................................................................
350,000 Quaker Oats Co. (The) 18,462,500
....................................................................................................
1,691,735 Sara Lee Corp. 95,265,827
- ----------------------------------------------------------------------------------------------------
457,483,564
- ----------------------------------------------------------------------------------------------------
Health Care (2.9%)
....................................................................................................
610,900 Abbott Laboratories 40,052,131
....................................................................................................
978,845 Merck & Co., Inc. 104,002,281
....................................................................................................
1,655,000 Tenet Healthcare Corp. (NON) 54,821,875
....................................................................................................
919,700 United Healthcare Corp. 45,697,594
- ----------------------------------------------------------------------------------------------------
244,573,881
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (18.1%)
....................................................................................................
1,061,900 Aetna, Inc. 74,930,319
....................................................................................................
989,716 Ahmanson (H.F.) & Co. 66,249,115
....................................................................................................
1,617,967 American General Corp. 87,471,341
....................................................................................................
1,313,220 AON Corp. 76,987,523
....................................................................................................
917,200 Banc One Corp. 49,815,425
....................................................................................................
611,485 BankBoston Corp. 57,441,372
....................................................................................................
444,867 Bankers Trust New York Corp. (CUS) 50,019,733
....................................................................................................
160,000 Beneficial Corp. 13,300,000
....................................................................................................
350,000 Chase Manhattan Corp. 38,325,000
....................................................................................................
578,885 CIGNA Corp. 100,183,285
....................................................................................................
230,683 Comerica, Inc. 20,819,141
....................................................................................................
261,400 CoreStates Financial Corp. 20,928,338
....................................................................................................
245,000 Crestar Financial Corp. 13,965,000
....................................................................................................
1,313,009 Federal National Mortgage Association 74,923,576
....................................................................................................
918,155 First Chicago NBD Corp. 76,665,943
....................................................................................................
27,300 First of America Bank Corp. 2,105,513
....................................................................................................
195,000 First Tennessee National Corp. 13,016,250
....................................................................................................
1,519,850 First Union Corp. 77,892,313
....................................................................................................
760,000 Fleet Financial Group, Inc. 56,952,500
....................................................................................................
330,000 Hartford Financial Services Group (ITT) 30,875,625
....................................................................................................
100,000 Huntington Bancshares, Inc. 3,600,000
....................................................................................................
785,118 KeyCorp 55,596,168
....................................................................................................
393,732 Mercantile Bancorpation, Inc. 24,214,518
....................................................................................................
716,489 Morgan (J.P.) & Co., Inc. 80,873,696
....................................................................................................
200,000 National City Corp. 13,150,000
....................................................................................................
645,940 NationsBank Corp. 39,281,226
....................................................................................................
270,000 Norwest Corp. 10,428,750
....................................................................................................
2,121,646 PNC Bank Corp. 121,066,425
....................................................................................................
485,210 Summit Bancorp 25,837,433
....................................................................................................
80,000 SunTrust Banks, Inc. 5,710,000
....................................................................................................
150,000 Union Planters Corp. 10,190,625
....................................................................................................
1,050,000 USF&G Corp. 23,165,625
....................................................................................................
683,523 Washington Mutual, Inc. 43,617,311
....................................................................................................
135,800 Wells Fargo & Co. 46,095,613
- ----------------------------------------------------------------------------------------------------
1,505,694,702
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (1.5%)
....................................................................................................
2,415,850 Baxter International, Inc. 121,849,434
- ----------------------------------------------------------------------------------------------------
Metals and Mining (0.8%)
....................................................................................................
461,600 Aluminum Co. of America 32,485,100
....................................................................................................
1,377,299 Freeport-McMoRan Copper &
Gold Co., Inc. Class A 21,089,891
....................................................................................................
890,346 Freeport-McMoRan Copper &
Gold Co., Inc. Class B 14,022,950
- ----------------------------------------------------------------------------------------------------
67,597,941
- ----------------------------------------------------------------------------------------------------
Oil and Gas (8.1%)
....................................................................................................
1,134,450 Amoco Corp. 96,570,056
....................................................................................................
810,930 Atlantic Richfield Co. 64,975,766
....................................................................................................
610,275 British Petroleum PLC ADR
(United Kingdom) 48,631,289
....................................................................................................
1,460,957 Elf Aquitane ADR (France) 85,648,604
....................................................................................................
715,000 Enron Corp. 29,717,188
....................................................................................................
427,065 Ente Nazionale Idrocarburi S.P.A.
(ENI) ADR (Italy) 24,369,397
....................................................................................................
2,567,430 Exxon Corp. 157,094,623
....................................................................................................
879,800 Mobil Corp. 63,510,563
....................................................................................................
1,144,039 Occidental Petroleum Corp. 33,534,643
....................................................................................................
250,000 Royal Dutch Petroleum Co. ADR
(Netherlands) 13,546,875
....................................................................................................
150,000 Tosco Corp. 5,671,875
....................................................................................................
215,000 Total Corp. ADR (France) 11,932,500
....................................................................................................
1,287,210 YPF S.A. ADR (Argentina) 44,006,492
- ----------------------------------------------------------------------------------------------------
679,209,871
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (1.9%)
....................................................................................................
1,330,900 International Paper Co. 57,395,063
....................................................................................................
2,036,565 Weyerhaeuser Co. 99,918,970
- ----------------------------------------------------------------------------------------------------
157,314,033
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (6.5%)
....................................................................................................
1,661,155 American Home Products Corp. 127,078,358
....................................................................................................
1,512,205 Bristol-Myers Squibb Co. 143,092,398
....................................................................................................
1,068,907 Glaxo Wellcome PLC ADR
(United Kingdom) (NON) 51,173,923
....................................................................................................
364,140 Johnson & Johnson 23,987,723
....................................................................................................
5,457,340 Pharmacia & Upjohn, Inc. 199,875,078
- ----------------------------------------------------------------------------------------------------
545,207,480
- ----------------------------------------------------------------------------------------------------
Photography (1.1%)
....................................................................................................
1,474,810 Eastman Kodak Co. 89,686,883
- ----------------------------------------------------------------------------------------------------
Publishing (0.8%)
....................................................................................................
432,400 McGraw-Hill, Inc. 31,997,600
....................................................................................................
573,800 Times Mirror Co. Class A 35,288,700
- ----------------------------------------------------------------------------------------------------
67,286,300
- ----------------------------------------------------------------------------------------------------
REIT's (Real Estate Investment Trust) (0.6%)
....................................................................................................
100,000 Avalon Properties, Inc. 3,093,750
....................................................................................................
698,777 Equity Office Properties Trust 22,055,149
....................................................................................................
417,850 Equity Residential Properties Trust 21,127,541
....................................................................................................
50,000 LTC Properties, Inc. 1,037,500
....................................................................................................
102,900 Starwood Lodging Trust 5,955,338
- ----------------------------------------------------------------------------------------------------
53,269,278
- ----------------------------------------------------------------------------------------------------
Retail (4.5%)
....................................................................................................
742,390 Dayton Hudson Corp. 50,111,325
....................................................................................................
656,000 Federated Department Stores, Inc. (NON) 28,249,000
....................................................................................................
4,744,940 K mart Corp. (NON) 54,863,369
....................................................................................................
1,220,237 Lowe's Cos., Inc. 58,190,052
....................................................................................................
695,270 May Department Stores Co. 36,632,038
....................................................................................................
712,675 Penney (J.C.) Co., Inc. 42,983,211
....................................................................................................
3,226,775 Toys R Us (NON) 101,441,739
- ----------------------------------------------------------------------------------------------------
372,470,734
- ----------------------------------------------------------------------------------------------------
Telecommunications (1.2%)
....................................................................................................
1,773,835 Sprint Corp. 103,991,077
- ----------------------------------------------------------------------------------------------------
Transportation (3.2%)
....................................................................................................
235,000 AMR Corp. (NON) 30,197,500
....................................................................................................
547,047 Burlington Northern Santa Fe Corp. 50,841,181
....................................................................................................
106,200 CSX Corp. 5,734,800
....................................................................................................
277,270 Delta Air Lines, Inc. 32,995,130
....................................................................................................
1,361,890 Norfolk Southern Corp. 41,963,236
....................................................................................................
886,035 Ryder System, Inc. 29,017,646
....................................................................................................
1,180,835 Union Pacific Corp. 73,728,385
- ----------------------------------------------------------------------------------------------------
264,477,878
- ----------------------------------------------------------------------------------------------------
Utilities (7.0%)
....................................................................................................
2,078,790 American Telephone & Telegraph Co. 127,325,888
....................................................................................................
403,500 Baltimore Gas & Electric Co. 13,744,219
....................................................................................................
638,206 Bell Atlantic Corp. 58,076,746
....................................................................................................
431,399 BellSouth Corp. 24,293,156
....................................................................................................
512,888 Carolina Power & Light Co. 21,765,685
....................................................................................................
145,000 Dominion Resources, Inc. 6,171,563
....................................................................................................
1,686,214 Duke Power Co. 93,374,100
....................................................................................................
79,200 New Century Energies, Inc. 3,796,650
....................................................................................................
550,000 Pacific Enterprises 20,693,750
....................................................................................................
244,000 Potomac Electric Power Co. 6,298,250
....................................................................................................
1,675,126 SBC Communications, Inc. 122,702,980
....................................................................................................
801,100 Southern Co. 20,728,463
....................................................................................................
232,800 Texas Utilities Co. 9,675,750
....................................................................................................
129,100 Union Electric Co. 5,583,575
....................................................................................................
1,193,003 US West, Inc. 53,834,260
- ----------------------------------------------------------------------------------------------------
588,065,035
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $6,719,299,661) $8,064,031,027
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.2%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
38,400 AirTouch Communications, Inc. Ser. C,
$2.125 cv. cum. pfd. $2,392,800
....................................................................................................
90,000 Freeport-McMoRan Copper Co., Inc.
$1.75 cv. pfd. 1,951,875
....................................................................................................
150,000 K mart Financing $3.875 cv. pfd. 7,743,750
....................................................................................................
35,000 Tosco Corp. $2.875 cv. pfd. 2,266,250
....................................................................................................
50,000 Tosco Financing Trust 144A
$2.875 cv. pfd. 3,231,250
- ----------------------------------------------------------------------------------------------------
Total Convertible Preferred Stocks
(cost $17,071,619) $17,585,925
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (0.1%) * (cost $6,429,500)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$6,500,000 Apple Computer, Inc. cv. sub. notes
6s, 2001 $5,240,625
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (2.9%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$25,000,000 Corporate Asset Funding Co., Inc.
effective yield of 5.77%,
February 17, 1998 $24,811,674
....................................................................................................
25,000,000 Credit Suisse Financial Services, Inc.
effective yield of 5.72%,
March 11, 1998 24,720,000
....................................................................................................
25,000,000 Federal Home Loan Mortgage Corp.
effective yield of 5.64%,
February 20, 1998 24,804,167
....................................................................................................
23,000,000 Federal National Mortgage Association
effective yield of 5.59%, March 2, 1998 22,779,200
....................................................................................................
25,000,000 Ford Motor Credit Co. effective yield
of 5.72%, March 23, 1998 24,670,000
....................................................................................................
25,000,000 Preferred Receivables Funding Corp.
effective yield of 5.83%, January 28, 1998 24,890,688
....................................................................................................
91,040,000 Interest in $575,000,000 joint
repurchase agreement dated
December 31, 1997 with Goldman,
Sachs & Co., due January 2, 1998 with
respect to various U.S. Treasury
obligations - maturity value of
$91,072,876 for an effective yield
of 6.5% 91,056,438
- ----------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $237,752,849) $237,732,167
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $6,980,553,629) *** $8,324,589,744
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell at December 31, 1997
- ----------------------------------------------------------------------------------------------------
Market Aggregate Delivery Unrealized
Value Face Value Date Depreciation
....................................................................................................
French Francs $21,558,045 $20,799,563 2/5/98 $(758,482)
- ----------------------------------------------------------------------------------------------------
See page 191 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
December 31, 1997
<CAPTION>
CORPORATE BONDS AND NOTES (81.0%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
<S> <C> <C> <C> <C>
Advertising (0.5%)
....................................................................................................
$750,000 Adams Outdoor Advertising sr. notes
10 3/4s, 2006 $821,250
....................................................................................................
2,965,000 Lamar Advertising Co. company guaranty
8 5/8s, 2007 3,035,400
....................................................................................................
1,660,000 Outdoor Comunications Inc. sr. sub.
notes 9 1/4s, 2007 1,697,350
- ----------------------------------------------------------------------------------------------------
5,554,000
- ----------------------------------------------------------------------------------------------------
Aerospace and Defense (1.2%)
....................................................................................................
3,175,000 BE Aerospace sr. sub. notes Ser. B,
9 7/8s, 2006 3,349,625
....................................................................................................
1,050,000 K & F Industries, Inc.144A sr. sub. notes
9 1/4s, 2007 1,076,250
....................................................................................................
2,520,000 L-3 Communications Corp. sr. sub. notes
Ser. B, 10 3/8s, 2007 2,721,600
....................................................................................................
1,075,000 Sequa Corp. sr. notes 9 5/8s, 1999 1,104,563
....................................................................................................
1,750,000 Sequa Corp. sr. sub. notes 9 3/8s, 2003 1,820,000
....................................................................................................
1,050,000 Tracor, Inc. sr. sub. notes 8 1/2s, 2007 1,060,500
....................................................................................................
1,095,000 United Defense Industries Inc. 144A
sr. sub. notes 8 3/4s, 2007 1,101,844
- ----------------------------------------------------------------------------------------------------
12,234,382
- ----------------------------------------------------------------------------------------------------
Agriculture (0.5%)
....................................................................................................
2,159,000 PMI Holdings Corp. sub. disc. deb.
stepped-coupon Ser. B, zero %
(11 1/2s, 9/1/00), 2005 (STP) 1,740,694
....................................................................................................
2,907,860 Premium Standard Farms, Inc. sr. secd.
notes 11s, 2003 (PIK) 3,198,647
- ----------------------------------------------------------------------------------------------------
4,939,341
- ----------------------------------------------------------------------------------------------------
Airlines (0.1%)
....................................................................................................
1,290,000 Trans World Airlines 144A sr. notes
11 1/2s, 2004 1,296,450
- ----------------------------------------------------------------------------------------------------
Apparel (0.8%)
....................................................................................................
1,190,000 GFSI, Inc. 144A stepped-coupon zero %
(11.375s, 9/15/04), 2009 (STP) 1,231,650
....................................................................................................
485,000 GFSI, Inc. sr. sub. notes Ser. B, 9 5/8s, 2007 499,550
....................................................................................................
2,557,000 Guess Jeans, Inc. sr. sub. notes 9 1/2s, 2003 2,627,318
....................................................................................................
2,085,000 Sassco Fashions Ltd. sr. notes 12 3/4s, 2004 2,207,494
....................................................................................................
1,000,000 Sun Apparel Inc Ser. B, 9 1/8s, 2004 991,250
....................................................................................................
1,040,000 William Carter Co. 144A sr. sub. notes
12s, 2008 1,112,800
- ----------------------------------------------------------------------------------------------------
8,670,062
- ----------------------------------------------------------------------------------------------------
Automotive (1.1%)
....................................................................................................
1,500,000 Delco Remy International, Inc. 144A
11 1/2s, 2004 1,522,500
....................................................................................................
1,000,000 Exide Corp. FRN 7.87s, 1999 1,003,750
....................................................................................................
470,000 Hawk Corp. sr. notes 10 1/4s, 2003 501,725
....................................................................................................
2,380,000 Lear Corp. sub. notes 9 1/2s, 2006 2,618,000
....................................................................................................
5,370,000 Oxford Automotive, Inc. company
guaranty 10 1/8s, 2007 5,665,350
- ----------------------------------------------------------------------------------------------------
11,311,325
- ----------------------------------------------------------------------------------------------------
Automotive Parts (1.0%)
....................................................................................................
800,000 Aetna Industries Inc. sr. notes
11 7/8s, 2006 728,000
....................................................................................................
431,000 Aftermarket Technology Corp. sr. sub.
notes 12s, 2004 478,410
....................................................................................................
2,100,000 Aftermarket Technology Corp. sr. sub.
notes Ser. D, 12s, 2004 2,331,000
....................................................................................................
1,000,000 American Axel & Manufacturing
Bank Term Loan B, FRN 8s, 2005 1,002,500
....................................................................................................
575,000 Cambridge Industries Inc. 144A sr. sub.
notes 10 1/4s, 2007 598,000
....................................................................................................
870,000 Delco Remy International, Inc. 144A
sr. notes 8 5/8s, 2007 881,963
....................................................................................................
3,500,000 Hayes Wheels International, Inc.
company guaranty Ser. B, 9 1/8s, 2007 3,622,500
....................................................................................................
910,000 Hayes Wheels International, Inc.
company guaranty Ser. B, 9 1/8s, 2007 940,713
- ----------------------------------------------------------------------------------------------------
10,583,086
- ----------------------------------------------------------------------------------------------------
Banks (3.4%)
....................................................................................................
1,250,000 Advanta Corp. med. term notes Ser. B,
7s, 2001 1,213,500
....................................................................................................
1,500,000 Advanta Corp. med. term notes Ser. C,
7.02s, 1999 1,476,090
....................................................................................................
995,000 Albank Capital Trust 144A company
guaranty Ser. AI, 9.27s, 2027 1,100,410
....................................................................................................
3,532,000 Chevy Chase Savings Bank Inc. sub. deb.
9 1/4s, 2005 3,637,960
....................................................................................................
3,730,000 Delta Financial Corp. sr. notes 9 1/2s, 2004 3,702,025
....................................................................................................
1,950,000 Dime Capital Trust I bank guaranty Ser. A,
9.33s, 2027 2,205,762
....................................................................................................
3,650,000 First Nationwide Holdings sr. sub. notes
9 1/8s, 2003 3,796,000
....................................................................................................
1,770,000 Greenpoint Capital Trust I company
guaranty 9.1s, 2027 1,972,276
....................................................................................................
2,230,000 Imperial Credit Capital Trust I 144A
company guaranty 10 1/4s, 2002 2,218,850
....................................................................................................
895,000 North Fork Capital Trust I company
guaranty 8.7s, 2026 975,827
....................................................................................................
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 1,196,100
....................................................................................................
510,000 Onbank & Trust Co. company guaranty
9 1/4s, 2027 584,588
....................................................................................................
1,085,000 Peoples Heritage Capital Trust company
guaranty Ser. B, 9.06s, 2027 1,194,661
....................................................................................................
660,000 Pioneer Americas Acquisition 144A
sr. notes 9 1/4s, 2007 663,300
....................................................................................................
4,545,000 Polytama International notes 11 1/4s, 2007 3,408,750
....................................................................................................
1,330,000 Provident Capital Trust company guaranty
8.6s, 2026 1,408,084
....................................................................................................
610,000 Riggs Capital Trust 144A bonds
8 5/8s, 2026 647,265
....................................................................................................
1,965,000 Sovereign Capital Trust company
guaranty 9s, 2027 2,134,953
....................................................................................................
795,000 Webster Capital Trust I 144A
bonds 9.36s, 2027 902,341
- ----------------------------------------------------------------------------------------------------
35,147,242
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (0.7%)
....................................................................................................
3,000,000 Clark-Schwebel sr. notes 10 1/2s, 2006 3,270,000
....................................................................................................
1,000,000 Koppers Industries, Inc. 144A sr. sub.
notes 9 7/8s, 2007 1,030,000
....................................................................................................
2,720,000 Roller Bearing Co. 144A sr. sub. notes
9 5/8s, 2007 2,740,400
- ----------------------------------------------------------------------------------------------------
7,040,400
- ----------------------------------------------------------------------------------------------------
Broadcasting (6.4%)
....................................................................................................
4,225,000 Acme Television/Finance 144A sr. disc.
notes stepped-coupon zero %
(10 7/8s, 9/30/00), 2004 (STP) 3,110,656
....................................................................................................
3,600,000 Allbritton Communications sr. sub. deb.
Ser. B, 9 3/4s, 2007 3,681,000
....................................................................................................
1,150,000 Antenna TV S.A. 144A sr. notes 9s,
2007 (Greece) 1,150,000
....................................................................................................
612,000 Argyle Television Corp. sr. sub. notes
9 3/4s, 2005 685,440
....................................................................................................
5,437,000 Australias Holdngs PTY Ltd. sr. disc, notes
stepped-coupon zero % (15s, 11/01/00),
2002 (Australia) (STP) 2,908,795
....................................................................................................
1,291,844 Australis Media zero %, 2000 880,000
....................................................................................................
3,770,000 Benedek Communications Corp. sr. disc.
notes stepped-coupon zero %
(13 1/4s, 5/15/01), 2006 (STP) 2,827,500
....................................................................................................
970,000 Busse Broadcasting Corp. sr. notes
11 5/8s, 2000 1,037,900
....................................................................................................
5,690,000 Capstar Broadcasting sr. disc. notes
stepped-coupon zero % (12 3/4s, 2/1/02),
2009 (STP) 4,039,900
....................................................................................................
1,460,000 Capstar Broadcasting sr. sub. notes
9 1/4s, 2007 1,467,300
....................................................................................................
780,000 Central European Media Enterprises Ltd.
sr. notes 9 3/8s, 2004 (Bermuda) 772,200
....................................................................................................
1,290,000 Citadel Broadcasting Co. 144A sr. notes
10 1/4s, 2007 1,396,425
....................................................................................................
111,820 Citadel Broadcasting Co. sr. notes
10 1/4s, 2007 121,045
....................................................................................................
4,000,000 Commodore Media, Inc. sr. sub. notes
stepped-coupon zero % (7 1/2s, 5/1/98),
2003 (STP) 4,480,000
....................................................................................................
4,395,000 Fox Kids Worldwide Inc. 144A sr. disc.
notes stepped-coupon zero %
(10 1/4s, 11/1/02), 2007 (STP) 2,604,038
....................................................................................................
5,660,000 Fox Kids Worldwide Inc. 144A sr. notes
9 1/4s, 2007 5,490,200
....................................................................................................
2,070,000 Fox/Liberty Networks LLC 144A
sr. notes 8 7/8s, 2007 2,064,825
....................................................................................................
1,400,000 Globo Communicacoes 144A company
guaranty 10 1/2s, 2006 (Brazil) 1,337,000
....................................................................................................
500,000 Granite Broadcasting Corp. sr. sub. notes
10 3/8s, 2005 523,750
....................................................................................................
3,425,000 Grupo Televisa S.A. 144A sr. notes
11 7/8s, 2006 (Mexico) 3,870,250
....................................................................................................
1,325,000 Heritage Media Services Corp. sr. sub.
notes 8 3/4s, 2006 1,409,469
....................................................................................................
1,640,000 Innova S De R.L. sr. notes 12 7/8s, 2007
(Mexico) 1,640,000
....................................................................................................
930,000 Jacor Communications, Co. 144A
company guaranty 8 3/4s, 2007 953,250
....................................................................................................
675,000 Jacor Communications, Inc. company
guaranty 9 3/4s, 2006 725,625
....................................................................................................
1,325,000 JCAC, Inc. sr. sub. notes 10 1/8s, 2006 1,440,938
....................................................................................................
4,602,000 Petracom Holdings, Inc. notes
17 1/2s, 2003 4,417,920
....................................................................................................
1,815,000 Radio One Inc. company guaranty
stepped-coupon Ser. B, zero %
(12s, 5/1/00), 2004 (STP) 1,796,850
....................................................................................................
3,000,000 Sinclair Broadcast Group, Inc. company
guaranty 9s, 2007 3,060,000
....................................................................................................
3,325,000 Sinclair Broadcasting Group sr. sub. notes
10s, 2005 3,524,500
....................................................................................................
2,375,000 Spanish Broadcasting sr. notes Ser. B,
11s, 2004 2,612,500
- ----------------------------------------------------------------------------------------------------
66,029,276
- ----------------------------------------------------------------------------------------------------
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) 946,950
- ----------------------------------------------------------------------------------------------------
Building and Construction (1.1%)
....................................................................................................
980,000 American Architectural Products Corp.
144A sr. notes 11 3/4s, 2007 989,800
....................................................................................................
1,880,000 Atrium Companies Inc. sub. notes
10 1/2s, 2006 1,974,000
....................................................................................................
2,600,000 GS Superhighway Holdings 144A sr. notes
10 1/4s, 2007 (China) 2,528,500
....................................................................................................
5,140,000 Terex Corp. sr. notes Ser. B, 13 1/4s, 2002 5,808,200
- ----------------------------------------------------------------------------------------------------
11,300,500
- ----------------------------------------------------------------------------------------------------
Buses (0.6%)
....................................................................................................
345,000 Atlantic Express, Transportation Corp.
144A company guaranty 10 3/4s, 2004 366,563
....................................................................................................
1,110,000 Blue Bird Body Co. sr. sub. notes Ser. B,
10 3/4s, 2006 1,193,250
....................................................................................................
4,985,000 Consorcio/MCII Holdings sec. notes
stepped-coupon zero %
(12s, 11/15/98), 2002 (STP) 4,561,275
- ----------------------------------------------------------------------------------------------------
6,121,088
- ----------------------------------------------------------------------------------------------------
Business Equipment (0.2%)
....................................................................................................
2,155,000 Axiohm Transactions Solutions 144A
sr. sub. notes 9 3/4s, 2007 2,187,325
- ----------------------------------------------------------------------------------------------------
Business Services (0.9%)
....................................................................................................
1,990,000 Iron Mountain, Inc. 144A sr. sub. notes
8 3/4s, 2009 2,039,750
....................................................................................................
3,750,000 Outsourcing Solutions, Inc. sr. sub. notes
Ser. B, 11s, 2006 4,143,750
....................................................................................................
588,000 Pierce Leahy Corp. sr. sub. notes
11 1/8s, 2006 664,440
....................................................................................................
1,098,000 United Stationer Supply, Inc. sr. sub. notes
12 3/4s, 2005 1,248,975
....................................................................................................
820,000 Williams Scotsman, Inc. 144A sr. notes
9 7/8s, 2007 844,600
- ----------------------------------------------------------------------------------------------------
8,941,515
- ----------------------------------------------------------------------------------------------------
Cable Television (5.7%)
....................................................................................................
2,750,000 Adelphia Communications Corp. sr. deb.
11 7/8s, 2004 2,970,000
....................................................................................................
2,765,000 Adelphia Communications Corp. sr. notes
Ser. B, 9 7/8s, 2007 2,910,163
....................................................................................................
3,350,000 American Telecasting, Inc. sr. disc. notes
stepped-coupon zero %
(14 1/2s, 8/15/00), 2005 (STP) 1,005,000
....................................................................................................
2,200,000 Charter Communications
International, Inc. disc. notes
stepped-coupon Ser. B, zero %
(14s, 3/15/01), 2007 (STP) 1,749,000
....................................................................................................
1,750,000 Charter Communications
International, Inc. sr. notes Ser. B,
11 1/4s, 2006 1,925,000
....................................................................................................
6,834,000 Comcast UK Cable, Ltd. deb.
stepped-coupon zero %
(11.2s, 11/15/00), 2007 (Bermuda) (STP) 5,552,625
....................................................................................................
1,800,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(13 1/2s, 9/30/99), 2004
(United Kingdom) (STP) 1,620,000
....................................................................................................
5,220,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(11 3/4s, 12/15/00), 2005
(United Kingdom) (STP) 4,058,550
....................................................................................................
2,750,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(10 3/4s, 2/15/02), 2007
(United Kingdom) (STP) 1,904,375
....................................................................................................
458,965 Falcon Holdings Group, Inc. sr. sub. notes
11s, 2003 (PIK) 494,535
....................................................................................................
2,280,000 FrontierVision Operating Partners LP
sr. disc. notes stepped-coupon zero %
(11 7/8s, 9/15/01), 2007 (STP) 1,687,200
....................................................................................................
3,655,000 Frontiervision Operating Partners L.P.
sr. sub. notes 11s, 2006 4,057,050
....................................................................................................
4,000,000 Frontiervision Operating Partners L.P.
8.156s, 2006 4,000,000
....................................................................................................
800,000 Heartland Wireless Communications, Inc.
sr. notes Ser. B, 14s, 2004 304,000
....................................................................................................
2,140,000 Heartland Wireless Communications, Inc.
sr. notes 13s, 2003 770,400
....................................................................................................
3,000,000 Lenfest Communications, Inc. sr. notes
8 3/8s, 2005 3,082,500
....................................................................................................
2,000,000 Lenfest Communications, Inc. sr. sub.
notes 10 1/2s, 2006 2,225,000
....................................................................................................
2,675,000 Marcus Cable Co. (L.P.) sr. disc. notes
stepped-coupon zero %
(14 1/4s, 6/15/00), 2005 (STP) 2,313,875
....................................................................................................
3,350,000 NTL Inc. sr. notes Ser. B, 10s, 2007
(United Kingdom) 3,534,250
....................................................................................................
530,000 Northland Cable Television 144A sr. sub.
notes 10 1/4s, 2007 558,488
....................................................................................................
475,000 Pegasus Communications Corp. 144A
sr. notes 9 5/8s, 2005 484,500
....................................................................................................
4,615,000 RCN Corp. 144A sr. disc. notes
stepped-coupon zero%
(11 1/8s, 10/15/02), 2007 (STP) 2,895,913
....................................................................................................
650,000 RCN Corp. 144A sr. notes 10s, 2007 674,375
....................................................................................................
2,025,000 TV Azteca S.A. de C.V. sr. notes
10 1/2s, 2007 (Mexico) 2,085,750
....................................................................................................
500,000 TV Azteca S.A. De C.V. sr. notes Ser. A,
10 1/8s, 2004 (Mexico) 512,500
....................................................................................................
6,950,000 UIH Australia/Pacific, Inc. sr. disc. notes
stepped-coupon Ser. B, zero %
(14s, 5/15/01), 2006 (Australia) (STP) 4,795,500
....................................................................................................
265,000 Wireless One, Inc. sr. notes 13s, 2003 82,150
- ----------------------------------------------------------------------------------------------------
58,252,699
- ----------------------------------------------------------------------------------------------------
Cellular Communications (5.0%)
....................................................................................................
1,000,000 Celcaribe S.A. sr. notes stepped-coupon
zero % (13 1/2s, 3/15/98), 2004 (STP) 1,025,000
....................................................................................................
6,730,000 Cencall Communications Corp. sr. disc.
notes stepped-coupon zero %
(10 1/8s, 1/15/99), 2004 (STP) 6,057,000
....................................................................................................
2,610,000 Comcast Cellular Holdings sr. notes
Ser. B, 9 1/2s, 2007 2,714,400
....................................................................................................
675,000 Consorcio Ecuatoriano 144A notes 14s,
2002 (Ecuador) 675,000
....................................................................................................
5,500,000 Dial Call Communications, Inc. sr. disc.
notes stepped-coupon Ser. B, zero %
(10 1/4s, 12/15/98), 2005 (STP) 5,018,750
....................................................................................................
5,160,000 Dobson Communications Corp. sr. notes
11 3/4s, 2007 5,456,700
....................................................................................................
2,590,000 Interact Systems, Inc. 144A
stepped-coupon zero %
(14s, 8/1/99), 2003 (STP) 984,200
....................................................................................................
1,000,000 Intercel, Inc. sr. disc. notes stepped-coupon
zero % (12s, 5/1/01), 2006 (STP) 730,000
....................................................................................................
3,170,000 Intercel, Inc. sr. disc. notes stepped-coupon
zero % (12s, 2/1/01), 2006 (STP) 2,345,800
....................................................................................................
1,360,000 International Wireless Communications, Inc.
sr. disc. notes zero %, 2001 680,000
....................................................................................................
6,920,000 McCaw International Ltd sr. discount
notes stepped coupon zero %
(13s, 4/15/02), 2007 (STP) 4,013,600
....................................................................................................
10,450,000 Millicom International Cellular S.A.
sr. disc. notes stepped-coupon zero %
(13 1/2s, 6/1/01), 2006 (Luxembourg) (STP) 7,680,750
....................................................................................................
8,950,000 NEXTEL Communications, Inc. 144A
sr. disc. notes stepped-coupon zero %
(10.65s, 9/15/02), 2007 (STP) 5,660,875
....................................................................................................
2,805,000 Omnipoint Corp. sr. notes 11 5/8s, 2006 2,983,819
....................................................................................................
2,350,000 Powertel, Inc. sr. notes 11 1/8s, 2007 2,561,500
....................................................................................................
1,000,000 Powertel, Inc. 8 7/8s, 2001 998,750
....................................................................................................
1,000,000 Telesystem International Wireless Inc.
144A sr. disc. notes stepped-coupon
zero % (10 1/2s, 11/1/02), 2007
(Canada) (STP) 555,000
....................................................................................................
600,000 Western Wireless Corp. sr. sub. notes
10 1/2s, 2007 649,500
- ----------------------------------------------------------------------------------------------------
50,790,644
- ----------------------------------------------------------------------------------------------------
Chemicals (1.5%)
....................................................................................................
2,300,000 Acetex Corp. sr. notes 9 3/4s, 2003
(Canada) 2,369,000
....................................................................................................
1,250,000 Harris Chemical N.A. Corp. sr. sub. notes
10 3/4s, 2003 1,337,500
....................................................................................................
1,450,000 Huntsman Corp. 144A sr. sub. notes
FRN 9.094s, 2007 1,497,125
....................................................................................................
1,000,000 Huntsman Specialty Bank Loan notes
Ser. BK, FRN 9.44s, 2027 1,015,000
....................................................................................................
1,500,000 PCI Chemicals & Pharmaceuticals 144A
sr. notes 9 1/4s, 2007 (Canada) 1,492,500
....................................................................................................
1,020,000 Pharmaceutical Fine Chemicals 144A
sr. sub. notes 9 3/4s, 2007 (Switzerland) 1,035,300
....................................................................................................
997,500 Pioneer Americas Acquisition Bank Loan
FRN 8.38s, 2006 1,009,969
....................................................................................................
1,730,000 Sovereign Specialty Chemical 144A
sr. sub. notes 9 1/2s, 2007 1,777,575
....................................................................................................
545,000 Texas Petrochemical Corp. sr. sub. notes
11 1/8s, 2006 588,600
....................................................................................................
1,400,000 Trikem S.A. 144A bonds 10 5/8s, 2007
(Brazil) 1,260,000
....................................................................................................
1,670,000 Union Carbide Global Enterprises
sr. sub. notes Ser. B, 12s, 2005 1,870,400
- ----------------------------------------------------------------------------------------------------
15,252,969
- ----------------------------------------------------------------------------------------------------
Computer Equipment (0.4%)
....................................................................................................
2,650,000 Autotote Corp. company guaranty Ser. B,
10 7/8s, 2004 2,782,500
....................................................................................................
1,100,000 Computervision Corp. sr. sub. notes
11 3/8s, 1999 1,108,250
- ----------------------------------------------------------------------------------------------------
3,890,750
- ----------------------------------------------------------------------------------------------------
Computer Services (0.1%)
....................................................................................................
785,000 DecisionOne Corp. sr. sub. notes
9 3/4s, 2007 804,625
- ----------------------------------------------------------------------------------------------------
Conglomerates (0.2%)
....................................................................................................
749,000 Axia, Inc. sr. sub. notes Ser. B, 11s, 2001 771,470
....................................................................................................
1,035,000 Cia Latino Americana 144A company
guaranty 11 5/8s, 2004 (Argentina) 1,045,350
....................................................................................................
1,816,820
- ----------------------------------------------------------------------------------------------------
Consumer Durable Goods (0.2%)
....................................................................................................
1,165,000 Remington Products Co. sr. sub. notes
Ser. B, 11s, 2006 978,600
....................................................................................................
1,400,000 Sealy Mattress Co. 144A sr. disc. notes
stepped-coupon zero %
(10 7/8s, 12/15/02), 2007 (STP) 847,000
- ----------------------------------------------------------------------------------------------------
1,825,600
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (0.6%)
....................................................................................................
515,000 Amscan Holdings, Inc. 144A sr. sub.
notes 9 7/8s, 2007 526,588
....................................................................................................
655,000 CLN Holdings, Inc. sr. disc. notes
zero %, 2001 394,638
....................................................................................................
4,250,000 CLN Holdings, Inc. company gauranty
zero %, 2001 2,826,250
....................................................................................................
330,000 Hedstrom Holdings, Inc. 144A sr. disc.
notes stepped-coupon zero %
(12s, 6/1/02), 2009 (STP) 198,000
....................................................................................................
1,660,000 Viasystems Inc. sr. sub notes 9 3/4s, 2007 1,713,950
- ----------------------------------------------------------------------------------------------------
5,659,426
- ----------------------------------------------------------------------------------------------------
Consumer Services (0.2%)
....................................................................................................
1,476,000 Coinmach Corp. sr. notes Ser. B,
11 3/4s, 2005 1,634,670
- ----------------------------------------------------------------------------------------------------
Cosmetics (0.8%)
....................................................................................................
2,040,000 Carson, Inc. 144A sr. sub. notes
10 3/8s, 2007 2,040,000
....................................................................................................
605,000 French Fragrances, Inc. sr. notes Ser. B,
10 3/8s, 2007 635,250
....................................................................................................
7,540,000 Revlon Worldwide Corp. sr. disc. notes
Ser. B, zero %, 2001 5,259,150
- ----------------------------------------------------------------------------------------------------
7,934,400
- ----------------------------------------------------------------------------------------------------
Electric Utilities (3.7%)
....................................................................................................
10,200,000 AES China Generating Co. sr. notes
10 1/8s, 2006 (China) 10,355,860
....................................................................................................
1,350,000 Calpine Corp. sr. notes 10 1/2s, 2006 1,478,250
....................................................................................................
1,520,000 Calpine Corp. sr. notes 9 1/4s, 2004 1,558,000
....................................................................................................
1,685,000 Espirito Santo Centrais 144A sr. notes
10s, 2007 (Luxembourg) 1,617,600
....................................................................................................
2,272,000 First PV Funding deb. 10.15s, 2016 2,459,372
....................................................................................................
18,000 First PV Funding Corp. deb. Ser. 86A,
10.3s, 2014 19,462
....................................................................................................
7,775,000 Midland Funding Corp. deb. Ser. A,
11 3/4s, 2005 9,340,496
....................................................................................................
2,480,000 Midland Funding Corp. deb. Ser. B,
13 1/4s, 2006 3,186,378
....................................................................................................
468,000 North Atlantic Energy Corp. 1st mtge.
Ser. A, 9.05s, 2002 480,936
....................................................................................................
1,743,012 Northeast Utilities System notes Ser. A,
8.58s, 2006 1,734,768
....................................................................................................
5,700,000 Panda Global Energy Co. company
guaranty 12 1/2s, 2004 5,244,000
- ----------------------------------------------------------------------------------------------------
37,475,122
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (1.7%)
....................................................................................................
920,000 Argo-Tech Corp. 144A sr. sub. notes
8 5/8s, 2007 920,000
....................................................................................................
2,000,000 Celestica International Ltd. 144A sr. sub.
notes 10 1/2s, 2006 (Canada) 2,110,000
....................................................................................................
779,858 Cirent Semiconductor sr. sub. notes
10.22s, 2002 796,431
....................................................................................................
900,756 Cirent Semiconductor 144A sr. sub.
notes 10.14s, 2004 922,149
....................................................................................................
915,000 Details Holdings Corp. 144A sr. disc.
notes stepped-coupon zero %
(12 1/2s, 11/15/02), 2007 (STP) 535,275
....................................................................................................
500,000 Details, Inc. 144A sr. sub. notes 10s, 2005 513,750
....................................................................................................
1,340,000 DII Group, Inc. 144A sr. sub. notes
8 1/2s, 2007 1,316,550
....................................................................................................
1,465,000 Flextronics Internationsl Ltd. 144A
sr. sub. notes 8 3/4s, 2007 1,461,338
....................................................................................................
785,000 HCC Industries, Inc. company guaranty
10 3/4s, 2007 814,438
....................................................................................................
770,000 Moog, Inc. sr. sub. notes Ser. B, 10s, 2006 847,000
....................................................................................................
3,225,000 Motors and Gears, Inc. sr. notes Ser. B,
10 3/4s, 2006 3,418,500
....................................................................................................
1,205,000 Therma-Wave Inc. sr. notes Ser. B,
10 5/8s, 2004 1,289,350
....................................................................................................
2,315,000 Wavetek Corp. company guaranty
10 1/8s, 2007 2,384,450
- ----------------------------------------------------------------------------------------------------
17,329,231
- ----------------------------------------------------------------------------------------------------
Entertainment (0.5%)
....................................................................................................
1,500,000 Six Flags Corp. sr. sub. notes
stepped-coupon zero %
(12 1/4s, 6/15/98), 2005 (STP) 1,597,500
....................................................................................................
3,500,000 Trump Holdings & Funding Corp.
sr. notes 15 1/2s, 2005 4,007,500
- ----------------------------------------------------------------------------------------------------
5,605,000
- ----------------------------------------------------------------------------------------------------
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, 6/1/07), 2007 (STP) 3,047,575
- ----------------------------------------------------------------------------------------------------
5,566,338
- ----------------------------------------------------------------------------------------------------
Financial Services (1.5%)
....................................................................................................
4,000,000 Aames Financial Corp. sr. notes
9 1/8s, 2003 3,880,000
....................................................................................................
1,925,000 AEI Holding Co. Inc. 144A sr. notes
10s, 2007 1,982,750
....................................................................................................
600,000 Colonial Capital I 144A company
guaranty 8.92s, 2027 643,969
....................................................................................................
1,010,000 Dine S.A. de C.V. 144A company guaranty
8 3/4s, 2007 (Luxembourg) 959,500
....................................................................................................
1,275,000 Investors Capital Trust I company
guaranty Ser. B, 9.77s, 2027 1,391,344
....................................................................................................
1,655,000 Imperial Credit Industries, Inc. sr. notes
9 7/8s, 2007 1,621,900
....................................................................................................
2,090,000 Resource America Inc. 144A bonds
12s, 2004 2,131,800
....................................................................................................
2,250,000 SRI Receivables Purchase notes 144A
12 1/2s, 2000 2,362,500
- ----------------------------------------------------------------------------------------------------
14,973,763
- ----------------------------------------------------------------------------------------------------
Food and Beverages (1.1%)
....................................................................................................
2,165,000 Ameriserve Food Co. company guaranty
10 1/8s, 2007 2,251,600
....................................................................................................
1,950,000 Ameriserve Food Co. company guaranty
8 7/8s, 2006 1,959,750
....................................................................................................
2,800,000 Aurora Foods, Inc. 144A ser. sub. notes
Ser. D, 9 7/8s, 2007 2,954,000
....................................................................................................
820,000 Canandaigua Wine Co. sr. sub. notes
Ser. C, 8 3/4s, 2003 828,200
....................................................................................................
2,500,000 Imperial Holly Term Loan B 7.9062s,
2005 2,499,919
....................................................................................................
1,200,000 Nebco Evans Holding Co. sr. disc.
notes stepped-coupon zero %
(12 3/8s, 7/15/02), 2007 (STP) 780,000
....................................................................................................
330,000 Windy Hill Pet Food Co. sr. sub. notes
9 3/4s, 2007 343,200
- ----------------------------------------------------------------------------------------------------
11,616,669
- ----------------------------------------------------------------------------------------------------
Gaming (3.5%)
....................................................................................................
1,220,000 Argosy Gaming Co. 1st mtge.
13 1/4s, 2004 1,274,900
....................................................................................................
4,095,000 Coast Hotels & Casinos, Inc. company
guaranty Ser. B, 13s, 2002 4,627,350
....................................................................................................
5,061,328 Colorado Gaming & Entertainment Co.
sr. notes 12s, 2003 (PIK) 5,365,008
....................................................................................................
4,070,000 Fitzgeralds Gaming Corp. 144A company
guaranty 12 1/4s, 2004 4,070,000
....................................................................................................
4,570,000 Hollywood Casino Corp. sr. notes
12 3/4s, 2003 4,901,325
....................................................................................................
2,500,000 Isle of Capri Black Hawk LLC 144A
1st mortgage 13s, 2004 2,525,000
....................................................................................................
5,150,000 Lady Luck Gaming Corp. 1st mtge.
11 7/8s, 2001 5,227,250
....................................................................................................
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 1,466,400
....................................................................................................
2,275,000 PRT Funding Corp. sr. notes 11 5/8s, 2004 1,774,500
....................................................................................................
1,188,000 Trump Castle Funding Corp. notes
11 1/2s, 2000 1,199,880
....................................................................................................
1,395,000 Trump A.C. 1st mtge. company guaranty
11 1/4s, 2006 1,377,563
- ----------------------------------------------------------------------------------------------------
37,294,686
- ----------------------------------------------------------------------------------------------------
Health Care (2.6%)
....................................................................................................
3,780,000 Genesis Eldercare 144A sr. sub. notes
9s, 2007 3,709,125
....................................................................................................
565,000 Genesis Health Ventures, Inc. sr. sub.
notes 9 1/4s, 2006 577,713
....................................................................................................
3,360,000 Integrated Health Services, Inc. 144A
sr. sub. notes 9 1/4s, 2008 3,427,200
....................................................................................................
4,000,000 Merit Behavioral Care sr. sub. notes
11 1/2s, 2005 4,620,000
....................................................................................................
4,580,000 Paracelsus Healthcare sr. sub. notes
10s, 2006 4,671,600
....................................................................................................
5,220,000 Paragon Health Networks, Inc. 144A
sr. sub. notes 9 1/2s, 2007 5,233,050
....................................................................................................
4,950,000 Sun Healthcare Group Inc. 144A sr. sub.
notes 9 1/2s, 2007 5,098,500
- ----------------------------------------------------------------------------------------------------
27,337,188
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (0.1%)
....................................................................................................
1,000,000 Reliance Group Holdings, Inc. sr. sub. deb.
9 3/4s, 2003 1,061,650
- ----------------------------------------------------------------------------------------------------
Lodging (0.7%)
....................................................................................................
4,925,000 Host Marriott Travel Plaza sr. notes
Ser. B, 9 1/2s, 2005 5,245,125
....................................................................................................
1,400,000 John Q Hammons Hotels, Inc. 1st mtge.
9 3/4s, 2005 1,487,500
- ----------------------------------------------------------------------------------------------------
6,732,625
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (1.5%)
....................................................................................................
2,885,000 ALARIS Medical Inc. company guaranty
9 3/4s, 2006 3,036,463
....................................................................................................
2,650,000 Dade International, Inc. sr. sub. notes
Ser. B, 11 1/8s, 2006 2,948,125
....................................................................................................
2,748,000 Graphic Controls Corp. sr. sub. notes
Ser. A, 12s, 2005 3,064,020
....................................................................................................
3,015,000 Imagyn Medical Technologies, Inc.
company guaranty 12 1/2s, 2004 2,856,713
....................................................................................................
3,636,000 Wright Medical Technology, Inc. 144A
notes Ser. C, 11 3/4s, 2000 3,672,360
- ----------------------------------------------------------------------------------------------------
15,577,681
- ----------------------------------------------------------------------------------------------------
Metals and Mining (0.7%)
....................................................................................................
2,520,000 Anker Coal Group, Inc. 144A sr. notes
9 3/4s, 2007 2,545,200
....................................................................................................
1,270,000 Continental Global Group sr. notes
Ser. B, 11s, 2007 1,352,550
....................................................................................................
1,915,000 Maxxam Group Holdings, Inc. sr. notes
Ser. B, 12s, 2003 2,068,200
....................................................................................................
775,000 Murrin Holdings 144A sr. notes 9 3/8s,
2007 (Australia) 763,375
- ----------------------------------------------------------------------------------------------------
6,729,325
- ----------------------------------------------------------------------------------------------------
Motion Picture Distribution (0.4%)
....................................................................................................
2,125,000 AMC Entertainment, Inc. sr. sub. notes
9 1/2s, 2009 2,178,125
....................................................................................................
2,110,000 Cinemark USA, Inc. sr. sub. notes
9 5/8s, 2008 2,178,575
- ----------------------------------------------------------------------------------------------------
4,356,700
- ----------------------------------------------------------------------------------------------------
Oil and Gas (4.9%)
....................................................................................................
5,670,000 Abraxas Petroleum Corp. 144A sr. notes
Ser. B, 11 1/2s, 2004 6,208,650
....................................................................................................
305,000 Benton Oil & Gas Co. 144A sr. notes
9 3/8s, 2007 312,625
....................................................................................................
1,620,000 Cliffs Drilling Co. company guaranty
Ser. B, 10 1/4s, 2003 1,749,600
....................................................................................................
1,310,000 Coho Energy, Inc. sr. sub. notes
8 7/8s, 2007 1,310,000
....................................................................................................
2,595,000 Costilla Energy, Inc. sr. notes 10 1/4s, 2006 2,711,775
....................................................................................................
650,000 Dailey Petroleum Services Corp. 144A
company guaranty 9 3/4s, 2007 677,625
....................................................................................................
3,295,000 DI Industries Inc. sr. notes 8 7/8s, 2007 3,410,325
....................................................................................................
635,000 Flores & Rucks, Inc. sr. sub. notes
3/4s, 2006 696,913
....................................................................................................
640,000 Newpark Resources, Inc. 144A sr. sub.
notes 8 5/8s, 2007 649,600
....................................................................................................
1,880,000 Panaco, Inc. 144A sr. notes 10 5/8s, 2004 1,889,400
....................................................................................................
1,360,000 Parker Drilling Corp. sr. notes Ser. B,
9 3/4s, 2006 1,458,600
....................................................................................................
850,000 Southwest Royalties, Inc. 144A company
guaranty 10 1/2s, 2004 841,500
....................................................................................................
26,480,000 Transamerican Energy 144A sr. disc.
notes stepped-coupon zero %
(13s, 6/15/00), 2002 (STP) 21,382,600
....................................................................................................
2,310,000 Transamerican Energy 144A sr. notes
11 1/2s, 2002 2,321,550
....................................................................................................
3,494,000 TransTexas Gas Corp. sr. sub. notes,
Ser. D, 13 3/4s, 2001 3,913,280
....................................................................................................
655,000 Wiser Oil Co. company guaranty
9 1/2s, 2007 650,088
- ----------------------------------------------------------------------------------------------------
50,184,131
- ----------------------------------------------------------------------------------------------------
Packaging and Containers (0.9%)
....................................................................................................
875,000 AEP Industries, Inc. 144A sr. sub. notes
9 7/8s, 2007 899,063
....................................................................................................
1,600,000 Huntsman Packaging Corp. 144A sr. sub.
notes 9 1/8s, 2007 1,656,000
....................................................................................................
1,165,000 Radnor Holdings Corp. 144A sr. notes
Ser. B, 10s, 2003 1,208,688
....................................................................................................
590,000 Radnor Holdings Inc. sr. notes 10s, 2003 613,600
....................................................................................................
1,250,000 Riverwood International company
guaranty 10 1/4s, 2006 1,237,500
....................................................................................................
3,230,000 Vicap SA. 144A company guaranty,
11 3/8s, 2007 (Mexico) 3,448,025
- ----------------------------------------------------------------------------------------------------
9,062,876
- ----------------------------------------------------------------------------------------------------
Paging (2.1%)
....................................................................................................
5,400,000 Arch Communications Group sr. disc.
notes stepped-coupon zero %
(10 7/8s, 3/15/01), 2008 (STP) 3,321,000
....................................................................................................
4,300,000 Metrocall, Inc. 144A sr. sub. notes
9 3/4s, 2007 4,214,000
....................................................................................................
3,050,000 Mobile Telecommunications Tech.
sr. notes 13 1/2s, 2002 3,538,000
....................................................................................................
4,100,000 Pagemart Nationwide, Inc. sr. disc.
notes stepped-coupon zero %
(15s, 2/1/00), 2005 (STP) 3,372,250
....................................................................................................
1,550,000 Pagemart Nationwide, Inc. sr. disc. notes
stepped-coupon zero %
(12 1/4s, 11/1/98), 2003 (STP) 1,402,750
....................................................................................................
1,500,000 Paging Network Do Brasil sr. notes
13 1/2s, 2005 (Brazil) 1,365,000
....................................................................................................
750,000 Paging Network, Inc. sr. sub. notes
10 1/8s, 2007 783,750
....................................................................................................
3,125,000 Paging Network, Inc. sr. sub. notes
10s, 2008 3,250,000
- ----------------------------------------------------------------------------------------------------
21,246,750
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (3.0%)
....................................................................................................
2,350,000 APP Finance II Mauritius Ltd. bonds
stepped-coupon 12s (16s, 2/15/07),
2049 (Indonesia) (STP) 1,974,000
....................................................................................................
5,075,000 APP International Finance Co. notes
11 3/4s, 2005 (Netherlands) 4,694,375
....................................................................................................
5,025,000 Florida Coast Paper LLC 1st mtge.
Ser. B, 12 3/4s, 2003 5,326,500
....................................................................................................
6,980,000 Indah Kiat Financial Mauritius 144A
company guaranty 10s, 2007 (Indonesia) 5,793,400
....................................................................................................
5,250,000 Pindo Deli Finance Mauritius Ltd. 144A
company guaranty 10 3/4s, 2007 (India) 4,488,750
....................................................................................................
5,180,000 PT Pabrik Kertas Tjiwi Kimia 144A
company guaranty 10s, 2004 (Indonesia) 4,247,600
....................................................................................................
2,640,000 Repap New Brunswick sr. notes
10 5/8s, 2005 (Canada) 2,508,000
....................................................................................................
1,275,000 Stone Container Corp. sr. notes
11 7/8s, 2016 1,345,125
- ----------------------------------------------------------------------------------------------------
30,377,750
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (0.7%)
....................................................................................................
3,940,000 ICN Pharmaceuticals, Inc. 144A sr. notes
9 1/4s, 2005 4,156,700
....................................................................................................
2,815,000 NBTY, Inc. 144A sr. sub. notes 8 5/8s, 2007 2,815,000
- ----------------------------------------------------------------------------------------------------
6,971,700
- ----------------------------------------------------------------------------------------------------
Publishing (1.2%)
....................................................................................................
2,295,000 Affinity Group Holdings sr. notes 11s, 2007 2,444,175
....................................................................................................
4,750,000 American Media Operation, Inc. sr. sub.
notes 11 5/8s, 2004 5,153,750
....................................................................................................
850,000 Garden State Newspapers 144A sr. sub.
notes 8 3/4s, 2009 850,000
....................................................................................................
820,000 Hollinger International Publishing, Inc.
company guaranty 8 5/8s, 2005 848,700
....................................................................................................
1,020,000 Perry-Judd 144A sr. sub. notes
10 5/8s, 2007 1,060,800
....................................................................................................
1,505,000 Von Hoffman Press Inc. 144A sr. sub.
notes 10 3/8s, 2007 1,606,588
- ----------------------------------------------------------------------------------------------------
11,964,013
- ----------------------------------------------------------------------------------------------------
Railroads (0.4%)
....................................................................................................
2,105,000 TFM S.A. de C.V. 144A company
guaranty 10 1/4s, 2007 (Mexico) 2,210,250
....................................................................................................
2,545,000 TFM S.A. de C.V. 144A company
guaranty stepped-coupon zero %
(11 3/4s, 6/15/02), 2009 (Mexico) (STP) 1,692,425
- ----------------------------------------------------------------------------------------------------
3,902,675
- ----------------------------------------------------------------------------------------------------
Restaurants (0.1%)
....................................................................................................
1,000,000 FRD Acquisition Co. sr. notes Ser. B,
12 1/2s, 2004 1,086,250
- ----------------------------------------------------------------------------------------------------
Retail (0.3%)
....................................................................................................
930,000 Color Spot Nurseries sr. sub. notes
10 1/2s, 2007 939,300
....................................................................................................
2,035,000 Mothers Work, Inc. sr. notes 12 5/8s, 2005 2,177,450
- ----------------------------------------------------------------------------------------------------
3,116,750
- ----------------------------------------------------------------------------------------------------
Satellite Services (1.9%)
....................................................................................................
2,830,000 Echostar DBS Corp. company guaranty
12 1/2s, 2002 3,091,775
....................................................................................................
1,350,000 Echostar Satellite Broadcast Corp.
sr. disc. notes stepped-coupon zero %
(13 1/8s, 3/15/00), 2004 (STP) 1,120,500
....................................................................................................
1,345,000 Esat Holdings Ltd. 144A sr. notes
stepped-coupon zero %
(12 1/2s, 2/01/02), 2007 (Ireland) (STP) 961,675
....................................................................................................
1,890,000 Globalstar L.P. Capital sr. notes
11 3/8s, 2004 1,899,450
....................................................................................................
2,325,000 Globalstar L.P. Capital sr. notes
11 1/4s, 2004 2,348,250
....................................................................................................
4,225,000 Iridium LLC/Capital Corp. company
guaranty Ser. B, 14s, 2005 4,615,813
....................................................................................................
3,560,000 Iridium LLC/Capital Corp. 144A
sr. notes 11 1/4s, 2005 3,506,600
....................................................................................................
1,415,000 Pratama Datakom Asia BV 144A
company guaranty 12 3/4s, 2005
(Indonesia) 778,250
....................................................................................................
1,215,000 TCI Satellite Entertainment 144A sr. sub.
notes 10 7/8s, 2007 1,269,675
- ----------------------------------------------------------------------------------------------------
19,591,988
- ----------------------------------------------------------------------------------------------------
Semiconductors (0.4%)
....................................................................................................
1,305,000 Fairchild Semiconductor Corp. 144A
sr. sub. notes 11.74s, 2008 1,344,150
....................................................................................................
3,040,000 Fairchild Semiconductor Corp. sr. sub.
notes 10 1/8s, 2007 3,192,000
- ----------------------------------------------------------------------------------------------------
4,536,150
- ----------------------------------------------------------------------------------------------------
Shipping (0.3%)
....................................................................................................
480,000 Chemical Leaman Corp. sr. notes
10 3/8s, 2005 499,200
....................................................................................................
1,590,000 Johnstown America Industries, Inc.
company guaranty Ser. C, 11 3/4s, 2005 1,741,050
....................................................................................................
1,320,000 Trico Marine Services, Inc. 144A
company guaranty Ser. C, 8 1/2s, 2005 1,326,600
- ----------------------------------------------------------------------------------------------------
3,566,850
- ----------------------------------------------------------------------------------------------------
Specialty Consumer Products (0.2%)
....................................................................................................
1,550,000 Herff Jones, Inc. sr. sub. notes 11s, 2005 1,689,500
- ----------------------------------------------------------------------------------------------------
Steel (0.5%)
....................................................................................................
510,000 Acindar Industria Argentina de Aceros
S.A. bonds 11 1/4s, 2004 (Argentina) 502,350
....................................................................................................
710,000 Altos Hornos de Mexico bonds Ser. B,
11 7/8s, 2004 (Mexico) 736,625
....................................................................................................
980,000 Armco, Inc. sr. notes 9s, 2007 960,400
....................................................................................................
3,010,000 Hylsa S.A. de C.V. 144A bonds 9 1/4s,
2007 (Mexico) 2,949,800
- ----------------------------------------------------------------------------------------------------
5,149,175
- ----------------------------------------------------------------------------------------------------
Supermarkets (1.2%)
....................................................................................................
2,560,000 Fleming Companies, Inc. 144A sr. sub.
notes 10 5/8s, 2007 2,688,000
....................................................................................................
5,000,000 Food 4 Less Supermarkets, Inc. deb.
stepped-coupon zero %
(13 5/8s, 6/15/00), 2005 (STP) 4,350,000
....................................................................................................
1,580,000 Jitney-Jungle Stores company guaranty
10 3/8s, 2007 1,643,200
....................................................................................................
2,850,000 Stater Brothers Holdings sr. notes
11s, 2001 3,135,000
....................................................................................................
530,000 Stater Brothers Holdings 144A sr. sub.
notes 9s, 2004 551,200
- ----------------------------------------------------------------------------------------------------
12,367,400
- ----------------------------------------------------------------------------------------------------
Telecommunications (7.3%)
....................................................................................................
1,930,000 Advanced Radio Telecom Corp. sr. notes
14s, 2007 1,872,100
....................................................................................................
1,305,000 America Communication Services, Inc.
144A sr. notes 13 3/4s, 2007 1,552,950
....................................................................................................
3,165,000 American Communications Services, Inc.
sr. disc. notes stepped-coupon zero %
(12 3/4s, 4/1/01), 2006 (STP) 2,437,050
....................................................................................................
3,200,000 Barak ITC 144A sr. disc. notes
stepped-coupon zero %
(12 1/2s, 11/15/02), 2007 (Israel) (STP) 1,808,000
....................................................................................................
8,867,000 CellNet Data Systems, Inc. 144A sr. disc.
notes stepped-coupon zero %
(14s, 10/1/02), 2007 (STP) 4,433,500
....................................................................................................
4,700,000 Econophone Inc. company guaranty
13 1/2s, 2007 5,170,000
....................................................................................................
1,190,000 Esprit Teleom Group PLC sr. notes
11 1/2s, 2007 (United Kingdom) 1,225,700
....................................................................................................
960,000 FWT, Inc. 144A sr. sub. notes 9 7/8s, 2007 981,600
....................................................................................................
2,355,000 GST Equipment Funding sr. notes
13 1/4s, 2007 2,696,475
....................................................................................................
5,996,000 GST Telecommunications, Inc. company
guaranty stepped-coupon zero %
(13 7/8s, 12/15/00), 2005 (STP) 4,616,920
....................................................................................................
1,340,000 Hermes Europe Railtel 144A sr. notes
11 1/2s, 2007 (Netherlands) 1,487,400
....................................................................................................
5,325,000 Hyperion Telecommunications , Inc.
sr. notes Ser. B, 12 1/4s, 2004 5,857,500
....................................................................................................
2,925,000 ICG Holdings, Inc. sr. disc. notes
stepped-coupon zero %
(13 1/2s, 9/15/00), 2005 (STP) 2,402,156
....................................................................................................
5,000,000 Intermedia Communications, Inc. sr. disc.
notes stepped-coupon Ser. B, zero %
(11 1/4s, 7/15/02), 2007 (STP) 3,637,500
....................................................................................................
3,750,000 Intermedia Communications, Inc. 144A
sr. notes 8 1/2s, 2008 3,750,000
....................................................................................................
1,030,000 Metronet Communications 144A sr. disc.
notes stepped-coupon zero %
(10.75s, 5/1/98), 2007 (STP) 630,875
....................................................................................................
755,000 Netia Holdings B.V. 144A company
guaranty 10 1/4s, 2007 (Poland) 724,800
....................................................................................................
430,000 Netia Holdings B.V. 144A company
guaranty stepped-coupon zero %
(11 1/4s, 11/1/02), 2007 (Poland) (STP) 245,100
....................................................................................................
2,925,000 Nextlink Communications sr. notes
12 1/2s, 2006 3,334,500
....................................................................................................
2,495,000 Qwest Communications International, Inc.
144A sr. disc. notes stepped-coupon
zero % (9.47s, 10/15/02), 2007 (STP) 1,702,838
....................................................................................................
7,000,000 Teleport Communications Group Inc.
sr. disc. notes stepped-coupon zero %
(11 1/8s, 7/1/01), 2007 (STP) 5,705,000
....................................................................................................
4,960,000 Teligent, Inc. sr. notes 11 1/2s, 2007 4,972,400
....................................................................................................
6,850,000 Winstar Communications, Inc. 144A
sr. disc. notes stepped-coupon zero %
(14s, 10/15/00), 2005 (STP) 5,445,750
....................................................................................................
5,370,000 Winstar Communications. Inc. 144A
sr. sub. notes 15s, 2007 6,578,250
....................................................................................................
1,295,000 Winstar Equipment Corp. company
guaranty 12 1/2s, 2004 1,443,925
- ----------------------------------------------------------------------------------------------------
74,712,289
- ----------------------------------------------------------------------------------------------------
Telephone Services (2.8%)
....................................................................................................
3,360,000 BTI Telecom Corp. 144A sr. notes
10 1/2s, 2007 3,427,200
....................................................................................................
3,000,000 Ionica Group PLC sr. disc. notes
stepped-coupon zero % (15s, 5/1/02),
2007 (United Kingdom) (STP) 1,170,000
....................................................................................................
5,560,000 ITC Deltacom, Inc. sr. notes 11s, 2007 6,074,300
....................................................................................................
5,490,000 McLeodUSA , Inc. sr. disc. notes
stepped-coupon zero %
(10 1/2s, 3/1/02), 2007 (STP) 3,993,975
....................................................................................................
7,250,000 RSL Communications, Ltd. company
guaranty 12 1/4s, 2006 7,975,000
....................................................................................................
1,865,000 Transtel S.A. 144A pass through
Certificates 12 1/2s, 2007 (Colombia) 1,762,425
....................................................................................................
1,972,000 USN Communications, Inc. 144A sr. disc.
notes stepped-coupon zero %
(14 5/8s, 8/15/00), 2004 (STP) 1,498,720
....................................................................................................
1,535,000 Viatel, Inc. sr. disc. notes stepped-coupon
zero % (15s, 1/15/00), 2005 (STP) 1,258,700
....................................................................................................
1,550,000 WorldCom, Inc. bonds 7 3/4s, 2027 1,706,008
- ----------------------------------------------------------------------------------------------------
28,866,328
- ----------------------------------------------------------------------------------------------------
Textiles (0.7%)
....................................................................................................
1,630,000 Polymer Group, Inc. company guaranty
Ser. B, 9s, 2007 1,630,000
....................................................................................................
3,000,000 Polysindo International Finance company
guaranty 11 3/8s, 2006 (Indonesia) 2,430,000
....................................................................................................
2,000,000 PT Polysindo Eka Perkasa notes zero %,
1998 (Indonesia) 1,803,780
....................................................................................................
1,230,000 Worldtex, Inc. 144A sr. notes 9 5/8s, 2007 1,260,750
- ----------------------------------------------------------------------------------------------------
7,124,530
- ----------------------------------------------------------------------------------------------------
Transportation (0.3%)
....................................................................................................
3,380,000 Kitty Hawk, Inc. 144A sr. notes
9.95s, 2004 3,456,050
- ----------------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $807,478,688) $830,794,678
- ----------------------------------------------------------------------------------------------------
PREFERRED STOCKS (9.3%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
Apparel (-%)
....................................................................................................
414 Anvil Holdings Ser. B, $3.25 pfd. (PIK) $9,936
- ----------------------------------------------------------------------------------------------------
Banks (0.9%)
....................................................................................................
230,000 California Federal Bancorp Inc. Ser. A,
$2.281 pfd. 5,980,000
....................................................................................................
56,820 Chevy Chase Capital Corp. Ser. A,
$5.19 pfd. 2,940,435
....................................................................................................
20,000 Chevy Chase Savings Bank $3.25 pfd. 605,000
- ----------------------------------------------------------------------------------------------------
9,525,435
- ----------------------------------------------------------------------------------------------------
Broadcasting (1.7%)
....................................................................................................
24,300 Capstar Broadcasting Inc. 144A
$12.00 pfd. 2,733,750
....................................................................................................
19,050 Citadel Broadcasting Inc. 144A
$13.25 pfd. (PIK) 2,190,750
....................................................................................................
3,089 Granite Broadcasting 144A
$12.75 pfd. (PIK) 3,428,790
....................................................................................................
24,400 SFX Broadcasting, Inc. Ser. E,
$12.625 pfd. (PIK) 2,891,400
....................................................................................................
12,500 Sinclair Capital $11.625 cum. pfd. 1,362,500
....................................................................................................
4,834 Spanish Broadcasting Systems 144A
14.25% cum. pfd.(PIK) 5,148,210
- ----------------------------------------------------------------------------------------------------
17,755,400
- ----------------------------------------------------------------------------------------------------
Cable Television (1.3%)
....................................................................................................
78,638 Cablevision Systems Corp. Ser. M,
$11.125 dep. shs. cum. pfd. (PIK) 9,043,370
....................................................................................................
3,921 NTL Inc. 144A Ser. B, $13.00 pfd. (PIK) 4,548,360
- ----------------------------------------------------------------------------------------------------
13,591,730
- ----------------------------------------------------------------------------------------------------
Electric Utilities (0.3%)
....................................................................................................
24,263 El Paso Electric Co. $11.40 pfd (PIK) 2,693,193
....................................................................................................
31,996 Public Service Co. of New Hampshire
$2.65 1st mtge. pfd. 831,896
- ----------------------------------------------------------------------------------------------------
3,525,089
- ----------------------------------------------------------------------------------------------------
Financial Services (0.1%)
....................................................................................................
790 CSBI Capital Trust I 144A $11.75 pfd. 837,400
- ----------------------------------------------------------------------------------------------------
Health Care (0.3%)
....................................................................................................
2,405 Fresenius Medical Care AG Ser. D,
$9.00 pfd., (Germany) 2,525,250
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (0.3%)
....................................................................................................
122,819 CGA Group Ltd. 144A Ser. A,
$13.75 pfd. (PIK) 3,316,113
- ----------------------------------------------------------------------------------------------------
Motion Picture Distribution (0.1%)
....................................................................................................
45,835 Diva Systems Corp. Ser. C, $6.00 pfd. 524,352
- ----------------------------------------------------------------------------------------------------
Publishing (-%)
....................................................................................................
16,175 Von Hoffman Corp. 144A $13.50 pfd. 505,469
- ----------------------------------------------------------------------------------------------------
Restaurants (0.1%)
....................................................................................................
33,975 AmeriKing, Inc. $3.25 pfd. (PIK) 917,325
- ----------------------------------------------------------------------------------------------------
Satellite Services (0.1%)
....................................................................................................
1,310 Echostar Communications Corp. 144A
Ser. B, 12.125% pfd. 1,349,300
- ----------------------------------------------------------------------------------------------------
Supermarkets (0.1%)
....................................................................................................
4,000 Jitney-Jungle Stores 144A Ser. A,
$4.95 sr. exchange pfd. 608,000
- ----------------------------------------------------------------------------------------------------
Telecommunications (4.0%)
....................................................................................................
710 America Communication Services, Inc.
144A $12.75 pfd. (PIK) 715,325
....................................................................................................
2,975 ICG Holdings, Inc. $14.25 pfd. (Canada) 3,436,125
....................................................................................................
7,370 ICG Holdings, Inc. $14.00 pfd. (Canada) (PIK) 8,844,000
....................................................................................................
4,151 Intermedia Communication Ser. B,
13.50% pfd. (PIK) 5,084,975
....................................................................................................
3,435 IXC Communications, Inc. 144A
$12.50 pfd. (PIK) 4,018,950
....................................................................................................
8,500 NEXTEL Communications, Inc. Ser. D,
$13.00 cum. pfd. (PIK) 9,711,250
....................................................................................................
92,459 Nextlink Communications, Inc. 144A
$7.00 pfd. (PIK) 5,778,688
....................................................................................................
2,990 Winstar Communications. Inc. 144A
$14.25 cum. pfd. (PIK) 3,109,600
- ----------------------------------------------------------------------------------------------------
40,698,913
- ----------------------------------------------------------------------------------------------------
Total Preferred Stocks
(cost $86,823,041) $95,689,712
- ----------------------------------------------------------------------------------------------------
UNITS (3.3%) *
- ----------------------------------------------------------------------------------------------------
Number of Units Value
....................................................................................................
273 Celcaribe S.A. 144A units
stepped-coupon zero %
(13 1/2s, 3/15/98), 2004 (STP) $5,460,000
....................................................................................................
1,675 Club Regina,/CS Resort 144A units
13s, 2004 1,712,688
....................................................................................................
8,805 Colt Telecommunications Group PLC
units stepped-coupon zero % (12s,
12/15/01), 2006 (United Kingdom) (STP) 6,867,900
....................................................................................................
660 Concentric Network Corp. units
12 3/4s, 2007 678,150
....................................................................................................
1,840 Conecel Holdings Ltd. 144A units
14s, 2000 1,858,400
....................................................................................................
715 DecisionOne Corp. units
stepped-coupon zero %
(11 1/2s, 8/01/02), 2008 (STP) 457,600
....................................................................................................
2,145 Diva Systems Corp. 144A units
stepped-coupon zero %
(13s, 5/15/01), 2006 (STP) 2,209,350
....................................................................................................
4,280 Knology Holdings Inc. units
stepped-coupon zero %
(11 7/8s, 10/15/02), 2007 (STP) 2,311,200
....................................................................................................
765 Metronet Communications units
sr. notes 12s, 2007 879,750
....................................................................................................
1,305 Stone Container Corp. units sr. sub.
12 1/4s, 2002 1,321,313
....................................................................................................
2,580 Transamerican Refinance 144A
units 16s, 2003 2,631,600
....................................................................................................
990 Vialog Corp. units 12 3/4s, 2001 1,034,550
....................................................................................................
3,200 Wireless One, Inc. units stepped-coupon
zero % (13 1/2s, 8/1/01), 2006 (STP) 800,000
....................................................................................................
2,695 XCL Ltd. units 13 1/2s, 2004 3,503,500
....................................................................................................
13,850 XCL Ltd. units cum. pfd. 9.50%, 2006 2,493,000
- ----------------------------------------------------------------------------------------------------
Total Units (cost $26,871,990) $34,219,001
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (2.1%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$6,965,000 APP Global Finance (V) Ltd. 144A
cv. sec. 2s, 2000 (United Kingdom) $5,850,600
....................................................................................................
3,500,000 Corporate Express, Inc. cv. notes
4 1/2s, 2000 3,093,125
....................................................................................................
652,000 GST Telecommunications, Inc. cv. sr.
disc. notes stepped-coupon zero %
(13 7/8s, 12/15/00), 2005 (STP) 886,720
....................................................................................................
1,030,000 Integrated Device Technology, Inc. cv. sub.
notes 5 1/2s, 2002 867,775
....................................................................................................
1,900,000 Lam Research Corp. 144A cv. sub. notes
5s, 2002 1,586,500
....................................................................................................
700,000 National Semiconductor Corp. 144A
cv. deb. 6 1/2s, 2002 683,375
....................................................................................................
4,000,000 NovaCare, Inc. cv. sub. deb. 5 1/2s, 2000 3,785,000
....................................................................................................
2,000,000 Polymax 144A cv. notes 2s, 2006 1,370,000
....................................................................................................
3,556,000 Pricellular Wireless Corp. 144A cv. sub.
notes stepped-coupon zero %
(10 3/4s, 8/15/00), 2004 (STP) 3,484,880
- ----------------------------------------------------------------------------------------------------
Total Convertible Bonds and Notes
(cost $21,053,511) $21,607,975
- ----------------------------------------------------------------------------------------------------
COMMON STOCKS (1.3%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
43,910 Advanced Radio Telecom Corp. (NON) $351,280
....................................................................................................
750 AmeriKing, Inc. (NON) 37,500
....................................................................................................
4,275 Axia Holding Inc. 144A (NON) 218,025
....................................................................................................
162,600 Celcaribe S.A. 144A (NON) 1,037,388
....................................................................................................
50,680 CellNet Data Systems, Inc. (NON) 392,770
....................................................................................................
16,000 French Fragrances Inc. (NON) 146,000
....................................................................................................
157,742 Grand Union Co. (acquired various
dates from 7/15/92 to 12/1/94,
cost $4,751,408)(RES)(NON) 335,202
....................................................................................................
20,015 Hedstrom Holdings, Inc. 144A 25,018
....................................................................................................
192,000 NEXTEL Communications, Inc. Class A (NON) 4,992,000
....................................................................................................
30,466 NEXTEL Communications, Inc. 144A (RES) 752,510
....................................................................................................
726 PMI Holdings Corp. 144A (NON) 232,320
....................................................................................................
665 Premium Holdings (L.P.) 144A (acquired
various dates from 1/4/94 to 9/29/94,
cost $43,326)(RES)(NON) 2,659
....................................................................................................
157,853 PSF Holdings LLC Class A (acquired
various dates from 2/8/93 to 4/3/95,
cost $5,779,844)(RES) 4,735,590
....................................................................................................
15,000 Specialty Foods Acquisition Corp. (NON) 3,750
....................................................................................................
6,840 Terex Corp. Rights expiration
date 5/15/00 (NON) 136,800
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $16,486,495) $13,398,812
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.3%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
9,311 Cablevision Systems Corp. Ser. H,
$11.75 cv. pfd. (PIK) $1,103,354
....................................................................................................
50,000 Granite Broadcasting $1.938 cv. pfd. 2,425,000
- ----------------------------------------------------------------------------------------------------
Total Convertible Preferred Stocks
(cost $3,027,588) $3,528,354
- ----------------------------------------------------------------------------------------------------
WARRANTS (0.3%) *(NON)
- ----------------------------------------------------------------------------------------------------
Number of Warrants Expiration Date Value
....................................................................................................
40,000 Becker Gaming Corp. 144A 11/15/00 $400
....................................................................................................
8,867 Cellnet Data Systems, Inc. 9/15/07 975
....................................................................................................
122,500 CGA Group Ltd. 144A 4/15/01 1,225
....................................................................................................
2,725 County Seat Holdings, Inc. 10/15/98 55
....................................................................................................
4,700 Econophone Inc. 144A 7/15/07 18,800
....................................................................................................
1,345 Esat Holdings, Inc. (Ireland) 1/1/04 47,075
....................................................................................................
1,890 Globalstar Telecom 144A 2/15/04 192,780
....................................................................................................
2,799 Grand Union Co.
(acquired 7/13/93, cost $280) (RES) 6/16/00 28
....................................................................................................
1,399 Grand Union Co.
(acquired 6/16/93, cost $560) (RES) 6/16/00 14
....................................................................................................
12,840 Heartland Wireless
Communications Inc. 144A 4/15/00 193
....................................................................................................
4,735 Hyperion
Telecommunications 144A 4/15/01 284,100
....................................................................................................
120,000 Insight Communications Co.
L.P. 144A 3/1/98 300,000
....................................................................................................
24,750 Intelcom Group 144A 10/15/05 334,125
....................................................................................................
2,590 Interact Systems Inc. 8/1/03 648
....................................................................................................
3,240 Intermedia Communications 6/1/00 356,400
....................................................................................................
1,360 International Wireless
Communications Holdings 144A 8/15/01 88,400
....................................................................................................
1,500 Iridium World Com 144A 7/15/05 172,500
....................................................................................................
6,789 Louisiana Casino
Cruises, Inc. 144A 12/1/98 339,450
....................................................................................................
6,920 McCaw International Ltd. 4/15/07 2,076
....................................................................................................
3,086 NEXTEL Communications Inc. 3/15/06 386
....................................................................................................
61,545 Nextlink Communications,
Inc. 144A 2/1/09 615
....................................................................................................
3,895 Orion Network Systems 1/15/07 35,055
....................................................................................................
7,130 Pagemart, Inc. 144A 12/31/03 53,475
....................................................................................................
5,801 Petracom Holdings, Inc. 9/30/99 41,332
....................................................................................................
14,880 Powertel, Inc. 2/1/06 107,136
....................................................................................................
3,500 RSL Communications Ltd. 11/15/06 210,000
....................................................................................................
1,625 Spanish Broadcasting
Systems 144A 6/30/99 381,875
....................................................................................................
960 Sterling Chemicals Holdings 8/15/08 28,800
....................................................................................................
13,160 Crompton & Knowles Corp. (RES) 10/31/99 164,500
....................................................................................................
6,950 UIH Australia/Pacific, Inc. 144A 5/15/06 83,400
....................................................................................................
1,040 Urohealth Systems Inc. 4/10/04 2,600
....................................................................................................
19,720 USN Communications Inc. 10/15/04 197
....................................................................................................
1,650 Wireless One, Inc. 10/19/00 17
....................................................................................................
305 Wright Medical
Technology, Inc. 144A 6/30/03 30,470
- ----------------------------------------------------------------------------------------------------
Total Warrants (cost $2,759,726) $3,279,102
- ----------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BONDS AND NOTES (0.1%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
FRF 6,680,000 Ivory Coast - FLIRB collaterized FRB
2s, 2049 ## $364,611
....................................................................................................
FRF 6,680,000 Ivory Coast - past due interest bonds
FRB 1.9s, 2049 ## 415,906
- ----------------------------------------------------------------------------------------------------
Total Foreign Government Bonds
and Notes (cost $917,904) $780,517
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (0.6%) *(cost $6,134,107)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$6,133,000 Interest in $575,000,000 joint repurchase
agreement dated December 31, 1997
with Goldman Sachs and Co. due
January 2, 1998 with respect to various
U.S. Treasury obligations - maturity
value of $6,135,215 for an effective
yield of 6.50% $6,134,107
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $971,553,050) *** $1,009,432,258
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Buy at December 31, 1997
(aggregate face value $417,222)
- ----------------------------------------------------------------------------------------------------
Market Aggregate Delivery Unrealized
Value Face Value Date Depreciation
....................................................................................................
Polish Zloty $401,382 $416,636 6/5/98 $(15,254)
....................................................................................................
Venezuelan Bolivar 194 196 6/19/98 (2)
....................................................................................................
Venezuelan Bolivar 390 390 6/5/98 --
- ----------------------------------------------------------------------------------------------------
$(15,256)
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell at December 31, 1997
- ----------------------------------------------------------------------------------------------------
Market Aggregate Delivery Unrealized
Value Face Value Date Appreciation
....................................................................................................
Deutschemarks $142,697 $152,267 6/5/98 $9,570
- ----------------------------------------------------------------------------------------------------
See page 191 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
December 31, 1997
<CAPTION>
COMMON STOCKS (89.8%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Australia (1.7%)
....................................................................................................
185,945 Australia & New Zealand
Banking Group Ltd. (NON) $1,227,449
....................................................................................................
302,757 QBE Insurance Group Ltd. 1,361,334
- ----------------------------------------------------------------------------------------------------
2,588,783
- ----------------------------------------------------------------------------------------------------
Austria (0.3%)
....................................................................................................
3,392 VA Technolgies AG 515,152
- ----------------------------------------------------------------------------------------------------
Brazil (0.5%)
....................................................................................................
31,600 Petroleo Brasileiro S/A-Petrobras ADR 746,550
- ----------------------------------------------------------------------------------------------------
Canada (7.8%)
....................................................................................................
49,022 Bank of Nova Scotia 2,310,126
....................................................................................................
76,117 Bombardier, Inc. 1,565,799
....................................................................................................
70,493 Cae, Inc. 552,422
....................................................................................................
22,112 Magna International, Inc. Class A 1,388,910
....................................................................................................
113,466 National Bank 1,873,634
....................................................................................................
27,951 Newbridge Networks Corp. 978,833
....................................................................................................
21,781 Northern Telecom Ltd. (NON) 1,937,764
....................................................................................................
21,286 Royal Bank of Canada 1,130,428
- ----------------------------------------------------------------------------------------------------
11,737,916
- ----------------------------------------------------------------------------------------------------
Finland (0.4%)
....................................................................................................
7,431 Oy Nokia AB Class A 528,134
- ----------------------------------------------------------------------------------------------------
France (14.3%)
....................................................................................................
32,131 Banque Nationale de Paris 1,706,576
....................................................................................................
9,456 Compagnie Financiere de Paribas 821,100
....................................................................................................
19,395 Compagnie Generale des Eaux (NON) 2,704,931
....................................................................................................
22,984 Elf Aquitaine SA 2,671,227
....................................................................................................
30,128 Lafarge Coppee 1,975,352
....................................................................................................
45,896 Michelin Corp. Class B 2,308,897
....................................................................................................
49,367 Scor 2,358,928
....................................................................................................
31,155 SGS-Thomson Microelectronics ADR (NON) 1,902,402
....................................................................................................
17,697 Societe Generale 2,409,354
....................................................................................................
4,486 Societe Television Francaise 1 458,059
....................................................................................................
21,124 Total Corp. ADR Class B 2,297,231
- ----------------------------------------------------------------------------------------------------
21,614,057
- ----------------------------------------------------------------------------------------------------
Germany (6.9%)
....................................................................................................
10,694 Altana AG (NON) 734,543
....................................................................................................
44,804 Bayer AG ADR 1,674,543
....................................................................................................
3,096 Bayerische Motoren Werke (BMW) AG 2,315,973
....................................................................................................
27,800 Deutsche Bank AG 1,963,626
....................................................................................................
64,755 Deutsche Telekom AG (NON) 1,219,108
....................................................................................................
3,613 Mannesmann AG 1,826,595
....................................................................................................
9,347 Veba (Vereinigte Elektrizitaets
Bergwerks) AG 636,823
- ----------------------------------------------------------------------------------------------------
10,371,211
- ----------------------------------------------------------------------------------------------------
Hong Kong (1.4%)
....................................................................................................
126,000 Dao Heng Bank Group Ltd. 314,724
....................................................................................................
83,000 Guoco Group Ltd. 203,032
....................................................................................................
252,000 Hutchison Whampoa, Ltd. 1,580,937
- ----------------------------------------------------------------------------------------------------
2,098,693
- ----------------------------------------------------------------------------------------------------
Ireland (3.7%)
....................................................................................................
185,173 Allied Irish Banks PLC 1,795,711
....................................................................................................
120,144 Bank of Ireland 1,853,870
....................................................................................................
165,314 CRH PLC 1,937,900
- ----------------------------------------------------------------------------------------------------
5,587,481
- ----------------------------------------------------------------------------------------------------
Italy (1.3%)
....................................................................................................
352,904 Ente Nazionale Idrocarburi SPA 2,001,412
- ----------------------------------------------------------------------------------------------------
Japan (9.6%)
....................................................................................................
62,000 Canon, Inc. 1,445,953
....................................................................................................
15,000 Circle K Japan Co. Ltd. 719,217
....................................................................................................
5,400 Hirose Electric Co. Ltd. 276,317
....................................................................................................
94,000 KAO Corp. 1,355,734
....................................................................................................
21,000 Murata Manufacturing Co. Ltd. 528,423
....................................................................................................
286,000 Nikko Securities Co. Ltd. 759,156
....................................................................................................
100,000 Nomura Securities Co. Ltd. 1,334,867
....................................................................................................
21,300 Promise Co., Ltd. 1,183,060
....................................................................................................
52,000 Ricoh Co., Ltd. 646,260
....................................................................................................
14,000 Rohm Co. Ltd. 1,428,461
....................................................................................................
37,000 Sankyo Co., Ltd. 837,361
....................................................................................................
31,000 Sony Corp. 2,758,725
....................................................................................................
36,000 Tokyo Electron Ltd. 1,154,430
- ----------------------------------------------------------------------------------------------------
14,427,964
- ----------------------------------------------------------------------------------------------------
Mexico (0.9%)
....................................................................................................
296,923 Cemex, S.A. de C.V. 1,346,134
- ----------------------------------------------------------------------------------------------------
Netherlands (5.4%)
....................................................................................................
57,333 ABN AMRO Holding N.V. 1,117,795
....................................................................................................
10,617 Akzo-Nobel N.V. 1,832,035
....................................................................................................
51,634 Internationale Nederlanden Groep 2,176,478
....................................................................................................
38,004 Philips Electronics N.V. 2,280,990
....................................................................................................
13,178 Vendex International N.V. 727,847
- ----------------------------------------------------------------------------------------------------
8,135,145
- ----------------------------------------------------------------------------------------------------
Philippines (-%)
....................................................................................................
1,800 Philippine Long Distance ADR 39,600
- ----------------------------------------------------------------------------------------------------
Poland (0.1%)
....................................................................................................
11,100 Bank Handlowy 144A (NON) 141,903
- ----------------------------------------------------------------------------------------------------
Portugal (2.0%)
....................................................................................................
24,300 Banco Totta & Accores S.A. 477,543
....................................................................................................
78,581 Electricidade de Portugal S.A. 1,489,152
....................................................................................................
23,315 Portugal Telecom S.A. 1,082,709
- ----------------------------------------------------------------------------------------------------
3,049,404
- ----------------------------------------------------------------------------------------------------
Singapore (2.5%)
....................................................................................................
146,000 DBS Land Ltd. 224,081
....................................................................................................
82,000 Development Bank of Singapore Ltd. 702,439
....................................................................................................
176,000 Keppel land Ltd. 242,903
....................................................................................................
146,000 Overseas Chinese Banking Corp. 851,160
....................................................................................................
258,000 Overseas Union Bank Ltd. (Singapore) 989,946
....................................................................................................
132,000 United Overseas Bank Ltd. (Singapore) 734,206
- ----------------------------------------------------------------------------------------------------
3,744,735
- ----------------------------------------------------------------------------------------------------
Sweden (3.2%)
....................................................................................................
23,827 Astra AB 413,058
....................................................................................................
30,830 Pharmacia & Upjohn, Inc. 1,134,999
....................................................................................................
1,070 Sandvik AB 30,488
....................................................................................................
36,988 Sandvik AB Class B 1,058,585
....................................................................................................
57,220 Telefonaktiebolaget LM Ericsson Class B 2,153,433
- ----------------------------------------------------------------------------------------------------
4,790,563
- ----------------------------------------------------------------------------------------------------
Switzerland (7.8%)
....................................................................................................
232 ABB AG Bearer (NON) 291,290
....................................................................................................
279 Baer Holdings AG 517,338
....................................................................................................
11,993 Ciba Specialty Chemicals AG (NON) 1,427,836
....................................................................................................
828 George Fischer AG 1,133,082
....................................................................................................
1,926 Nestle S.A. (NON) 2,884,717
....................................................................................................
1,096 Novartis AG ADR 1,777,297
....................................................................................................
304 Publicitas Holding S.A. 66,354
....................................................................................................
2,242 United Bank of Switzerland (Switzerland) 3,239,893
....................................................................................................
963 Zurich Versicherungs-Gesellschaft 458,603
- ----------------------------------------------------------------------------------------------------
11,796,410
- ----------------------------------------------------------------------------------------------------
United Kingdom (20.0%)
....................................................................................................
440,875 Avis Europe PLC 144A ADR (NON) 1,264,985
....................................................................................................
272,433 B A T Industries PLC 2,488,806
....................................................................................................
119,115 Bass PLC 1,855,193
....................................................................................................
134,581 British Petroleum Co. PLC 1,775,393
....................................................................................................
487,882 BTR PLC 1,480,312
....................................................................................................
76,789 Burmah Castrol PLC 1,342,226
....................................................................................................
81,200 Cookson Group PLC 263,781
....................................................................................................
71,891 Dixons Group PLC 724,330
....................................................................................................
191,422 General Electric Co. PLC 1,245,258
....................................................................................................
87,307 Glaxo Wellcome PLC 2,073,157
....................................................................................................
50,218 HSBC Holdings PLC 1,238,142
....................................................................................................
58,700 Molins PLC 281,677
....................................................................................................
62,891 Peninsular and Oriental Steam
Navigation Co. 718,173
....................................................................................................
114,012 Rio Tinto PLC 1,408,163
....................................................................................................
476,724 Rolls-Royce PLC 1,847,377
....................................................................................................
168,300 Securicor Group PLC Class A 792,339
....................................................................................................
240,137 Shell Transportation & Trading PLC 1,742,338
....................................................................................................
28,000 Siebe PLC 551,755
....................................................................................................
96,396 Smiths Industries PLC 1,347,955
....................................................................................................
191,067 Tomkins PLC 916,852
....................................................................................................
167,161 Unilever Group 1,436,129
....................................................................................................
475,935 Vodafone Group PLC 3,445,346
- ----------------------------------------------------------------------------------------------------
30,239,687
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $130,968,131) $135,500,934
- ----------------------------------------------------------------------------------------------------
WARRANTS (-%) *(NON) (cost $-)
- ----------------------------------------------------------------------------------------------------
Number of Warrants Expiration Date Value
....................................................................................................
1,840 Generale Des Eaux (France) 5/2/01 $1,249
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (11.5%) *(cost $17,368,135)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$17,365,000 Interest in $369,996,000 joint repurchase
agreement dated December 31, 1997
with Merrill Lynch, Pierce, Fenner &
Smith, Inc. due Janaury 2, 1998 with
respect to various U.S. Treasury
obligations - maturity value of
$17,371,271 for an effective yield
of 6.5% $17,368,135
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $148,336,266) *** $152,870,318
- ----------------------------------------------------------------------------------------------------
The fund had the following industry group concentration greater than 10% at December 3, 1997
(as a percentage of market value):
Insurance and Finance 24.1%
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell at December 31, 1997
- ----------------------------------------------------------------------------------------------------
Market Aggregate Delivery Unrealized
Value Face Value Date Appreciation
....................................................................................................
Japanese Yen $8,987,595 $9,070,038 6/12/98 $82,443
- ----------------------------------------------------------------------------------------------------
See page 191 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
December 31, 1997
<CAPTION>
COMMON STOCKS (94.4%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Aerospace and Defense (1.9%)
....................................................................................................
1,026,618 Rolls-Royce PLC (United Kingdom) $3,978,299
- ----------------------------------------------------------------------------------------------------
Airlines (1.0%)
....................................................................................................
96,600 Deutsche Lufthansa AG 144A (Germany) 1,853,560
....................................................................................................
15,300 Deutsche Lufthansa AG (Germany) 293,576
- ----------------------------------------------------------------------------------------------------
2,147,136
- ----------------------------------------------------------------------------------------------------
Automobiles (1.7%)
....................................................................................................
4,516 Bayerische Motoren Werke (BMW) AG
(Germany) 3,378,209
....................................................................................................
5,130 Renault S.A. (France) (NON) 144,199
- ----------------------------------------------------------------------------------------------------
3,522,408
- ----------------------------------------------------------------------------------------------------
Banks (17.9%)
....................................................................................................
80,066 ABN AMRO Holding N.V. (Netherlands) (NON) 1,561,010
....................................................................................................
453,194 Allied Irish Banks PLC (Ireland) 4,394,836
....................................................................................................
122 Baer Holdings AG (Switzerland) 226,220
....................................................................................................
190,400 Banco Bradesco BRC . (Brazil) 1,876,703
....................................................................................................
71,534 Bank of Nova Scotia (Canada) 3,370,987
....................................................................................................
492,000 Dao Heng Bank Group Ltd. (Hong Kong) 1,228,920
....................................................................................................
712,150 Den Norske Bank ASA (Norway) 3,361,750
....................................................................................................
31,446 Deutsche Bank AG (Germany) 2,221,158
....................................................................................................
165,000 Development Bank of Singapore Ltd.
(Singapore) 1,413,444
....................................................................................................
502,000 Guoco Group Ltd. (Hong Kong) 1,227,978
....................................................................................................
45,200 HSBC Holdings PLC (United Kingdom) 1,114,421
....................................................................................................
136,664 National Bank (Canada) 2,256,696
....................................................................................................
205,513 National Westminster Bancorp Inc.
(United Kingdom) 3,429,576
....................................................................................................
7,539 Schweizerischer Bankverein (Switzerland) 2,341,913
....................................................................................................
15,221 Societe Generale (France) 2,072,260
....................................................................................................
1,803 United Bank of Switzerland (Switzerland) 2,605,498
....................................................................................................
362,990 Westpac Banking Corp. (Australia) 2,319,585
- ----------------------------------------------------------------------------------------------------
37,022,955
- ----------------------------------------------------------------------------------------------------
Brewing (1.6%)
....................................................................................................
169,484 Bass PLC (United Kingdom) 2,639,680
....................................................................................................
90,100 Fomento Economico Mexicano, S.A.
de C.V. Class B, (Mexico)(NON) 724,197
- ----------------------------------------------------------------------------------------------------
3,363,877
- ----------------------------------------------------------------------------------------------------
Broadcasting (0.7%)
....................................................................................................
13,210 Societe Television Francaise 1 (France) 1,348,854
- ----------------------------------------------------------------------------------------------------
Building Products (3.5%)
....................................................................................................
409,776 Cemex, S.A. de C.V. (Mexico) 1,857,766
....................................................................................................
271,878 CRH PLC (Ireland) 3,187,102
....................................................................................................
32,659 Lafarge Coppee (France) 2,141,298
- ----------------------------------------------------------------------------------------------------
7,186,166
- ----------------------------------------------------------------------------------------------------
Business Equipment (1.0%)
....................................................................................................
167,000 Ricoh Co., Ltd. (Japan) 2,075,488
- ----------------------------------------------------------------------------------------------------
Chemicals (6.4%)
....................................................................................................
25,875 Akzo-Nobel N.V. (Netherlands) 4,464,906
....................................................................................................
123,589 Bayer AG ADR (Germany) 4,619,122
....................................................................................................
21,654 Ciba Specialty Chemicals AG
(Switzerland) (NON) 2,578,034
....................................................................................................
504,284 Cookson Group PLC (United Kingdom) 1,638,182
- ----------------------------------------------------------------------------------------------------
13,300,244
- ----------------------------------------------------------------------------------------------------
Conglomerates (3.3%)
....................................................................................................
1,192,372 BTR PLC (United Kingdom) 3,617,847
....................................................................................................
652,979 Tomkins PLC (United Kingdom) 3,133,378
- ----------------------------------------------------------------------------------------------------
6,751,225
- ----------------------------------------------------------------------------------------------------
Consumer Products (3.0%)
....................................................................................................
228,000 KAO Corp. (Japan) 3,288,376
....................................................................................................
339,088 Unilever Group (United Kingdom) 2,913,203
- ----------------------------------------------------------------------------------------------------
6,201,579
- ----------------------------------------------------------------------------------------------------
Electric Utilities (3.5%)
....................................................................................................
67,025 Iberdrola S.A. (Spain) 882,256
....................................................................................................
101,900 Iberdrola II (Spain) (NON) 1,341,318
....................................................................................................
251,699 Scottish Power PLC (United Kingdom) 2,232,978
....................................................................................................
41,474 Veba (Vereinigte Elektrizitaets
Bergwerks) AG (Germany) (NON) 2,825,676
- ----------------------------------------------------------------------------------------------------
7,282,228
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (8.6%)
....................................................................................................
106,000 Canon, Inc. (Japan) 2,472,112
....................................................................................................
657,624 General Electric Co. PLC
(United Kingdom) 4,278,045
....................................................................................................
32,000 NEC Corp. (Japan) 341,235
....................................................................................................
72,959 Philips Electronics N.V. (Netherlands) 4,378,980
....................................................................................................
47,405 SGS Thomson Microelectronics ADR
(France) 2,931,822
....................................................................................................
38,100 Sony Corp. (Japan) 3,390,562
- ----------------------------------------------------------------------------------------------------
17,792,756
- ----------------------------------------------------------------------------------------------------
Environmental Control (2.3%)
....................................................................................................
33,829 Compagnie Generale des Eaux (France) 4,717,975
- ----------------------------------------------------------------------------------------------------
Financial Services (2.1%)
....................................................................................................
416,000 Nikko Securities Co. Ltd. (Japan) 1,104,227
....................................................................................................
56,800 Promise Co., Ltd. (Japan) 3,154,828
- ----------------------------------------------------------------------------------------------------
4,259,055
- ----------------------------------------------------------------------------------------------------
Food and Beverages (2.1%)
....................................................................................................
2,864 Nestle S.A. (Switzerland) 4,289,631
- ----------------------------------------------------------------------------------------------------
Insurance (2.3%)
....................................................................................................
73,348 Internationale Nederlanden Groep
(Netherlands) 3,091,767
....................................................................................................
34,666 Scor (France) 1,656,463
- ----------------------------------------------------------------------------------------------------
4,748,230
- ----------------------------------------------------------------------------------------------------
Machinery (1.9%)
....................................................................................................
1,790 Sandvik AB Class A, (Sweden) 51,004
....................................................................................................
56,070 Sandvik AB Class B, (Sweden) 1,604,707
....................................................................................................
107,408 SKF AB Class B, (Sweden) 2,288,561
- ----------------------------------------------------------------------------------------------------
3,944,272
- ----------------------------------------------------------------------------------------------------
Metals and Mining (1.3%)
....................................................................................................
216,024 Rio Tinto PLC (United Kingdom) 2,668,115
- ----------------------------------------------------------------------------------------------------
Oil and Gas (9.6%)
....................................................................................................
204,552 British Petroleum Co. PLC
(United Kingdom) 2,698,450
....................................................................................................
38,532 Elf Aquitaine SA (France) 4,478,234
....................................................................................................
741,514 Ente Nazionale Idrocarburi SPA (Italy) (NON) 4,205,321
....................................................................................................
49,682 Petroleo Brasileiro S/A-Petrobras ADR
(Brazil) 1,173,737
....................................................................................................
277,417 Shell Transportation & Trading
(United Kingdom) 2,012,827
....................................................................................................
31,083 Total Corp. ADR Class B, (France) 3,380,270
....................................................................................................
52,780 YPF S.A. ADR (Argentina) 1,804,416
- ----------------------------------------------------------------------------------------------------
19,753,255
- ----------------------------------------------------------------------------------------------------
Paper (0.8%)
....................................................................................................
72,172 Svenska Cellulosa AB Class B, (Sweden) 1,624,225
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (5.0%)
....................................................................................................
12,848 Altana AG (Germany) 882,496
....................................................................................................
133,365 Glaxo Wellcome PLC (United Kingdom) 3,166,832
....................................................................................................
136,143 Pharmacia & Upjohn, Inc. ADS (Sweden) 5,012,073
....................................................................................................
59,000 Sankyo Co., Ltd. (Japan) 1,335,251
- ----------------------------------------------------------------------------------------------------
10,396,652
- ----------------------------------------------------------------------------------------------------
Photography (1.1%)
....................................................................................................
58,000 Fuji Photo Film Co. (Japan) 2,224,779
- ----------------------------------------------------------------------------------------------------
Retail (1.0%)
....................................................................................................
39,000 Ito-Yokado Co., Ltd. (Japan) 1,989,642
- ----------------------------------------------------------------------------------------------------
Steel (1.3%)
....................................................................................................
557,000 Kawasaki Steel Corp. (Japan) 760,613
....................................................................................................
9,180 Thyssen AG (Germany) 1,965,684
- ----------------------------------------------------------------------------------------------------
2,726,297
- ----------------------------------------------------------------------------------------------------
Telephone Utilities (4.4%)
....................................................................................................
220,342 Deutsche Telekom AG (Germany) (NON) 4,148,263
....................................................................................................
5,850 Deutsche Telekom AG ADR (Germany) (NON) 108,956
....................................................................................................
78,800 Mahanager Telephone Nigam Ltd. GDR
(India) 1,217,460
....................................................................................................
32,214 Portugal Telecom S.A. (Portugal) 1,495,963
....................................................................................................
48,434 Royal PTT (Netherlands) 2,022,467
....................................................................................................
21,500 Telecom Corp. of New Zealand Ltd.
(New Zealand) 104,125
- ----------------------------------------------------------------------------------------------------
9,097,234
- ----------------------------------------------------------------------------------------------------
Tire and Rubber (1.6%)
....................................................................................................
65,179 Michelin Corp. Class B, (France) 3,278,970
- ----------------------------------------------------------------------------------------------------
Tobacco (2.5%)
....................................................................................................
561,906 B A T Industries PLC (United Kingdom) 5,133,270
- ----------------------------------------------------------------------------------------------------
Transportation (1.1%)
....................................................................................................
194,093 Peninsular and Oriental Steam
Navigation Co. (United Kingdom) 2,216,415
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $188,807,381) $195,041,232
- ----------------------------------------------------------------------------------------------------
WARRANTS (-%) *(cost $-)(NON)
- ----------------------------------------------------------------------------------------------------
Number of Warrants Expiration Date Value
....................................................................................................
78,800 Generale Des Eaux (France) 5/2/01 $4,918
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (9.6%) *(cost $19,760,567)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$19,757,000 Interest in $369,996,000 joint repurchase
agreement dated December 31, 1997
with Merrill Lynch, Pierce, Fenner, &
Smith, Inc. due January 2, 1998 with
respect to various U.S. Treasury
obligations - maturity value of
$19,764,134 for an effective yield
of 6.50% $19,760,567
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $208,567,948) *** $214,806,717
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell at December 31, 1997
- ----------------------------------------------------------------------------------------------------
Market Aggregate Delivery Unrealized
Value Face Value Date Appreciation
....................................................................................................
Japanese Yen $10,268,171 $10,362,360 6/12/98 $94,189
- ----------------------------------------------------------------------------------------------------
Diversification by Country
- ----------------------------------------------------------------------------------------------------
Distribution of investments by country of issue at
December 31, 1997: (as percentage of Market Value)
- ----------------------------------------------------------------------------------------------------
Australia 1.1%
....................................................................................................
Brazil 1.4
....................................................................................................
Canada 2.6
....................................................................................................
France 12.2
....................................................................................................
Germany 10.4
....................................................................................................
Hong Kong 1.1
....................................................................................................
Ireland 3.5
....................................................................................................
Italy 2.0
....................................................................................................
Japan 10.3
....................................................................................................
Mexico 1.2
....................................................................................................
Netherlands 7.2
....................................................................................................
Norway 1.6
....................................................................................................
Spain 1.0
....................................................................................................
Sweden 4.9
....................................................................................................
Switzerland 5.6
....................................................................................................
United Kingdom 21.8
....................................................................................................
United States 9.3
....................................................................................................
Other 2.8
- ----------------------------------------------------------------------------------------------------
Total 100.0%
- ----------------------------------------------------------------------------------------------------
See page 191 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
December 31, 1997
<CAPTION>
COMMON STOCKS (94.4%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Aerospace and Defense (2.1%)
....................................................................................................
27,700 Bombardier, Inc. (Canada) $569,815
....................................................................................................
118,400 Smiths Industries PLC (United Kingdom) 1,655,649
- ----------------------------------------------------------------------------------------------------
2,225,464
- ----------------------------------------------------------------------------------------------------
Apparel (1.7%)
....................................................................................................
8,660 Adidas AG (Germany) (NON) 1,139,575
....................................................................................................
16,300 Gucci Group N.V. (Italy) 682,563
- ----------------------------------------------------------------------------------------------------
1,822,138
- ----------------------------------------------------------------------------------------------------
Automobiles (1.0%)
....................................................................................................
1,415 Bayerische Motoren Werke (BMW) AG
(Germany) 1,058,496
- ----------------------------------------------------------------------------------------------------
Automotive (0.2%)
....................................................................................................
25,700 Telco (Tata Engineering & Locomotive
Co, Ltd.) 144A GDR (India) 218,450
- ----------------------------------------------------------------------------------------------------
Automotive Parts (0.2%)
....................................................................................................
31,200 Kwik-Fit Holdings PLC (Untied Kingdom) 181,614
- ----------------------------------------------------------------------------------------------------
Banks (6.1%)
....................................................................................................
301,600 Banca di Roma (Italy) (NON) 304,403
....................................................................................................
39,300 Banca San Paolo di Brescia SPA (Italy) 138,662
....................................................................................................
17,370 Banco de Bilbao Vizcaya (Spain) (NON) 562,199
....................................................................................................
38,900 Banco Frances del Rio de la Plata ADR
(Argentina) 1,064,888
....................................................................................................
44,800 Banco Rio de La Plata S.A. ADR
(Argentina) (NON) 627,200
....................................................................................................
239,600 Credito Italiano SPA (Italy) 739,027
....................................................................................................
71,700 HSBC Holdings PLC (United Kingdom) 1,844,439
....................................................................................................
124,200 Overseas Union Bank Ltd. (Singapore) 476,556
....................................................................................................
38,490 Skandinaviska Enskilda Bank Class A
(Sweden) 487,700
....................................................................................................
17,760 State Bank of India 144A GDR (India) (NON) 315,240
- ----------------------------------------------------------------------------------------------------
6,560,314
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (0.9%)
....................................................................................................
137,000 Alfa S.A. de C.V. Class A (Mexico) 927,834
- ----------------------------------------------------------------------------------------------------
Broadcasting (1.0%)
....................................................................................................
27,200 Grupo Televisa S.A.GDR (Mexico) (NON) 1,052,300
- ----------------------------------------------------------------------------------------------------
Building Products (0.6%)
....................................................................................................
132,900 Cemex, S.A. de C.V. (Mexico) 602,517
- ----------------------------------------------------------------------------------------------------
Building and Construction (0.7%)
....................................................................................................
19,100 NBM-Amsetlland N.V. (Netherlands) 493,055
....................................................................................................
206,000 YTL Corp. Berhad (Malaysia) 278,307
- ----------------------------------------------------------------------------------------------------
771,362
- ----------------------------------------------------------------------------------------------------
Business Equipment (0.3%)
....................................................................................................
133,000 Aurora Corp. (Taiwan) (NON) 291,002
- ----------------------------------------------------------------------------------------------------
Business Services (6.6%)
....................................................................................................
9,900 Bellsystem 24, Inc. (Japan) 1,298,734
....................................................................................................
38,600 Brunel International NV (Netherlands) (NON) 739,230
....................................................................................................
3,600 Brunel International NV 144A
(Netherlands) (NON) 68,189
....................................................................................................
171,600 Compass Group PLC (United Kingdom) 2,119,433
....................................................................................................
19,600 Hays PLC (United Kingdom) 262,442
....................................................................................................
73,080 Reuters Holdings PLC ADR
(United Kingdom) (NON) 801,384
....................................................................................................
28,300 Securitas AB Class B (Sweden) 856,322
....................................................................................................
1,000 Sodexho Alliance (France) 535,115
....................................................................................................
153,000 Taiwan Secom (Taiwan) (NON) 532,789
- ----------------------------------------------------------------------------------------------------
7,213,638
- ----------------------------------------------------------------------------------------------------
Cable Television (0.7%)
....................................................................................................
85,700 Flextech PLC (United Kingdom) 737,687
- ----------------------------------------------------------------------------------------------------
Cellular Communications (4.3%)
....................................................................................................
7,676 Telecel-Comunicacaoes Pessoais, S.A.
(Portugal) (NON) 818,523
....................................................................................................
263,700 Telecom Italia Mobile SPA (Italy) 1,217,433
....................................................................................................
347,911 Vodafone Group PLC (United Kingdom) 2,518,566
- ----------------------------------------------------------------------------------------------------
4,554,522
- ----------------------------------------------------------------------------------------------------
Computer Equipment (0.5%)
....................................................................................................
16,300 Newbridge Networks Corp. (Canada) (NON) 570,819
- ----------------------------------------------------------------------------------------------------
Computer Services (4.8%)
....................................................................................................
2,200 Atos S.A. (France) (NON) 283,447
....................................................................................................
59,200 Capita Group PLC (United Kingdom) 362,173
....................................................................................................
16,470 CMG PLC (United Kingdom) 411,344
....................................................................................................
30,888 Getronics Electric N.V. (Netherlands) 984,879
....................................................................................................
7,300 Merkantildata ASA (Norway) 251,519
....................................................................................................
18,200 Misys PLC (United Kingdom) 552,217
....................................................................................................
92,200 SEMA Group PLC (United Kingdom) 2,250,159
- ----------------------------------------------------------------------------------------------------
5,095,738
- ----------------------------------------------------------------------------------------------------
Computer Software (2.0%)
....................................................................................................
37,600 Fuji Soft AB, Inc. (Japan) 1,289,390
....................................................................................................
2,909 SAP AG (Germany) 884,187
- ----------------------------------------------------------------------------------------------------
2,173,577
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (1.2%)
....................................................................................................
252,600 Kimberly-Clark de Mexico, S.A. de C.V.
Class A (Mexico) 1,237,621
- ----------------------------------------------------------------------------------------------------
Consumer Products (0.5%)
....................................................................................................
59,700 Argos PLC (United Kingdom) 540,957
- ----------------------------------------------------------------------------------------------------
Containers (0.8%)
....................................................................................................
40,337 Tomra Systems ASA (Japan) 902,822
- ----------------------------------------------------------------------------------------------------
Cosmetics (0.8%)
....................................................................................................
63,600 Shiseido Co., Ltd. (Japan) 868,492
- ----------------------------------------------------------------------------------------------------
Electric Utilities (1.6%)
....................................................................................................
39,000 Companhia Energetica de Minas Gerais
ADR (Brazil) 1,696,500
- ----------------------------------------------------------------------------------------------------
Electronic Components (1.4%)
....................................................................................................
11,000 Aiwa Co., Ltd. (Japan) 277,637
....................................................................................................
21,700 Leitch Technology Corp. (Canada) (NON) 652,883
....................................................................................................
37,000 Mitsumi Electric Company, Ltd. (Japan) 527,963
- ----------------------------------------------------------------------------------------------------
1,458,483
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (3.4%)
....................................................................................................
27,400 Assa Abloy AB (Sweden) 725,453
....................................................................................................
161,000 Electrocomponents PLC
(United Kingdom) 1,202,665
....................................................................................................
12,400 Hirose Electric Co. Ltd. (Japan) 634,507
....................................................................................................
7,300 Keyence Corp (Japan) 1,080,859
- ----------------------------------------------------------------------------------------------------
3,643,484
- ----------------------------------------------------------------------------------------------------
Entertainment (0.8%)
....................................................................................................
105,900 Hoyts Cinemas Group (Australia) 186,140
....................................................................................................
89,000 Resorts World Bhd (Malaysia) 150,013
....................................................................................................
223,200 Village Roadshow Ltd. ADR (Australia) 565,229
- ----------------------------------------------------------------------------------------------------
901,382
- ----------------------------------------------------------------------------------------------------
Financial Services (5.8%)
....................................................................................................
12,200 Acom Co. Ltd. (Japan) 673,878
....................................................................................................
3,100 Acom Co. Ltd. 144A (Japan) 171,231
....................................................................................................
1,800 Aiful Corp. (Japan) 122,209
....................................................................................................
252,700 Grupo Financiero Banamex Accival,
S.A. de C.V. Class B (Mexico) (NON) 756,972
....................................................................................................
898,500 Grupo Financiero Bancomer, S.A.
de C.V. Class B (Mexico) (NON) 583,991
....................................................................................................
280,000 Guoco Group Ltd. (Hong Kong) 684,928
....................................................................................................
31,300 Newcourt Credit Group Inc. (Canada) 1,047,932
....................................................................................................
18,100 Power Corporation of Canada (Canada) 648,418
....................................................................................................
5,000 Shohkoh Fund & Co., Ltd. (Japan) 1,526,658
- ----------------------------------------------------------------------------------------------------
6,216,217
- ----------------------------------------------------------------------------------------------------
Food and Beverages (4.2%)
....................................................................................................
33,900 Embotelladora Andina S.A. ADR
Class A (Chile) 705,544
....................................................................................................
136,600 Fomento Economico Mexicano,
S.A. de C.V. Class B (Mexico) (NON) 1,097,951
....................................................................................................
230,000 Guangnan Holdings (Hong Kong) 188,529
....................................................................................................
1,512 Nestle S.A. (Switzerland) 2,264,638
....................................................................................................
227,000 NgFung Hong Ltd. (Hong Kong) 238,815
- ----------------------------------------------------------------------------------------------------
4,495,477
- ----------------------------------------------------------------------------------------------------
Insurance (3.6%)
....................................................................................................
14,800 Aegon N.V. (Netherlands) (NON) 1,318,559
....................................................................................................
126,800 Malaysian Assurance Alliance Berhad
Class A (Malaysia) (NON) 145,530
....................................................................................................
15,000 MNI Holdings Berhad (Malaysia) 20,458
....................................................................................................
6,830 Mapfre Vida Seguros (Spain) 240,342
....................................................................................................
1,043,000 National Mutual Asia Ltd. (Hong Kong) 1,036,699
....................................................................................................
125,837 QBE Insurance Group Ltd. (Australia) 565,821
....................................................................................................
16,100 Sampo Insurance Co A Shares 523,342
- ----------------------------------------------------------------------------------------------------
3,850,751
- ----------------------------------------------------------------------------------------------------
Machinery (1.8%)
....................................................................................................
95,400 Siebe PLC (United Kingdom) 1,879,909
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (0.2%)
....................................................................................................
80 Disetronic Holding AG (Switzerland) 175,163
- ----------------------------------------------------------------------------------------------------
Metals and Mining (0.9%)
....................................................................................................
88,360 Sasol Ltd. (South Africa) 924,655
- ----------------------------------------------------------------------------------------------------
Oil and Gas (6.6%)
....................................................................................................
9,970 Coflexip S.A. (France) 1,100,789
....................................................................................................
193,800 Cultus Petroleum NL (Australia) (NON) 331,811
....................................................................................................
83,407 Fletcher Challenge Energy (New Zealand) 292,232
....................................................................................................
44,200 Fletcher Challenge Energy (New Zealand) 154,585
....................................................................................................
7,700 Fred Olsen Energy ASA 144A
(Norway) (NON) 159,807
....................................................................................................
26,000 Fred. Olsen Energy ASA (Norway) (NON) 539,609
....................................................................................................
3,470 ISIS (France) 380,242
....................................................................................................
1,400 ISIS 144A (France) 153,412
....................................................................................................
268,000 Oil Search Ltd. (Australia) 483,974
....................................................................................................
22,195 Total Corp. ADR Class B (France) 2,413,702
....................................................................................................
29,590 YPF S.A. ADR (Argentina) 1,011,608
- ----------------------------------------------------------------------------------------------------
7,021,771
- ----------------------------------------------------------------------------------------------------
Paper & Forest Products (0.4%)
....................................................................................................
41,900 Asia Pulp & Paper Co. Ltd. ADR
(Singapore) (NON) 421,619
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (3.9%)
....................................................................................................
300 Ares-Serono Group Class B (Switzerland) 494,697
....................................................................................................
11,400 Novo Nordisk A.S. Class B 1,631,211
....................................................................................................
152,961 Smithkline Beecham PLC ADR
(United Kingdom) 1,571,410
....................................................................................................
15,000 Zeneca Group PLC (United Kingdom) 528,587
- ----------------------------------------------------------------------------------------------------
4,225,905
- ----------------------------------------------------------------------------------------------------
Real Estate (0.7%)
....................................................................................................
158,200 Ayala Land, Inc. Class B (Philippines) 63,280
....................................................................................................
3,195,900 Belle Corp. (Philippines) (NON) 124,640
....................................................................................................
73,000 Sun Hung Kai Properties Ltd.
(Hong Kong) 508,855
- ----------------------------------------------------------------------------------------------------
696,775
- ----------------------------------------------------------------------------------------------------
Recreation (0.3%)
....................................................................................................
110,000 Genting Berhad Co. (Malaysia) (NON) 275,991
- ----------------------------------------------------------------------------------------------------
Restaurants (2.5%)
....................................................................................................
230,600 Autogrill SPA (Italy) 1,233,472
....................................................................................................
190,000 Kentucky Fried Chicken Holdings
Berhad (Malaysia) 308,029
....................................................................................................
91,230 PizzaExpress PLC (United Kingdom) 1,122,269
- ----------------------------------------------------------------------------------------------------
2,663,770
- ----------------------------------------------------------------------------------------------------
Retail (4.4%)
....................................................................................................
444,800 Cifra S.A. de CV (Mexico) 1,093,517
....................................................................................................
79,070 Dixons Group PLC (United Kingdom) 796,661
....................................................................................................
118,640 La Rinascente SPA (Italy) 885,491
....................................................................................................
22,400 Matsumotokiyoshi (Japan) 859,225
....................................................................................................
15,100 Mobel Walther AG (Germany) 487,097
....................................................................................................
216,056 Woolworth Co. (NON) (Australia) 721,547
- ----------------------------------------------------------------------------------------------------
4,843,538
- ----------------------------------------------------------------------------------------------------
Semiconductors (4.9%)
....................................................................................................
7,000 Advantest Corp. (Japan) 397,391
....................................................................................................
20,400 ASM Lithography Holding N.V.
(Netherlands) (NON) 1,339,191
....................................................................................................
36,000 Canon, Inc. (Japan) 839,585
....................................................................................................
19,300 SGS-Thomson Microelectronics ADR
(France) (NON) 1,178,506
....................................................................................................
5,900 Rohm Co. Ltd. (Japan) 601,994
....................................................................................................
28,000 Tokyo Electron Ltd. (Japan) 897,890
- ----------------------------------------------------------------------------------------------------
5,254,557
- ----------------------------------------------------------------------------------------------------
Specialty Consumer Products (0.5%)
....................................................................................................
34,500 Bodycote International PLC
(United Kingdom) 514,006
- ----------------------------------------------------------------------------------------------------
Steel (0.4%)
....................................................................................................
20,700 Ispat International NV (Netherlands) (NON) 393,361
- ----------------------------------------------------------------------------------------------------
Supermarkets (0.9%)
....................................................................................................
13,400 Companhia Brasileira de Distribuicao
Grupo Pao de Acucar ADR (Brazil) (NON) 259,625
....................................................................................................
36,400 Distribucion y Servicio D&S S.A. ADR
(Chile) (NON) 675,675
- ----------------------------------------------------------------------------------------------------
935,300
- ----------------------------------------------------------------------------------------------------
Telecommunications (1.9%)
....................................................................................................
69,000 Mahanagar Telephone Nigam Ltd. (India) 455,294
....................................................................................................
36,200 Portugal Telecom S.A. (Portugal) 1,681,066
- ----------------------------------------------------------------------------------------------------
2,136,360
- ----------------------------------------------------------------------------------------------------
Telecommunications Equipment (2.9%)
....................................................................................................
11,444 Northern Telecom Ltd. (Canada) (NON) 1,018,127
....................................................................................................
15,590 Oy Nokia AB Class A (Finland) 1,108,009
....................................................................................................
28,089 Telefonaktiebolaget LM Ericsson
Class B (Sweden) 1,057,109
- ----------------------------------------------------------------------------------------------------
3,183,245
- ----------------------------------------------------------------------------------------------------
Telephone Services (2.6%)
....................................................................................................
28,200 Compania Anonima Nacional Telefonos
de Venezuela (CANTV) ADR
(Venezuela) (NON) 1,173,825
....................................................................................................
72,500 Ionica Group PLC (United Kingdom) (NON) 166,179
....................................................................................................
25,600 Telefonos de Mexico S.A. ADR
Class L (Mexico) 1,435,200
- ----------------------------------------------------------------------------------------------------
2,775,204
- ----------------------------------------------------------------------------------------------------
Tobacco (0.1%)
....................................................................................................
16,000 PT Gudang Garam (Indonesia) 24,815
....................................................................................................
65,500 PT Hanjaya Mandala Sampoerna
(Indonesia) 50,339
- ----------------------------------------------------------------------------------------------------
75,154
- ----------------------------------------------------------------------------------------------------
Transportation (0.7%)
....................................................................................................
330,000 Cosco Pacific Ltd. (Hong Kong) 268,369
....................................................................................................
13,200 Finnliness OY (Finland) 526,041
- ----------------------------------------------------------------------------------------------------
794,410
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $101,770,890) $101,060,351
- ----------------------------------------------------------------------------------------------------
WARRANTS (-%) * (NON) (cost $-)
- ----------------------------------------------------------------------------------------------------
Number of Warrants Expiration Date Value
....................................................................................................
639,180 Belle Corp. (Philippines) 9/11/00 $999
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (12.2%) *(cost $13,019,350)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$13,017,000 Interest in $369,996,000 joint repurchase
agreement dated December 31, 1997
with Merrill Lynch, Pierce, Fenner &
Smith, Inc. due Janaury 2, 1998 with
respect to various U.S. Treasury
obligations - maturity value of
$13,021,701 for an effective yield
of 6.5% $13,019,350
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $114,790,240) *** $114,080,700
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell at December 31, 1997
(aggregate face value $6,883,659)
- ----------------------------------------------------------------------------------------------------
Market Aggregate Delivery Unrealized
Value Face Value Date Appreciation
....................................................................................................
British Pounds $4,305,844 $4,439,875 2/13/98 $134,031
....................................................................................................
Japanese Yen 2,330,311 2,443,784 2/13/98 113,473
- ----------------------------------------------------------------------------------------------------
$247,504
- ----------------------------------------------------------------------------------------------------
Diversification by Country
- ----------------------------------------------------------------------------------------------------
Distribution of investments by country of issue at
December 31, 1997: (as percentage of Market Value)
- ----------------------------------------------------------------------------------------------------
Argentina 2.4%
....................................................................................................
Australia 1.9
....................................................................................................
Brazil 1.7
....................................................................................................
Canada 4.0
....................................................................................................
Chile 1.2
....................................................................................................
Denmark 1.4
....................................................................................................
Finland 1.4
....................................................................................................
France 5.4
....................................................................................................
Germany 3.1
....................................................................................................
Hong Kong 2.6
....................................................................................................
Italy 4.6
....................................................................................................
Japan 10.6
....................................................................................................
Malaysia 1.0
....................................................................................................
Mexico 7.7
....................................................................................................
Netherlands 4.7
....................................................................................................
Norway 1.6
....................................................................................................
Portugal 2.3
....................................................................................................
Sweden 2.7
....................................................................................................
Switzerland 2.6
....................................................................................................
Taiwan 1.2
....................................................................................................
United Kingdom 19.9
....................................................................................................
United States 11.4
....................................................................................................
Venezuela 1.0
....................................................................................................
Other 3.6
- ----------------------------------------------------------------------------------------------------
Total 100.0%
- ----------------------------------------------------------------------------------------------------
See page 191 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
December 31, 1997
<CAPTION>
COMMERCIAL PAPER (70.6%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Maturity Date Value
....................................................................................................
<S> <C> <C> <C> <C>
Domestic (49.2%)
....................................................................................................
$5,000,000 Aes Hawaii Inc (Bank of
America (LOC)) 6s 1/9/98 $4,992,500
....................................................................................................
5,000,000 Asset Securitization Co-op
Corp. 5.76s 3/17/98 4,939,200
....................................................................................................
7,000,000 Asset Securitization Co-op
Corp. 5.75s 2/23/98 6,939,625
....................................................................................................
7,000,000 Chevron U.K. Inv. 3a3 5.73s 1/21/98 6,976,602
....................................................................................................
7,500,000 Corp Asset Funding
Co. Inc. 5.68s 4/9/98 7,382,850
....................................................................................................
5,000,000 Corporate Receivables
Corp. 5.85s 2/12/98 4,965,063
....................................................................................................
10,000,000 Corporate Receivables
Corp. 5.65s 1/23/98 9,963,903
....................................................................................................
3,600,000 CXC Incorporated 6s 1/28/98 3,583,200
....................................................................................................
5,000,000 CXC Incorporated 5.82s 2/10/98 4,966,858
....................................................................................................
7,000,000 CXC Incorporated 5.7s 3/12/98 6,921,308
....................................................................................................
5,035,000 Delaware Funding Corp. 5.85s 1/20/98 5,018,636
....................................................................................................
5,000,000 Delaware Funding Corp. 5.8s 1/30/98 4,975,833
....................................................................................................
5,051,000 Delaware Funding Corp. 5.72s 1/21/98 5,034,146
....................................................................................................
6,000,000 Falcon Asset Securitization
Corp. 6.25s 1/7/98 5,992,708
....................................................................................................
5,000,000 Falcon Asset Securitization
Corp. 5.7s 2/17/98 4,962,000
....................................................................................................
5,000,000 Ford Motor Credit Co. of
Puerto Rico, Inc. 5.7s 2/9/98 4,968,333
....................................................................................................
6,000,000 Formosa Plastics Corp.
(Bank of America (LOC)) 5.82s 2/27/98 5,943,740
....................................................................................................
6,000,000 General Electric Capital
Corp. 5.66s 4/15/98 5,900,950
....................................................................................................
5,000,000 General Motors Acceptance
Corp. 5.86s 1/12/98 4,990,233
....................................................................................................
6,000,000 Merrill Lynch & Co. Inc. 5.76s 3/2/98 5,941,440
....................................................................................................
5,000,000 Merrill Lynch & Co. Inc. 5.70s 4/16/98 4,916,083
....................................................................................................
5,000,000 Merrill Lynch & Co. Inc. 5.57s 4/14/98 4,919,544
....................................................................................................
10,723,000 Morgan (J.P.) & Co. Inc, 5.8s 2/10/98 10,652,167
....................................................................................................
5,000,000 National Rural Utilities
Cooperative 5.57s 1/27/98 4,979,113
....................................................................................................
5,000,000 National Rural Utilities
Cooperative 5.54s 2/17/98 4,963,067
....................................................................................................
16,000,000 New Center Asset Trust 6.75s 1/2/98 15,997,000
....................................................................................................
6,100,000 Preferred Receivables
Funding, Corp. 5.85s 2/25/98 6,044,490
....................................................................................................
6,000,000 Preferred Receivables
Funding, Corp. 5.57s 1/23/98 5,977,575
....................................................................................................
5,000,000 Sears Roebuck Acceptance
Corp. 5.76s 2/25/98 4,955,200
....................................................................................................
6,000,000 Sears Roebuck Acceptance
Corp 5.7s 2/19/98 5,952,500
....................................................................................................
5,000,000 Sheffield Receivables
Corp. 5.83s 2/6/98 4,970,040
....................................................................................................
10,000,000 Sheffield Receivables
Corp. 5.61s 1/14/98 9,978,183
- ----------------------------------------------------------------------------------------------------
199,664,090
- ----------------------------------------------------------------------------------------------------
Foreign (21.4%)
....................................................................................................
15,075,000 Abn Amro North America
Finance 5.53s (Netherlands) 2/5/98 14,991,635
....................................................................................................
10,000,000 Banco Rio de la Plata S.A.
(Bayerische Vereinsbank (LOC))
5.62s (Germany) 1/22/98 9,965,656
....................................................................................................
10,000,000 Bank Of Montreal 5.6s (Canada) 1/22/98 9,965,778
....................................................................................................
5,000,000 Cemex S.A. (Credit Suisse
First Boston (LOC)) 5.62s
(Switzerland) 2/18/98 4,961,753
....................................................................................................
7,000,000 Corporacion Andina De
Fomento 5.7s (United Kingdom) 2/26/98 6,936,825
....................................................................................................
5,000,000 Credit Suisse First Boston
5.56s (Switzerland) 1/16/98 4,987,644
....................................................................................................
5,000,000 Credit Suisse First Boston
5.52s (Switzerland) 1/15/98 4,988,500
....................................................................................................
10,000,000 Den Danske Corporation Inc.
5.575s (Denmark) 2/13/98 9,931,861
....................................................................................................
5,000,000 Glencore Finance Services
(Union Bank (LOC)) 5.68s
(Switzerland) 2/4/98 4,972,389
....................................................................................................
5,000,000 Glencore Finance Services
(Union Bank (LOC)) 5.56s
(Switzerland) 2/4/98 4,972,972
....................................................................................................
5,000,000 Svenska Handelsbanken 5.75s
(Sweden) 3/9/98 4,945,694
....................................................................................................
5,000,000 Tmi-1 Fuel Corp. (Union Bank
(LOC)) 6s (Switzerland) 1/5/98 4,995,833
- ----------------------------------------------------------------------------------------------------
86,616,540
- ----------------------------------------------------------------------------------------------------
Total Commercial Paper
(cost $286,280,630) $286,280,630
- ----------------------------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT (14.4%)
- ----------------------------------------------------------------------------------------------------
Principal Amount Maturity Date Value
....................................................................................................
$5,000,000 Abbey National PLC 6.05s
(United Kingdom) 6/8/98 $4,999,440
....................................................................................................
7,000,000 Canadian Imperial Bank Of
Commerce 5.81s (Canada) 3/11/98 7,000,341
....................................................................................................
5,000,000 Deutsche Bank 6.21s (Germany) 4/20/98 5,002,217
....................................................................................................
5,000,000 Landesbank Hessen Thuringen
6.03s (Germany) 6/12/98 5,002,381
....................................................................................................
5,000,000 National Westminster Bank
PLC 5.685 (United Kingdom) 2/27/98 4,999,805
....................................................................................................
5,000,000 Royal Bank Of Canada 5.94s
(Canada) 6/25/98 4,998,596
....................................................................................................
11,500,000 Societe Generale 6.19s (France) 5/11/98 11,508,511
....................................................................................................
5,000,000 Swiss Bank Corporation 5.76s
(Switzerland) 2/20/98 5,000,070
....................................................................................................
10,000,000 Westpac Banking Corp. 5.97s
(Australia) 8/13/98 9,998,213
- ----------------------------------------------------------------------------------------------------
Total Certificates of Deposit
(cost $58,509,574) $58,509,574
- ----------------------------------------------------------------------------------------------------
BANK NOTES (8.1%)
- ----------------------------------------------------------------------------------------------------
Principal Amount Maturity Date Value
....................................................................................................
$5,000,000 Bank Of America NT &
SA 5.9s 3/4/98 $4,998,565
....................................................................................................
6,000,000 First National Bank of
Boston 5.82s 3/11/98 6,000,000
....................................................................................................
7,000,000 First National Bank of
Boston 5.75s 5/11/98 7,000,000
....................................................................................................
5,000,000 Morgan Guaranty
Trust Co. 5.965s 6/22/98 4,998,319
....................................................................................................
5,000,000 Northern Trust
Corporation 5.95s 6/24/98 4,997,600
....................................................................................................
5,000,000 Westpac Banking Corp. 6s 12/11/98 5,000,000
- ----------------------------------------------------------------------------------------------------
Total Bank Notes
(cost $32,994,484) $32,994,484
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (2.1%) * (cost $8,380,513)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$8,379,000 Interest in $369,996,000 joint repurchase
agreement dated December 31, 1997
with Merrill Lynch due January 2, 1998
with respect to various U.S. Treasury
obligations - maturity value of $8,379,000
for effective yield of 6.5% $8,380,513
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $386,165,201) *** $386,165,201
- ----------------------------------------------------------------------------------------------------
Diversification by Country
- ----------------------------------------------------------------------------------------------------
Distribution of investments by country of issue at
December 31, 1997: (as percentage of Market Value)
- ----------------------------------------------------------------------------------------------------
....................................................................................................
Australia 2.6%
....................................................................................................
Canada 5.7
....................................................................................................
Denmark 2.6
....................................................................................................
France 3.0
....................................................................................................
Germany 5.2
....................................................................................................
Netherlands 3.8
....................................................................................................
Sweden 1.3
....................................................................................................
Switzerland 9.0
....................................................................................................
United Kingdom 4.3
....................................................................................................
United States 62.5
- ----------------------------------------------------------------------------------------------------
Total 100.0%
- ----------------------------------------------------------------------------------------------------
See page 191 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
December 31, 1997
<CAPTION>
COMMON STOCKS (96.8%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Advertising (1.4%)
....................................................................................................
196,300 Lamar Advertising Co. (NON) $7,802,925
....................................................................................................
554,050 Outdoor Systems, Inc. (NON) 21,261,650
....................................................................................................
154,500 Universal Outdoor Holdings, Inc. (NON) 8,034,000
- ----------------------------------------------------------------------------------------------------
37,098,575
- ----------------------------------------------------------------------------------------------------
Agriculture (0.1%)
....................................................................................................
105,066 Delta & Pine Land Co. 3,204,513
- ----------------------------------------------------------------------------------------------------
Apparel (0.5%)
....................................................................................................
548,100 Wolverine World Wide, Inc. 12,400,763
- ----------------------------------------------------------------------------------------------------
Automotive (0.5%)
....................................................................................................
287,400 Avis Rent A Car, Inc. 9,178,838
....................................................................................................
80,000 Budget Group, Inc. (Japan) (NON) 2,765,000
- ----------------------------------------------------------------------------------------------------
11,943,838
- ----------------------------------------------------------------------------------------------------
Banks (1.5%)
....................................................................................................
249,900 First Union Corp. 12,807,375
....................................................................................................
430,800 TCF Financial Corp. 14,620,275
....................................................................................................
195,400 Washington Mutual, Inc. 12,468,963
- ----------------------------------------------------------------------------------------------------
39,896,613
- ----------------------------------------------------------------------------------------------------
Broadcasting (5.9%)
....................................................................................................
1,759,200 CBS Corp. 51,786,450
....................................................................................................
315,374 Chancellor Media Corp. 23,534,748
....................................................................................................
558,900 Clear Channel Communications, Inc. (NON) 44,397,619
....................................................................................................
114,600 Emmis Broadcasting Corp. Class A (NON) 5,228,625
....................................................................................................
231,200 Sinclair Broadcast Group, Inc. Class A (NON) 10,779,700
....................................................................................................
151,000 Univision Communications Inc. Class A (NON) 10,541,688
....................................................................................................
203,800 Westwood One, Inc. (NON) 7,566,075
- ----------------------------------------------------------------------------------------------------
153,834,905
- ----------------------------------------------------------------------------------------------------
Building Products (0.1%)
....................................................................................................
158,400 Barnett, Inc. (NON) 3,484,800
- ----------------------------------------------------------------------------------------------------
Business Services (6.8%)
....................................................................................................
503,800 Accustaff, Inc. (NON) 11,587,400
....................................................................................................
272,800 Affiliated Computer Services, Inc.
Class A (NON) 7,178,050
....................................................................................................
497,700 Airgas, Inc. (NON) 6,967,800
....................................................................................................
133,700 Applied Graphics Technologies, Inc. 7,119,525
....................................................................................................
152,800 Caribiner Intl., Inc. (NON) 6,799,600
....................................................................................................
297,900 Corestaff, Inc. (NON) 7,894,350
....................................................................................................
839,200 Corporate Express, Inc. (NON) 10,804,700
....................................................................................................
296,200 Interim Services Inc. (NON) 7,664,175
....................................................................................................
138,150 Jabil Circuit, Inc. (NON) 5,491,463
....................................................................................................
55,475 Labor Ready, Inc. (NON) 1,067,894
....................................................................................................
441,250 Paychex, Inc. 22,338,281
....................................................................................................
226,400 PMT Services, Inc. (NON) 3,141,300
....................................................................................................
161,940 Registry, Inc. (The) (NON) 7,428,998
....................................................................................................
4,961,500 Rentokil Group PLC (United Kingdom) 21,681,011
....................................................................................................
513,900 Robert Half International, Inc. (NON) 20,556,000
....................................................................................................
75,900 Sanmina Corp. (NON) 5,142,225
....................................................................................................
197,111 Select Appointments Holdings PLC
ADR (United Kingdom) $3,597,276
....................................................................................................
243,100 Snyder Communications, Inc. (NON) 8,873,150
....................................................................................................
536,500 Viking Office Products, Inc. (NON) 11,702,406
- ----------------------------------------------------------------------------------------------------
177,035,604
- ----------------------------------------------------------------------------------------------------
Computer Equipment (0.5%)
....................................................................................................
237,200 Compaq Computer Corp. 13,386,975
- ----------------------------------------------------------------------------------------------------
Computer Services (3.7%)
....................................................................................................
400,500 America Online, Inc. (NON) 35,719,594
....................................................................................................
277,000 Cambridge Technology Partners, Inc. (NON) 11,530,125
....................................................................................................
111,400 Ciber, Inc. (NON) 6,461,200
....................................................................................................
203,000 CheckFree Holdings Corp. 5,481,000
....................................................................................................
207,700 Computer Horizons Corp. (NON) 9,450,350
....................................................................................................
60,300 Sapient Corp. (NON) 3,693,375
....................................................................................................
407,000 Sterling Commerce, Inc. (NON) 15,644,063
....................................................................................................
206,750 Sykes Enterprises, Inc. (NON) 4,031,625
....................................................................................................
83,100 Whittman-Hart, Inc. (NON) 2,846,175
- ----------------------------------------------------------------------------------------------------
94,857,507
- ----------------------------------------------------------------------------------------------------
Computer Software (11.4%)
....................................................................................................
121,500 BMC Software, Inc. (NON) 7,973,438
....................................................................................................
974,700 Cadence Design Systems, Inc. (NON) 23,880,150
....................................................................................................
64,700 Citrix Systems, Inc. (NON) 4,917,200
....................................................................................................
1,027,900 Computer Associates Intl., Inc. 54,350,213
....................................................................................................
449,600 Compuware Corp. (NON) 14,387,200
....................................................................................................
174,300 CBT Group PLC ADR (Ireland) (NON) 14,314,388
....................................................................................................
59,300 Documentum, Inc. (NON) 2,498,013
....................................................................................................
309,800 Electronic Arts, Inc. (NON) 11,714,313
....................................................................................................
1,374,300 EMC Corp. (NON) 37,707,356
....................................................................................................
31,300 Lernout & Hauspie Speech Products
N.V. (Belgium) (NON) 1,455,450
....................................................................................................
187,300 Microsoft Corp. (NON) 24,208,525
....................................................................................................
452,700 Parametric Technology Corp. (NON) 21,446,663
....................................................................................................
577,200 PeopleSoft, Inc. (NON) 22,510,800
....................................................................................................
191,900 Remedy Corp. (NON) 4,029,900
....................................................................................................
304,900 Saville Systems Ireland PLC ADR
(Ireland) (NON) 12,653,350
....................................................................................................
346,000 Security Dynamics Technologies, Inc. (NON) 12,369,500
....................................................................................................
465,400 Synopsys, Inc. (NON) 16,638,050
....................................................................................................
217,400 Vantive Corp. (NON) 5,489,350
....................................................................................................
63,100 Viasoft, Inc. (NON) 2,665,975
- ----------------------------------------------------------------------------------------------------
295,209,834
- ----------------------------------------------------------------------------------------------------
Conglomerates (0.9%)
....................................................................................................
511,100 Tyco International Ltd. (NON) 23,031,444
- ----------------------------------------------------------------------------------------------------
Consumer Products (2.2%)
....................................................................................................
274,200 American Brands, Inc. 20,153,700
....................................................................................................
152,800 Central Garden and Pet Co. (NON) 4,011,000
....................................................................................................
278,100 Procter & Gamble Co. 22,195,856
....................................................................................................
330,400 Rexall Sundown, Inc. (NON) 9,973,950
- ----------------------------------------------------------------------------------------------------
56,334,506
- ----------------------------------------------------------------------------------------------------
Consumer Services (3.1%)
....................................................................................................
2,301,985 Cendant Corp. (NON) 79,130,725
- ----------------------------------------------------------------------------------------------------
Correctional Facilities (0.4%)
....................................................................................................
314,000 Corrections Corp. (NON) 11,637,625
- ----------------------------------------------------------------------------------------------------
Cosmetics (0.5%)
....................................................................................................
276,900 Estee Lauder Cos. Class A 14,243,044
- ----------------------------------------------------------------------------------------------------
Education Services (0.3%)
....................................................................................................
156,700 Apollo Group, Inc. Class A (NON) 7,404,075
....................................................................................................
15,216 Sylvan Learning Systems, Inc. (NON) 593,424
- ----------------------------------------------------------------------------------------------------
7,997,499
- ----------------------------------------------------------------------------------------------------
Electric Utilities (0.3%)
....................................................................................................
276,773 CalEnergy, Inc. (NON) 7,957,224
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (2.7%)
....................................................................................................
58,400 ASM Lithography Holding N.V.
(Netherlands) (NON) 3,942,000
....................................................................................................
161,400 Cognex Corp. (NON) 4,398,150
....................................................................................................
162,600 Credence Systems Corp. (NON) 4,817,025
....................................................................................................
518,200 General Electric Co. 38,022,925
....................................................................................................
148,500 Illinois Tool Works, Inc. 8,928,563
....................................................................................................
142,200 Microchip Technology, Inc. (NON) 4,266,000
....................................................................................................
29,000 Photronics, Inc. (NON) 703,250
....................................................................................................
91,900 Uniphase Corp. (NON) 3,802,363
- ----------------------------------------------------------------------------------------------------
68,880,276
- ----------------------------------------------------------------------------------------------------
Energy-Related (0.7%)
....................................................................................................
393,800 Thermo Electron Corp. (NON) 17,524,100
- ----------------------------------------------------------------------------------------------------
Entertainment (0.8%)
....................................................................................................
89,800 Disney (Walt) Productions, Inc. 8,895,813
....................................................................................................
180,500 Time Warner, Inc. 11,191,000
- ----------------------------------------------------------------------------------------------------
20,086,813
- ----------------------------------------------------------------------------------------------------
Environmental Services (2.0%)
....................................................................................................
80,200 Allied Waste Industries, Inc. (NON) 1,869,663
....................................................................................................
853,500 Philip Services Corp. (Canada) (NON) 12,269,063
....................................................................................................
82,800 U.S. Filter Corp. (NON) 2,478,825
....................................................................................................
927,200 USA Waste Services, Inc. (NON) 36,392,600
- ----------------------------------------------------------------------------------------------------
53,010,151
- ----------------------------------------------------------------------------------------------------
Financial Services (3.3%)
....................................................................................................
206,900 American Express Co. 18,465,825
....................................................................................................
389,200 Finova Group, Inc. 19,338,375
....................................................................................................
250,800 FIRSTPLUS Financial Group, Inc. (NON) 9,624,450
....................................................................................................
632,200 MBNA Corp. 17,266,963
....................................................................................................
270,100 Morgan Stanley, Dean Witter,
Discover and Co. 15,969,663
....................................................................................................
100,900 Sirrom Capital Corp. 5,259,413
- ----------------------------------------------------------------------------------------------------
85,924,689
- ----------------------------------------------------------------------------------------------------
Food and Beverages (1.4%)
....................................................................................................
499,900 Coca-Cola Enterprises, Inc. 17,777,694
....................................................................................................
484,800 PepsiCo, Inc. 17,664,900
- ----------------------------------------------------------------------------------------------------
35,442,594
- ----------------------------------------------------------------------------------------------------
Funeral/Cemetery Services (1.7%)
....................................................................................................
436,300 Service Corp. International 16,115,831
....................................................................................................
576,700 Stewart Enterprises, Inc. Class A 26,888,638
- ----------------------------------------------------------------------------------------------------
43,004,469
- ----------------------------------------------------------------------------------------------------
Health Care Information Systems (1.8%)
....................................................................................................
945,800 HBO & Co. 45,398,400
- ----------------------------------------------------------------------------------------------------
Health Care Services (5.8%)
....................................................................................................
249,800 ABR Information Services, Inc. (NON) 5,963,975
....................................................................................................
212,650 Cardinal Health, Inc. 15,975,331
....................................................................................................
138,996 CareMatrix Corp. (NON) 3,996,135
....................................................................................................
356,475 Concentra Managed Care, Inc. 12,031,031
....................................................................................................
1,708,600 HEALTHSOUTH Corp. (NON) 47,413,650
....................................................................................................
148,600 Henry Schein, Inc. (NON) 5,201,000
....................................................................................................
224,500 Lincare Holdings, Inc. (NON) 12,796,500
....................................................................................................
448,400 Omnicare, Inc. 13,900,400
....................................................................................................
123,800 Parexel International Corp. (NON) 4,580,600
....................................................................................................
348,300 Physician Sales & Service, Inc. (NON) 7,488,450
....................................................................................................
176,300 Quintiles Transnational Corp. (NON) 6,743,475
....................................................................................................
223,400 Renal Treatment Centers, Inc. (NON) 8,070,325
....................................................................................................
249,566 Total Renal Care Holdings, Inc. (NON) 6,863,065
- ----------------------------------------------------------------------------------------------------
151,023,937
- ----------------------------------------------------------------------------------------------------
Hospital Management (1.3%)
....................................................................................................
1,310,900 Health Management Assoc., Inc. (NON) 33,100,225
- ----------------------------------------------------------------------------------------------------
Insurance (0.9%)
....................................................................................................
251,100 HCC Insurance Holdings, Inc. 5,335,875
....................................................................................................
313,224 Travelers Group Inc. 16,874,943
- ----------------------------------------------------------------------------------------------------
22,210,818
- ----------------------------------------------------------------------------------------------------
Leisure (0.2%)
....................................................................................................
208,700 Signature Resorts, Inc. (NON) 4,565,313
- ----------------------------------------------------------------------------------------------------
Lodging (2.3%)
....................................................................................................
797,068 Extended Stay America, Inc. (NON) 9,913,533
....................................................................................................
252,000 Marriott International, Inc. 17,451,000
....................................................................................................
343,400 Prime Hospitality Corp. (NON) 6,996,775
....................................................................................................
594,005 Promus Hotel Corp. (NON) 24,948,210
- ----------------------------------------------------------------------------------------------------
59,309,518
- ----------------------------------------------------------------------------------------------------
Medical Management Services (1.5%)
....................................................................................................
934,000 MedPartners, Inc. (NON) 20,898,250
....................................................................................................
68,500 NCS HealthCare, Inc. Class A (NON) 1,806,688
....................................................................................................
150,600 Pediatrix Medical Group, Inc. (NON) 6,438,150
....................................................................................................
378,500 Phycor, Inc. (NON) 10,219,500
- ----------------------------------------------------------------------------------------------------
39,362,588
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (1.3%)
....................................................................................................
417,700 Medtronic, Inc. 21,850,931
....................................................................................................
228,800 Sybron International Corp. (NON) 10,739,300
- ----------------------------------------------------------------------------------------------------
32,590,231
- ----------------------------------------------------------------------------------------------------
Networking Equipment (0.6%)
....................................................................................................
301,350 Cisco Systems, Inc. (NON) 16,800,263
- ----------------------------------------------------------------------------------------------------
Nursing Homes (0.9%)
....................................................................................................
381,700 Genesis Health Ventures, Inc. (NON) 10,067,338
....................................................................................................
360,400 Health Care & Retirement Corp. (NON) 14,506,100
- ----------------------------------------------------------------------------------------------------
24,573,438
- ----------------------------------------------------------------------------------------------------
Oil and Gas (1.1%)
....................................................................................................
271,100 Halliburton Co. 14,080,256
....................................................................................................
168,000 Schlumberger Ltd. 13,524,000
- ----------------------------------------------------------------------------------------------------
27,604,256
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (6.9%)
....................................................................................................
290,300 Bristol-Myers Squibb Co. 27,469,638
....................................................................................................
327,800 Dura Pharmaceuticals, Inc. (NON) 15,037,825
....................................................................................................
657,400 Elan Corp. PLC ADR (Ireland) (NON) 33,650,663
....................................................................................................
275,500 Gilead Sciences, Inc. (NON) 10,537,875
....................................................................................................
143,100 Jones Medical Industries, Inc. 5,473,575
....................................................................................................
397,200 Pfizer, Inc. 29,616,225
....................................................................................................
426,000 Schering-Plough Corp. 26,465,250
....................................................................................................
117,300 Transkaryotic Therapies, Inc. (NON) 4,120,163
....................................................................................................
208,800 Warner-Lambert Co. 25,891,200
- ----------------------------------------------------------------------------------------------------
178,262,414
- ----------------------------------------------------------------------------------------------------
Publishing (0.7%)
....................................................................................................
301,900 Gannett Co., Inc. 18,661,194
- ----------------------------------------------------------------------------------------------------
REIT's (Real Estate Investment Trust) (0.1%)
....................................................................................................
67,000 Starwood Lodging Trust 3,877,625
- ----------------------------------------------------------------------------------------------------
Restaurants (1.1%)
....................................................................................................
1,708,500 J.D. Wetherspoon PLC (United Kingdom) 9,381,664
....................................................................................................
228,000 Landry's Seafood Restaurants, Inc. (NON) 5,472,000
....................................................................................................
313,300 Papa Johns International, Inc. (NON) 10,926,338
....................................................................................................
93,300 Starbucks Corp. (NON) 3,580,388
- ----------------------------------------------------------------------------------------------------
29,360,390
- ----------------------------------------------------------------------------------------------------
Retail (8.2%)
....................................................................................................
263,600 AutoZone, Inc. (NON) 7,644,400
....................................................................................................
620,000 Bed Bath & Beyond, Inc. (NON) 23,870,000
....................................................................................................
207,800 Borders Group, Inc. 6,506,738
....................................................................................................
265,500 CompUSA, Inc. (NON) 8,230,500
....................................................................................................
171,100 Consolidated Stores Corp. (NON) 7,517,706
....................................................................................................
313,800 Costco Companies, Inc. (NON) 14,003,325
....................................................................................................
587,039 CVS Corp. 37,607,186
....................................................................................................
747,300 Dixons Group PLC (United Kingdom) 7,529,339
....................................................................................................
102,350 Dollar Tree Stores, Inc. 4,234,731
....................................................................................................
395,100 Home Depot, Inc. (The) 23,261,513
....................................................................................................
39,500 Kohls Corp. (NON) 2,690,938
....................................................................................................
160,000 Nordstrom, Inc. 9,660,000
....................................................................................................
405,900 Office Depot, Inc. (NON) 9,716,231
....................................................................................................
522,800 Officemax, Inc. (NON) 7,449,900
....................................................................................................
260,700 Rite Aid Corp. 15,299,831
....................................................................................................
176,600 Stage Stores, Inc. (NON) 6,600,425
....................................................................................................
498,600 Wal-Mart Stores, Inc. 19,663,538
- ----------------------------------------------------------------------------------------------------
211,486,301
- ----------------------------------------------------------------------------------------------------
Semiconductors (2.9%)
....................................................................................................
126,100 Altera Corp. (NON) 4,177,063
....................................................................................................
498,700 Analog Devices, Inc. (NON) 13,807,756
....................................................................................................
86,400 Lattice Semiconductor Corp. (NON) 4,093,200
....................................................................................................
310,100 Linear Technology Corp. 17,869,513
....................................................................................................
636,100 Maxim Integrated Products Inc. (NON) 21,945,450
....................................................................................................
307,200 Texas Instruments, Inc. 13,824,000
- ----------------------------------------------------------------------------------------------------
75,716,982
- ----------------------------------------------------------------------------------------------------
Telecommunications (2.7%)
....................................................................................................
273,000 Aspect Telecommunications Corp. (NON) 5,698,875
....................................................................................................
121,200 Northern Telecom Ltd. (Canada) 10,786,800
....................................................................................................
334,850 PanAmSat Corp. (NON) 14,440,406
....................................................................................................
295,500 P-Com, Inc. (NON) 5,097,375
....................................................................................................
643,400 Tellabs, Inc.(NON) 34,019,775
- ----------------------------------------------------------------------------------------------------
70,043,231
- ----------------------------------------------------------------------------------------------------
Telephone Services (2.1%)
....................................................................................................
148,500 Intermedia Communications, Inc. (NON) 9,021,375
....................................................................................................
135,400 McLeod, Inc. Class A (NON) 4,332,800
....................................................................................................
22,100 Metromedia Fiber Network, Inc. Class A (NON) 367,413
....................................................................................................
93,400 Qwest Communications
International, Inc. (NON) 5,557,300
....................................................................................................
99,800 RSL Communications, Ltd. Class A (NON) 2,195,600
....................................................................................................
299,700 Sprint Corp. 17,569,913
....................................................................................................
148,600 Teleport Communications Group Inc.
Class A (NON) 8,154,425
....................................................................................................
292,500 Tel-Save Holdings, Inc. (NON) 5,813,438
- ----------------------------------------------------------------------------------------------------
53,012,264
- ----------------------------------------------------------------------------------------------------
Transportation (-%)
....................................................................................................
6,800 C.H. Robinson Worldwide, Inc. 152,150
- ----------------------------------------------------------------------------------------------------
Wireless Communications (1.7%)
....................................................................................................
460,600 AirTouch Communications, Inc. (NON) 19,143,688
....................................................................................................
221,600 Clearnet Communications, Inc. Class A,
(Canada) (NON) 2,520,700
....................................................................................................
696,300 NEXTEL Communications, Inc. Class A (NON) 18,103,800
....................................................................................................
147,400 NEXTLINK Communications, Inc. Class A (NON) 3,141,463
- ----------------------------------------------------------------------------------------------------
42,909,651
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $1,964,691,799) $2,506,580,275
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (3.9%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$25,000,000 Fannie Mae, effective yield of 5.58s,
March 6, 1998 $24,713,250
- ----------------------------------------------------------------------------------------------------
76,403,000 Interest in $622,557,000 joint repurchase
agreement dated December 31, 1997
with UBS Securities due January 2, 1998
with respect to various U.S. Treasury
obligations - maturity value of
$76,430,378 for an effective yield
of 6.45% 76,416,689
- ----------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $101,129,939) $101,129,939
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $2,065,821,738) *** $2,607,710,214
- ----------------------------------------------------------------------------------------------------
See page 191 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
December 31, 1997
<CAPTION>
COMMON STOCKS (97.6%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Aerospace and Defense (2.0%)
....................................................................................................
78,600 Boeing Co. $3,846,488
- ----------------------------------------------------------------------------------------------------
Automotive (2.0%)
....................................................................................................
81,500 Lear Corp. (NON) 3,871,250
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (4.1%)
....................................................................................................
78,600 Caterpillar, Inc. 3,817,013
....................................................................................................
162,100 New Holland N.V. (Netherlands) 4,285,519
- ----------------------------------------------------------------------------------------------------
8,102,532
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (8.3%)
....................................................................................................
110,000 3Com Corp. (NON) 3,843,125
....................................................................................................
93,700 Computer Associates Intl., Inc. 4,954,388
....................................................................................................
39,340 IBM Corp. 4,113,489
....................................................................................................
116,450 NCR Corp. (NON) 3,238,766
- ----------------------------------------------------------------------------------------------------
16,149,768
- ----------------------------------------------------------------------------------------------------
Conglomerates (2.3%)
....................................................................................................
157,900 Ogden Corp. 4,450,806
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (6.5%)
....................................................................................................
162,700 Dimon, Inc. 4,270,875
....................................................................................................
82,500 Kimberly-Clark Corp. 4,068,281
....................................................................................................
115,900 RJR Nabisco Holdings Corp. 4,346,250
- ----------------------------------------------------------------------------------------------------
12,685,406
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (6.7%)
....................................................................................................
64,700 Hewlett-Packard Co. 4,043,750
....................................................................................................
170,300 Micron Technology, Inc. 4,427,800
....................................................................................................
196,280 Vishay Intertechnology, Inc. 4,637,115
- ----------------------------------------------------------------------------------------------------
13,108,665
- ----------------------------------------------------------------------------------------------------
Food and Beverages (6.3%)
....................................................................................................
92,500 Dole Food Co. 4,231,875
....................................................................................................
84,500 The Quaker Oats Co. 4,457,375
....................................................................................................
138,900 Whitman Corp. 3,620,081
- ----------------------------------------------------------------------------------------------------
12,309,331
- ----------------------------------------------------------------------------------------------------
Forest Products (3.8%)
....................................................................................................
126,200 Boise Cascade Corp. 3,817,550
....................................................................................................
74,500 Weyerhaeuser Co. 3,655,156
- ----------------------------------------------------------------------------------------------------
7,472,706
- ----------------------------------------------------------------------------------------------------
Health Care (4.4%)
....................................................................................................
167,200 MedPartners, Inc. (NON) 3,741,100
....................................................................................................
80,600 Oxford Health Plans, Inc. (NON) 1,254,338
....................................................................................................
86,800 Wellpoint Health Networks, Inc. (NON) 3,667,300
- ----------------------------------------------------------------------------------------------------
8,662,738
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (16.1%)
....................................................................................................
56,600 Aetna, Inc. 3,993,838
....................................................................................................
58,900 Ahmanson (H.F.) & Co. 3,942,619
....................................................................................................
33,600 Bankers Trust New York Corp. (CUS) 3,777,900
....................................................................................................
82,500 First Union Corp. 4,228,125
....................................................................................................
76,400 Summit Bancorp 4,068,300
....................................................................................................
63,200 Union Planters Corp. 4,293,650
....................................................................................................
143,200 USF&G Corp. 3,159,350
....................................................................................................
61,840 Washington Mutual, Inc. 3,946,165
- ----------------------------------------------------------------------------------------------------
31,409,947
- ----------------------------------------------------------------------------------------------------
Metals and Mining (1.0%)
....................................................................................................
125,300 Freeport-McMoRan Copper &
Gold Co., Inc. Class B 1,973,475
- ----------------------------------------------------------------------------------------------------
Oil and Gas (7.9%)
....................................................................................................
39,200 Amoco Corp. 3,336,900
....................................................................................................
64,400 Elf Aquitane ADR (France) 3,775,450
....................................................................................................
147,300 Occidental Petroleum Corp. 4,317,731
....................................................................................................
115,400 YPF S.A. ADR (Argentina) 3,945,238
- ----------------------------------------------------------------------------------------------------
15,375,319
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (1.8%)
....................................................................................................
242,450 Unisource Worldwide, Inc. 3,454,913
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (2.4%)
....................................................................................................
126,200 Pharmacia & Upjohn, Inc. 4,622,075
- ----------------------------------------------------------------------------------------------------
Photography (2.2%)
....................................................................................................
89,800 Polaroid Corp. 4,372,138
- ----------------------------------------------------------------------------------------------------
Publishing (2.1%)
....................................................................................................
67,400 Times Mirror Co. Class A 4,145,100
- ----------------------------------------------------------------------------------------------------
Real Estate (4.0%)
....................................................................................................
74,470 Equity Residential Properties Trust (R) 3,765,389
....................................................................................................
71,000 Starwood Lodging Trust 4,109,120
- ----------------------------------------------------------------------------------------------------
7,874,509
- ----------------------------------------------------------------------------------------------------
Retail (7.7%)
....................................................................................................
339,800 K mart Corp. (NON) 3,928,938
....................................................................................................
79,900 Lowe's Cos., Inc. 3,810,231
....................................................................................................
242,800 Officemax, Inc. (NON) 3,459,900
....................................................................................................
123,800 Toys R US, Inc. (NON) 3,891,963
- ----------------------------------------------------------------------------------------------------
15,091,032
- ----------------------------------------------------------------------------------------------------
Transportation (4.0%)
....................................................................................................
39,300 Burlington Northern Santa Fe Corp. 3,652,444
....................................................................................................
6,600 Norfolk Southern Corp. 203,363
....................................................................................................
63,900 Union Pacific Corp. 3,989,756
- ----------------------------------------------------------------------------------------------------
7,845,563
- ----------------------------------------------------------------------------------------------------
Utilities (2.0%)
....................................................................................................
88,400 US West Communicatioins, Inc. 3,989,050
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $183,115,438) $190,812,811
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (5.8%) * (cost $11,287,038)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$11,285,000 Interest in $509,463,000 joint repurchase
agreement dated December 31, 1997,
year with SBC Warburg due
January 2, 1998 with with respect
to various U.S. Treasury obligations -
maturity value of $11,289,075 for an
effective yield of 6.5% $11,287,038
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $194,402,476) *** $202,099,849
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell at December 31, 1997
- ----------------------------------------------------------------------------------------------------
Market Aggregate Delivery Unrealized
Value Face Value Date Appreciation
....................................................................................................
French Francs $2,095,921 $2,022,180 2/5/98 $(73,741)
- ----------------------------------------------------------------------------------------------------
See page 191 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
December 31, 1997
<CAPTION>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (41.5%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
<S> <C> <C> <C> <C>
U.S. Government Agency Mortgage Obligations (27.6%)
....................................................................................................
Federal Home Loan Mortgage Corp.
....................................................................................................
$5,645,895 8 1/2s, with due dates from
June 1, 2027 to August 1, 2027 $5,892,905
....................................................................................................
11,043,449 7s, with due dates from April 1, 2011
to December 1, 2012 11,215,953
....................................................................................................
9,862,374 5 1/2s, with due dates from
March 1, 2011 to April 1, 2011 9,529,519
....................................................................................................
Federal National Mortgage Association
Pass-Through Certificates
....................................................................................................
23,528,993 7s, with due dates from July 1, 2023
to May 1, 2027 23,697,955
....................................................................................................
9,220,000 5.94s, December 12, 2005 9,159,517
....................................................................................................
Government National Mortgage Association
....................................................................................................
1,945,000 7s, TBA, January 15, 2028 1,988,451
....................................................................................................
5,661,000 6s, TBA, January 16, 2028 5,710,534
....................................................................................................
5,795,000 5 1/2s, TBA, March 15, 2028 5,804,040
....................................................................................................
9,385,000 5 1/2s, TBA, February 16, 2028 9,355,672
....................................................................................................
58,000 5 1/2s, TBA, December 16, 2027 58,090
....................................................................................................
Government National Mortgage
Association Adjustable Rate Mortgage
....................................................................................................
3,295,339 7 3/8s, May 20, 2024 3,382,357
....................................................................................................
2,821,373 7 3/8s, April 20, 2023 2,903,811
....................................................................................................
7,390,403 7s, September 20, 2024 7,583,246
....................................................................................................
11,410,934 7s, with due dates from July 20, 2023
to August 20, 2023 11,699,553
....................................................................................................
12,715,112 5 1/2s, with due dates from
October 20, 2027 to
November 20, 2027 12,603,533
....................................................................................................
Government National Mortgage
Association Pass-Through Certificates
....................................................................................................
2,906,519 8 1/2s, with due dates from
June 15, 2026 to October 15, 2027 3,053,327
....................................................................................................
55,407,330 7 1/2s, with due dates from
January 15, 2023 to October 15, 2027 56,885,689
....................................................................................................
37,530,140 7s, with due dates from
September 20, 2024 to
November 15, 2027 37,839,432
- ----------------------------------------------------------------------------------------------------
218,363,584
- ----------------------------------------------------------------------------------------------------
U.S. Treasury Obligations (13.9%)
....................................................................................................
U.S. Treasury Bonds
....................................................................................................
485,000 6 5/8s, February 15, 2027 526,526
....................................................................................................
3,560,000 6 3/8s, August 15, 2027 3,754,696
....................................................................................................
1,405,000 6 1/8s, November 15, 2027 1,443,862
....................................................................................................
U.S. Treasury Notes
....................................................................................................
$9,690,000 7s, July 15, 2006 10,459,095
....................................................................................................
45,235,000 6 3/8s, April 30, 1999 # 45,644,829
....................................................................................................
12,363,000 6 1/8s, August 15, 2007 12,704,961
....................................................................................................
370,000 6s, June 30, 1999 371,850
....................................................................................................
5,560,000 5 7/8s, September 30, 2002 5,590,413
....................................................................................................
19,665,000 5 7/8s, July 31, 1999 19,720,259
....................................................................................................
7,000,000 5 3/4s, November 30, 2002 7,005,460
....................................................................................................
2,655,000 5 5/8s, October 31, 1999 2,652,504
- ----------------------------------------------------------------------------------------------------
109,874,455
- ----------------------------------------------------------------------------------------------------
Total U.S. Government and Agency
Obligations (cost $324,362,533) $328,238,039
- ----------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES (35.0%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
Airlines (0.2%)
....................................................................................................
$1,670,000 Continental Airlines Ser. 97CI, 7.42s,
2007 $1,732,057
- ----------------------------------------------------------------------------------------------------
Automotive (0.3%)
....................................................................................................
2,150,000 Chrysler Corp. deb. Ser. B, 7.45s, 2097 2,272,959
- ----------------------------------------------------------------------------------------------------
Banks (5.8%)
....................................................................................................
8,500,000 Abbey National First Capital PLC
sub. notes 8.2s, 2004 (United Kingdom) 9,298,405
....................................................................................................
2,585,000 Abbey National First Capital PLC
sub. notes 7.35s, 2049 (United Kingdom) 2,706,340
....................................................................................................
3,055,000 Firstar Bank Milwaukee sr. bank notes
6 1/4s, 2002 3,052,613
....................................................................................................
3,790,000 Firstar Capital Trust I company guaranty
Ser. B, 8.32s, 2026 4,095,019
....................................................................................................
4,200,000 Merita Bank Ltd. sub. notes 6 1/2s,
2006 (Finland) 4,137,294
....................................................................................................
4,500,000 Peoples Bank- Bridgeport sub. notes
7.2s, 2006 4,605,210
....................................................................................................
7,000,000 Scotland International Finance 144A
sub. notes 8.85s, 2006 (Netherlands) 8,042,510
....................................................................................................
965,000 Societe Generale 144A notes
7.85s, 2049 (France) 1,007,219
....................................................................................................
3,410,000 Sparbanken Sverige AB (Swedbank)
144A sub. 7 1/2s, 2006 (Sweden) 3,497,739
....................................................................................................
3,060,000 St. Paul Bancorp sr. notes 7 1/8s, 2004 3,114,652
....................................................................................................
2,145,000 State Development Bank of China notes
7 3/8s, 2007 (China) 2,067,029
- ----------------------------------------------------------------------------------------------------
45,624,030
- ----------------------------------------------------------------------------------------------------
Broadcasting (0.7%)
....................................................................................................
5,000,000 Paramount Communications Inc.
sr. notes 7 1/2s, 2002 5,122,600
....................................................................................................
600,000 Viacom International, Inc. sub. deb.
Ser. A, 7s, 2003 580,398
- ----------------------------------------------------------------------------------------------------
5,702,998
- ----------------------------------------------------------------------------------------------------
Chemicals (0.2%)
....................................................................................................
1,645,000 Sociedad Quimica Y Minera de Chile
S.A. 144A bonds 7.7s, 2006 (Chile) 1,684,069
- ----------------------------------------------------------------------------------------------------
Conglomerates (2.0%)
....................................................................................................
3,000,000 Allied Signal Inc. notes 9.2s, 2003 3,369,330
....................................................................................................
9,760,000 Canadian Pacific Ltd. deb. 9.45s, 2021
(Canada) 12,478,355
- ----------------------------------------------------------------------------------------------------
15,847,685
- ----------------------------------------------------------------------------------------------------
Electric Utilities (0.9%)
....................................................................................................
1,450,000 Illinova Corp. sr. notes 7 1/8s, 2004 1,486,656
....................................................................................................
955,226 Northeast Utilities System notes Ser. A,
8.58s, 2006 950,708
....................................................................................................
4,570,000 Texas Utilities Electric Capital Trust V
company guaranty 8.175s, 2037 4,792,102
- ----------------------------------------------------------------------------------------------------
7,229,466
- ----------------------------------------------------------------------------------------------------
Energy-Related (0.6%)
....................................................................................................
4,985,000 CalEnergy, Inc. sr. notes 7.63s, 2007 5,030,962
- ----------------------------------------------------------------------------------------------------
Entertainment (0.5%)
....................................................................................................
2,140,000 Time Warner Entertainment Co. notes
8 7/8s, 2012 2,510,049
....................................................................................................
1,460,000 Time Warner Entertainment sr. notes
8 3/8s, 2033 1,671,350
- ----------------------------------------------------------------------------------------------------
4,181,399
- ----------------------------------------------------------------------------------------------------
Finance (0.8%)
....................................................................................................
1,615,000 American General Institute 144A
company guaranty 8 1/8s, 2046 1,797,140
....................................................................................................
4,000,000 International Lease Finance Corp.
notes 6 1/2s, 1999 4,020,160
- ----------------------------------------------------------------------------------------------------
5,817,300
- ----------------------------------------------------------------------------------------------------
Financial Services (5.8%)
....................................................................................................
1,595,000 Allstate Financing II company guaranty
7.83s, 2045 1,657,365
....................................................................................................
1,890,000 First Financial Caribbean Corp. sr. notes
7.84s, 2006 1,986,863
....................................................................................................
6,730,000 Ford Motor Credit Corp. notes 8.2s, 2002 7,187,775
....................................................................................................
3,485,000 Markel Capital Trust I 8.71s, 2046 3,752,334
....................................................................................................
5,570,000 Money Store, Inc. notes 8.05s, 2002 5,626,814
....................................................................................................
1,470,000 Orange Cogen Funding 144A company
guaranty 8.175s, 2022 1,589,070
....................................................................................................
7,711,407 Railcar Leasing L.L.C. Ser. 1, Class A1,
6 3/4s, 2006 7,884,914
....................................................................................................
3,090,000 Southern Investments Service Co.
sr. notes 6.8s, 2006 (United Kingdom) 3,115,647
....................................................................................................
2,070,000 State Street Institution 144A company
guaranty 7.94s, 2026 2,198,464
....................................................................................................
6,005,000 Tig Capital Trust I 144A bonds
8.597s, 2027 6,468,046
....................................................................................................
3,855,000 Trenwick Capital Trust I company
guaranty 8.82s, 2037 4,077,434
- ----------------------------------------------------------------------------------------------------
45,544,726
- ----------------------------------------------------------------------------------------------------
Health Care (0.4%)
....................................................................................................
3,430,000 Tenet Healthcare Corp. sr. notes 8s, 2005 3,490,025
- ----------------------------------------------------------------------------------------------------
Insurance (3.8%)
....................................................................................................
2,420,000 AFC Capital Trust company guaranty
Ser. B, 8.207s, 2027 2,665,388
....................................................................................................
8,000,000 AMBAC Indemnity Corp. deb.
9 3/8s, 2011 9,892,480
....................................................................................................
3,030,000 Conseco Inc. sr. notes 10 1/2s, 2004 3,645,938
....................................................................................................
6,305,000 Executive Risk Capital Trust company
guaranty Ser. B, 8.675s, 2027 6,837,899
....................................................................................................
2,000,000 Fletcher Challenge Finance USA Ltd.
gtd. notes 9s, 1999 (New Zealand) 2,089,100
....................................................................................................
4,655,000 Phoenix Home Life Mutual Insurance Co.
144A notes 6.95s, 2006 4,733,670
- ----------------------------------------------------------------------------------------------------
29,864,475
- ----------------------------------------------------------------------------------------------------
Oil and Gas (2.6%)
....................................................................................................
2,000,000 Imperial Oil Ltd. deb. 8 3/4s, 2019
(Canada) 2,138,460
....................................................................................................
10,000,000 Norsk Hydro AS deb. 7.15s, 2025
(Norway) 10,311,300
....................................................................................................
1,910,000 Petro Geo-Services AS ADR notes
7 1/2s, 2007 (Norway) 2,021,258
....................................................................................................
5,000,000 Trans-Canada PipeLines Ltd. deb. 8 5/8s,
2012 (Canada) 5,856,000
- ----------------------------------------------------------------------------------------------------
20,327,018
- ----------------------------------------------------------------------------------------------------
REIT's (Real Estate Investment Trust) (0.2%)
....................................................................................................
1,265,000 OMEGA Healthcare Investors, Inc.
notes 6.95s, 2007 1,256,778
- ----------------------------------------------------------------------------------------------------
Railroads (1.4%)
....................................................................................................
3,510,000 CSX Corp. deb. 7.95s, 2027 3,967,564
....................................................................................................
3,780,000 Norfolk Southern Corp. bonds 7.8s, 2027 4,248,871
....................................................................................................
2,530,000 Norfolk Southern Corp. bonds 7.05s, 2037 2,674,058
- ----------------------------------------------------------------------------------------------------
10,890,493
- ----------------------------------------------------------------------------------------------------
Telephone Services (1.2%)
....................................................................................................
3,850,000 US West Capital Funding, Inc. company
guaranty 6.95s, 2037 3,965,770
....................................................................................................
5,270,000 WorldCom, Inc. notes 7 3/4s, 2007 5,659,400
- ----------------------------------------------------------------------------------------------------
9,625,170
- ----------------------------------------------------------------------------------------------------
Telephone Utilities (0.8%)
....................................................................................................
6,993,000 Telekom Malaysia Berhad (New) 144A
deb. 7 7/8s, 2025 (Malaysia) 6,115,518
- ----------------------------------------------------------------------------------------------------
Tobacco (0.9%)
....................................................................................................
975,000 Philip Morris Companies, Inc. deb.
7 3/4s, 2027 1,052,942
....................................................................................................
840,000 Philip Morris Companies, Inc. notes
7 1/2s, 2004 879,707
....................................................................................................
1,750,000 Philip Morris Companies, Inc. notes
7 1/8s, 2004 1,797,810
....................................................................................................
4,395,000 Sampoerna International Finance Co.
144A company guaranty 8 3/8s, 2006
(Indonesia) 3,236,566
- ----------------------------------------------------------------------------------------------------
6,967,025
- ----------------------------------------------------------------------------------------------------
Utilities (5.9%)
....................................................................................................
3,610,000 Arizona Public Service Co. sr. notes
6 3/4s, 2006 3,671,226
....................................................................................................
1,415,000 CMS Energy Corp. sr. notes 8 1/8s, 2002 1,454,818
....................................................................................................
3,550,000 Connecticut Light & Power Co. 1st mtge.
Ser. A, 7 7/8s, 2001 3,591,003
....................................................................................................
1,095,000 Edison Mission Energy 144A company
guaranty 7.33s, 2008 1,143,596
....................................................................................................
6,270,000 Enersis S.A. ADR notes 7.4s, 2016 (Chile) 6,221,470
....................................................................................................
2,835,000 Enersis S.A. ADR notes 6.6s, 2026 (Chile) 2,785,869
....................................................................................................
3,550,000 Israel Electric Corp., Ltd. 144A sr. notes
7 1/4s, 2006 (Israel) 3,621,355
....................................................................................................
3,000,000 Monongahela Power Co. 1st mtge.
8 5/8s, 2021 3,177,090
....................................................................................................
7,750,000 Ohio Edison Co. med. term notes
7 3/8s, 2023 7,947,005
....................................................................................................
3,000,000 Pacificorp secd. med. term notes
8.95s, 2011 3,659,460
....................................................................................................
4,000,000 Southwestern Public Service Co.
1st mtge. 8.2s, 2022 4,274,480
....................................................................................................
5,000,000 West Penn. Power Co. 1st mtge.
7 7/8s, 2022 5,251,400
- ----------------------------------------------------------------------------------------------------
46,798,772
- ----------------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $264,705,881) $276,002,925
- ----------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BONDS AND NOTES (7.9%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
FRF 71,940,000 France (Government of) deb.
6 3/4s, 2003 $13,031,138
....................................................................................................
FRF 148,000,000 France (Government of) bonds
5 1/2s, 2007 24,867,342
....................................................................................................
DEM 14,635,000 Germany (Federal Republic of) bonds
Ser. 97, 6 1/2s, 2027 8,725,651
....................................................................................................
NZD 11,914,000 New Zealand (Government of) bonds
8s, 2004 7,179,615
....................................................................................................
USD 8,115,000 Quebec (Province of) deb. Ser. NN,
7 1/8s, 2024 8,357,720
- ----------------------------------------------------------------------------------------------------
Total Foreign Government Bonds and
Notes (cost $62,354,676) $62,161,466
- ----------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (9.1%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$3,224,477 Chase Mortgage Finance Corp. 144A
Ser. 94-1, Class B2, 6.601s, 2025 $3,171,071
....................................................................................................
4,139,038 Ser. 94-1, Class B3, 6.601s, 2023 4,070,486
....................................................................................................
5,057,875 Ser. 94-1, Class B4, 6.601s, 2023 4,974,104
....................................................................................................
Commercial Mortgage Acceptance Corp.
....................................................................................................
5,715,000 Ser. 97-ML1, Class A3, 6.57s, 2007 5,763,221
....................................................................................................
2,000,000 Ser. 97-ML1, Class A2, 6.57s, 2007 2,017,500
....................................................................................................
3,465,000 Freddie Mac Ser. 25, Class B, 6 1/2s, 2008 3,484,491
....................................................................................................
3,750,000 First Union-Lehman Brothers commercial
Mortgage Ser. 97-C2, Class A3, 6.65s,
2008 3,783,984
....................................................................................................
345,992 Morgan Stanley Mortgage Trust Ser. W,
Class 5, 9.05s, 2018 359,508
....................................................................................................
2,717,993 Paine Webber Mortgage Acceptance
Corp. Ser. 94-3, Class M1, 6 1/2s, 2024 2,644,097
....................................................................................................
Prudential Home Mortgage
Securities Co. 144A
....................................................................................................
6,078,314 Ser. 95-C, Class 2B, 7.84s, 2001 6,038,425
....................................................................................................
4,799,821 Ser. 94-2B, Class B1, 6.803s, 2001 4,736,820
....................................................................................................
9,000,000 Ser. 94-A, Class 1B3, 6.802s, 2024 8,834,063
....................................................................................................
3,200,000 Ser. 94-A, Class 3B3, 6.802s, 2024 3,130,000
....................................................................................................
4,940,324 Ser. 93-31, Class B1, 6s, 2000 4,815,273
....................................................................................................
14,054,170 Securitized Asset Sales, Inc. Ser. 93-J,
Class 1B1, 6.807s, 2023 13,834,573
....................................................................................................
418,424 Travelers Mortgage Securities Corp.
coll. oblig. Ser. 1, Class Z2, 12s, 2014 479,553
- ----------------------------------------------------------------------------------------------------
Total Collateralized Mortgage Obligations
(cost $65,186,446) $72,137,169
- ----------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (4.5%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$25,000,000 American Express Credit Account
Master Trust Ser. 96-1, Class A,
6.8s, 2003 $25,585,750
....................................................................................................
10,000,000 Green Tree Financial Corp. Ser. 93-3,
Class A5, 5 3/4s, 2018 9,890,600
- ----------------------------------------------------------------------------------------------------
Total Asset-Backed Securities
(cost $33,990,626) $35,476,350
- ----------------------------------------------------------------------------------------------------
MUNICIPAL BONDS AND NOTES (0.5%) *(cost $3,520,000)
- ----------------------------------------------------------------------------------------------------
Principal Amount Rating** Value
....................................................................................................
$3,520,000 NJ Econ. Dev. Auth. Rev.
Bonds, MBIA Ser. A, 7.425s,
2/15/29 Aaa $3,856,406
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (1.7%) *(cost $13,219,386)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$13,217,000 Interest in $575,000,000 joint repurchase
agreement dated December 31, 1997
with Goldman Sachs Co. due
January 2, 1998 with respect to various
U.S. Treasury obligations - maturity
value of $13,221,773 for an effective
yield of 6.50% $13,219,386
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $768,339,548) *** $791,091,741
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Buy at December 31, 1997
(aggregate face value $94,890,983)
- ----------------------------------------------------------------------------------------------------
Market Aggregate Delivery Unrealized
Value Face Value Date (Depreciation)
....................................................................................................
Deutschemarks $49,083,127 $49,498,793 3/18/98 $(415,666)
....................................................................................................
Italian Lira 19,736,146 19,924,149 3/18/98 (188,003)
....................................................................................................
Japanese Yen 21,202,910 21,405,284 3/18/98 (202,374)
....................................................................................................
Swiss Franc 3,956,847 4,062,757 3/18/98 (105,910)
- ----------------------------------------------------------------------------------------------------
$(911,953)
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell at December 31, 1997
(aggregate face value $152,223,824)
- ----------------------------------------------------------------------------------------------------
Market Aggregate Delivery Unrealized
Value Face Value Date Appreciation
....................................................................................................
Deutschemarks $56,678,207 $57,479,719 3/18/98 $801,512
....................................................................................................
French Franc 38,215,808 38,782,611 3/18/98 566,803
....................................................................................................
Italian Lira 20,020,311 20,209,397 3/18/98 189,086
....................................................................................................
Japanese Yen 23,634,629 23,884,871 3/18/98 250,242
....................................................................................................
New Zealand Dollar 7,568,883 7,934,411 3/18/98 365,528
....................................................................................................
Swiss Franc 3,837,131 3,932,815 3/18/98 95,684
- ----------------------------------------------------------------------------------------------------
$2,268,855
- ----------------------------------------------------------------------------------------------------
Futures Contracts Outstanding at December 31, 1997
- ----------------------------------------------------------------------------------------------------
Unrealized
Aggregate Expiration Appreciation/
Total Value Face Value Date (Depreciation)
....................................................................................................
U.S. Treasury Note
10 Yr (Long) $29,609,250 $29,418,892 Mar-98 $190,358
....................................................................................................
U.S. Treasury Bond
20 Yr (Long) 31,080,938 30,677,813 Mar-98 403,125
....................................................................................................
U.S. Treasury Note
5 Yr (Short) 82,772,250 82,472,063 Mar-98 (300,187)
- ----------------------------------------------------------------------------------------------------
$293,296
- ----------------------------------------------------------------------------------------------------
See page 191 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
December 31, 1997
<CAPTION>
COMMON STOCKS (84.0%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Banks (0.3%)
....................................................................................................
25,900 Bankers Trust New York Corp. (CUS) $2,912,131
- ----------------------------------------------------------------------------------------------------
Building and Construction (0.7%)
....................................................................................................
50,000 Centrais Electricas Bras S. A. (Brazil) 2,486,559
....................................................................................................
232,200 Willbros Group, Inc. (NON) 3,483,000
- ----------------------------------------------------------------------------------------------------
5,969,559
- ----------------------------------------------------------------------------------------------------
Cellular Communications (0.4%)
....................................................................................................
170,000 PT Indosat ADR (Indonesia) 3,283,125
- ----------------------------------------------------------------------------------------------------
Chemicals (0.1%)
....................................................................................................
17,800 Crompton & Knowles Corp. 471,700
....................................................................................................
13,050 Hanna (M.A.) Co. 329,513
- ----------------------------------------------------------------------------------------------------
801,213
- ----------------------------------------------------------------------------------------------------
Conglomerates (0.3%)
....................................................................................................
25,000 Ogden Corp. 704,688
....................................................................................................
281,833 Telecom Italia SPA (Italy) 1,800,732
- ----------------------------------------------------------------------------------------------------
2,505,420
- ----------------------------------------------------------------------------------------------------
Electric Utilities (29.4%)
....................................................................................................
160,000 Allegheny Energy, Inc. 5,200,000
....................................................................................................
149,500 Carolina Power & Light Co. 6,344,406
....................................................................................................
125,000 Central & SouthWest Corp. 3,382,813
....................................................................................................
12,750 Chilectra S.A. 144A ADR (Chile) 337,875
....................................................................................................
42,900 CILCORP, Inc. 2,096,738
....................................................................................................
212,800 CiNergy Corp. 8,152,900
....................................................................................................
93,900 CMS Energy Corp. Class G 2,547,038
....................................................................................................
50,000 Companhia Energetica de Minas
Gerais ADR (Brazil) 2,175,000
....................................................................................................
161,500 Companhia Paranaense de Energia-Copel
ADR (Brazil) 2,240,813
....................................................................................................
150,700 Consolidated Edison Co. of New York, Inc. 6,178,700
....................................................................................................
147,800 Delmarva Power & Light Co. 3,408,638
....................................................................................................
90,000 Dominion Resources, Inc. 3,830,625
....................................................................................................
54,200 DPL, Inc. 1,558,250
....................................................................................................
613,202 Duke Power Co. 33,956,061
....................................................................................................
50,000 Edison International 1,359,375
....................................................................................................
30,000 EDP-Electricidade de Portugal, S.A.
ADR (Portugal) (NON) 1,162,500
....................................................................................................
52,800 Enova Corp. 1,428,900
....................................................................................................
136,200 Florida Progress Corp. 5,345,850
....................................................................................................
124,900 FPL Group, Inc. 7,392,519
....................................................................................................
126,700 GPU, Inc. 5,337,238
....................................................................................................
50,000 Hawaiian Electric Industries, Inc. 2,043,750
....................................................................................................
90,400 Korea Electric Power Corp.
(South Korea) 837,333
....................................................................................................
5,000 Light Participacoes, S.A. (Brazil) (NON) 1,500,896
....................................................................................................
100,000 Manila Electric Co. Class B 335,000
....................................................................................................
51,700 MidAmerican Energy Holdings Co. 1,137,400
....................................................................................................
103,500 National Grid Group PLC
(United Kingdom) (NON) 493,241
....................................................................................................
247,900 New Century Energies, Inc. 11,883,706
....................................................................................................
131,900 New England Electric Systems Inc. 5,638,725
....................................................................................................
161,500 New York State Electric & Gas Corp. 5,733,250
....................................................................................................
184,400 NIPSCO Industries, Inc. 9,116,275
....................................................................................................
573,500 Northeast Utilities Co. 6,774,469
....................................................................................................
103,200 OGE Energy Corp. 5,643,750
....................................................................................................
50,000 PacifiCorp 1,365,625
....................................................................................................
78,400 Pinnacle West Capital Corp. 3,322,200
....................................................................................................
218,000 Potomac Electric Power Co. 5,627,125
....................................................................................................
140,080 Puget Sound Energy, Inc. 4,228,665
....................................................................................................
195,500 Scana Corp. 5,852,781
....................................................................................................
289,698 Scottish Power PLC (United Kingdom) 2,570,091
....................................................................................................
287,800 Sierra Pacific Resources 10,792,500
....................................................................................................
130,000 Teco Energy, Inc. 3,656,250
....................................................................................................
215,000 Texas Utilities Co. 8,935,938
....................................................................................................
270,700 TNP Enterprises, Inc. 9,000,775
....................................................................................................
50,000 Tucson Electric Co. (NON) 906,250
....................................................................................................
75,000 Union Electric Co. 3,243,750
....................................................................................................
175,000 Union Electrica Fenosa S.A. (Spain) 1,677,391
....................................................................................................
100,200 United Illuminating Co. 4,602,938
....................................................................................................
81,500 Utilicorp United, Inc. 3,163,219
....................................................................................................
10,000 Viag AG (Germany) 5,389,322
....................................................................................................
76,000 Washington Water Power Co. 1,847,750
....................................................................................................
370,100 Wisconsin Energy Corp. 10,640,375
- ----------------------------------------------------------------------------------------------------
241,396,979
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (0.5%)
....................................................................................................
6,600 Pittway Corp. Class A 459,525
....................................................................................................
146,685 Vishay Intertechnology, Inc. 3,465,433
- ----------------------------------------------------------------------------------------------------
3,924,958
- ----------------------------------------------------------------------------------------------------
Food and Beverages (0.1%)
....................................................................................................
30,000 Whitman Corp. 781,875
- ----------------------------------------------------------------------------------------------------
Gas Pipelines (4.7%)
....................................................................................................
163,200 Coastal Corp. 10,108,200
....................................................................................................
141,500 El Paso Natural Gas Co. 9,409,750
....................................................................................................
285,000 Enron Corp. 11,845,313
....................................................................................................
120,000 Sonat, Inc. 5,490,000
....................................................................................................
155,200 Transportadora de Gas del S.A. ADR
(Argentina) 1,736,300
- ----------------------------------------------------------------------------------------------------
38,589,563
- ----------------------------------------------------------------------------------------------------
Gas Utilities (18.8%)
....................................................................................................
211,700 AGL Resources, Inc. 4,326,619
....................................................................................................
249,100 Atmos Energy Corp. 7,535,275
....................................................................................................
124,200 Bay State Gas Co. 4,610,925
....................................................................................................
116,100 Cascade Natural Gas Corp. 2,176,875
....................................................................................................
60,000 Central Hudson Gas & Electric 2,632,500
....................................................................................................
127,800 Columbia Gas System, Inc. 10,040,288
....................................................................................................
82,600 Connecticut Energy Corp. 2,488,325
....................................................................................................
220,000 Eastern Enterprises 9,900,000
....................................................................................................
162,500 Energen Corp. 6,459,375
....................................................................................................
60,200 Equitable Resources, Inc. 2,129,575
....................................................................................................
37,900 Indiana Energy, Inc. 1,248,331
....................................................................................................
184,600 K N Energy, Inc. 9,968,400
....................................................................................................
73,000 Laclede Gas Co. 2,048,563
....................................................................................................
180,000 MCN Corp. 7,267,500
....................................................................................................
184,800 National Fuel Gas Co. 8,997,450
....................................................................................................
37,800 New Jersey Resources Corp. 1,514,363
....................................................................................................
168,400 NICOR Inc. 7,104,375
....................................................................................................
36,100 North Carolina Natural Gas Corp. 1,254,475
....................................................................................................
249,200 Northwest Natural Gas Co. 7,725,200
....................................................................................................
127,000 NUI Corp. 3,643,313
....................................................................................................
173,000 ONEOK, Inc. 6,984,875
....................................................................................................
358,300 Pacific Enterprises 13,481,038
....................................................................................................
120,000 Peoples Energy Corp. 4,725,000
....................................................................................................
102,800 Piedmont Natural Gas Co., Inc. 3,694,375
....................................................................................................
35,000 Providence Energy Corp. 763,438
....................................................................................................
108,700 Public Service Co. of North Carolina, Inc. 2,486,513
....................................................................................................
65,000 Questar Corp. 2,900,625
....................................................................................................
41,200 South Jersey Industries, Inc. 1,248,875
....................................................................................................
108,700 Southwest Gas Corp. 2,031,331
....................................................................................................
103,500 Washington Gas Light Co. 3,202,031
....................................................................................................
140,000 Westcoast Energy, Inc. 3,220,000
....................................................................................................
79,500 WICOR, Inc. 3,691,781
....................................................................................................
105,500 Yankee Energy System, Inc. 2,815,531
- ----------------------------------------------------------------------------------------------------
154,317,140
- ----------------------------------------------------------------------------------------------------
Household Products (-%)
....................................................................................................
14,300 First Brands Corp. 385,206
- ----------------------------------------------------------------------------------------------------
Metals and Mining (0.3%)
....................................................................................................
50,000 RWE AG (Germany) 2,683,537
- ----------------------------------------------------------------------------------------------------
Oil and Gas (1.7%)
....................................................................................................
212,000 KeySpan Energy Corp. 7,804,250
....................................................................................................
15,000 Mitchell Energy & Development Corp.
Class B 436,875
....................................................................................................
335,000 NGC Corp. 5,862,500
- ----------------------------------------------------------------------------------------------------
14,103,625
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (1.0%)
....................................................................................................
9,654 Block Drug, Inc. Class A 417,536
....................................................................................................
215,500 Pharmacia & Upjohn, Inc. 7,892,688
- ----------------------------------------------------------------------------------------------------
8,310,224
- ----------------------------------------------------------------------------------------------------
Photography (0.1%)
....................................................................................................
14,500 Polaroid Corp. 705,969
- ----------------------------------------------------------------------------------------------------
Real Estate (2.2%)
....................................................................................................
72,300 Avalon Properties, Inc. (R) 2,236,781
....................................................................................................
178,033 Equity Office Properties Trust (R) 5,619,167
....................................................................................................
89,500 Equity Residential Properties Trust (R) 4,525,344
....................................................................................................
42,100 LTC Properties, Inc. (R) 873,575
....................................................................................................
37,400 Macerich Co. 1,065,900
....................................................................................................
136,700 Nationwide Health Properties, Inc. 3,485,850
- ----------------------------------------------------------------------------------------------------
17,806,617
- ----------------------------------------------------------------------------------------------------
Retail (1.6%)
....................................................................................................
30,300 Family Dollar Stores, Inc. 888,169
....................................................................................................
891,600 K mart Corp. (NON) 10,309,125
....................................................................................................
50,000 Toys R Us, (NON) 1,571,875
- ----------------------------------------------------------------------------------------------------
12,769,169
- ----------------------------------------------------------------------------------------------------
Telephone Services (1.5%)
....................................................................................................
275,000 Cincinnati Bell, Inc. 8,525,000
....................................................................................................
34,750 France Telecom S.A. ADR (France) 1,256,792
....................................................................................................
50,000 Philippine Long Distance Telephone Co.
ADR (Philippines) 1,125,000
....................................................................................................
110,000 PT Telekomunikasi Indonesia ADR
(Indonesia) (NON) 1,216,875
- ----------------------------------------------------------------------------------------------------
12,123,667
- ----------------------------------------------------------------------------------------------------
Telephone Utilities (19.4%)
....................................................................................................
607,800 American Telephone & Telegraph Co. 37,227,750
....................................................................................................
175,700 Ameritech Corp. 14,143,850
....................................................................................................
171,878 Bell Atlantic Corp. 15,640,898
....................................................................................................
304,100 BellSouth Corp. 17,124,631
....................................................................................................
51,700 Cable & Wireless PLC ADR
(United Kingdom) 1,405,594
....................................................................................................
122,700 Deutsche Telekom AG ADR (Germany) (NON) 2,285,288
....................................................................................................
109,900 GTE Corp. 5,742,275
....................................................................................................
58,630 Portugal Telecom S.A. ADR (Portugal) 2,755,610
....................................................................................................
455 Royal PTT Nederland N.V. ADR
(Netherlands) 18,883
....................................................................................................
410,000 SBC Communications, Inc. 30,032,500
....................................................................................................
289,100 Sprint Corp. 16,948,488
....................................................................................................
25,000 Telebras Co. ADR (Brazil) 2,910,938
....................................................................................................
50,000 Telecom Argentina S.A. ADR (Argentina) (NON) 1,787,500
....................................................................................................
10,300 Telefonica de Argentina S.A. ADR
(Argentina) 383,675
....................................................................................................
160,500 Telefonica del Peru S.A. ADR (Peru) 3,741,656
....................................................................................................
155,200 US West Communicatioins, Inc. 7,003,400
- ----------------------------------------------------------------------------------------------------
159,152,936
- ----------------------------------------------------------------------------------------------------
Textiles (-%)
....................................................................................................
6,800 Springs Industries, Inc. Class A 353,600
- ----------------------------------------------------------------------------------------------------
Tobacco (0.2%)
....................................................................................................
32,000 Dimon Inc. 840,000
....................................................................................................
12,400 Universal Corp. 509,950
- ----------------------------------------------------------------------------------------------------
1,349,950
- ----------------------------------------------------------------------------------------------------
Water Utilities (0.6%)
....................................................................................................
52,800 American Water Works, Inc. 1,442,100
....................................................................................................
500,000 Yorkshire Water PLC (United Kingdom) 3,998,825
- ----------------------------------------------------------------------------------------------------
5,440,925
- ----------------------------------------------------------------------------------------------------
Wireless Communications (0.1%)
....................................................................................................
60,000 360 Communications Co. (NON) 1,211,238
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $506,027,442) $690,878,626
- ----------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES (11.5%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
Electric Utilities (8.4%)
....................................................................................................
$1,000,000 Australian Gas Light Co. Ltd. 144A
sr. notes 6 3/8s, 2003 (Australia) $999,090
....................................................................................................
1,000,000 Allegheny Generating Co. deb.
6 7/8s, 2023 964,790
....................................................................................................
738,000 Arkansas Electric Corp. bonds
7.33s, 2008 773,180
....................................................................................................
1,500,000 Chilgener S.A. notes 6 1/2s, 2006 (Chile) 1,446,180
....................................................................................................
1,000,000 Chugach Electric Co. 1st mtge. Ser. A,
9.14s, 2022 1,193,620
....................................................................................................
1,489,000 Citizens Utilities Co. bonds 7.68s, 2034 1,688,094
....................................................................................................
1,000,000 Cleveland Electric Co. med. term notes
8.33s, 1998 1,015,670
....................................................................................................
1,000,000 Commonwealth Edison Co. 1st mtge.
Ser. 83, 8s, 2008 1,108,200
....................................................................................................
1,005,000 Connecticut Light & Power Co. 1st mtge.
Ser. A, 5 1/2s, 1999 990,799
....................................................................................................
1,000,000 Connecticut Light & Power Co. 1st mtge.
Ser. D, 7 7/8s, 2024 1,024,130
....................................................................................................
2,000,000 Consolidated Edison, Inc. deb. 6.45s, 2007 2,005,120
....................................................................................................
2,500,000 Consumers Energy Co. mtge. 8 3/4s, 1998 2,506,825
....................................................................................................
1,500,000 Duquesne Light Co. deb. 8.7s, 2016 1,706,280
....................................................................................................
1,000,000 Edison Mission Energy 144A company
guaranty 7.33s, 2008 1,044,380
....................................................................................................
2,000,000 Empresa Nacional de Electricidad bonds
7 7/8s, 2027 (Chile) 2,045,840
....................................................................................................
2,000,000 Hydro Quebec (Government of)
guaranty 8.4s, 2022 (Canada) 2,355,840
....................................................................................................
1,000,000 Iberdrola S.A. notes 7 1/2s, 2002 (Spain) 1,052,460
....................................................................................................
1,469,099 Indiana-Michigan Power Co. deb.
9.82s, 2022 1,868,282
....................................................................................................
2,898,109 Indiana-Michigan Power Co. deb. Ser. E,
9.81s, 2022 3,709,637
....................................................................................................
2,000,000 Israel Electric Corp., Ltd. 144A sr. notes
7 1/4s, 2006 (Israel) 2,040,200
....................................................................................................
2,000,000 Kansas City Power & Light Co.
med. term notes 5 3/4s, 1998 1,999,700
....................................................................................................
1,000,000 Kansas Gas & Electric deb. 8.29s, 2016 1,066,240
....................................................................................................
1,000,000 Kentucky Utilities Co. 1st mtge. Ser. R,
7.55s, 2025 1,055,960
....................................................................................................
1,500,000 Midwest Power Systems mtge.
6 3/4s, 2000 1,520,715
....................................................................................................
1,500,000 Ohio Edison Co. 1st mtge. 8 1/4s, 2002 1,599,240
....................................................................................................
1,158,000 Otter Tail Power Co. 1st mtge.
7 1/4s, 2002 1,207,366
....................................................................................................
2,000,000 Pacific Gas & Electric Co. sr. notes
7.1s, 2005 2,076,160
....................................................................................................
1,000,000 Philadelphia Electric Co. 1st ref. mtge.
8 5/8s, 2022 1,063,550
....................................................................................................
2,000,000 Potomac Electric Power Co. 1st mtge.
8 1/2s, 2027 2,128,500
....................................................................................................
2,000,000 Public Service Co. of Colorado
coll. trust 6 3/8s, 2005 1,997,520
....................................................................................................
2,000,000 Public Service Electric & Gas
mtge. notes 9 1/4s, 2021 2,534,440
....................................................................................................
1,500,000 Sierra Pacific Power Co. med. term
notes Ser. C, 6.82s, 2006 1,542,915
....................................................................................................
3,000,000 South Carolina Electric & Gas Co.
1st mtge. 7 5/8s, 2025 3,258,060
....................................................................................................
1,500,000 Southern Investments Service Co.
sr. notes 6.8s, 2006 (United Kingdom) 1,512,450
....................................................................................................
1,000,000 Southwestern Public Service Co.
1st mtge. 8.2s, 2022 1,068,620
....................................................................................................
3,000,000 System Energy Resources, Inc. deb.
7.38s, 2000 3,024,030
....................................................................................................
1,000,000 Texas Utilities Co. secd. lease fac. bonds
7.46s, 2015 1,027,600
....................................................................................................
1,600,000 Texas Utilities Electric Capital Trust V
company guaranty 8.175s, 2037 1,677,760
....................................................................................................
2,000,000 Utilicorp United, Inc. sr. notes 8.2s, 2007 2,194,480
....................................................................................................
1,000,000 West Penn. Power Co. 1st mtge.
7 7/8s, 2022 1,050,280
....................................................................................................
2,000,000 Western Resources, Inc. sr. notes
6 7/8s, 2004 2,029,880
- ----------------------------------------------------------------------------------------------------
68,174,083
- ----------------------------------------------------------------------------------------------------
Energy-Related (0.3%)
....................................................................................................
1,000,000 CalEnergy, Inc. sr. notes 7.63s, 2007 1,009,220
....................................................................................................
1,575,000 Puget Sound Energy, Inc. med. term
sr. notes Ser. A, 7.02s, 2027 1,602,988
- ----------------------------------------------------------------------------------------------------
2,612,208
- ----------------------------------------------------------------------------------------------------
Gas Utilities (1.1%)
....................................................................................................
1,500,000 Columbia Gas System, Inc. notes Ser. E,
7.32s, 2010 1,553,910
....................................................................................................
2,000,000 ONEOK Inc. deb. 9.7s, 2019 2,191,260
....................................................................................................
825,000 Salton Sea Funding Corp. company
guaranty Ser. E, 8.3s, 2011 895,150
....................................................................................................
2,500,000 Southern Union Gas sr. notes 7.6s, 2024 2,608,825
....................................................................................................
1,500,000 Southwest Gas Corp. deb. 7 1/2s, 2006 1,601,985
- ----------------------------------------------------------------------------------------------------
8,851,130
- ----------------------------------------------------------------------------------------------------
Oil and Gas (0.5%)
....................................................................................................
2,100,000 Oklahoma Gas & Electric Co. sr. notes
6.65s, 2027 2,191,161
....................................................................................................
2,000,000 Transcontinental Gas Pipeline Corp.
deb. 7 1/4s, 2026 2,080,280
- ----------------------------------------------------------------------------------------------------
4,271,441
- ----------------------------------------------------------------------------------------------------
Telephone Services (0.4%)
....................................................................................................
1,650,000 LCI International, Inc. sr. notes
7 1/4s, 2007 1,709,895
....................................................................................................
1,650,000 WorldCom, Inc. notes 7 3/4s, 2007 1,771,919
- ----------------------------------------------------------------------------------------------------
3,481,814
- ----------------------------------------------------------------------------------------------------
Telephone Utilities (0.6%)
....................................................................................................
2,000,000 Bell Atlantic Corp. deb. 7 7/8s, 2029 2,329,460
....................................................................................................
2,000,000 Bell South Telecommunication deb.
6 3/4s, 2033 1,940,480
....................................................................................................
1,000,000 Pacific Bell Co. deb. 7 3/4s, 2032 1,052,930
- ----------------------------------------------------------------------------------------------------
5,322,870
- ----------------------------------------------------------------------------------------------------
Water Utilities (0.2%)
....................................................................................................
1,500,000 Pennsylvania American Water Co. 144A
mtge. 7.8s, 2026 1,627,500
- ----------------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $91,020,082) $94,341,046
- ----------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (1.4%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
U.S. Treasury Obligations (1.4%)
....................................................................................................
U.S. Treasury Notes
....................................................................................................
$1,960,000 7 1/2s, February 15, 2005 $2,154,158
....................................................................................................
3,160,000 7 1/4s, August 15, 2004 3,415,265
....................................................................................................
1,210,000 6 1/4s, June 30, 2002 1,234,006
....................................................................................................
1,735,000 6 1/4s, October 31, 2001 1,764,547
....................................................................................................
2,390,000 6s, July 31, 2002 2,415,023
- ----------------------------------------------------------------------------------------------------
Total U.S. Government and Agency
Obligations (cost $10,746,566) $10,982,999
- ----------------------------------------------------------------------------------------------------
PREFERRED STOCKS (0.3%) * (cost $2,750,000)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
110,000 Bankers Trust New York Corp. Ser. Q,
$1.395, adjustable rate preferred $2,722,500
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (3.0%) * (cost $24,854,452)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$24,850,000 Interest in $622,557,000 joint repurchase
agreement dated December 31, 1997,
with UBS Securities, due January 2, 1998,
with respect to various U.S. Treasury
obligations - maturity value of
$24,858,905 for an effective yield
of 6.45% $24,854,452
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $635,398,542) *** $823,779,623
- ----------------------------------------------------------------------------------------------------
See page 191 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
December 31, 1997
<CAPTION>
COMMON STOCKS (96.8%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Advertising (1.7%)
....................................................................................................
66,600 Omnicom Group, Inc. $2,822,175
- ----------------------------------------------------------------------------------------------------
Apparel (1.0%)
....................................................................................................
41,200 Jones Apparel Group, Inc. (NON) 1,771,600
- ----------------------------------------------------------------------------------------------------
Appliances (0.9%)
....................................................................................................
37,400 Sunbeam Corp. 1,575,475
- ----------------------------------------------------------------------------------------------------
Banks (5.8%)
....................................................................................................
31,000 Firstar Corp. 1,315,563
....................................................................................................
30,100 Greenpoint Financial Corp. 2,184,131
....................................................................................................
30,800 Mercantile Bancorpation, Inc. 1,894,200
....................................................................................................
36,400 Northern Trust Corp. 2,538,900
....................................................................................................
37,800 Summit Bancorp 2,012,850
- ----------------------------------------------------------------------------------------------------
9,945,644
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (0.7%)
....................................................................................................
19,300 Danaher Corp. 1,218,313
- ----------------------------------------------------------------------------------------------------
Broadcasting (3.8%)
....................................................................................................
30,500 Chancellor Media Corp. 2,276,063
....................................................................................................
33,200 Clear Channel Communications, Inc. (NON) 2,637,325
....................................................................................................
33,800 Sinclair Broadcast Group, Inc. Class A (NON) 1,575,925
- ----------------------------------------------------------------------------------------------------
6,489,313
- ----------------------------------------------------------------------------------------------------
Business Services (2.5%)
....................................................................................................
54,400 Accustaff, Inc. (NON) 1,251,200
....................................................................................................
51,900 Norrell Corp. 1,031,513
....................................................................................................
49,400 Robert Half International, Inc. (NON) 1,976,000
- ----------------------------------------------------------------------------------------------------
4,258,713
- ----------------------------------------------------------------------------------------------------
Cable Television (0.9%)
....................................................................................................
54,800 Tele-Communications TCI Ventures
Group Class A (NON) 1,551,525
- ----------------------------------------------------------------------------------------------------
Computer Services (2.1%)
....................................................................................................
22,400 America Online, Inc. (NON) 1,997,800
....................................................................................................
33,300 Fiserv, Inc. (NON) 1,635,863
- ----------------------------------------------------------------------------------------------------
3,633,663
- ----------------------------------------------------------------------------------------------------
Computer Software (6.6%)
....................................................................................................
38,600 BMC Software, Inc. (NON) 2,533,125
....................................................................................................
70,900 Compuware Corp. (NON) 2,268,800
....................................................................................................
69,800 EMC Corp. (NON) 1,915,138
....................................................................................................
60,100 PeopleSoft, Inc. (NON) 2,343,900
....................................................................................................
30,500 VERITAS Software Corp. (NON) 1,555,500
....................................................................................................
15,000 Viasoft, Inc. (NON) 633,750
- ----------------------------------------------------------------------------------------------------
11,250,213
- ----------------------------------------------------------------------------------------------------
Computers (0.5%)
....................................................................................................
9,800 Dell Computer Corp. (NON) 823,200
- ----------------------------------------------------------------------------------------------------
Consumer Durable Goods (1.0%)
....................................................................................................
30,300 Herman Miller, Inc. 1,653,244
- ----------------------------------------------------------------------------------------------------
Education Services (1.2%)
....................................................................................................
38,600 Apollo Group, Inc. Class A (NON) 1,823,850
....................................................................................................
4,100 Sylvan Learning Systems, Inc. (NON) 159,900
- ----------------------------------------------------------------------------------------------------
1,983,750
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (3.7%)
....................................................................................................
40,850 Diebold, Inc. 2,068,031
....................................................................................................
45,400 Molex Inc. 1,458,475
....................................................................................................
34,800 SCI Systems, Inc. (NON) 1,515,975
....................................................................................................
32,500 Solectron Corp. (NON) 1,350,781
- ----------------------------------------------------------------------------------------------------
6,393,262
- ----------------------------------------------------------------------------------------------------
Energy Related (1.5%)
....................................................................................................
54,100 AES Corp. (NON) 2,522,413
- ----------------------------------------------------------------------------------------------------
Environmental Control (1.0%)
....................................................................................................
42,102 USA Waste Services, Inc. (NON) 1,652,504
- ----------------------------------------------------------------------------------------------------
Financial Services (6.9%)
....................................................................................................
34,000 Capital One Financial Corp. 1,842,375
....................................................................................................
42,600 Finova Group, Inc. 2,116,688
....................................................................................................
20,400 Franklin Resources, Inc. 1,773,525
....................................................................................................
38,700 Providian Financial Corp. 1,748,756
....................................................................................................
38,300 State Street Corp. 2,228,581
....................................................................................................
47,100 SunAmerica, Inc. 2,013,525
- ----------------------------------------------------------------------------------------------------
11,723,450
- ----------------------------------------------------------------------------------------------------
Food and Beverages (2.4%)
....................................................................................................
77,800 Coca-Cola Enterprises, Inc. 2,766,763
....................................................................................................
46,900 International Home Foods, Inc. (NON) 1,313,200
- ----------------------------------------------------------------------------------------------------
4,079,963
- ----------------------------------------------------------------------------------------------------
Gas Pipelines (1.0%)
....................................................................................................
61,100 Williams Cos., Inc. 1,733,713
- ----------------------------------------------------------------------------------------------------
Health Care Services (1.4%)
....................................................................................................
87,800 HEALTHSOUTH Corp. (NON) 2,436,450
- ----------------------------------------------------------------------------------------------------
Hospital Management (1.1%)
....................................................................................................
75,150 Health Management Assoc., Inc. (NON) 1,897,538
- ----------------------------------------------------------------------------------------------------
Household Products (1.2%)
....................................................................................................
26,600 Clorox Co. 2,103,063
- ----------------------------------------------------------------------------------------------------
Insurance (3.2%)
....................................................................................................
30,850 AON Corp. 1,808,581
....................................................................................................
18,000 Hartford Financial Services Group (ITT) 1,684,125
....................................................................................................
46,200 Reliastar Financial Corp. 1,902,863
- ----------------------------------------------------------------------------------------------------
5,395,569
- ----------------------------------------------------------------------------------------------------
Lodging (0.9%)
....................................................................................................
22,500 Marriott International, Inc. 1,558,125
- ----------------------------------------------------------------------------------------------------
Managed Health Care (0.6%)
....................................................................................................
22,000 Wellpoint Health Networks, Inc. (NON) 929,500
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (6.0%)
....................................................................................................
13,700 Gulf South Medical Supply, Inc. (NON) 510,325
....................................................................................................
13,200 Guidant Corp. 821,700
....................................................................................................
24,900 Henry Schein, Inc. (NON) 871,500
....................................................................................................
23,600 McKesson Corp. 2,553,225
....................................................................................................
79,900 Omnicare, Inc. 2,476,900
....................................................................................................
22,000 Sofamor Danek Group, Inc. (NON) 1,431,375
....................................................................................................
43,400 Stryker Corp. 1,616,650
- ----------------------------------------------------------------------------------------------------
10,281,675
- ----------------------------------------------------------------------------------------------------
Networking Equipment (1.1%)
....................................................................................................
44,700 ADC Telecommunications Inc. 1,866,225
- ----------------------------------------------------------------------------------------------------
Nursing Homes (0.7%)
....................................................................................................
27,400 Health Care & Retirement Corp. (NON) 1,102,850
- ----------------------------------------------------------------------------------------------------
Oil Services (4.7%)
....................................................................................................
40,700 Dresser Industries, Inc. 1,706,856
....................................................................................................
46,600 ENSCO International Inc. 1,561,100
....................................................................................................
58,700 Global Marine, Inc. (NON) 1,438,150
....................................................................................................
20,000 Smith International, Inc. (NON) 1,227,500
....................................................................................................
27,200 Western Atlas, Inc. (NON) 2,012,800
- ----------------------------------------------------------------------------------------------------
7,946,406
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (4.5%)
....................................................................................................
51,100 Biochem Pharmaceutical, Inc. 1,066,713
....................................................................................................
36,500 Dura Pharmaceuticals, Inc. (NON) 1,674,438
....................................................................................................
32,200 Elan Corp. PLC ADR (Ireland) (NON) 1,648,238
....................................................................................................
26,400 ICN Pharmaceuticals, Inc. 1,288,650
....................................................................................................
52,800 Quintiles Transnational Corp. (NON) 2,019,600
- ----------------------------------------------------------------------------------------------------
7,697,639
- ----------------------------------------------------------------------------------------------------
Publishing (2.0%)
....................................................................................................
39,700 Belo (A.H.) Corp. 2,228,163
....................................................................................................
16,200 Central Newspapers, Inc. Class A 1,197,788
- ----------------------------------------------------------------------------------------------------
3,425,951
- ----------------------------------------------------------------------------------------------------
Recreation (2.0%)
....................................................................................................
68,000 Harley-Davidson, Inc. 1,861,500
....................................................................................................
29,500 Royal Caribbean Cruises Ltd. 1,572,719
- ----------------------------------------------------------------------------------------------------
3,434,219
- ----------------------------------------------------------------------------------------------------
Retail (13.9%)
....................................................................................................
65,300 Borders Group, Inc. 2,044,706
....................................................................................................
53,525 Consolidated Stores Corp. (NON) 2,351,755
....................................................................................................
70,300 Costco Companies, Inc. (NON) 3,137,127
....................................................................................................
29,300 CVS Corp. 1,877,031
....................................................................................................
47,100 Fred Meyer, Inc. (NON) 1,713,263
....................................................................................................
29,900 Kohls Corp. (NON) 2,036,938
....................................................................................................
26,000 Payless Shoesource, Inc. (NON) 1,745,250
....................................................................................................
105,000 Pier 1 Imports, Inc. 2,375,625
....................................................................................................
38,900 Rite Aid Corp. 2,282,944
....................................................................................................
32,600 Starbucks Corp. (NON) 1,251,025
....................................................................................................
85,300 TJX Cos., Inc. (The) 2,932,188
- ----------------------------------------------------------------------------------------------------
23,747,852
- ----------------------------------------------------------------------------------------------------
Savings and Loans (1.2%)
....................................................................................................
30,500 Ahmanson (H.F.) & Co. 2,041,594
- ----------------------------------------------------------------------------------------------------
Semiconductors (3.3%)
....................................................................................................
30,400 Altera Corp. (NON) 1,007,000
....................................................................................................
14,500 Linear Technology Corp. 835,563
....................................................................................................
36,100 Maxim Integrated Products Inc. (NON) 1,245,450
....................................................................................................
48,000 Teradyne, Inc. (NON) 1,536,000
....................................................................................................
27,700 Xilinx, Inc. (NON) 971,231
- ----------------------------------------------------------------------------------------------------
5,595,244
- ----------------------------------------------------------------------------------------------------
Telecommunications (1.6%)
....................................................................................................
49,100 Teleport Communications Group Inc.
Class A (NON) 2,694,363
- ----------------------------------------------------------------------------------------------------
Telecommunication Equipment (1.5%)
....................................................................................................
49,400 Tellabs, Inc. (NON) 2,612,025
- ----------------------------------------------------------------------------------------------------
Textiles (0.7%)
....................................................................................................
27,000 Westpoint Stevens, Inc. (NON) 1,275,750
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $143,040,411) $165,124,171
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (5.0%) *(cost $8,541,542)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$8,540,000 Interest in $369,996,000 joint repurchase
agreement dated December 31, 1997
with Merrill Lynch, Pierce, Fenner, &
Smith, Inc. due January 2, 1998, with
respect to various U.S. Treasury
obligations - maturity value of
$8,543,084 for an effective yield of 6.5% $8,541,542
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $151,581,953) *** $173,665,713
- ----------------------------------------------------------------------------------------------------
See page 191 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
December 31, 1997
<CAPTION>
COMMON STOCKS (96.1%) *
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Advertising (1.5%)
....................................................................................................
210,802 Lamar Advertising Co. (NON) $8,379,380
....................................................................................................
498,768 Omnicom Group, Inc. 21,135,294
....................................................................................................
634,744 Outdoor Systems, Inc. (NON) 24,358,301
....................................................................................................
119,617 TMP Worldwide Inc. (NON) 2,751,191
....................................................................................................
192,228 Universal Outdoor Holdings, Inc. (NON) 9,995,856
- ----------------------------------------------------------------------------------------------------
66,620,022
- ----------------------------------------------------------------------------------------------------
Aerospace and Defense (0.4%)
....................................................................................................
54,000 Lockheed Martin Corp. 5,319,000
....................................................................................................
102,800 Northrop Grumman Corp. 11,822,000
- ----------------------------------------------------------------------------------------------------
17,141,000
- ----------------------------------------------------------------------------------------------------
Agriculture (-%)
....................................................................................................
1 Delta & Pine Land Co. 20
- ----------------------------------------------------------------------------------------------------
Apparel (0.7%)
....................................................................................................
149,279 Adidas AG 144A ADS (Germany) 9,628,496
....................................................................................................
101,200 Gucci Group N.V. (Italy) 4,237,750
....................................................................................................
110,398 Men's Wearhouse, Inc. (The) (NON) 3,836,331
....................................................................................................
285,161 Stage Stores, Inc. (NON) 10,657,892
....................................................................................................
180,093 Wolverine World Wide, Inc. 4,074,604
- ----------------------------------------------------------------------------------------------------
32,435,073
- ----------------------------------------------------------------------------------------------------
Automotive (0.5%)
....................................................................................................
92,374 Avis Rent-A-Car, Inc. 2,950,195
....................................................................................................
57,921 Budget Group, Inc. (Japan) (NON) 2,001,895
....................................................................................................
392,000 Snap-On Inc. 17,101,000
- ----------------------------------------------------------------------------------------------------
22,053,090
- ----------------------------------------------------------------------------------------------------
Banks (4.4%)
....................................................................................................
675,100 Banc One Corp. 36,666,369
....................................................................................................
524,220 BankAmerica Corp. 38,268,060
....................................................................................................
300,250 Fifth Third Bancorp 24,545,438
....................................................................................................
222,500 First Chicago NBD Corp. 18,578,750
....................................................................................................
99,200 Firstar Corp. 4,209,800
....................................................................................................
108,500 Mercantile Bancorpation, Inc. 6,672,750
....................................................................................................
239,200 NationsBank Corp. 14,546,350
....................................................................................................
138,300 PNC Bank Corp. 7,891,744
....................................................................................................
745,700 Washington Mutual, Inc. 47,584,981
- ----------------------------------------------------------------------------------------------------
198,964,242
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (0.3%)
....................................................................................................
63,700 Cooper Industries, Inc. 3,121,300
....................................................................................................
288,673 General Signal Corp. 12,178,392
- ----------------------------------------------------------------------------------------------------
15,299,692
- ----------------------------------------------------------------------------------------------------
Broadcasting (4.9%)
....................................................................................................
2,611,965 CBS Corp. 76,889,716
....................................................................................................
570,214 Chancellor Media Corp. 42,552,220
....................................................................................................
769,587 Clear Channel Communications, Inc. (NON) 61,134,067
....................................................................................................
41,800 Heftel Broadcasting Corp. Class A (NON) 1,954,150
....................................................................................................
60,000 ProSieben Media AG (Germany) (NON) 2,803,115
....................................................................................................
7,000 ProSieben Media AG 144A (Germany) (NON) 327,030
....................................................................................................
246,364 Sinclair Broadcast Group, Inc. Class A (NON) 11,486,722
....................................................................................................
115,400 Univision Communications Inc. Class A (NON) 8,056,363
....................................................................................................
417,183 Westwood One, Inc. (NON) 15,487,919
- ----------------------------------------------------------------------------------------------------
220,691,302
- ----------------------------------------------------------------------------------------------------
Building Products (0.4%)
....................................................................................................
315,200 Masco Corp. 16,035,800
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (0.3%)
....................................................................................................
370,000 Cintas Corp. 14,430,000
- ----------------------------------------------------------------------------------------------------
Business Services (6.1%)
....................................................................................................
75,855 Abacus Direct Corp. (NON) 3,110,055
....................................................................................................
192,093 Accustaff, Inc. (NON) 4,418,139
....................................................................................................
157,201 Affiliated Computer Services, Inc.
Class A (NON) 4,136,351
....................................................................................................
408,481 Airgas, Inc. (NON) 5,718,734
....................................................................................................
113,552 Caribiner Intl., Inc. (NON) 5,053,064
....................................................................................................
2,823,238 Cendant Corp. (NON) 97,048,808
....................................................................................................
139,931 Checkfree Corp. (NON) 3,778,137
....................................................................................................
192,400 Corestaff, Inc. (NON) 5,098,600
....................................................................................................
1,254,905 Corporate Express, Inc. (NON) 16,156,902
....................................................................................................
357,924 Interim Services Inc. (NON) 9,261,284
....................................................................................................
500,201 Interpublic Group Cos. Inc. 24,916,262
....................................................................................................
170,403 Paychex, Inc. 8,626,652
....................................................................................................
203,074 Payment Svcs., Inc. (NON) 2,817,652
....................................................................................................
86,410 Registry, Inc. (The) (NON) 3,964,059
....................................................................................................
6,855,200 Rentokil Group PLC (United Kingdom) 29,956,196
....................................................................................................
955,896 Robert Half International, Inc. (NON) 38,235,840
....................................................................................................
122,100 Select Appointments Holdings PLC
ADR (United Kingdom) 2,228,325
....................................................................................................
562,938 Serco Group PLC (United Kingdom) (NON) 8,076,077
....................................................................................................
174,800 Snyder Communications, Inc. (NON) 6,380,200
- ----------------------------------------------------------------------------------------------------
278,981,337
- ----------------------------------------------------------------------------------------------------
Cable Television (2.9%)
....................................................................................................
279,100 HSN, Inc. (NON) 14,373,650
....................................................................................................
282,500 Tele-Comm Liberty Media Group, Inc.
Class A (NON) 10,240,625
....................................................................................................
2,253,293 Tele-Communications, Inc. Class A (NON) 62,951,373
....................................................................................................
1,671,155 Tele-Communications TCI ventures
Group Class A (NON) 47,314,576
- ----------------------------------------------------------------------------------------------------
134,880,224
- ----------------------------------------------------------------------------------------------------
Chemicals (0.9%)
....................................................................................................
162,000 Air Products & Chemicals, Inc. 13,324,500
....................................................................................................
492,800 Raychem Corp. 21,221,200
....................................................................................................
148,800 Witco Chemical Corp. 6,072,900
- ----------------------------------------------------------------------------------------------------
40,618,600
- ----------------------------------------------------------------------------------------------------
Computer Services (2.6%)
....................................................................................................
437,180 America Online, Inc. (NON) 38,990,991
....................................................................................................
462,903 Capita Group PLC (United Kingdom) 2,831,943
....................................................................................................
336,800 Getronics Electric N.V. (Netherlands) 10,739,033
....................................................................................................
204,573 IDT Corp. (NON) 4,142,603
....................................................................................................
757,350 Keane, Inc. (NON) 30,767,344
....................................................................................................
98,510 Misys PLC (United Kingdom) 2,988,951
....................................................................................................
699,996 Sterling Commerce, Inc. (NON) 26,906,096
....................................................................................................
25,107 Whittman-Hart, Inc. (NON) 859,915
- ----------------------------------------------------------------------------------------------------
118,226,876
- ----------------------------------------------------------------------------------------------------
Computer Software (10.0%)
....................................................................................................
80,983 Arbor Software Corp. (NON) 3,279,812
....................................................................................................
589,297 BMC Software, Inc. (NON) 38,672,616
....................................................................................................
769,037 Cadence Design Systems, Inc. (NON) 18,841,407
....................................................................................................
90,200 CBT Group PLC ADR (Ireland) (NON) 7,407,675
....................................................................................................
131,897 Citrix Systems, Inc. (NON) 10,024,172
....................................................................................................
1,888,841 Computer Associates Intl., Inc. 99,872,468
....................................................................................................
1,775,926 Compuware Corp. (NON) 56,829,632
....................................................................................................
134,297 Documentum, Inc. (NON) 5,657,261
....................................................................................................
638,016 Electronic Arts, Inc. (NON) 24,124,980
....................................................................................................
1,276,601 EMC Corp. (NON) 35,026,740
....................................................................................................
177,897 Geoworks (NON) 1,712,259
....................................................................................................
279,393 Industri-Matematik International Corp.
(Sweden) (NON) 8,242,094
....................................................................................................
84,328 Information Management Resources, Inc. 3,162,300
....................................................................................................
320,323 Intuit, Inc. (NON) 13,213,324
....................................................................................................
90,448 Microsoft Corp. (NON) 11,690,404
....................................................................................................
1,035,881 Parametric Technology Corp. (NON) 49,074,862
....................................................................................................
302,836 PeopleSoft, Inc. (NON) 11,810,604
....................................................................................................
23,750 SAP AG (Germany) 7,218,785
....................................................................................................
170,300 Saville Systems Ireland PLC ADR
(Ireland) (NON) 7,067,450
....................................................................................................
251,907 Security Dynamics Technologies, Inc. (NON) 9,005,675
....................................................................................................
557,000 SEMA Group PLC (United Kingdom) 13,593,696
....................................................................................................
339,688 Synopsys, Inc. (NON) 12,143,846
....................................................................................................
197,200 Vantive Corp. (NON) 4,979,300
....................................................................................................
79,419 Viasoft, Inc. (NON) 3,355,453
- ----------------------------------------------------------------------------------------------------
456,006,815
- ----------------------------------------------------------------------------------------------------
Consumer Non-Durables (0.3%)
....................................................................................................
198,225 Luxottica Group S.P.A. ADR (Italy) 12,389,063
- ----------------------------------------------------------------------------------------------------
Consumer Services (0.4%)
....................................................................................................
105,382 Applied Graphics Technologies, Inc. 5,611,592
....................................................................................................
213,800 Hillenbrand Industries, Inc. 10,943,888
- ----------------------------------------------------------------------------------------------------
16,555,480
- ----------------------------------------------------------------------------------------------------
Correctional Facilities (0.2%)
....................................................................................................
188,978 Corrections Corp. (NON) 7,003,997
....................................................................................................
78,600 Wackenhut Corrections Corp. (NON) 2,112,375
- ----------------------------------------------------------------------------------------------------
9,116,372
- ----------------------------------------------------------------------------------------------------
Cosmetics (-%)
....................................................................................................
70,547 Thermolase Corp. (NON) 740,744
- ----------------------------------------------------------------------------------------------------
Educational Services (0.2%)
....................................................................................................
130,677 Apollo Group, Inc. Class A (NON) 6,174,488
....................................................................................................
66,415 Sylvan Learning Systems, Inc. (NON) 2,590,185
- ----------------------------------------------------------------------------------------------------
8,764,673
- ----------------------------------------------------------------------------------------------------
Electric Utilities (0.3%)
....................................................................................................
509,240 CalEnergy, Inc. (NON) 14,640,650
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (3.2%)
....................................................................................................
283,100 Applied Materials, Inc. (NON) 8,528,388
....................................................................................................
625,800 General Electric Co. 45,918,075
....................................................................................................
489,700 Hewlett-Packard Co. 30,606,250
....................................................................................................
201,631 Lernout & Hauspie Speech Products
N.V. (Belgium) (NON) 9,375,842
....................................................................................................
109,776 Metromedia Fiber Network, Inc. Class A (NON) 1,825,026
....................................................................................................
174,100 Micron Technology, Inc. 4,526,600
....................................................................................................
59,800 Motorola, Inc. 3,412,338
....................................................................................................
70,537 Sanmina Corp. (NON) 4,778,882
....................................................................................................
215,398 Sipex Corp. (NON) 6,515,790
....................................................................................................
383,914 Solectron Corp. (NON) 15,956,426
....................................................................................................
443,000 Thermo Instrument Systems, Inc. (NON) 15,255,813
- ----------------------------------------------------------------------------------------------------
146,699,430
- ----------------------------------------------------------------------------------------------------
Energy-Related (1.5%)
....................................................................................................
181,400 AES Corp. (NON) 8,457,775
....................................................................................................
1,319,932 Thermo Electron Corp. (NON) 58,736,974
- ----------------------------------------------------------------------------------------------------
67,194,749
- ----------------------------------------------------------------------------------------------------
Environmental Control (1.6%)
....................................................................................................
64,190 Allied Waste Industries, Inc. (NON) 1,496,429
....................................................................................................
323,700 Browning-Ferris Industries, Inc. 11,976,900
....................................................................................................
857,451 Philip Services Corp. (Canada) (NON) 12,325,858
....................................................................................................
940,421 Republic Industries, Inc. (NON) 21,923,565
....................................................................................................
52,804 U.S. Filter Corp. (NON) 1,580,820
....................................................................................................
562,937 USA Waste Services, Inc. (NON) 22,095,277
- ----------------------------------------------------------------------------------------------------
71,398,849
- ----------------------------------------------------------------------------------------------------
Financial Services (6.5%)
....................................................................................................
851,356 American Express Co. 75,983,523
....................................................................................................
360,200 Associates First Capital Corp. 25,619,225
....................................................................................................
122,733 Concord EFS, Inc. (NON) 3,052,983
....................................................................................................
1,383,036 Freddie Mac 58,001,072
....................................................................................................
957,037 Fannie Mae 54,610,924
....................................................................................................
185,841 FIRSTPLUS Financial Group, Inc. (NON) 7,131,648
....................................................................................................
772,281 MBNA Corp. 21,092,925
....................................................................................................
308,700 Morgan Stanley, Dean Witter,
Discover and Co. 18,251,888
....................................................................................................
187,300 Providian Financial Corp. 8,463,619
....................................................................................................
25,900 Star Banc Corp. 1,486,013
....................................................................................................
678,086 TCF Financial Corp. 23,012,544
- ----------------------------------------------------------------------------------------------------
296,706,364
- ----------------------------------------------------------------------------------------------------
Food and Beverages (1.8%)
....................................................................................................
294,400 Coca-Cola Enterprises, Inc. 10,469,600
....................................................................................................
166,600 General Mills, Inc. 11,932,725
....................................................................................................
706,200 PepsiCo, Inc. 25,732,163
....................................................................................................
369,500 Sara Lee Corp. 20,807,469
....................................................................................................
573,900 Whitman Corp. 14,957,269
- ----------------------------------------------------------------------------------------------------
83,899,226
- ----------------------------------------------------------------------------------------------------
Gaming (0.2%)
....................................................................................................
199,800 MGM Grand, Inc. (NON) 7,205,288
- ----------------------------------------------------------------------------------------------------
Gas Pipelines (0.5%)
....................................................................................................
235,900 Columbia Gas System, Inc. 18,532,894
....................................................................................................
89,400 El Paso Natural Gas Co. 5,945,100
- ----------------------------------------------------------------------------------------------------
24,477,994
- ----------------------------------------------------------------------------------------------------
Health Care (0.1%)
....................................................................................................
99,400 Concentra Managed Care, Inc. 3,354,750
- ----------------------------------------------------------------------------------------------------
Health Care Information Systems (0.6%)
....................................................................................................
568,084 HBO & Co. 27,268,032
- ----------------------------------------------------------------------------------------------------
Health Care Services (2.1%)
....................................................................................................
161,008 ABR Information Services, Inc. (NON) 3,844,066
....................................................................................................
114,871 CareMatrix Corp. (NON) 3,302,541
....................................................................................................
724,309 HEALTHSOUTH Corp. (NON) 20,099,575
....................................................................................................
835,575 MedPartners, Inc. (NON) 18,695,991
....................................................................................................
285,215 Physician Sales & Service, Inc. (NON) 6,132,123
....................................................................................................
200,400 Renal Treatment Centers, Inc. (NON) 7,239,450
....................................................................................................
236,333 Total Renal Care Holdings, Inc. (NON) 6,499,158
....................................................................................................
618,614 United Healthcare Corp. 30,737,383
- ----------------------------------------------------------------------------------------------------
96,550,287
- ----------------------------------------------------------------------------------------------------
Hospital Management (0.5%)
....................................................................................................
925,146 Health Management Assoc., Inc. (NON) 23,359,937
- ----------------------------------------------------------------------------------------------------
Information Systems (0.2%)
....................................................................................................
264,000 Galileo International, Inc. (NON) 7,293,000
- ----------------------------------------------------------------------------------------------------
Insurance (1.2%)
....................................................................................................
151,800 AFLAC Inc. 7,760,775
....................................................................................................
386,200 American General Corp. 20,878,938
....................................................................................................
125,938 American International Group, Inc. 13,695,758
....................................................................................................
194,600 AON Corp. 11,408,425
....................................................................................................
118,700 HCC Insurance Holdings, Inc. 2,522,375
- ----------------------------------------------------------------------------------------------------
56,266,271
- ----------------------------------------------------------------------------------------------------
Lodging (0.8%)
....................................................................................................
704,438 Extended Stay America, Inc. (NON) 8,761,448
....................................................................................................
36,000 Signature Resorts, Inc. (NON) 787,500
....................................................................................................
362,600 Prime Hospitality Corp. (NON) 7,387,975
....................................................................................................
441,634 Promus Hotel Corp. (NON) 18,548,628
- ----------------------------------------------------------------------------------------------------
35,485,551
- ----------------------------------------------------------------------------------------------------
Machinery (0.1%)
....................................................................................................
62,612 Sidel S.A. (France) 4,147,799
- ----------------------------------------------------------------------------------------------------
Medical Management Services (0.4%)
....................................................................................................
25,800 NCS HealthCare, Inc. Class A (NON) 680,475
....................................................................................................
603,220 Phycor, Inc. (NON) 16,286,940
- ----------------------------------------------------------------------------------------------------
16,967,415
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (3.2%)
....................................................................................................
176,800 Bergen Brunswig Corp. Class A 7,447,701
....................................................................................................
208,754 Cytyc Corp. (NON) 5,192,756
....................................................................................................
122,392 Henry Schein, Inc. (NON) 4,283,720
....................................................................................................
216,224 Johnson & Johnson 14,243,756
....................................................................................................
162,835 Lifecore Biomedical, Inc. (NON) 3,562,016
....................................................................................................
262,706 Medtronic, Inc. 13,742,808
....................................................................................................
104,400 Minimed, Inc. (NON) 4,058,550
....................................................................................................
199,673 Omnicare, Inc. 6,189,863
....................................................................................................
911,560 Stryker Corp. 33,955,610
....................................................................................................
188,544 Sybron International Corp. (NON) 8,849,784
....................................................................................................
531,075 Thermo Cardiosystems, Inc. (NON) 14,206,256
....................................................................................................
84,000 Thermotrex Corp. (NON) 1,858,500
....................................................................................................
6,570 Trex Medical Corp. (NON) 91,569
....................................................................................................
582,600 Tyco International Ltd. (NON) 26,253,413
- ----------------------------------------------------------------------------------------------------
143,936,302
- ----------------------------------------------------------------------------------------------------
Metals and Mining (0.2%)
....................................................................................................
55,000 SGL Carbon AG (Germany) 7,096,774
- ----------------------------------------------------------------------------------------------------
Networking (0.3%)
....................................................................................................
450,100 3Com Corp. (NON) 15,725,369
- ----------------------------------------------------------------------------------------------------
Networking Equipment (0.2%)
....................................................................................................
159,387 Cisco Systems, Inc. (NON) 8,885,825
- ----------------------------------------------------------------------------------------------------
Nursing Homes (0.3%)
....................................................................................................
360,300 Health Care & Retirement Corp. (NON) 14,502,075
- ----------------------------------------------------------------------------------------------------
Office Equipment (0.5%)
....................................................................................................
1,052,125 Viking Office Products, Inc. (NON) 22,949,476
- ----------------------------------------------------------------------------------------------------
Oil and Gas (3.7%)
....................................................................................................
220,105 British Petroleum PLC ADR
(United Kingdom) 17,539,617
....................................................................................................
291,300 Camco International, Inc. 18,552,169
....................................................................................................
196,000 Elf Aquitane ADR (France) 11,490,500
....................................................................................................
487,800 Halliburton Co. 25,335,113
....................................................................................................
162,700 Mobil Corp. 11,744,906
....................................................................................................
372,350 Nabors Industries, Inc. 11,705,753
....................................................................................................
388,900 National-Oilwell, Inc. (NON) 13,295,519
....................................................................................................
248,308 Schlumberger Ltd. 19,988,794
....................................................................................................
555,824 Total Corp. ADR (France) 30,848,232
....................................................................................................
269,250 Varco International, Inc. (NON) 5,772,047
- ----------------------------------------------------------------------------------------------------
166,272,650
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (0.7%)
....................................................................................................
377,900 Fort James Corp. 14,454,675
....................................................................................................
63,910 Temple Inland, Inc. 3,343,292
....................................................................................................
334,500 Unisource Worldwide, Inc. 4,766,625
....................................................................................................
217,400 Weyerhaeuser Co. 10,666,188
- ----------------------------------------------------------------------------------------------------
33,230,780
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (5.6%)
....................................................................................................
151,200 American Home Products Corp. 11,566,800
....................................................................................................
390,100 Bristol-Myers Squibb Co. 36,913,213
....................................................................................................
260,074 Dura Pharmaceuticals, Inc. (NON) 11,930,895
....................................................................................................
268,122 Elan Corp. PLC ADR (Ireland) (NON) 13,724,495
....................................................................................................
246,469 Gilead Sciences, Inc. (NON) 9,427,439
....................................................................................................
132,300 Lilly (Eli) & Co. 9,211,388
....................................................................................................
48,100 Medicis Pharmaceutical Corp. Class A (NON) 2,459,113
....................................................................................................
22,800 Novartis AG ADR (Switzerland) 36,972,973
....................................................................................................
155,646 Parexel International Corp. (NON) 5,758,902
....................................................................................................
324,700 Pfizer, Inc. 24,210,444
....................................................................................................
613,459 Pharmacia & Upjohn, Inc. 22,467,936
....................................................................................................
175,912 Quintiles Transnational Corp. (NON) 6,728,634
....................................................................................................
237,600 Schering-Plough Corp. 14,760,900
....................................................................................................
207,540 Sepracor, Inc. (NON) 8,314,571
....................................................................................................
370,400 Smithkline Beecham PLC ADR
(United Kingdom) 19,052,450
....................................................................................................
70,000 Transkaryotic Therapies, Inc. (Malaysia) (NON) 2,458,750
....................................................................................................
167,228 Vertex Pharmaceuticals, Inc. (NON) 5,518,524
....................................................................................................
88,100 Warner-Lambert Co. 10,924,400
- ----------------------------------------------------------------------------------------------------
252,401,827
- ----------------------------------------------------------------------------------------------------
Publishing (2.1%)
....................................................................................................
578,900 Deluxe Corp. 19,972,050
....................................................................................................
100,000 Gannett Co., Inc. 6,181,250
....................................................................................................
239,300 Harcourt General, Inc. 13,101,675
....................................................................................................
111,400 McGraw-Hill, Inc. 8,243,600
....................................................................................................
125,662 Peterson Companies, Inc. Class A (NON) 2,890,226
....................................................................................................
272,200 Tribune Co. 16,944,450
....................................................................................................
223,324 Wolters Kluwer N.V. (Netherlands) 28,868,981
- ----------------------------------------------------------------------------------------------------
96,202,232
- ----------------------------------------------------------------------------------------------------
Railroads (0.3%)
....................................................................................................
65,300 Burlington Northern Santa Fe Corp. 6,068,819
....................................................................................................
100,200 GATX Corp. 7,270,763
- ----------------------------------------------------------------------------------------------------
13,339,582
- ----------------------------------------------------------------------------------------------------
Restaurants (0.8%)
....................................................................................................
232,050 Cracker Barrel Old Country Store, Inc. 7,744,669
....................................................................................................
2,444,325 J.D. Wetherspoon PLC (United Kingdom) 13,422,204
....................................................................................................
207,700 Landry's Seafood Restaurants, Inc. (NON) 4,984,800
....................................................................................................
214,718 Papa Johns International, Inc. (NON) 7,488,290
....................................................................................................
244,424 PizzaExpress PLC (United Kingdom) 3,006,792
- ----------------------------------------------------------------------------------------------------
36,646,755
- ----------------------------------------------------------------------------------------------------
Retail (11.6%)
....................................................................................................
332,200 Albertsons, Inc. 15,737,975
....................................................................................................
542,026 AutoZone, Inc. (NON) 15,718,754
....................................................................................................
400,462 Bed Bath & Beyond, Inc. (NON) 15,417,787
....................................................................................................
235,000 Borders Group, Inc. 7,358,438
....................................................................................................
447,653 CompUSA, Inc. (NON) 13,877,243
....................................................................................................
142,488 Consolidated Stores Corp. (NON) 6,260,567
....................................................................................................
1,893,545 Costco Companies, Inc. (NON) 84,499,446
....................................................................................................
316,028 CVS Corp. 20,245,544
....................................................................................................
392,000 Dayton Hudson Corp. 26,460,000
....................................................................................................
1,771,351 Dixons Group PLC (United Kingdom) 17,847,052
....................................................................................................
162,625 Dollar General Corp. 5,895,156
....................................................................................................
374,843 Dollar Tree Stores, Inc. 15,509,129
....................................................................................................
435,400 Federated Department Stores, Inc. (NON) 18,749,413
....................................................................................................
355,250 Fred Meyer, Inc. (NON) 12,922,219
....................................................................................................
474,400 General Nutrition Companies, Inc. (NON) 16,129,600
....................................................................................................
371,400 Home Depot, Inc. (The) 21,866,175
....................................................................................................
658,417 Kohls Corp. (NON) 44,854,658
....................................................................................................
315,800 Lowe's Cos., Inc. 15,059,713
....................................................................................................
19,700 MSC Industrial Direct Co., Inc. Class A (NON) 827,400
....................................................................................................
736,500 Office Depot, Inc. (NON) 17,629,969
....................................................................................................
1,826,517 Officemax, Inc. (NON) 26,027,867
....................................................................................................
239,500 Payless Shoesource, Inc. (NON) 16,076,438
....................................................................................................
254,357 Petco Animal Supplies, Inc. (NON) 6,104,568
....................................................................................................
97,800 Rexall Sundown, Inc. (NON) 2,952,338
....................................................................................................
495,300 Rite Aid Corp. 29,067,919
....................................................................................................
1,207,626 Starbucks Corp. (NON) 46,342,648
....................................................................................................
192,419 Williams-Sonoma, Inc. (NON) 8,057,546
- ----------------------------------------------------------------------------------------------------
527,495,562
- ----------------------------------------------------------------------------------------------------
Semiconductors (2.6%)
....................................................................................................
240,503 Altera Corp. (NON) 7,966,662
....................................................................................................
459,276 Analog Devices, Inc. (NON) 12,716,204
....................................................................................................
91,397 Lattice Semiconductor Corp. (NON) 4,329,933
....................................................................................................
569,063 Linear Technology Corp. 32,792,255
....................................................................................................
1,140,498 Maxim Integrated Products Inc. (NON) 39,347,181
....................................................................................................
367,097 National Semiconductor Corp. (NON) 9,521,578
....................................................................................................
250,000 Texas Instruments, Inc. 11,250,000
- ----------------------------------------------------------------------------------------------------
117,923,813
- ----------------------------------------------------------------------------------------------------
Specialty Consumer Products (0.8%)
....................................................................................................
219,143 Central Garden and Pet Co. (NON) 5,752,504
....................................................................................................
386,762 Fastenal Co. 14,793,647
....................................................................................................
435,400 Mattel, Inc. 16,218,650
- ----------------------------------------------------------------------------------------------------
36,764,801
- ----------------------------------------------------------------------------------------------------
Steel (0.1%)
....................................................................................................
229,200 Lone Star Technologies, Inc. (NON) 6,503,550
- ----------------------------------------------------------------------------------------------------
Supermarkets (0.2%)
....................................................................................................
14,300 Carrefour Supermarche SA (France) 7,455,089
- ----------------------------------------------------------------------------------------------------
Telecommunications (.5%)
....................................................................................................
496,284 Panamsat Corp. (NON) 21,402,248
- ----------------------------------------------------------------------------------------------------
Telecommunication Equipment (0.9%)
....................................................................................................
249,116 Advanced Fibre Communications (NON) 7,255,504
....................................................................................................
70,121 Excel Switching Corp. (NON) 1,253,413
....................................................................................................
193,828 P-Com, Inc. (NON) 3,343,533
....................................................................................................
119,334 Premisys Communications, Inc. (NON) 3,117,601
....................................................................................................
155,300 Qwest Communications
International, Inc. (NON) 9,240,350
....................................................................................................
48,400 Tekelec (NON) 1,476,200
....................................................................................................
305,498 Tellabs, Inc. (NON) 16,153,207
- ----------------------------------------------------------------------------------------------------
41,839,808
- ----------------------------------------------------------------------------------------------------
Telephone Services (1.3%)
....................................................................................................
119,667 Intermedia Communications, Inc. (NON) 7,269,770
....................................................................................................
343,200 McLeod, Inc. Class A (NON) 10,982,400
....................................................................................................
20,800 NEXTLINK Communications, Inc.
Class A (NON) 443,300
....................................................................................................
87,700 RSL Communications, Ltd. Class A (NON) 1,929,400
....................................................................................................
514,900 Sprint Corp. 30,186,013
....................................................................................................
130,536 Teleport Communications Group Inc.
Class A (NON) 7,163,163
....................................................................................................
134,607 Tel-Save Holdings, Inc. (NON) 2,675,314
- ----------------------------------------------------------------------------------------------------
60,649,360
- ----------------------------------------------------------------------------------------------------
Telephone Utilities (0.4%)
....................................................................................................
223,700 SBC Communications, Inc. 16,386,025
- ----------------------------------------------------------------------------------------------------
Transportation (-%)
....................................................................................................
5,900 C.H. Robinson Worldwide, Inc. 132,013
- ----------------------------------------------------------------------------------------------------
Trucking (0.2%)
....................................................................................................
280,800 Ryder System, Inc. 9,196,200
- ----------------------------------------------------------------------------------------------------
Wireless Communications (0.9%)
....................................................................................................
131,791 Clearnet Communications, Inc. Class A,
(Canada) (NON) 1,499,123
....................................................................................................
1,544,691 NEXTEL Communications, Inc. Class A (NON) 40,161,937
- ----------------------------------------------------------------------------------------------------
41,661,060
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $3,135,194,646) $4,361,465,193
- ----------------------------------------------------------------------------------------------------
UNITS (- %) * (cost $1,590,499)
- ----------------------------------------------------------------------------------------------------
Number of Units Value
....................................................................................................
51,222 ThermoLase Corp. $880,378
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (0.1%) * (cost $2,060,250)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$2,000,000 Signature Resorts, Inc. cv. sub. notes
5 3/4s, 2007 $1,912,500
- ----------------------------------------------------------------------------------------------------
WARRANTS (-%) * (cost $1) (NON)
- ----------------------------------------------------------------------------------------------------
Number of Warrants Expiration Date Value
....................................................................................................
1,537 Coram Healthcare Corp. 7/11/99 $1
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (4.2%) *
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$25,000,000 Corporate Asset Funding Co., Inc.,
effective yield of 5.77%,
February 17, 1998 $24,811,674
....................................................................................................
50,000,000 Fannie Mae, effective yield of 5.60%,
March 20, 1998 49,383,000
....................................................................................................
25,000,000 General Electric Capital Corp., effective
yield of 5.75%, February 23, 1998 24,788,368
....................................................................................................
25,000,000 General Motors Acceptance Corp,
effective yield of 5.98%, January 20, 1998 24,921,097
....................................................................................................
25,000,000 Metlife Funding, effective yield of 5.72%,
February 12, 1998 24,833,168
....................................................................................................
43,014,000 Interest in $575,000,000 joint repurchase
agreement dated December 31, 1997,
with Goldman, Sachs & Co. respect to
various U.S. Treasury obligations -
maturity value of $43,029,533 for an
effective yield of 6.50% 43,021,766
- ----------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $191,856,990) 191,759,073
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $3,330,702,386) *** $4,556,017,145
- ----------------------------------------------------------------------------------------------------
See page 191 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
December 31, 1997
* Percentages indicated are based on net assets.
** The Moody's or Standard & Poor's ratings indicated are believed to be the most recent ratings available at December 31,
1997, for the securities listed. Ratings are generally ascribed to securities at the time of issuance. While the
agencies may from time to time revise such ratings, they undertake no obligation to do so, and the ratings do not
necessarily represent what the agencies would ascribe to these securities at December 31, 1997.
(NON) Non-income producing securities.
(STP) The interest or dividend rate and date shown parenthetically represent the new interest or dividend rate to be paid and
the date the fund will begin receiving interest or dividend income at this rate.
(RES) Restricted, excluding 144A securities, as to public resale. The total market value of restricted securities by fund did
not exceed 1% of each fund's net assets.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
# A portion of this security was pledged and segregated with the custodian to cover margin requirements for futures
contracts on Putnam VT Diversified Fund, Putnam VT Global Asset Allocation Fund and Putnam VT U.S. Government and High
Quality Bond Fund at December 31, 1997.
## When-issued securities or forward commitments (Note 1).
(BRA) Brady bonds are foreign bonds collateralized by the U.S. Government. These rates are floating and are the current rates
at 12/31/97.
(CUS) The entity provided subcustodian services to the fund.
(ITT) Hartford Financial Services Group, through its subsidiaries, offers variable annuity products which invest in the fund.
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 Notes (FRN) and Floating Rate Bonds (FRB) are the current interest rates shown at
December 31, 1997, which are subject to change based on the terms of the security.
*** On December 31, 1997, the composition of unrealized appreciation and (depreciation) of investment securities based on
the aggregate cost of investments on a tax basis was as follows:
<S> <C> <C> <C> <C>
Federal Tax
Appreciation Depreciation Net Cost
------------- ------------ ------------- -------------
Putnam VT Asia Pacific Growth Fund $8,871,962 $14,399,551 $(5,527,589) $117,773,945
Putnam VT Diversified Income Fund 43,084,374 32,534,382 10,549,992 590,023,922
Putnam VT Global Asset Allocation Fund 137,655,308 19,693,495 117,961,813 825,995,200
Putnam VT Global Growth Fund 191,888,675 68,435,241 123,453,434 1,489,091,096
Putnam VT Growth & Income Fund 1,556,661,066 221,682,916 1,334,978,150 6,989,611,594
Putnam VT High Yield Fund 82,206,368 44,655,004 37,551,364 971,880,894
Putnam VT International Growth Fund 10,242,827 6,611,466 3,631,361 149,238,957
Putnam VT International Growth & Income Fund 15,881,706 10,064,396 5,817,310 208,989,407
Putnam VT International New Opportunities Fund -- 1,374,547 (1,374,547) 115,455,247
Putnam VT Money Market Fund -- -- -- --
Putnam VT New Opportunities Fund 603,998,812 63,984,258 540,014,554 2,067,695,660
Putnam VT New Value Fund 17,144,067 9,456,295 7,687,772 194,412,077
Putnam VT U.S. Government and High Quality Bond Fund 26,506,108 3,754,201 22,751,907 768,339,834
Putnam VT Utilities Growth and Income Fund 199,018,485 10,723,029 188,295,456 635,484,167
Putnam VT Vista Fund 26,260,206 4,273,556 21,986,650 151,679,063
Putnam VT Voyager Fund 1,317,408,903 96,372,628 1,221,036,275 3,334,980,870
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Assets and Liabilities
- -----------------------------------------------------------------------------------------------------------------------------------
December 31, 1997
Putnam VT Putnam VT Putnam VT Putnam VT
Asia Pacific Diversified Global Asset Global Growth
Growth Fund Income Fund Allocation Fund Fund
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments in securities, at value (Note 1)................... $101,987,504 $598,956,622 $888,708,116 $1,590,043,437
Repurchase agreements, at value (Note 1)....................... 10,258,852 1,617,292 55,248,897 22,501,093
Cash........................................................... 78,290 20,454,680 2,529,001 765,812
Foreign currency, at value..................................... -- 96,369 4,374,993 3,377,742
Dividends, interest, and other receivables..................... 556,152 9,014,190 6,094,876 2,691,504
Receivable for shares of the fund sold......................... -- 132,833 170,543 20,411
Receivable for securities sold................................. 932,863 15,797,730 13,954,454 24,118,096
Receivable for variation margin................................ -- 819,745 6,616,503 --
Receivable for open forward currency contracts................. 1,381,486 2,683,830 1,370,405 5,053,500
Receivable for closed forward currency contracts............... 2,525,409 831,156 374,907 --
Foreign tax reclaim............................................ -- -- 58,224 668,355
...................................................................................................................................
Total assets................................................... 117,720,556 650,404,447 979,500,919 1,649,239,950
...................................................................................................................................
Liabilities
Payable to subcustodian (Note 2)............................... 195,035 -- -- --
Payable for securities purchased............................... 1,216,640 30,565,950 17,792,666 30,265,849
Payable for shares of the fund repurchased..................... 3,063,353 267,912 -- 4,566,903
Payable for compensation of Manager (Note 2)................... 243,758 1,029,676 1,562,138 2,482,223
Payable for investor servicing and custodian fees (Note 2)..... 57,080 10,395 144,458 335,924
Payable for compensation of Trustees (Note 2).................. 6,358 13,073 16,863 26,675
Payable for administrative services (Note 2)................... 1,848 2,797 2,861 5,345
Payable for open forward currency contracts.................... -- 4,351,179 1,476,494 --
Payable for closed forward currency contracts.................. -- 933,664 1,421,201 --
Written options outstanding, at value ......................... -- 140,447 79,227 --
TBA sale commitments, at value ................................ -- 4,914,655 414,750 --
Other accrued expenses......................................... 34,411 27,026 58,102 53,573
...................................................................................................................................
Total liabilities.............................................. 4,818,483 42,256,774 22,968,760 37,736,492
...................................................................................................................................
Net assets..................................................... $112,902,073 $608,147,673 $956,532,159 $1,611,503,458
...................................................................................................................................
Represented by:
Paid-in capital (Notes 1, 4 and 5)............................. $127,092,105 $561,345,707 $724,592,366 $1,228,827,530
Undistributed net investment income (loss) (Note 1)............ 3,110,245 24,946,121 19,696,988 39,155,023
Accumulated net realized gain (loss) on investments
and foreign currency transactions (Note 1)................... (14,297,932) 11,721,933 94,421,572 201,097,344
Net unrealized appreciation (depreciation) of
investments and assets and liabilities in
foreign currencies........................................... (3,002,345) 10,133,912 117,821,233 142,423,561
...................................................................................................................................
Total -- Representing net assets applicable to capital
shares outstanding........................................... $112,902,073 $608,147,673 $956,532,159 $1,611,503,458
...................................................................................................................................
Computation of net asset value
Number of shares outstanding................................... 12,265,876 53,760,037 50,986,362 87,869,535
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)....................................... $ 9.20 $ 11.31 $ 18.76 $ 18.34
...................................................................................................................................
Cost of investments, including repurchase agreement (Note 1)... $116,630,747 $589,096,035 $824,144,238 $1,475,089,789
Cost of foreign currency (Note 1).............................. -- 95,569 4,233,110 3,412,831
Cost of foreign currency payable to subcustodian (Note 1)...... 195,200 -- -- --
TBA sale commitments proceeds receivable....................... -- 4,910,873 413,831 --
Written options premiums received ............................. -- 111,848 63,094 --
- -----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Assets and Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------------------------------
December 31, 1997
Putnam VT
Putnam VT Putnam VT Putnam VT International
Growth and High Yield International Growth and
Income Fund Fund Growth Fund Income Fund
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments in securities, at value (Note 1)...................$8,233,533,306 $1,003,298,151 $135,502,183 $195,046,150
Repurchase agreements, at value (Note 1)....................... 91,056,438 6,134,107 17,368,135 19,760,567
Cash........................................................... 739,788 8,228,555 73,666 --
Foreign currency, at value..................................... -- -- 949,704 --
Dividends, interest, and other receivables..................... 16,109,910 16,527,427 166,780 197,695
Receivable for shares of the fund sold......................... 2,973,638 871,286 114,030 --
Receivable for securities sold................................. 52,401,617 18,560,879 901,671 514,964
Receivable for variation margin................................ -- -- -- --
Receivable for open forward currency contracts................. -- 9,570 82,443 94,189
Receivable for closed forward currency contracts............... -- 3,656 -- --
Foreign tax reclaim............................................ 70,457 -- 51,903 44,967
..................................................................................................................................
Total assets................................................... 8,396,885,154 1,053,633,631 155,210,515 215,658,532
...................................................................................................................................
Liabilities
Payable to subcustodian (Note 2)............................... -- -- -- --
Payable for securities purchased............................... 48,617,733 26,471,593 3,504,069 4,047,164
Payable for shares of the fund repurchased..................... 4,071 78,815 -- 3,696,207
Payable for compensation of Manager (Note 2)................... 9,534,695 1,627,203 269,324 387,477
Payable for investor servicing and custodian fees (Note 2)..... 460,422 46,634 53,821 60,124
Payable for compensation of Trustees (Note 2).................. 68,630 20,203 247 261
Payable for administrative services (Note 2)................... 10,110 2,945 1,838 1,859
Payable for open forward currency contracts.................... 758,482 15,256 -- --
Payable for closed forward currency contracts.................. -- 13,897 465,056 834,635
Written options outstanding, at value ......................... -- -- -- --
TBA sales commitments, at value................................ -- -- -- --
Other accrued expenses......................................... 96,938 58,961 31,668 32,795
...................................................................................................................................
Total liabilities.............................................. 59,551,081 28,335,507 4,326,023 9,060,522
...................................................................................................................................
Net assets.....................................................$8,337,334,073 $1,025,298,124 $150,884,492 $206,598,010
...................................................................................................................................
Represented by:
Paid-in capital (Notes 1, 4 and 5).............................$5,885,529,815 $ 891,849,108 $147,407,270 $200,394,945
Undistributed net investment income (loss) (Note 1)............ 145,500,331 82,916,513 (138,410) (346,390)
Accumulated net realized gain (loss) on investments
and foreign currency transactions (Note 1)................... 963,025,316 12,658,981 (983,749) 214,309
Net unrealized appreciation (depreciation) of
investments and assets and liabilities in
foreign currencies........................................... 1,343,278,611 37,873,522 4,599,381 6,335,146
...................................................................................................................................
Total -- Representing net assets applicable to
capital shares outstanding...................................$8,337,334,073 $1,025,298,124 $150,884,492 $206,598,010
...................................................................................................................................
Computation of net asset value
Number of shares outstanding................................... 294,356,911 75,287,731 13,203,930 17,911,179
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding).......................................$ 28.32 $ 13.62 $ 11.43 $ 11.53
...................................................................................................................................
Cost of investments, including repurchase agreement (Note 1)...$6,980,553,629 $ 971,553,050 $148,336,266 $208,567,948
Cost of foreign currency (Note 1).............................. -- -- 964,002 --
TBA sale commitments proceeds receivable....................... -- -- -- --
Written options premiums received.............................. -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Assets and Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------------------------------
December 31, 1997 Putnam VT
International Putnam VT
New Putnam VT New Putnam VT
Opportunities Money Opportunities New Value
Fund Market Fund Fund Fund
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments in securities, at value (Note 1)................... $101,061,350 $377,784,688 $2,531,293,525 $190,812,811
Repurchase agreements, at value (Note 1)....................... 13,019,350 8,380,513 76,416,689 11,287,038
Cash........................................................... 129,408 2,147 2,990,329 190,856
Foreign currency, at value..................................... 398,916 -- -- --
Dividends, interest, and other receivables..................... 73,881 2,237,527 920,593 367,970
Receivable for shares of the fund sold......................... 3,242 17,762,153 1,350,295 233,197
Receivable for securities sold................................. 443,529 -- 6,102,080 2,773,002
Receivable for variation margin................................ -- -- -- --
Receivable for open forward currency contracts................. 247,504 -- -- --
Receivable for closed forward currency contracts............... -- -- -- --
Foreign tax reclaim............................................ 8,926 -- -- --
...................................................................................................................................
Total assets................................................... 115,386,106 406,167,028 2,619,073,511 205,664,874
...................................................................................................................................
Liabilities
Payable to subcustodian (Note 2)............................... -- -- -- --
Payable for securities purchased............................... 6,545,424 -- 22,949,782 9,229,132
Payable for shares of the fund repurchased..................... 1,437,373 689 2,071,873 450,391
Payable for compensation of Manager (Note 2)................... 306,305 495,500 3,584,885 316,224
Payable for investor servicing and custodian fees (Note 2)..... 62,935 51,357 161,507 21,638
Payable for compensation of Trustees (Note 2).................. 247 7,005 21,352 172
Payable for administrative services (Note 2)................... 1,838 1,627 1,923 1,711
Payable for open forward currency contracts.................... -- -- -- 73,741
Payable for closed forward currency contracts.................. -- -- -- 159,348
Written options outstanding, at value ......................... -- -- -- --
TBA sale commitments, at value................................. -- -- -- --
Other accrued expenses......................................... 31,500 33,702 38,331 21,666
...................................................................................................................................
Total liabilities.............................................. 8,385,622 589,880 28,829,653 10,274,023
...................................................................................................................................
Net assets..................................................... $107,000,484 $405,577,148 $2,590,243,858 $195,390,851
...................................................................................................................................
Represented by:
Paid-in capital (Notes 1, 4 and 5)............................. $112,572,237 $405,577,148 $2,012,795,892 $182,416,386
Undistributed net investment income (loss) (Note 1)............ (20,027) -- -- 1,560,934
Accumulated net realized gain (loss) on investments
and foreign currency transactions (Note 1)................... (5,087,219) -- 35,559,298 3,789,899
Net unrealized appreciation (depreciation) of
investments and assets and liabilities in
foreign currencies........................................... (464,507) -- 541,888,668 7,623,632
...................................................................................................................................
Total -- Representing net assets applicable to
capital shares outstanding................................... $107,000,484 $405,577,148 $2,590,243,858 $195,390,851
...................................................................................................................................
Computation of net asset value
Number of shares outstanding................................... 10,746,746 405,577,148 122,008,086 16,619,656
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)....................................... $ 9.96 $ 1.00 $ 21.23 $ 11.76
...................................................................................................................................
Cost of investments, including repurchase agreement (Note 1)... $114,790,240 $386,165,201 $2,065,821,738 $194,402,476
Cost of foreign currency (Note 1).............................. 403,221 -- -- --
TBA sale commitments proceeds receivable....................... -- -- -- --
Written options premiums received.............................. -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Assets and Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------------------------------
December 31, 1997
Putman VT U.S. Putnam VT
Government and Utilities Putnam VT Putnam VT
High Quality Growth and Vista Voyager
Bond Fund Income Fund Fund Fund
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments in securities, at value (Note 1)................... $777,872,355 $798,925,171 $165,124,171 $4,512,995,379
Repurchase agreements, at value (Note 1)....................... 13,219,386 24,854,452 8,541,542 43,021,766
Cash........................................................... 1,502,146 -- 102,353 93,733
Foreign currency, at value..................................... 149,783 -- -- --
Dividends, interest, and other receivables..................... 10,520,062 3,179,656 63,365 2,290,697
Receivable for shares of the fund sold......................... 1,854,886 569,896 187,338 1,019,429
Receivable for securities sold................................. 8,736,375 2,926,450 516,026 21,945,619
Receivable for variation margin................................ 109,875 -- -- --
Receivable for open forward currency contracts................. 2,268,855 -- -- --
Receivable for closed forward currency contracts............... 1,732,815 -- -- --
Foreign tax reclaim............................................ -- 38,440 -- --
...................................................................................................................................
Total assets................................................... 817,966,538 830,494,065 174,534,795 4,581,366,623
...................................................................................................................................
Liabilities
Payable to subcustodian (Note 2) .............................. -- 55,311 -- --
Payable for securities purchased............................... 25,931,699 6,630,938 3,582,810 32,452,649
Payable for shares of the fund repurchased..................... -- 159,612 -- 3,782,078
Payable for compensation of Manager (Note 2) .................. 1,204,674 1,272,564 248,379 5,998,796
Payable for investor servicing and custodian fees (Note 2)..... 51,892 56,279 19,754 436,908
Payable for compensation of Trustees (Note 2) ................. 14,074 20,730 165 67,330
Payable for administrative services (Note 2) .................. 2,702 2,861 1,691 11,564
Payable for open forward currency contracts.................... 911,953 -- -- --
Payable for closed forward currency contracts.................. 263,535 -- -- --
Written options outstanding, at value.......................... -- -- -- --
TBA sale commitments, at value................................. -- -- -- --
Other accrued expenses......................................... 45,925 39,229 21,576 82,156
...................................................................................................................................
Total liabilities.............................................. 28,426,454 8,237,524 3,874,375 42,831,481
...................................................................................................................................
Net assets..................................................... $789,540,084 $822,256,541 $170,660,420 $4,538,535,142
...................................................................................................................................
Represented by:
Paid-in capital (Notes 1, 4 and 5) ............................ $723,176,210 $566,325,283 $151,727,658 $3,020,077,538
Undistributed net investment income (loss) (Note 1)............ 41,308,267 24,966,593 -- 11,397,910
Accumulated net realized gain (loss) on investments
and foreign currency transactions (Note 1) .................. 687,020 42,587,132 (3,150,998) 281,744,935
Net unrealized appreciation (depreciation) of
investments and assets and liabilities in
foreign currencies........................................... 24,368,587 188,377,533 22,083,760 1,225,314,759
...................................................................................................................................
Total--Representing net assets applicable to
capital shares outstanding................................... $789,540,084 $822,256,541 $170,660,420 $4,538,535,142
...................................................................................................................................
Computation of net asset value
Number of shares outstanding................................... 58,832,286 47,966,028 13,848,509 116,119,974
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding) ...................................... $ 13.42 $ 17.14 $ 12.32 $ 39.08
...................................................................................................................................
Cost of investments, including repurchase agreement (Note 1)... $768,339,548 $635,398,542 $151,581,953 $3,330,702,386
Cost of foreign currency (Note 1) ............................. 115,980 -- -- --
TBA sale commitments proceeds receivable....................... -- -- -- --
Written options premiums received ............................. -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Operations
- -----------------------------------------------------------------------------------------------------------------------------------
Year ended December 31, 1997
Putnam VT Putnam VT Putnam VT Putnam VT
Asia Pacific Diversified Global Asset Global Growth
Growth Fund Income Fund Allocation Fund Fund
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income
Dividends...................................................... $ 2,302,112 $ 1,701,218 $ 9,227,524 $ 21,727,398
Interest....................................................... 229,492 43,501,322 24,013,735 3,044,350
Less: foreign taxes withheld................................... (276,070) -- (235,425) (1,425,572)
...................................................................................................................................
Total investment income........................................ 2,255,534 45,202,540 33,005,834 23,346,176
...................................................................................................................................
Expenses
Compensation of Manager (Note 2)............................... 1,076,596 3,811,378 5,755,350 9,366,376
Investor servicing and custodian fees (Note 2) ................ 304,219 527,421 907,504 2,263,395
Compensation of Trustees (Note 2) ............................. 18,612 21,803 24,731 44,668
Administrative services (Note 2) .............................. 7,548 11,391 11,642 21,738
Other.......................................................... 28,777 35,251 18,938 --
Fees waived and reimbursed by Manager (Note 2) ................ -- -- -- --
...................................................................................................................................
Total expenses................................................. 1,435,752 4,407,244 6,718,165 11,696,177
...................................................................................................................................
Expense reduction (Note 2) .................................... (121,396) (253,079) (74,749) (359,718)
Net expenses................................................... 1,314,356 4,154,165 6,643,416 11,336,459
...................................................................................................................................
Net investment income (loss) .................................. 941,178 41,048,375 26,362,418 12,009,717
...................................................................................................................................
Net realized gain (loss) on investments (Notes 1 and 3) ....... (11,556,243) 2,425,384 69,515,543 205,646,350
Net realized gain (loss) on futures contracts (Note 1) ........ -- 1,062,721 24,473,196 --
Net realized gain on written options (Notes 1 and 3) .......... -- 528,015 253,884 --
Net realized gain (loss) on foreign currency transactions
(Notes 1 and 3) ............................................. 2,860,997 (5,710,635) (768,211) 31,379,905
Net unrealized appreciation (depreciation) of assets and
liabilities in foreign currencies during the period.......... 559,381 (1,317,729) (42,205) 546,822
Net unrealized appreciation (depreciation) of investments, futures,
written options and TBA sale commitments during the period .. (11,838,311) 2,206,221 33,005,579 (50,472,696)
...................................................................................................................................
Net gain (loss) on investments................................ (19,974,176) (806,023) 126,437,786 187,100,381
...................................................................................................................................
Net increase (decrease) in net assets resulting
from operations.............................................. $(19,032,998) $40,242,352 $152,800,204 $199,110,098
- -----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Operations (continued)
- -----------------------------------------------------------------------------------------------------------------------------------
Year ended December 31, 1997
Putnam VT
Putnam VT Putnam VT Putnam VT International
Growth and High Yield International Growth and
Income Fund Fund Growth Fund* Income Fund*
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income
Dividends......................................................$ 174,050,365 $ 6,523,312 $1,136,323 $ 2,017,865
Interest....................................................... 14,336,090 82,181,788 453,670 580,957
Less: foreign taxes withheld................................... (689,766) -- (113,135) (206,173)
...................................................................................................................................
Total investment income........................................ 187,696,689 88,705,100 1,476,858 2,392,649
...................................................................................................................................
Expenses
Compensation of Manager (Note 2) .............................. 34,012,687 5,842,951 608,193 871,531
Investor servicing and custodian fees (Note 2) ................ 2,547,093 490,540 307,247 296,149
Compensation of Trustees (Note 2) ............................. 153,276 30,466 5,780 5,988
Administrative services (Note 2) .............................. 40,983 11,956 4,954 5,590
Other.......................................................... 345,603 60,900 41,618 40,431
Fees waived and reimbursed by Manager (Note 2) ................ -- -- (55,502) --
...................................................................................................................................
Total expenses................................................. 37,099,642 6,436,813 912,290 1,219,689
...................................................................................................................................
Expense reduction (Note 2) ................................... (467,480) (220,573) (34,216) (38,913)
Net expenses................................................... 36,632,162 6,216,240 878,074 1,180,776
...................................................................................................................................
Net investment income (loss) .................................. 151,064,527 82,488,860 598,784 1,211,873
...................................................................................................................................
Net realized gain (loss) on investments (Notes 1 and 3) ....... 979,784,250 19,277,143 237,675 5,109,177
Net realized gain (loss) on futures contracts (Note 1) ........ -- -- -- --
Net realized gain on written options (Notes 1 and 3) .......... -- -- -- --
Net realized gain (loss) on foreign currency transactions
(Notes 1 and 3) ............................................. (3,249) (13,607) 196,577 413,664
Net unrealized appreciation (depreciation) of assets and
liabilities in foreign currencies during the period......... (765,428) (5,686) 65,329 96,377
Net unrealized appreciation (depreciation) of investments, futures,
written options and TBA sale commitments during the period... 368,511,743 17,964,536 4,534,052 6,238,769
...................................................................................................................................
Net gain (loss) on investments................................. 1,347,527,316 37,222,386 5,033,633 11,857,987
...................................................................................................................................
Net increase (decrease) in net assets resulting
from operations..............................................$1,498,591,843 $119,711,246 $5,632,417 $13,069,860
- -----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Operations (continued)
- -----------------------------------------------------------------------------------------------------------------------------------
Year ended December 31, 1997 Putnam VT
International Putnam VT
New Putnam VT New Putnam VT
Opportunities Money Opportunities New Value
Fund* Market Fund Fund Fund*
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends...................................................... $ 451,348 $ -- $ 8,687,705 $ 2,234,410
Interest....................................................... 853,870 26,346,295 4,305,527 387,993
Less: foreign taxes withheld................................... (82,977) -- (99,341) (10,615)
...................................................................................................................................
Total investment income........................................ 1,222,241 26,346,295 12,893,891 2,611,788
...................................................................................................................................
Expenses:
Compensation of Manager (Note 2) .............................. 893,002 2,090,282 12,267,574 757,486
Investor servicing and custodian fees (Note 2) ................ 456,060 294,067 925,765 126,635
Compensation of Trustees (Note 2) ............................. 5,807 10,229 47,910 3,917
Administrative services (Note 2) .............................. 4,965 7,599 18,677 5,138
Other.......................................................... 38,548 136,458 -- 29,396
Fees waived and reimbursed by Manager (Note 2)................. (206,574) -- -- --
...................................................................................................................................
Total expenses................................................. 1,191,808 2,538,635 13,259,926 922,572
...................................................................................................................................
Expense reduction (Note 2)..................................... (33,267) (756) (197,658) (31,066)
Net expenses................................................... 1,158,541 2,537,879 13,062,268 891,506
...................................................................................................................................
Net investment income (loss)................................... 63,700 23,808,416 (168,377) 1,720,282
...................................................................................................................................
Net realized gain (loss) on investments (Notes 1 and 3)........ (5,086,418) -- 68,314,435 3,789,899
Net realized gain (loss) on futures contracts (Note 1)......... -- -- -- --
Net realized gain on written options (Notes 1 and 3)........... -- -- -- --
Net realized gain (loss) on foreign currency transactions
(Notes 1 and 3).............................................. 223,673 -- 375 (159,348)
Net unrealized appreciation (depreciation) of assets and
liabilities in foreign currencies during the period.......... 245,033 -- -- (73,741)
Net unrealized appreciation (depreciation) of investments, futures,
written options and TBA sale commitments during the period... (709,540) -- 376,452,164 7,697,373
...................................................................................................................................
Net gain (loss) on investments................................. (5,327,252) -- 444,766,974 11,254,183
...................................................................................................................................
Net increase (decrease) in net assets resulting
from operations.............................................. $(5,263,552) $23,808,416 $444,598,597 $12,974,465
- -----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Operations (continued)
- -----------------------------------------------------------------------------------------------------------------------------------
Year ended December 31, 1997
Putnam VT U.S. Putnam VT
Government and Utilities Putnam VT Putnam VT
High Quality Growth and Vista Voyager
Bond Fund Income Fund Fund* Fund
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends...................................................... $ -- $ 22,190,243 $ 469,437 $ 27,164,480
Interest....................................................... 55,864,924 8,507,728 295,031 7,767,701
Less: foreign taxes withheld................................... -- (149,233) -- (584,828)
...................................................................................................................................
Total investment income........................................ 55,864,924 30,548,738 764,468 34,347,353
...................................................................................................................................
Expenses:
Compensation of Manager (Note 2)............................... 4,731,739 4,703,343 600,249 21,134,308
Investor servicing and custodian fees (Note 2)................. 496,802 395,669 163,666 1,664,171
Compensation of Trustees (Note 2).............................. 22,698 22,786 3,892 88,584
Administrative services (Note 2)............................... 11,018 11,652 4,515 36,583
Other.......................................................... 41,805 77,270 28,937 22,193
Fees waived and reimbursed by Manager (Note 2)................. -- -- -- --
...................................................................................................................................
Total expenses................................................. 5,304,062 5,210,720 801,259 22,945,839
...................................................................................................................................
Expense reduction (Note 2)..................................... (126,041) (113,476) (40,808) (284,056)
Net expenses................................................... 5,178,021 5,097,244 760,451 22,661,783
...................................................................................................................................
Net investment income (loss)................................... 50,686,903 25,451,494 4,017 11,685,570
...................................................................................................................................
Net realized gain (loss) on investments (Notes 1 and 3)........ 2,232,567 42,913,363 (3,150,998) 297,725,044
Net realized gain (loss) on futures contracts (Note 1)......... (1,294,686) -- -- --
Net realized gain on written options (Notes 1 and 3)........... 259,695 -- -- --
Net realized gain (loss) on foreign currency transactions
(Notes 1 and 3).............................................. (3,595,394) (811) -- --
Net unrealized appreciation (depreciation) of assets and
liabilities in foreign currencies during the period............ 913,127 (3,656) -- --
Net unrealized appreciation (depreciation) of investments, futures,
written options and TBA sale commitments during the period... 14,623,268 106,802,560 22,083,760 601,292,487
...................................................................................................................................
Net gain (loss) on investments................................. 13,138,577 149,711,456 18,932,762 899,017,531
...................................................................................................................................
Net increase (decrease) in net assets resulting
from operations.............................................. $63,825,480 $175,162,950 $18,936,779 $910,703,101
- -----------------------------------------------------------------------------------------------------------------------------------
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
Year ended December 31 Year ended December 31
1997 1996 1997 1996
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss)........................... $ 941,178 $ 719,899 $ 41,048,375 $ 29,440,366
Net realized gain (loss) on investments and
foreign currency transactions........................ (8,695,246) (963,524) (1,694,515) 4,102,132
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies.................... (11,278,930) 7,632,514 888,492 2,848,823
..............................................................................................................................
Net increase (decrease) in net assets
resulting from operations............................ (19,032,998) 7,388,889 40,242,352 36,391,321
..............................................................................................................................
Distributions to shareholders:
From net investment income............................. (2,664,413) (807,399) (29,111,302) (20,930,343)
From net realized gain on investments.................. -- -- (4,589,202) --
Increase (decrease) from capital share
transactions (Note 4)................................ 4,051,900 98,921,481 106,794,510 175,629,544
..............................................................................................................................
Total increase (decrease) in net assets................ (17,645,511) 105,502,971 113,336,358 191,090,522
..............................................................................................................................
Net assets:
Beginning of period (Note 5)........................... 130,547,584 25,044,613 494,811,315 303,720,793
..............................................................................................................................
End of period.......................................... $112,902,073 $130,547,584 $608,147,673 $494,811,315
..............................................................................................................................
Undistributed net investment income (loss), end
of period............................................ $ 3,110,245 $ 1,775,888 $ 24,946,121 $ 27,720,672
- ------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
Global Asset Allocation Fund Global Growth Fund
Year ended December 31 Year ended December 31
1997 1996 1997 1996
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss)........................... $ 26,362,418 $ 19,309,899 $ 12,009,717 $ 13,408,379
Net realized gain (loss) on investments and
foreign currency transactions........................ 93,474,412 50,892,694 237,026,255 61,546,033
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies.................... 32,963,374 23,367,922 (49,925,874) 96,276,913
..............................................................................................................................
Net increase (decrease) in net assets
resulting from operations............................ 152,800,204 93,570,515 199,110,098 171,231,325
..............................................................................................................................
Distributions to shareholders:
From net investment income............................. (26,895,274) (15,253,707) (33,624,622) (15,171,883)
From net realized gain on investments.................. (45,515,619) (28,669,963) (36,166,971) (33,603,350)
Increase (decrease) from capital share
transactions (Note 4)................................ 128,408,589 162,421,034 137,298,121 390,837,723
..............................................................................................................................
Total increase (decrease) in net assets................ 208,797,900 212,067,879 266,616,626 513,293,815
..............................................................................................................................
Net assets:
Beginning of period (Note 5)........................... 747,734,259 535,666,380 1,344,886,832 831,593,017
..............................................................................................................................
End of period.......................................... $956,532,159 $747,734,259 $1,611,503,458 $1,344,886,832
..............................................................................................................................
Undistributed net investment income (loss), end
of period............................................ $ 19,696,988 $ 24,025,712 $ 39,155,023 $ 29,235,076
- ------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
Growth and Income Fund High Yield Fund
Year ended December 31 Year ended December 31
1997 1996 1997 1996
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss)........................... $ 151,064,527 $ 126,852,571 $ 82,488,860 $ 58,069,621
Net realized gain (loss) on investments and
foreign currency transactions........................ 979,781,001 309,693,218 19,263,536 7,121,738
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies.................... 367,746,315 454,657,919 17,958,850 9,330,741
..............................................................................................................................
Net increase (decrease) in net assets
resulting from operations............................ 1,498,591,843 891,203,708 119,711,246 74,522,100
..............................................................................................................................
Distributions to shareholders:
From net investment income............................. (128,693,999) (86,191,810) (58,024,885) (37,899,438)
From net realized gain on investments.................. (313,245,625) (150,161,126) (6,728,418) --
Increase (decrease) from capital share
transactions (Note 4)................................ 1,601,582,252 1,711,942,726 200,422,382 234,827,985
..............................................................................................................................
Total increase (decrease) in net assets................ 2,658,234,471 2,366,793,498 255,380,325 271,450,647
..............................................................................................................................
Net assets:
Beginning of period (Note 5)........................... 5,679,099,602 3,312,306,104 769,917,799 498,467,152
..............................................................................................................................
End of period.......................................... $8,337,334,073 $5,679,099,602 $1,025,298,124 $769,917,799
..............................................................................................................................
Undistributed net investment income (loss), end
of period............................................ $ 145,500,331 $ 123,367,843 $ 82,916,513 $ 57,863,338
- ------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------------------
Putnam VT
Putnam VT International Growth
International Growth Fund and Income Fund
Period ended Period ended
December 31 December 31
1997* 1997*
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss)........................... $ 598,784 $ 1,211,873
Net realized gain (loss) on investments and
foreign currency transactions........................ 434,252 5,522,841
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies.................... 4,599,381 6,335,146
..............................................................................................................................
Net increase (decrease) in net assets
resulting from operations............................ 5,632,417 13,069,860
..............................................................................................................................
Distributions to shareholders:
From net investment income............................. (598,784) (1,211,873)
In excess of net investment income..................... (334,985) (760,143)
From net realized gain on investments.................. (434,252) (4,894,779)
In excess of net realized gain on investments.......... (787,174) --
Return of capital...................................... (105,318) --
Increase (decrease) from capital share
transactions (Note 4)................................ 145,012,588 197,894,945
..............................................................................................................................
Total increase (decrease) in net assets................ 148,384,492 204,098,010
..............................................................................................................................
Net assets:
Beginning of period (Note 5)........................... 2,500,000 2,500,000
..............................................................................................................................
End of period.......................................... $150,884,492 $206,598,010
..............................................................................................................................
Undistributed net investment income (loss), end
of period............................................ $ (138,410) $ (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 Money Market Fund
Period ended Period ended
December 31 December 31
1997* 1997 1996
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss)........................... $ 63,700 $ 23,808,416 $ 18,499,897
Net realized gain (loss) on investments and
foreign currency transactions........................ (4,862,745) -- --
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies.................... (464,507) -- --
..............................................................................................................................
Net increase (decrease) in net assets
resulting from operations............................ (5,263,552) 23,808,416 18,499,897
..............................................................................................................................
Distributions to shareholders:
From net investment income............................. (63,700) (23,808,416) (18,499,897)
In excess of net investment income..................... (244,501) -- --
From net realized gain on investments.................. -- -- --
Increase (decrease) from capital share
transactions (Note 4)................................ 110,072,237 (31,555,153) 173,919,002
..............................................................................................................................
Total increase (decrease) in net assets................ 104,500,484 (31,555,153) 173,919,002
..............................................................................................................................
Net assets:
Beginning of period (Note 5)........................... 2,500,000 437,132,301 263,213,299
..............................................................................................................................
End of period.......................................... $107,000,484 $405,577,148 $437,132,301
..............................................................................................................................
Undistributed net investment income (loss), end
of period............................................ $ (20,027) $ -- $ --
- ------------------------------------------------------------------------------------------------------------------------------
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
New Opportunities Fund Period ended
Year ended December 31 December 31
1997 1996 1997*
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss)........................... $ (168,377) $ (1,455,781) $ 1,720,282
Net realized gain (loss) on investments and
foreign currency transactions........................ 68,314,810 (30,518,402) 3,630,551
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies.................... 376,452,164 71,887,652 7,623,632
..............................................................................................................................
Net increase (decrease) in net assets
resulting from operations............................ 444,598,597 39,913,469 12,974,465
..............................................................................................................................
Distributions to shareholders:
From net investment income............................. -- -- --
From net realized gain on investments.................. -- -- --
Increase (decrease) from capital share
transactions (Note 4)................................ 471,448,564 1,119,174,604 182,166,386
..............................................................................................................................
Total increase (decrease) in net assets................ 916,047,161 1,159,088,073 195,140,851
..............................................................................................................................
Net assets:
Beginning of period (Note 5)........................... 1,674,196,697 515,108,624 250,000
..............................................................................................................................
End of period.......................................... $2,590,243,858 $1,674,196,697 $195,390,851
..............................................................................................................................
Undistributed net investment income (loss), end
of period............................................ $ -- $ (3,300) $ 1,560,934
- ------------------------------------------------------------------------------------------------------------------------------
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
Year ended December 31 Year ended December 31
1997 1996 1997 1996
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss)........................... $ 50,686,903 $ 48,638,504 $ 25,451,494 $ 24,617,080
Net realized gain (loss) on investments and
foreign currency transactions........................ (2,397,818) 4,973,541 42,912,552 38,108,934
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies.................... 15,536,395 (35,405,059) 106,798,904 25,666,317
..............................................................................................................................
Net increase (decrease) in net assets
resulting from operations............................ 63,825,480 18,206,986 175,162,950 88,392,331
..............................................................................................................................
Distributions to shareholders:
From net investment income............................. (49,260,624) (45,290,232) (24,529,426) (21,053,914)
From net realized gain on investments.................. -- -- (33,449,218) --
Increase (decrease) from capital share
transactions (Note 4)................................ (3,948,335) 58,982,695 47,643,201 59,629,931
..............................................................................................................................
Total increase (decrease) in net assets................ 10,616,521 31,899,449 164,827,507 126,968,348
..............................................................................................................................
Net assets:
Beginning of period (Note 5)........................... 778,923,563 747,024,114 657,429,034 530,460,686
..............................................................................................................................
End of period.......................................... $789,540,084 $778,923,563 $822,256,541 $657,429,034
..............................................................................................................................
Undistributed net investment income (loss), end
of period............................................ $ 41,308,267 $ 48,438,520 $ 24,966,593 $ 24,041,912
- ------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------------------
Putnam VT
Vista Fund Putnam VT
Period ended Voyager Fund
December 31 Year ended December 31
1997* 1997 1996
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss)........................... $ 4,017 $ 11,685,570 $ 9,676,723
Net realized gain (loss) on investments and
foreign currency transactions........................ (3,150,998) 297,725,044 151,713,129
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies.................... 22,083,760 601,292,487 126,735,828
..............................................................................................................................
Net increase (decrease) in net assets
resulting from operations............................ 18,936,779 910,703,101 288,125,680
..............................................................................................................................
Distributions to shareholders:
From net investment income............................. (4,017) (7,180,496) (9,627,813)
From net realized gain on investments.................. -- (154,744,905) (120,682,512)
Return of capital...................................... (9,239) -- --
Increase (decrease) from capital share
transactions (Note 4)................................ 149,236,897 508,267,410 1,123,442,297
..............................................................................................................................
Total increase (decrease) in net assets................ 168,160,420 1,257,045,110 1,281,257,652
..............................................................................................................................
Net assets:
Beginning of period (Note 5)........................... 2,500,000 3,281,490,032 2,000,232,380
..............................................................................................................................
End of period.......................................... $170,660,420 $4,538,535,142 $3,281,490,032
..............................................................................................................................
Undistributed net investment income (loss), end
of period............................................ $ -- $ 11,397,910 $ 6,892,836
- ------------------------------------------------------------------------------------------------------------------------------
*From January 2, 1997 (commencement of operations) to December 31, 1997.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Financial Highlights
- ------------------------------------------------------------------------------------------------------------
Investment Operations
Net
Net Realized and
Asset Unrealized
Value, Net Gain (Loss) Total from
Beginning Investment on Investment
Period ended of Period Income Investments Operations
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific
Growth Fund
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
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 Global Asset Allocation Fund
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
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
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 High Yield Fund
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
December 31, 1997***** $10.00 $ .05(b) $ 1.56 $ 1.61
............................................................................................................
Putnam VT International Growth and Income Fund
December 31, 1997***** $10.00 $ .07 $ 1.87 $ 1.94
............................................................................................................
Putnam VT International New Opportunities Fund
December 31, 1997***** $10.00 $ .01(b) $ (.02) $ (.01)
............................................................................................................
See page 124 for Notes to Financial Highlights.
<CAPTION>
Financial Highlights (continued)
- ------------------------------------------------------------------------------------------------------------------------
Less Distributions:
From In Excess
From In Excess Net of Net
Net of Net Realized Realized
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
December 31, 1997 $ (.22) $ -- $ -- $ -- $ --
December 31, 1996 (.15) -- -- -- --
December 31, 1995**** -- -- -- -- --
........................................................................................................................
Putnam VT Diversified Income Fund
December 31, 1997 $ (.63) $ -- $ (.10) -- --
December 31, 1996 (.67) -- -- -- --
December 31, 1995 (.51) -- -- -- --
December 31, 1994 (.06) -- -- -- --
December 31, 1993** -- -- -- -- --
........................................................................................................................
Putnam VT Global Asset Allocation Fund
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
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
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 High Yield Fund
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
December 31, 1997***** $ (.05) $ (.02) $ (.04) $ (.06) $ (.01)
........................................................................................................................
Putnam VT International Growth and Income Fund
December 31, 1997***** $ (.08) $ (.05) $ (.28) $ -- $ --
........................................................................................................................
Putnam VT International New Opportunities Fund
December 31, 1997***** $ (.01) $ (.02) $ -- $ -- $ --
........................................................................................................................
See page 124 for Notes to Financial Highlights.
<CAPTION>
Financial Highlights (continued)
- ------------------------------------------------------------------------------------------------------------------------
Total
Investment
Return at Net Assets,
Total Net Asset Value, Net Asset End of period
Period ended Distributions End of Period Value (%)(c) (in thousands)
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific
Growth Fund
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
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 Global Asset Allocation Fund
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
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
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 0.35 1,907,380
December 31, 1993 (.76) 17.38 14.27 1,407,382
........................................................................................................................
Putnam VT High Yield Fund
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
December 31, 1997***** $ (.18) $11.43 16.13 $ 150,884
........................................................................................................................
Putnam VT International Growth and Income Fund
December 31, 1997***** $ (.41) $11.53 19.43 $ 206,598
........................................................................................................................
Putnam VT International New Opportunities Fund
December 31, 1997***** $ (.03) $ 9.96 (.10) $ 107,000
........................................................................................................................
See page 124 for Notes to Financial Highlights.
<CAPTION>
Financial Highlights (continued)
- ------------------------------------------------------------------------------------------------------------------------
Ratio of Net
Ratio of Investment Average
Expenses Income to commission
to Average Net Average Net Portfolio rate
Period ended Assets(%)(d) Assets(%) Turnover(%) paid (e)
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific
Growth Fund
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
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 Global Asset Allocation Fund
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
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
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 High Yield Fund
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
December 31, 1997***** 1.20 (b) .79 (b) 75.18 $.0352
........................................................................................................................
Putnam VT International Growth and Income Fund
December 31, 1997***** 1.12 1.11 53.20 $.0330
........................................................................................................................
Putnam VT International New Opportunities Fund
December 31, 1997***** 1.60 (b) .09 (b) 131.89 $.0207
........................................................................................................................
See page 124 for Notes to Financial Highlights.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Financial Highlights
- --------------------------------------------------------------------------------------------------------------------
Investment Operations
Net
Realized and
Unrealized
Net Asset Value, Net Gain (Loss) Total from
Beginning of Investment on Investment
Period ended Period Income (Loss) Investments Operations
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Money Market Fund
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
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
December 31, 1997***** $10.00 $ .18(a) $1.58 $ 1.76
....................................................................................................................
Putnam VT U.S. Government and High
Quality Bond Fund
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
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
December 31, 1997***** $10.00 $ --(f) $2.32 $ 2.32
....................................................................................................................
Putnam VT Voyager Fund
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)
- --------------------------------------------------------------------------------------------------------------------
Less Distributions:
From In Excess
From Net of Net
Net Realized Realized Return
Investment Gain on Gain on of
Period ended Income Investments Investments Capital
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Money Market Fund
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
December 31, 1997 $ -- $ -- $ -- $ --
December 31, 1996 -- -- -- --
December 31, 1995 -- (.02) -- (.01)
December 31, 1994*** -- -- -- --
....................................................................................................................
Putnam VT New Value Fund
December 31, 1997***** $ -- $ -- $ -- $ --
....................................................................................................................
Putnam VT U.S. Government and High
Quality Bond Fund
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
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
December 31, 1997***** $ --(f) $ -- $ -- $ --(f)
....................................................................................................................
Putnam VT Voyager Fund
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)
- --------------------------------------------------------------------------------------------------------------------
Total
Investment
Return at Net Assets,
Total Net Asset Value, Net Asset End of Period
Period ended Distributions End of Period Value (%)(c) (in thousands)
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Money Market Fund
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
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
December 31, 1997***** $ -- $11.76 17.60 $ 195,391
....................................................................................................................
Putnam VT U.S. Government and High
Quality Bond Fund
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
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
December 31, 1997***** $ -- $12.32 23.21 $ 170,660
....................................................................................................................
Putnam VT Voyager Fund
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)
- --------------------------------------------------------------------------------------------------------------------
Ratio of Net
Ratio of Investment Average
Expenses Income to commission
to Average Net Average Net Portfolio rate
Period ended Assets(%)(d) Assets(%) Turnover(%) paid (e)
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Money Market Fund
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
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
December 31, 1997***** .85 1.59 64.15 $.0383
....................................................................................................................
Putnam VT U.S. Government and High
Quality Bond Fund
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
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
December 31, 1997***** .87 -- 75.43 $.0381
....................................................................................................................
Putnam VT Voyager Fund
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
- --------------------------------------------------------------------------------------------------------------------
PUTNAM VARIABLE TRUST
Notes to Financial Highlights
* 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.
(a) Per share net investment income has been determined on the basis of the weighted average number of shares
outstanding during the period.
(b) Reflects an expense limitation in effect during the period. As a result of such limitation, expenses of Putnam
VT International Growth Fund, and Putnam VT International New Opportunities Fund for the period ended December
31, 1997 reflect a reduction of less than $0.01 and $0.02 per share respectively, expenses of Putnam VT Asia
Pacific Growth Fund for the period ended December 31, 1995 reflect a reduction of approximately $0.03 per
share, expenses of Putnam VT New Opportunities Fund for the period ended December 31, 1994 reflect a reduction
of approximately $0.02 per share, and expenses of Putnam VT Utilities Growth and Income Fund for the period
ended December 31, 1992 reflect a reduction of approximately $0.01 per share.
(c) Total investment return assumes dividend reinvestment.
(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.
</TABLE>
PUTNAM VARIABLE TRUST
Notes to Financial Statements
December 31, 1997
NOTE 1
SIGNIFICANT
ACCOUNTING
POLICIES
Putnam Variable Trust (the "Trust") is registered under the Investment
Company Act of 1940, as amended, as a diversified, open-end management
investment company (except for Putnam VT Utilities Growth and Income
Fund, which is non-diversified) which consists of a series of investment
portfolios (the "funds"), each of which is represented by a separate
series of class IA shares and class IB shares of beneficial interest.
The class IB shares, which became effective November 20, 1997, have no
shares outstanding as of December 31, 1997. The Trust currently offers
the following sixteen funds: Putnam VT Asia Pacific Growth Fund, Putnam
VT Diversified Income Fund, Putnam VT Global Asset Allocation Fund,
Putnam VT Global Growth Fund, Putnam VT Growth and Income Fund, Putnam
VT High Yield Fund, Putnam VT International Growth Fund, Putnam VT
International Growth and Income Fund, Putnam VT International New
Opportunities Fund, Putnam VT Money Market Fund, Putnam VT New
Opportunities Fund, Putnam VT New Value Fund, Putnam VT U.S. Government
and High Quality Bond Fund, Putnam VT Utilities Growth and Income Fund,
Putnam VT Vista Fund and Putnam VT Voyager Fund. The following is a
summary of significant accounting policies consistently followed by the
Trust in preparation of its financial statements. The preparation of
financial statements is in conformity with generally accepted accounting
principles and requires management to make estimates and assumptions
that affect the reported amounts of assets and liabilities. Actual
results could differ from those estimates.
A) Security valuation For all funds other than Putnam VT Money Market
Fund, investments for which market quotations are readily available are
stated at market value, which is determined using the last reported sale
price on the principal market on which such securities are traded, or,
if no sales are reported -- as in the case of some securities traded
over-the-counter -- the last reported bid price. Securities quoted in
foreign currencies are translated into U.S. dollars at the current
exchange rate. Short-term investments having remaining maturities of 60
days or less are stated at amortized cost, which approximates market
value. Other investments, including restricted securities, are stated at
fair value following procedures approved by the Trustees. Market
quotations are not considered to be readily available for certain debt
obligations; such investments are stated at fair value on the basis of
valuations furnished by a pricing service, approved by the Trustees, or
dealers, which determines valuations for normal, institutional-size
trading units of such securities using methods based on market
transactions for comparable securities and various 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 funds'
Manager, a wholly-owned subsidiary of Putnam Investments, Inc. These
balances may be invested in one or more repurchase agreements and/or
short-term money market instruments.
C) Repurchase agreements The funds, or any joint trading account,
through a custodian, receive delivery of the underlying securities, the
market value of which at the time of purchase is required to be in an
amount at least equal to the resale price, including accrued interest.
Collateral for certain tri-party repurchase agreements 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, 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
gains and losses on foreign currency transactions arise from changes in
the value of open forward currency contracts and assets and liabilities
other than investments at the period end, resulting from changes in the
exchange rate.
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 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 which it invests to increase its current returns.
The potential risk to each fund is that the change in value of futures
and options contracts may not correspond to the change in value of the
hedged instruments. In addition, losses may arise from changes in the
value of the underlying instruments, if there is an illiquid secondary
market for the contracts, or if the counterparty to the contract is
unable to perform. When the contract is closed, the funds record 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) TBA purchase commitments Each fund, (except for Putnam VT Money
Market Fund), may enter into "TBA" (to be announced) purchase
commitments to purchase securities for a fixed unit price at a future
date beyond customary settlement time. Although the unit price has been
established, the principal value has not been finalized. However, the
amount of the commitments will not fluctuate more than 1.0% from the
principal amount. The fund holds, and maintains until settlement date,
cash or high-grade debt obligations in an amount sufficient to meet the
purchase price, or the fund may enter into offsetting contracts for the
forward sale of other securities it owns. Income on the securities will
not be earned until settlement date. TBA purchase commitments may be
considered securities in themselves, and involve a risk of loss if the
value of the security to be purchased declines prior to the settlement
date, which risk is in addition to the risk of decline in the value of a
fund's other assets. Unsettled TBA purchase commitments are valued at
the current market value of the underlying securities, generally
according to the procedures described under "Security valuation" above.
Although a fund will generally enter into TBA purchase commitments with
the intention of acquiring securities for its portfolio or for delivery
pursuant to options contracts it has entered into, the fund may dispose
of a commitment prior to settlement if Putnam Management deems it
appropriate to do so.
I) TBA sale commitments Each fund, (except Putnam VT Money Market Fund),
may enter into TBA sale commitments to hedge its portfolio positions or
to sell mortgage-backed securities it owns under delayed delivery
arrangements. Proceeds of TBA sale commitments are not received until
the contractual settlement date. During the time a TBA sale commitment
is outstanding, equivalent deliverable securities, or an offsetting TBA
purchase commitment deliverable on or before the sale commitment date,
are held as "cover" for the transaction.
Unsettled TBA sale commitments are valued at the current market value of
the underlying securities, generally according to the procedures
described under "Security valuation" above. The contract is "marked-to-
market" daily and the change in market value is recorded by a fund as an
unrealized gain or loss. If the TBA sale commitment is closed through
the acquisition of an offsetting purchase commitment, the fund realizes
a gain or loss on the underlying security. If the fund delivers
securities under the commitment, the fund realizes a gain or a loss from
the sale of the securities based upon the unit price established at the
date the commitment was entered into.
J) Line of credit All funds, (except Putnam VT Money Market Fund), have
entered into a committed line of credit with certain banks. This line of
credit agreement includes restrictions that the funds maintain an asset
coverage ratio of at least 300% and borrowings must not exceed
prospectus limitations. For the period ended December 31, 1997, the
funds had no borrowings against the line of credit.
K) 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. Any taxable income or gain remaining at fiscal year end is
distributed in the following year.
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 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.
L) Distributions to shareholders Distributions to shareholders from net
investment income are recorded by the funds on the ex-dividend date.
Capital gain distributions, if any, are recorded on the ex-dividend date
and paid annually. The amount and character of income and gains to be
distributed are determined in accordance with income tax regulations
which may differ from generally accepted accounting principles. These
differences include temporary and permanent differences of losses on
wash sale transactions, paydown gains and losses on mortgage-backed
securities, foreign currency gains and losses, post October loss
deferrals, realized and unrealized gains and losses on passive foreign
investment companies, and market discount. Reclassifications are made to
the fund's capital accounts to reflect income and gains available for
distribution (or available capital loss carryovers) under income tax
regulations. For the year ended December 31, 1997, the fund reclassified
the following amounts.
Accumulated
Undistributed Net Realized
Net Gain/(Loss) on
Investment Investment Paid-in-
Income/(Loss) Transactions Capital
- ------------------------------------------------------------------------
Putnam VT Asia Pacific
Growth Fund 3,057,592 (3,235,487) 177,895
Putnam VT Diversified
Income Fund (14,711,624) 15,264,000 (552,376)
Putnam VT Global Asset
Allocation Fund (3,795,868) 3,797,507 (1,639)
Putnam VT Global
Growth Fund 31,534,852 (34,387,458) 2,852,606
Putnam VT Growth and
Income Fund (238,040) 521,919 (283,879)
Putnam VT High Yield Fund 589,200 (10,547) (578,653)
Putnam VT International
Growth Fund 196,575 (196,575) --
Putnam VT International
Growth and Income Fund 413,753 (413,753) --
Putnam VT International
New Opportunities Fund 224,474 (224,474) --
Putnam VT Money
Market Fund -- -- --
Putnam VT New
Opportunities Fund 171,677 (375) (171,302)
Putnam VT New Value Fund (159,348) 159,348 --
Putnam VT U.S. Government
and High Quality
Bond Fund (8,556,532) 8,556,532 --
Putnam VT Utilties Growth
and Income Fund 2,613 32,595 (35,208)
Putnam VT Vista Fund -- -- --
Putnam VT Voyager Fund -- -- --
- ------------------------------------------------------------------------
The calculation of net investment income per share in the financial
highlights table excludes these adjustments.
M) 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.
N) Beneficial Interest At December 31, 1997, insurance companies or
their separate accounts were record owners of all but a de minimis
number of the shares of each fund. From 82% to almost 100% of each fund
is owned by accounts of one group of insurance companies.
NOTE 2
MANAGEMENT FEE, ADMINISTRATIVE SERVICES,
AND OTHER TRANSACTIONS
Compensation of Putnam Management, for management and investment
advisory services is paid quarterly based on the average net assets of
the funds. The following summarizes the management fee rates in effect
at December 31, 1997:
<TABLE>
<CAPTION>
Rate
- ------------------------------------------------------------------------------------------------------------------------
<S> <C>
Putnam VT Asia Pacific Growth Fund 0.80% of the first $500 million of average net assets,
Putnam VT International Growth Fund 0.70% of the next $500 million,
Putnam VT International Growth and Income Fund 0.65% of the next $500 million,
0.60% of the next $5 billion,
0.575% of the next $5 billion,
0.555% of the next $5 billion,
0.54% of the next $5 billion,
and 0.53% of any excess thereafter.
........................................................................................................................
Putnam VT Global Growth Fund 0.60% of average net assets.
........................................................................................................................
Putnam VT Money Market Fund 0.45% of 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% of any excess thereafter.
........................................................................................................................
Putnam VT Growth and Income Fund 0.65% of the first $500 million of average net assets,
Putnam VT U.S. Government and High Quality Bond Fund 0.55% of the next $500 million,
Putnam VT Vista Fund 0.50% of the next $500 million,
0.45% of the next $5 billion,
0.425% of the next $5 billion,
0.405% of the next $5 billion,
0.39% of the next $5 billion,
and 0.38% of any excess thereafter.
........................................................................................................................
Putnam VT Diversified Income Fund 0.70% of the first $500 million of average net assets,
Putnam VT Global Asset Allocation Fund 0.60% of the next $500 million,
Putnam VT High Yield Fund 0.55% of the next $500 million,
Putnam VT New Opportunities Fund 0.50% of the next $5 billion,
Putnam VT New Value Fund 0.475% of the next $5 billion,
Putnam VT Utilities Growth and Income Fund 0.455% of the next $5 billion,
Putnam VT Voyager Fund 0.44% of the next $5 billion,
and 0.43% of any excess thereafter.
........................................................................................................................
Putnam VT International New Opportunities Fund 1.20% of the first $500 million of average net assets,
1.10% of the next $500 million,
1.05% of the next $500 million,
1.00% of the next $5 billion.
0.975% of the next $5 billion,
0.955% of the next $5 billion,
0.94% of the next $5 billion,
and 0.93% of any excess thereafter.
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
Putnam Management has voluntarily agreed to limit expenses of Putnam VT
International Growth Fund, Putnam VT International Growth and Income
Fund, Putnam VT International New Opportunities Fund, Putnam VT New
Value Fund and Putnam VT Vista Fund to an annual rate of 1.2%, 1.2%,
1.6%, 1.1% and 1.05% 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 and credits from
Putnam Fiduciary Trust Company ("PFTC"), a wholly-owned subsidiary of
Putnam Investments, Inc., if any. These limitations will expire on
December 31, 1998.
As part of the custodian contract between the subcustodian bank and
PFTC, the subcustodian bank has a lien on the securities of Putnam VT
Asia Pacific Growth Fund and Putnam VT Utilities Growth and Income Fund
to the extent permitted by the funds' investment restrictions to cover
any advances made by the subcustodian bank for the settlement of
securities purchased by the funds. At December 31, 1997, the payable to
the subcustodian bank represents the amount due for cash advanced 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 Trust and
their staff who provide administrative services to the Trust. The
aggregate amount of all such reimbursements is determined annually by
the Trustees.
Custodial functions for each fund's assets are provided by PFTC.
Investor servicing agent functions are provided by Putnam Investor
Services, a division of PFTC.
For the year ended December 31, 1997, each fund's expenses were reduced
by the following amounts under expense offset arrangements with PFTC and
in the case of certain funds, brokerage service arrangements.
Putnam VT Asia Pacific Growth Fund $121,396
Putnam VT Diversified Income Fund 253,079
Putnam VT Global Asset Allocation Fund 74,749
Putnam VT Global Growth Fund 359,718
Putnam VT Growth and Income Fund 467,480
Putnam VT High Yield Fund 220,573
Putnam VT International Growth Fund 34,216
Putnam VT International Growth and Income Fund 38,913
Putnam VT International New Opportunities Fund 33,267
Putnam VT Money Market Fund 756
Putnam VT New Opportunities Fund 197,658
Putnam VT New Value Fund 31,066
Putnam VT U.S. Government and
High Quality Bond Fund 126,041
Putnam VT Utilities Growth and Income Fund 113,476
Putnam VT Vista Fund 40,808
Putnam VT Voyager Fund 284,056
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 Trustees fee, of which
$21,810 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 each 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.
NOTE 3
PURCHASES AND SALES OF SECURITIES
During the year ended December 31, 1997, purchases and sales of
investment securities (other than short-term investments) were as
follows:
<TABLE>
<CAPTION>
U.S. Government
Obligations Other Securities
- -----------------------------------------------------------------------------------------------------------------------
Purchases Sales Purchases Sales
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund $ -- $ -- $ 124,319,157 $ 125,193,340
Putnam VT Diversified Income Fund 568,504,818 523,303,557 1,024,094,018 968,661,752
Putnam VT Global Asset Allocation Fund 547,327,446 517,012,702 957,219,682 909,970,869
Putnam VT Global Growth Fund -- -- 2,548,796,523 2,395,084,343
Putnam VT Growth and Income Fund -- -- 5,765,221,569 4,540,946,286
Putnam VT High Yield Fund -- -- 923,733,683 724,955,776
Putnam VT International Growth Fund -- -- 186,861,575 56,131,118
Putnam VT International Growth and Income Fund -- -- 236,662,365 52,962,223
Putnam VT International New Opportunities Fund -- -- 200,341,536 98,570,536
Putnam VT New Opportunities Fund -- -- 1,923,988,858 1,477,173,673
Putnam VT New Value Fund -- -- 249,407,972 70,082,432
Putnam VT U.S. Government and
High Quality Bond Fund 959,793,111 1,033,264,896 519,729,185 450,300,501
Putnam VT Utilities Growth and Income Fund 321,723,697 287,928,324
Putnam VT Vista Fund -- -- 216,949,450 70,758,740
Putnam VT Voyager Fund -- -- 2,456,162,851 2,124,675,953
Putnam VT Money Market Fund: Purchases and sales (including maturities) of investment securities (all short-term
obligations) aggregated $10,465,761,040 and $10,513,786,542, 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:
Contract Amounts Premiums Received
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT Diversified Income Fund
Written options outstanding at beginning of year -- $ --
Options opened 5,316,628,200 746,719
Options expired (54,510,000) (332,786)
Options closed (5,261,923,200) (302,085)
.......................................................................................................................
Written options outstanding at end of year 195,000 $ 111,848
- -----------------------------------------------------------------------------------------------------------------------
Contract Amounts Premiums Received
- -----------------------------------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
Written options outstanding at beginning of year -- $ --
Options opened 2,740,680,700 396,424
Options expired -- --
Options closed (2,740,570,700) (333,330)
.......................................................................................................................
Written options outstanding at end of year 110,000 $ 63,094
- -----------------------------------------------------------------------------------------------------------------------
Contract Amounts Premiums Received
- -----------------------------------------------------------------------------------------------------------------------
Putnam VT U.S. Government and High Quality Bond Fund
Written options outstanding at beginning of year -- $ --
Options opened 35,024,000 340,608
Options expired (19,900,000) (108,455)
Options closed (15,124,000) (232,153)
.......................................................................................................................
Written options outstanding at end of year -- $ --
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
NOTE 4
CAPITAL SHARES
At December 31, 1997, there was an unlimited number of shares of beneficial interest authorized. Transactions in capital
shares were as follows:
<CAPTION>
Year ended December 31
- -----------------------------------------------------------------------------------------------------------------------------------
1997 1996
- -----------------------------------------------------------------------------------------------------------------------------------
Shares Amount Shares Amount
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
Shares sold 14,980,776 $159,622,762 21,918,203 $231,641,486
Shares issued in connection with reinvestment of distributions 257,429 2,664,413 75,653 807,399
...................................................................................................................................
15,238,205 162,287,175 21,993,856 232,448,885
Shares repurchased (14,827,774) (158,235,275) (12,587,259) (133,527,404)
...................................................................................................................................
Net increase 410,431 $4,051,900 9,406,597 $98,921,481
...................................................................................................................................
Putnam VT Diversified Income Fund
Shares sold 9,541,469 $105,120,942 17,338,498 $187,840,585
Shares issued in connection with reinvestment of distributions 3,243,553 33,700,504 2,023,693 20,930,343
...................................................................................................................................
12,785,022 138,821,446 19,362,191 208,770,928
Shares repurchased (2,918,154) (32,026,936) (3,002,500) (33,141,384)
...................................................................................................................................
Net increase 9,866,868 $106,794,510 16,359,691 $175,629,544
...................................................................................................................................
Putnam VT Global Asset Allocation Fund
Shares sold 5,393,308 $96,152,920 7,924,556 $128,215,964
Shares issued in connection with reinvestment of distributions 4,508,773 72,410,893 2,859,612 43,923,670
...................................................................................................................................
9,902,081 168,563,813 10,784,168 172,139,634
Shares repurchased (2,265,912) (40,155,224) (607,406) (9,718,600)
...................................................................................................................................
Net increase 7,636,169 $128,408,589 10,176,762 $162,421,034
...................................................................................................................................
Putnam VT Global Growth Fund
Shares sold 15,785,671 $282,076,454 28,798,156 $454,669,574
Shares issued in connection with reinvestment of distributions 4,289,449 69,791,593 3,200,475 48,775,233
...................................................................................................................................
20,075,120 351,868,047 31,998,631 503,444,807
Shares repurchased (11,889,504) (214,569,926) (7,105,719) (112,607,084)
...................................................................................................................................
Net increase 8,185,616 $137,298,121 24,892,912 $390,837,723
...................................................................................................................................
Putnam VT Growth and Income Fund
Shares sold 47,137,172 $1,236,095,794 66,808,703 $1,496,670,876
Shares issued in connection with reinvestment of distributions 18,862,126 441,939,624 11,075,560 236,352,936
...................................................................................................................................
65,999,298 1,678,035,418 77,884,263 1,733,023,812
Shares repurchased (2,856,470) (76,453,166) (949,158) (21,081,086)
...................................................................................................................................
Net increase 63,142,828 $1,601,582,252 76,935,105 $1,711,942,726
...................................................................................................................................
Putnam VT High Yield Fund
Shares sold 25,952,072 $333,531,634 24,160,867 $299,690,321
Shares issued in connection with reinvestment of distributions 5,432,325 64,753,303 3,195,567 37,899,438
...................................................................................................................................
31,384,397 398,284,937 27,356,434 337,589,759
Shares repurchased (15,521,671) (197,862,555) (8,235,236) (102,761,774)
...................................................................................................................................
Net increase 15,862,726 $200,422,382 19,121,198 $234,827,985
...................................................................................................................................
Putnam VT Money Market Fund*
Shares sold -- $1,150,816,521 -- $833,765,470
Shares issued in connection with reinvestment of distributions -- 23,808,416 -- 18,499,897
...................................................................................................................................
-- 1,174,624,937 -- 852,265,367
Shares repurchased -- (1,206,180,090) -- (678,346,365)
...................................................................................................................................
Net increase/(decrease) -- $(31,555,153) -- $173,919,002
...................................................................................................................................
Putnam VT New Opportunities Fund
Shares sold 42,527,077 $825,207,792 68,915,384 $1,199,098,629
Shares issued in connection with reinvestment of distributions -- -- -- --
...................................................................................................................................
42,527,077 825,207,792 68,915,384 1,199,098,629
Shares repurchased (17,725,793) (353,759,228) (4,655,563) (79,924,025)
...................................................................................................................................
Net increase 24,801,284 $471,448,564 64,259,821 $1,119,174,604
...................................................................................................................................
Putnam VT U.S. Government and High Quality Bond Fund
Shares sold 4,028,621 $52,586,470 5,831,570 $75,663,273
Shares issued in connection with reinvestment of distributions 4,021,287 49,260,624 3,626,120 45,290,232
...................................................................................................................................
8,049,908 101,847,094 9,457,690 120,953,505
Shares repurchased (8,201,591) (105,795,429) (4,843,984) (61,970,810)
...................................................................................................................................
Net increase/(decrease) (151,683) $(3,948,335) 4,613,706 $58,982,695
...................................................................................................................................
Putnam VT Utilities Growth and Income Fund
Shares sold 3,065,697 $46,150,502 5,898,033 $79,634,977
Shares issued in connection with reinvestment of distributions 4,346,225 57,978,644 1,621,989 21,053,914
...................................................................................................................................
7,411,922 104,129,146 7,520,022 100,688,891
Shares repurchased (3,862,391) (56,485,945) (3,062,600) (41,058,960)
...................................................................................................................................
Net increase 3,549,531 $47,643,201 4,457,422 $59,629,931
...................................................................................................................................
Putnam VT Voyager Fund
Shares sold 15,684,768 $548,622,563 33,822,429 $1,078,995,895
Shares issued in connection with reinvestment of distributions 5,526,440 161,925,401 4,259,886 130,310,325
...................................................................................................................................
21,211,208 710,547,964 38,082,315 1,209,306,220
Shares repurchased (5,965,623) (202,280,554) (2,778,771) (85,863,923)
...................................................................................................................................
Net increase 15,245,585 $508,267,410 35,303,544 $1,123,442,297
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- -------------------------------------------------------------------------------------------------
For the period January 2, 1997
(commencement of operations)
to December 31, 1997
- -------------------------------------------------------------------------------------------------
Shares Amount
- -------------------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT International Growth Fund
Shares sold 15,588,769 $176,706,662
Shares issued in connection with reinvestment of distributions 197,659 2,260,513
.................................................................................................
15,786,428 178,967,175
Shares repurchased (2,832,498) (33,954,587)
.................................................................................................
Net increase 12,953,930 $145,012,588
.................................................................................................
Putnam VT International Growth and Income Fund
Shares sold 21,411,817 $242,336,069
Shares issued in connection with reinvestment of distributions 601,961 6,866,795
.................................................................................................
22,013,778 249,202,864
Shares repurchased (4,352,599) (51,307,919)
.................................................................................................
Net increase 17,661,179 $197,894,945
.................................................................................................
Putnam VT International New Opportunities Fund
Shares sold 13,100,759 $137,247,387
Shares issued in connection with reinvestment of distributions 30,962 308,201
.................................................................................................
13,131,721 137,555,588
Shares repurchased (2,634,975) (27,483,351)
.................................................................................................
Net increase 10,496,746 $110,072,237
.................................................................................................
Putnam VT New Value Fund
Shares sold 16,943,165 $186,035,346
Shares issued in connection with reinvestment of distributions -- --
.................................................................................................
16,943,165 186,035,346
Shares repurchased (348,509) (3,868,960)
.................................................................................................
Net increase 16,594,656 $182,166,386
.................................................................................................
Putnam VT Vista Fund
Shares sold 15,177,780 $166,041,176
Shares issued in connection with reinvestment of distributions 1,132 13,256
.................................................................................................
15,178,912 166,054,432
Shares repurchased (1,580,403) (16,817,535)
.................................................................................................
Net increase 13,598,509 $149,236,897
.................................................................................................
*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
<CAPTION>
The following were established as a Massachusetts business trusts on January 1, 1997. During the
period January 1, 1997 to January 2, 1997 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.
Fund name Capital contribution Shares issued
- -------------------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT International Growth and Income $2,500,000 250,000
Putnam VT International Growth 2,500,000 250,000
Putnam VT International New Opportunities 2,500,000 250,000
Putnam VT Vista 2,500,000 250,000
Putnam VT New Value 250,000 25,000
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
Federal Tax Information
(Unaudited)
<CAPTION>
Pursuant to section 852 of the Internal Revenue Code, the Fund hereby designates the following amounts
as 28% capital gain for its taxable year ended December 31, 1997.
<S> <C>
VT Asia Pacific Growth $--
VT Diversified Income 1,099,741
VT Global Asset Allocation 33,904,316
VT Global Growth 18,298,567
VT Growth and Income 247,962,155
VT High Yield 6,750,345
VT International Growth --
VT International Growth and Income --
VT International New Opportunities --
VT Money Market --
VT New Opportunities --
VT New Value --
VT U.S. Government and High Quality Bond --
VT Utilities Growth and Income 23,837,652
VT Vista --
VT Voyager 152,919,584
<CAPTION>
For the period, interest and dividends from foreign countries and per share and taxes paid to foreign
countries and per share were the following:
Interest and
Fund Name Dividends Per share Taxes Paid Per share
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
VT Asia Pacific Growth $ 2,302,112 $.18768 $ 275,931 $.02250
VT Diversified Income -- -- -- --
VT Global Asset Allocation -- -- -- --
VT Global Growth 17,297,866 .19686 1,420,300 .01616
VT Growth and Income -- -- -- --
VT High Yield -- -- -- --
VT International Growth 1,136,323 .08606 113,091 .00856
VT International Growth and Income 1,977,292 .11039 206,131 .01151
VT International New Opportunities 747,315 .06954 82,936 .00772
VT Money Market -- -- -- --
VT New Opportunities -- -- -- --
VT New Value -- -- -- --
VT U.S. Government and High Quality Bond -- -- -- --
VT Utilities Growth and Income -- -- -- --
VT Vista -- -- -- --
VT Voyager -- -- -- --
<CAPTION>
The Fund has designated the following amounts of the distributions from net investment income as
qualifying for the dividends received deduction for corporations.
<S> <C>
VT Asia Pacific Growth --%
VT Diversified Income 5.23
VT Global Asset Allocation 34.07
VT Global Growth 4.44
VT Growth and Income 50.54
VT High Yield --
VT International Growth --
VT International Growth and Income .35
VT International New Opportunities 14.77
VT Money Market --
VT New Opportunities --
VT New Value 38.71
VT U.S. Government and High Quality Bond --
VT Utilities Growth and Income 58.25
VT Vista 100.00
VT Voyager 100.00
</TABLE>
Hartford Life Insurance Company
P.O. Box 2999
Hartford, CT 06104-2999
The Hartford Life Insurance Companies
Variable Insurance Separate Accounts
FUND INFORMATION
Investment Manager
Putnam Investment Management, Inc.
One Post Office Square
Boston, MA 02109
Marketing Services
Putnam Mutual Funds Corp.
One Post Office Square
Boston, MA 02109
Investor Servicing Agent
Putnam Investor Services
Mailing address:
P.O. Box 41203
Providence, RI 02940-1203
1-800-225-1581
Custodian
Putnam Fiduciary
Trust Company
Legal Counsel
Ropes & Gray
Independent Accountants
Arthur Andersen LLP
Price Waterhouse LLP
Separate Accounts
Hartford Life Insurance Companies
Underwriter
Hartford Equity Sales Company, Inc. (HESCO)
Hartford Securities Distribution Company (HSD)
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.
BULK RATE
U.S. POSTAGE
PAID
PERMIT #20
HOLLISTON, MA
01746
XS500-40731
HV-2234-0
