Putnam
Variable
Trust
SEMIANNUAL REPORT
June 30, 1999
* Putnam VT Asia Pacific Growth Fund
* Putnam VT Diversified Income Fund
* Putnam VT The George Putnam Fund of Boston
* Putnam VT Global Asset Allocation Fund
* Putnam VT Global Growth Fund
* Putnam VT Growth and Income Fund
* Putnam VT Health Sciences Fund
* Putnam VT High Yield Fund
* Putnam VT Income Fund+
* Putnam VT International Growth Fund
* Putnam VT International Growth and Income Fund
* Putnam VT International New Opportunities Fund
* Putnam VT Investors Fund
* Putnam VT Money Market Fund
* Putnam VT New Opportunities Fund
* Putnam VT New Value Fund
* Putnam VT OTC & Emerging Growth Fund
* Putnam VT Research Fund
* Putnam VT Small Cap Value Fund
* Putnam VT Utilities Growth and Income Fund
* Putnam VT Vista Fund
* Putnam VT Voyager Fund
+ Formerly Putnam VT U.S. Government and High Quality Bond Fund
A series of mutual fund portfolios for variable insurance investors
[LOGO: BOSTON * LONDON * TOKYO]
To the shareholders of Putnam Variable Trust
During the semiannual period that ended on June 30, 1999, many of the
world's economies showed signs of renewed strength, especially some of the
Asian and Latin American countries hit hardest in last fall's global
financial crisis. Many equity markets rebounded, although not without bouts
of volatility and significant changes in market leadership. Among fixed-
income markets, resurgent growth brought concerns about inflation to some
and outperformance to others. As is often the case, however, the volatility
brought opportunity which Putnam Investments' portfolio managers and
analysts sought to exploit in an effort to maximize the performance of each
portfolio.
EQUITIES
* United States U.S. equities surged to new highs over the past six months,
as the Dow Jones Industrial Average reached 11,000 in May for the first
time. After that peak, the market dropped more than 450 points by the end of
May. Concern over the prospect of a Federal Reserve Board interest-rate
increase contributed to the decline; a single quarter-point increase came --
on the final day of the period. The stock market had performed well up until
that point, and in April stronger-than-anticipated U.S. economic data and
stabilizing international economies precipitated a change in market
leadership from large-capitalization growth to cyclical, value-oriented
stocks.
* Europe Despite a smooth launch for the new euro, European stock markets
got off to a disappointing start in 1999 after a superb 1998. Equity markets
rebounded in February, but a strong U.S. dollar against the euro more than
offset any local currency gains. Most stock markets underperformed for the
period. Technology, telecommunications, consumer products, and basic
materials were the top-performing sectors, while health care lagged.
European markets appear poised for a rebound, since both the European
Central Bank and the Bank of England have been in an easing pattern,
creating a bullish environment for stocks.
* Pacific Rim Asian economies continued to benefit from a sharp interest
rate decline late last year, and many equity markets staged rallies. Like
their U.S. counterparts, Asian equities experienced a shift from growth to
value. The Japanese market rallied quite strongly, as corporate
restructuring and an increased attention to shareholder value revitalized
investor interest. South Korea, Singapore, and Taiwan stock markets also
performed well. We believe the Japanese rally will be short-lived, but
prospects for other Asian markets appear more positive, based on compelling
stock values and more favorable outlooks for economic growth.
FIXED INCOME
* United States Fall's flight to quality reversed itself in 1999 as signs of
sustained U.S. economic strength and expanding global growth concerned
inflation-wary bond investors who pushed yields higher on virtually all
investment-grade bonds over the period. The Fed's announcement of an
intention to raise short-term rates fueled rising yields, but its modest
increase on June 30, 1999, and return to a neutral stance heartened bond
investors and rates dropped back slightly by the period's end. Mortgage-
backed, asset-backed, corporate, and high-yield bonds all outperformed
Treasuries for the period. Continued U.S. economic strength may prompt
additional interest-rate increases, but the market appears to have
discounted this prospect. We believe the outlook for U.S. fixed-income
securities remains positive.
* Global The accelerating pace of global economic growth was bad news for
bond markets worldwide during the second half of the semiannual period.
Concern that interest rates would be raised (or the easing of rates
curtailed) by central banks to head off inflation drove yields higher.
European markets were the worst performers, since investors there had not
built expectations of rate increases into bond prices to the same degree as
in the U.S. market. Japan's market fluctuated widely, although on balance it
did not decline as much as others. Emerging markets were at first depressed
by the U.S. Federal Reserve Board's announcement of an intention to raise
short-term rates. However, after the Fed's modest increase and return to a
neutral stance, emerging markets rallied to deliver excellent returns for
the period.
* High Yield The second quarter of 1999 marked the third consecutive quarter
in which high-yield bonds outpaced all other sectors in the U.S. fixed-
income universe. The booming economy continued to provide a favorable
backdrop for high-yield issues, which tend to be influenced as much by the
financial health of issuers as by interest-rate movements. Despite the high-
yield market's overall strength, the default rate has been rising as a few
overleveraged issuers in commodity-related industries, particularly energy,
succumb to cash-flow pressures brought on by tightened lending standards in
the wake of last fall's global financial crisis. The telecommunications
sector outperformed, while health care and energy sectors lagged. At the end
of the period, our view was that the high-yield market was fairly priced and
continued to offer performance opportunities.
The views expressed here are exclusively those of Putnam Management. They
are not meant as investment advice and are subject to change.
<TABLE>
<CAPTION>
PERFORMANCE SUMMARY
- -----------------------------------------------------------------------------------------------------
Total return at net asset value (as of 6/30/99)
Five years
Putnam VT -- Class IA shares 6 months 1 year Cumulative Annualized
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Asia Pacific Growth Fund 30.85% 40.65% --% --%
.....................................................................................................
Diversified Income Fund 0.23 -3.90 37.45 6.57
.....................................................................................................
The George Putnam Fund of Boston 6.00 10.25 -- --
.....................................................................................................
Global Asset Allocation Fund 3.79 6.60 106.50 15.61
.....................................................................................................
Global Growth Fund 7.86 15.85 120.11 17.09
.....................................................................................................
Growth and Income Fund 10.61 16.14 170.08 21.98
.....................................................................................................
Health Sciences Fund -6.86 1.29 -- --
.....................................................................................................
High Yield Fund 3.92 -6.19 49.83 8.42
.....................................................................................................
Income Fund1 -2.07 1.71 43.48 7.49
.....................................................................................................
International Growth Fund 12.35 11.34 -- --
.....................................................................................................
International Growth and Income Fund 13.48 9.35 -- --
.....................................................................................................
International New Opportunities Fund 19.54 18.82 -- --
.....................................................................................................
Investors Fund 9.79 20.94 -- --
.....................................................................................................
Money Market Fund 2.29 4.91 28.24 5.10
.....................................................................................................
New Opportunities Fund 12.41 17.98 216.69 25.93
.....................................................................................................
New Value Fund 14.39 17.10 -- --
.....................................................................................................
OTC & Emerging Growth Fund 18.14 16.57 -- --
.....................................................................................................
Research Fund 12.20 -- -- --
.....................................................................................................
Small Cap Value -- -- -- --
.....................................................................................................
Utilities Growth and Income Fund 3.26 14.12 132.85 18.42
.....................................................................................................
Vista Fund 12.77 15.28 -- --
.....................................................................................................
Voyager Fund 14.54 21.68 217.89 26.02
- -----------------------------------------------------------------------------------------------------
<CAPTION>
PERFORMANCE SUMMARY (continued)
- ---------------------------------------------------------------------------------------------------------------
Total return at net asset value (as of 6/30/99)
10 years Life
Putnam VT -- Class IA shares Cumulative Annualized Cumulative Annualized
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Asia Pacific Growth Fund --% --% 17.81% ++++ 4.02%
...............................................................................................................
Diversified Income Fund -- -- 34.80 +++ 5.29
...............................................................................................................
The George Putnam Fund of Boston -- -- 9.92 ++++++ 8.42
...............................................................................................................
Global Asset Allocation Fund 225.51 12.53 265.68 * 12.03
...............................................................................................................
Global Growth Fund -- -- 203.66 + 12.89
...............................................................................................................
Growth and Income Fund 338.53 15.93 487.42 * 16.79
...............................................................................................................
Health Sciences Fund -- -- 2.00 ++++++ 1.71
...............................................................................................................
High Yield Fund 153.81 9.76 187.37 * 9.69
...............................................................................................................
Income Fund1 116.72 8.04 142.98 * 8.09
...............................................................................................................
International Growth Fund -- -- 54.86 +++++ 19.20
...............................................................................................................
International Growth and Income Fund -- -- 50.81 +++++ 17.94
...............................................................................................................
International New Opportunities Fund -- -- 38.02 +++++ 13.82
...............................................................................................................
Investors Fund -- -- 28.08 ++++++ 23.55
...............................................................................................................
Money Market Fund 65.15 5.14 82.82 * 5.43
...............................................................................................................
New Opportunities Fund -- -- 197.68 ** 23.54
...............................................................................................................
New Value Fund -- -- 42.93 +++++ 15.43
...............................................................................................................
OTC & Emerging Growth Fund -- -- 19.25 ++++++ 16.24
...............................................................................................................
Research Fund -- -- 34.09 *** --
...............................................................................................................
Small Cap Value -- -- 9.90 ++++++++ --
...............................................................................................................
Utilities Growth and Income Fund -- -- 158.57 ++ 14.19
...............................................................................................................
Vista Fund -- -- 66.02 +++++ 22.58
...............................................................................................................
Voyager Fund 502.58 19.67 639.73 * 19.17
- ---------------------------------------------------------------------------------------------------------------
<CAPTION>
- -----------------------------------------------------------------------------------------------------
Five years
Putnam VT -- Class IB shares 6 months 1 year Cumulative Annualized
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Asia Pacific Growth Fund 30.61% 40.39% --% --%
.....................................................................................................
Diversified Income Fund 0.21 -4.10 36.32 6.39
.....................................................................................................
The George Putnam Fund of Boston 6.00 10.24 -- --
.....................................................................................................
Global Asset Allocation Fund 3.71 6.58 105.35 15.48
.....................................................................................................
Global Growth Fund 7.69 15.67 118.45 16.91
.....................................................................................................
Growth and Income Fund 10.53 15.97 168.21 21.81
.....................................................................................................
Health Sciences Fund -6.77 1.28 -- --
.....................................................................................................
High Yield Fund 3.90 -6.20 48.89 8.29
.....................................................................................................
Income Fund1 -2.08 1.69 42.62 7.36
.....................................................................................................
International Growth Fund 12.29 11.12 -- --
.....................................................................................................
International Growth and Income Fund 13.48 9.32 -- --
.....................................................................................................
International New Opportunities Fund 19.52 18.69 -- --
.....................................................................................................
Investors Fund 9.79 20.82 -- --
.....................................................................................................
Money Market Fund 2.20 4.76 26.80 4.86
.....................................................................................................
New Opportunities Fund 12.30 17.77 214.49 25.75
.....................................................................................................
New Value Fund 14.39 16.99 -- --
.....................................................................................................
OTC & Emerging Growth Fund 18.25 16.55 -- --
.....................................................................................................
Research Fund 12.31 -- -- --
.....................................................................................................
Small Cap Value Fund -- -- -- --
.....................................................................................................
Utilities Growth and Income Fund 3.25 14.10 131.50 18.28
.....................................................................................................
Vista Fund 12.63 15.21 -- --
.....................................................................................................
Voyager Fund 14.46 21.50 215.66 25.85
- -----------------------------------------------------------------------------------------------------
<CAPTION>
10 years Life
Putnam VT -- Class IB shares Cumulative Annualized Cumulative Annualized
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Asia Pacific Growth Fund --% --% 17.12% ++++++ 3.87%
...............................................................................................................
Diversified Income Fund -- -- 33.57 +++++++ 5.13
...............................................................................................................
The George Putnam Fund of Boston -- -- 9.91 ++++++ 8.41
...............................................................................................................
Global Asset Allocation Fund 221.31 12.38 260.20 ++++++ 11.89
...............................................................................................................
Global Growth Fund -- -- 199.59 ++++++ 12.73
...............................................................................................................
Growth and Income Fund 332.28 15.76 477.92 +++++++ 16.62
...............................................................................................................
Health Sciences Fund -- -- 1.99 ++++++ 1.70
...............................................................................................................
High Yield Fund 150.53 9.62 183.07 ++++++ 9.55
...............................................................................................................
Income Fund1 113.88 7.90 139.31 ++++++ 7.95
...............................................................................................................
International Growth Fund -- -- 54.25 ++++++ 19.01
...............................................................................................................
International Growth and Income Fund -- -- 50.48 +++++++ 17.84
...............................................................................................................
International New Opportunities Fund -- -- 37.60 ++++++ 13.68
...............................................................................................................
Investors Fund -- -- 27.95 ++++++ 23.45
...............................................................................................................
Money Market Fund 63.25 5.02 80.69 ++++++ 5.32
...............................................................................................................
New Opportunities Fund -- -- 195.43 ++++++ 23.36
...............................................................................................................
New Value Fund -- -- 42.51 ++++++ 15.29
...............................................................................................................
OTC & Emerging Growth Fund -- -- 19.23 ++++++ 16.22
...............................................................................................................
Research Fund -- -- 33.86 *** --
...............................................................................................................
Small Cap Value Fund -- -- 9.90 ++++++++ --
...............................................................................................................
Utilities Growth and Income Fund -- -- 156.19 ++++++ 14.04
...............................................................................................................
Vista Fund -- -- 65.58 ++++++ 22.45
...............................................................................................................
Voyager Fund 493.87 19.50 627.67 ++++++ 19.00
- -----------------------------------------------------------------------------------------------------------------------------------
Past performance is not indicative of future results. All total return figures are at net asset value. The charges and
expenses at the insurance company separate account level are not reflected. Returns for class 1B shares for periods prior
to their inception are derived from the historical performance of class 1A shares, adjusted to reflect the applicable
contingent deferred sales charges (CDSC) and the higher operating expenses applicable to such shares.
1 Formerly U.S. Government and High Quality Bond Fund.
* Commencement of operations: February 1, 1988.
+ Commencement of operations: May 1, 1990.
++ Commencement of operations: May 4, 1992. The fund's inception date was May 1, 1992.
+++ Commencement of operations: September 15, 1993. An expense limitation was in effect during the period; without the
limitation, total return would have been lower.
** Commencement of operations: May 2, 1994.
++++ Commencement of operations: May 1, 1995. An expense limitation was in effect during the period; without the limitation,
total return would have been lower.
+++++ Commencement of operations: January 2, 1997. Expense limitations were in effect for these funds during the period;
without the limitation, total return would have been lower.
++++++ Commencement of operations: April 30, 1998. Expense limitations were in effect for The George Putnam Fund of Boston,
Health Sciences Fund, Investors Fund, and OTC and Emerging Growth Fund during the period; without the limitation, total
return would have been lower.
*** Commencement of operations: September 30, 1998. The short-term results of a relatively new fund, such as these funds,
are not necessarily indicative of their long-term prospects. Expense limitations were in effect for this fund during the
period; without the limitation, total return would have been lower.
+++++++ Commencement of operations: April 6, 1998.
++++++++ Commencement of operations: April 30, 1999. The short-term results of a relatively new fund, such as this fund, are not
necessarily indicative of its long-term prospects.
</TABLE>
Putnam VT Asia Pacific Growth Fund
Over the first half of 1999, many Asian economies began to turn around and
Asian stocks embarked on a full-fledged rebound. Putnam VT Asia Pacific
Growth Fund participated in this recovery and also benefited from the
restructuring efforts of Japanese companies. For the six months ended June
30, 1999, the fund's class IA and class IB shares posted otal returns of
30.85% and 30.61%, respectively, at net asset value.
One of the most significant developments over the period was our increase in
the fund's weighting in Japanese stocks. Japanese companies are finally
beginning to increase restructuring efforts, focus on return on equity and
profitability, and attempt to add some value for shareholders. Combined with
increased merger and acquisition activity, this restructuring is creating
attractive investment opportunities.
Although corporate restructuring plans are a positive development for
investors, Japan's macroeconomic future remains bleak. Despite government
efforts to recapitalize the banks, most economic indicators point to a
continued downturn in the economy. If anything, corporate restructuring will
only serve to exacerbate Japan's growing unemployment rate and lackluster
consumer demand.
South Korea has been one of the few Asian markets to show both an astounding
rebound in its stock market and significant evidence of an economic
turnaround. The fund has shared in the market's success through several
holdings. Elsewhere in the Pacific Basin, fund holdings in Thailand,
Malaysia, and Indonesia were up as these markets rallied strongly.
As we added to the fund's Japanese holdings, we took profits on some
Australian holdings. We maintained exposure to the Singapore banking
industry, although we took some profits in this area as opportunities arose.
We welcome the recent decline in Hong Kong's interest rates but have made no
significant changes to the fund's positioning in this market given the
uncertainty of China's economic situation.
We are encouraged by the progress many of the Asian markets have made and
heartened by some of the restructuring programs and mergers and acquisitions
activity we are observing in Japan. Nevertheless, we remain watchful of the
situations in both China and Japan and will continue to exercise caution in
our investment approach.
- -----------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- -----------------------------------------------------------------------------
PORTFOLIO
Common stocks of companies located in Asia and the Pacific Basin
- -----------------------------------------------------------------------------
NET ASSET VALUE
Class IA $10.90
Class IB $10.88
June 30, 1999
- -----------------------------------------------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations, economic instability, and political developments. Investing in
a single sector increases the possibility of greater price fluctuations and
does not provide the diversification of a multisector investment.
Putnam VT Diversified Income Fund
As 1998's flight to quality reversed itself over the first half of 1999,
Putnam VT Diversified Income Fund's multisector strategy, with its emphasis
on sectors offering a yield advantage over U.S. Treasury securities,
produced positive results. For the six months ended June 30, 1999, the
fund's class IA and class IB shares tallied total returns of 0.23%
and 0.21%, respectively, at net asset value.
Strong U.S. and European economic fundamentals and improving Asian economies
helped global bond markets regain their equilibrium as bonds carrying more
credit risk once again offered higher reward potentials. Investors abandoned
Treasuries and rediscovered their appetite for the so-called spread sectors
- -- U.S. high yield, high-grade corporate issues, mortgage-backed securities,
and emerging-markets debt. By the period's end, the overall performance of
the fund's Treasury holdings was flat.
Within the mortgage-backed sector, we emphasized securities that tend to
have lower prepayment sensitivity while keeping an underweight position in
pass-through securities. Both moves benefited fund performance.
Unfortunately, our modestly long duration posture negatively affected
relative performance, since yields rose significantly throughout the
investment-grade bond sector in anticipation of the Federal Reserve Board's
interest-rate increase, which came on the last day of the period. Among
investment-grade corporate bonds, we favored the more highly liquid large-
capitalization issues, mainly in the financial and industrial sectors.
U.S. high-yield bonds became the top-performing sector in the fixed-income
universe during the period. As investors recovered their taste for risk
and recognized the outstanding value offered by high-yield bonds, their
return to the sector bid up prices. We continued to favor bonds in
telecommunications, media, and finance -- fast-growing industries with long-
term growth potential regardless of market swings.
Among international bond markets, we retained a focus on the core bond
markets of Europe, although these holdings produced lackluster results as a
stronger U.S. dollar and fears of interest-rate increases hobbled bond
market performance. On the positive side, we underweighted Japanese bonds,
which underperformed. Our incremental exposure to certain better-quality
emerging markets paid off as holdings in Brazil, Argentina, Bulgaria, and
Mexico performed well.
- -----------------------------------------------------------------------------
INVESTMENT OBJECTIVE
High current income consistent with preservation of capital
- -----------------------------------------------------------------------------
PORTFOLIO
A managed asset allocation portfolio spread across all three sectors of the
bond market -- U.S. government securities, high-yield bonds, and
international instruments
- -----------------------------------------------------------------------------
NET ASSET VALUE
Class IA $9.78
Class IB $9.76
June 30, 1999
- -----------------------------------------------------------------------------
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. 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.
Putnam VT The George Putnam Fund of Boston
Stock and bond markets saw a great deal of change over the first half of
1999, as leadership within both asset classes shifted dramatically. Amid
this volatile environment, The conservative strategy and diversified
portfolio of bonds and undervalued dividend-paying stocks of Putnam VT
The George Putnam Fund of Boston served shareholders well. For the six
months ended June 30, 1999, the fund's class IA and class IB shares
provided total returns of 6.00% at net asset value.
The continued strength in the U.S. economy and signs of economic
improvement in Asia helped propel a recovery in the value stocks in
which the fund invests. By late March and early April, rising oil prices
paved the way for a strong rally in the energy and basic materials stocks,
including those held by the fund.
The period's elevated equity market volatility provided many buying
opportunities. For example, we were able to purchase stocks of large,
established companies at attractive prices in the paper, chemical, and
aluminum industries, consumer cyclical industries including building
materials, appliances, and newspaper stocks, and insurance companies. Of
course, there were some disappointments; food and utility holdings lagged,
and airline stocks, which had performed well, gave back some of their gains.
In the U.S. bond market, last fall's flight to quality reversed itself over
the period as investors shed their aversion to risk and began to pour money
into the so-called spread sectors: high-grade corporate debt, mortgage-backed
securities, and high-yield bonds. The Federal Reserve Board's increase of
short-term interest rates added fuel to already rising yields, although
rates dropped back slightly by the end of the period.
In this environment, the fund's high-yield holdings provided solid returns,
and we continued to favor bonds in telecommunications, media, and finance.
Among mortgage-backed securities, performance benefited from our focus on
issues with low prepayment sensitivity and an underweight position in pass-
through securities. Treasury holdings remained flat. Among high-grade
corporate bonds, we favored highly liquid, large-capitalization issues,
mainly in the financial and industrial sectors. Unfortunately, our modestly
long duration was a drag on performance.
With its disciplined investment process and classic balanced portfolio, the
fund is well positioned to achieve attractive current income and risk-adjusted
capital appreciation over the long term.
- -----------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation and current income
- -----------------------------------------------------------------------------
PORTFOLIO
Common stocks and bonds
- -----------------------------------------------------------------------------
NET ASSET VALUE
Class IA $10.88
Class IB $10.88
June 30, 1999
- -----------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
The first half of 1999 demonstrated the merits of diversification once again
as the world's securities markets delivered widely divergent results in a
generally volatile environment. For the six months ended June 30, 1999,
Putnam VT Global Asset Allocation Fund's class IA and class IB shares posted
total returns of 3.79% and 3.71%, respectively, at net asset value.
U.S. equities continued their sustained advance into 1999 with the Dow Jones
Industrial Average passing the 10,000 mark. At first, large-cap growth stocks
led the market's advance, but then in April, stronger-than-expected economic
data convinced investors that cyclical stocks had more performance potential,
and these stocks took the lead. Unfortunately, the portfolio's underweighting
in value-oriented sectors, including capital goods, utilities, energy and
basic materials, offset a strong showing in conglomerates, technology, and
consumer staples.
In the U.S. bond market, yields moved sharply higher -- and prices lower -- in
response to robust growth and concerns that the Federal Reserve Board would
raise interest rates, which it did at the end of June. Bond investors
favored spread sectors such as high-yield, mortgage-backed, and asset-backed
securities, and these outperformed Treasuries by a wide margin. Investment-
grade corporate bonds also lagged. The portfolios benefited from sector
rotation and security selection in the investment-grade portion as well as
an overweight allocation to high-yield bonds.
International equity markets turned in mixed performance, echoing the shift
from growth to value that occurred in U.S. equities. Asian equities rallied,
while European markets appeared rattled by the surprising weakness of the
euro. Portfolio performance benefited from strong stock selection in Europe
and Asia, notably Switzerland, Spain, France, Japan, and Hong Kong.
Accelerating global economic growth was bad news for international bond
markets, and fears of rising interest rates drove yields higher. European
markets were the period's worst performers, while Japan's market oscillated
between buoyancy and gloom. The portfolios' underweight position in Japanese
bonds helped performance, while Swedish bond holdings, an overweight position
in the euro, and greater-than-index duration stance in Europe were negatives.
At present, international equity markets appear to have a valuation advantage
over their U.S. counterparts, while international bonds and U.S. bonds seem
poised to deliver comparable returns. We will continue to utilize our broad-
expertise and full-spectrum global research to guide each portfolio's
structure.
- -----------------------------------------------------------------------------
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
- -----------------------------------------------------------------------------
NET ASSET VALUE
Class IA $18.19
Class IB $18.19
June 30, 1999
- -----------------------------------------------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations, economic instability, and political developments.
Putnam VT Global Growth Fund
The first half of 1999 encompassed a range of market highs and lows that
would generally be expected to occur over much longer periods. Stocks of
select, larger, rapidly growing companies, particularly U.S. companies,
staged a sustained rally following the avoidance of a global financial
crisis. By April, however, investors began to shift their favor to more
value-oriented stocks -- to the detriment of growth stocks -- in cyclical
sectors such as energy and basic industries. Nevertheless, Putnam VT Global
Growth Fund's focus on rapidly growing companies in dynamic industries
has served it well. For the six months ended June 30, 1999, the fund's
class IA and class IB shares tallied total returns of 7.86% and 7.69%,
respectively, at net asset value.
Technology-related companies remained a key focus over the period. The
global growth of the Internet and the rapidly rising demand for quick and
seamless communications of data are producing investment opportunities in
personal computer, semiconductor, software, cable, cellular, data
communications, and telecommunications equipment companies. U.S.-based
companies are leaders in these industries, and the fund's substantial
positions in many of these companies continues to fuel fund returns.
However, the growth of the Internet is truly global. The fund benefited
from the worldwide explosion in demand for cellular and data communications
services through its U.K., Swedish, Finnish, Japanese, and Canadian holdings.
We also added European IT services companies involved with business systems
upgrades and European companies benefiting from the growing trend for
multinationals to outsource their data communications services.
Growth in the consumer segment of many world economies has also provided
the fund with significant investment opportunity. U.S.-based retailing
franchises and well-established, broad-based financial companies have been
particularly strong fund performers. Outside the United States, European
food retailing holdings performed quite well. Japanese stocks also provided
handsome returns, especially in the telecommunications equipment,
pharmaceuticals, and the fast-growing consumer and business finance sectors.
While the United States still offers attractive growth opportunities, we are
reevaluating new opportunities in the United Kingdom and Japan while
maintaining a strong presence in Continental Europe.
- -----------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- -----------------------------------------------------------------------------
PORTFOLIO
An internationally diversified common stock portfolio
- -----------------------------------------------------------------------------
NET ASSET VALUE
Class IA $19.93
Class IB $19.90
June 30, 1999
- -----------------------------------------------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations, economic instability, and political developments.
Putnam VT Growth and Income Fund
In the many years since its inception, Putnam VT Growth and Income Fund has
weathered many changes in market sentiment. As this report was being written,
the market was showing signs of yet another transition. The type of value
stocks in which the fund invests, which have lagged growth stocks since early
1997, are now beginning to move out in front. With indications that the U.S.
economy may be getting stronger, not weaker, a broad range of energy and
industrial stocks led the market higher in April, May, and June, while
large growth companies fell back slightly. This is welcome news for the
fund, and during the six months ended June 30, 1999, the fund's class IA
and class IB shares posted total returns of 10.61% and 10.53%, respectively,
at net asset value.
Despite unusual volatility in the market over the first half of 1999, the
fund registered solid gains. Initially, we sold positions in several cyclical
technology companies and used some of the profits to beef up the funds
weightings in the energy and basic materials sectors, where prices began to
take off as demand stabilized and supply declined. We also used our strategy's
versatility to take advantage of opportunities in a variety of other
industries over the period, including aerospace, chemicals, and drug-store
retailing. In each purchase, our analysis uncovered fundamental changes that
we believe spell value now and strong future potential.
Fund performance also benefited substantially from the market's sweeping
merger and acquisition activity over the period. While we do not specifically
target stocks that are candidates for acquisition, consolidation within an
industry is a positive trend that can improve stock performance, and it is
one of the positive changes we use as a key selection criterion. During the
semiannual period, fund holdings in the oil industry, financial sector, and
telecommunications arena all experienced price increases because of actual
or impending mergers.
While the fund does not generally invest internationally, most of its
holdings are fundamentally strong large companies precisely because they have
globalized their operations in recent decades. Our research team can identify
companies with effective leaders who maintain profitability even amid adverse
conditions. With this selection process in place, conditions more favorable
to value stocks are helpful, but not essential, to the fund's successful
long-term performance.
- -----------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital growth and current income
- -----------------------------------------------------------------------------
PORTFOLIO
Primarily common stocks and convertible securities
- -----------------------------------------------------------------------------
NET ASSET VALUE
Class IA $29.18
Class IB $29.14
June 30, 1999
- -----------------------------------------------------------------------------
Putnam VT Health Sciences Fund
Despite a rising trend in worldwide spending on health care, health care
stocks endured a particularly challenging period over the first half of
1999. These stocks began 1999 at a low ebb, reflecting regulatory issues and
concerns about Medicare reimbursements. Then in April, U.S. investors began
to sell growth stocks and buy value-oriented, cyclical stocks to seek to
capture the economy's growth. Health care stocks were particularly vulnerable
to this market shift, especially Putnam VT Health Sciences Fund's large-
capitalization U.S. pharmaceutical holdings. We have taken steps to strengthen
the portfolio, and continue to believe in the long-term growth potential of
health-care stocks. For the six months ended June 30, 1999, the fund's class
IA and class IB shares provided total returns of -6.86% and -6.77%,
respectively, at net asset value.
In the first quarter of 1999, biotechnology and medical technology stocks
were the place to be as strong revenues and new-product approvals paved the
way for outperformance. The fund realized gains in both sectors, especially
from its position in a small laser vision company. The real story of the
first quarter, however, was the great decline in health services as a result
of low patient volumes and reimbursement cuts. Unlike their U.S. counterparts,
European and Japanese drug stocks outperformed.
In an effort to boost returns and inoculate the portfolio against market
turbulence, we reduced its weighting in health care services and U.S.
pharmaceuticals, while increasing weightings in biotech and global
pharmaceuticals. As the overall market continued to favor larger-
capitalization stocks, we increased concentrations there and among
issues of midsize companies.
When investors began their shift into value-oriented stocks, health care
investors began to buy health care service companies that had underperformed
year to date and fund holdings benefited from the change. Medtech and
biotech stocks continued to outperform, and toward the end of the period U.S.
pharmaceuticals stocks bounced back a bit.
Although the fund's performance this period has been somewhat disappointing,
some of the portfolio changes we have made have begun to bear fruit. Long-
term industry fundamentals of aging and new-product growth continue to make
us optimistic about future health stock performance.
- -----------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- -----------------------------------------------------------------------------
PORTFOLIO
Primarily common stocks of companies in the health sciences industries
- -----------------------------------------------------------------------------
NET ASSET VALUE
Class IA $10.19
Class IB $10.19
June 30, 1999
- -----------------------------------------------------------------------------
Investing in a single sector increases the possibility of greater price
fluctuations and does not provide the diversification of a multisector
investment.
Putnam VT High Yield Fund
After falling far behind higher-quality bonds during last summer's flight to
quality, the high-yield bond sector seems to be on the road to recovery;
progress made during the first half of 1999 brought Putnam VT High Yield
Fund into positive ground; its class IA and class IB shares posted total
returns of 3.92% and 3.90%, respectively, for the six months ended June 30,
1999.
High-yield bond investors have reason to be hopeful when reflecting over the
past six months. Investors have been taking profits on higher-quality
investments and accepting risk back into their portfolios. With improvement
in the emerging markets, high-yield spreads against Treasuries narrowed and
net cash flows into the high-yield asset class once again became positive.
During the second quarter of 1999, fears of higher interest rates -- and
initial reaction to the Federal Reserve Board's quarter-point increase in
short-term rates at the end of June -- depressed most bond sectors. High-
yield bonds fared marginally better, however, since returns on these
securities tend to be influenced as much by the financial health of the
issuers as by interest-rate movements.
During the first half of 1999, the fund's emphasis on the telecommunications
sector -- and the favorable climate for mergers and acquisitions that has
characterized this sector for some time -- made a positive contribution to
performance. An underweighting in the underperforming supermarket segment
also helped. On the negative side, an underweighting in the strong forest
products segment, along with the fund's health-care and energy exposures,
detracted from returns. Health-care issuers believed the effects of revised
Medicare reimbursement formulas squeezed cash flows, while the energy sector
was hurt by low oil prices and a warm winter. Toward the close of the
period, however, oil prices began to rise and high-yield energy bond
performance began to come back.
High-yield bonds appear to be fairly priced and while we anticipate some
spread tightening between high-yield and Treasury issues, we believe that
fund performance going forward will depend on individual security selection
rather than an overall market move.
- -----------------------------------------------------------------------------
INVESTMENT OBJECTIVE
High current income, with a secondary objective of capital appreciation
- -----------------------------------------------------------------------------
PORTFOLIO
Primarily high-yielding, lower-rated corporate bonds and notes
- -----------------------------------------------------------------------------
NET ASSET VALUE
Class IA $10.88
Class IB $10.88
June 30, 1999
- -----------------------------------------------------------------------------
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.
Putnam VT Income Fund*
During the first six months of 1999, the historic and pronounced global
flight to quality that took place in the summer and early fall of 1998
reversed itself quite dramatically. Putnam VT Income Fund's ability to
invest in several different types of fixed-income securities enabled us
to take advantage of some market opportunities, but we could not insulate
it completely from declines in other sectors. For the six months ended
June 30, 1999, the fund's class IA and class IB shares provided total
returns of -2.07% and -2.08%, respectively, at net asset value.
The U.S. economy continued to grow strongly throughout the period amid
stable prices, rising incomes, and low unemployment. The strong economy
generally helped bonds, but Treasuries registered some of their sharpest
losses in years. Although the bonds faced no fundamental problems, prices
fell from their 1998 fourth-quarter peaks; investment-grade corporate bonds
also struggled. At the same time, robust U.S. economic growth pushed market
interest rates higher in anticipation of a short-term interest-rate increase
by the Federal Reserve Board, which came on the last day of June.
In this environment, fixed-income spread sectors (mortgage-backed
securities, corporates, and asset-backed securities) significantly
outperformed U.S. Treasuries of comparable duration. Our sector
rotation strategy enabled the fund to participate somewhat in this
outperformance as we shifted assets to create modest overweight
positions in mortgage-backed securities, corporates, and asset-backed
securities.
However, as investor demand for higher-yielding, lower-quality bonds
increased, prices declined across all U.S. investment-grade sectors,
adversely affecting many fund holdings.
Early in the period the fund employed a modestly long duration, since we
began the semiannual period with the expectation that market volatility
that could push U.S. interest rates lower. Essentially the longer a fund's
duration, the more likely its net asset value will be positively affected by
a reduction in rates. When it became clear that rates were rising instead,
we moved quickly to reduce fund duration, but we could not prevent some
negative impact on performance.
We will continue to monitor the U.S. economy and interest rates, and we
remain confident that careful sector rotation, security selection, and
prudent risk control can help produce solid fund performance in the months
ahead.
*Formerly Putnam VT U.S. Government and High Quality Bond Fund.
- -----------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Current income consistent with preservation of capital
- -----------------------------------------------------------------------------
PORTFOLIO
Securities issued or backed by the full faith and credit of the U.S.
government or its agencies or instrumentalities plus corporate bonds rated A
or above
- -----------------------------------------------------------------------------
NET ASSET VALUE
Class IA $12.52
Class IB $12.52
June 30, 1999
- -----------------------------------------------------------------------------
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.
Putnam VT International Growth Fund
The first half of 1999 encompassed several significant international events;
namely, the introduction of the euro, the devaluation of the Brazilian
currency, rebounding Asian stock markets, and a powerful rally in Japanese
equities. While some international markets have enjoyed an amicable
atmosphere, others have faced many challenges. Deft stock selection and
asset allocation into certain countries and sectors at a fortuitous time
have enable Putnam VT International Growth Fund to weather this mixed
environment successfully. For the six months ended June 30, 1999, the fund's
class IA and class IB shares posted total returns of 12.35% and 12.29%,
respectively, at net asset value.
Our disciplined approach, which combines top-down and bottom-up analytic
strategies, generated outperformance through stock selection in Europe and
Asia. Among Asian markets, we increased the portfolio's weighting in
Japanese equities to approximately 20% of assets. Despite an economy that
remains stagnant, Japanese equities have recovered as many companies
undertake restructuring and other efforts to improve profitability and
shareholder value. Technology and telecommunications holdings have been top
Japanese performers. The fund also has a small position in the financial
sector, particularly in the asset management segment which should benefit as
Japan's aging population saves for retirement.
In Europe, the euro got off to a solid start in the currency markets, only
to fade as 1999 progressed. The euro's weakness hurt the returns of dollar-
based investments like the fund, although this effect was muted somewhat by
the fund's relatively lower exposure to euro-based markets. In the
semiannual period, we found opportunities among growing industries that
stand to benefit from global economic recovery. These tended to cluster in
consumer areas, with telecommunications, technology, and media holdings
turning in top performance. The portfolio remains underweight in U.K.
securities.
The emerging markets provided strong returns over the period, especially
among rebounding Latin American and Asian markets. We increased the fund's
exposure to these markets from near zero to approximately 8% over the
period, focusing largely on Mexico, Brazil, and South Korea. We also built
up a small position in China.
We plan to increase European holdings by focusing on exporters and
multinational companies that are well positioned to benefit from an
acceleration in global economic growth.
- -----------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- -----------------------------------------------------------------------------
PORTFOLIO
Common stocks of companies located outside of North America
- -----------------------------------------------------------------------------
NET ASSET VALUE
Class IA $15.19
Class IB $15.17
June 30, 1999
- -----------------------------------------------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations, economic instability, and political developments.
Putnam VT International Growth and Income Fund
The rotation away from highly valued growth stocks toward more economically
sensitive stocks has been quite beneficial for Putnam VT International
Growth and Income Fund. The fund's strategy to focus on "cheapness and
change" has always led to a portfolio of value-oriented stocks. Now stock
market investors around the world are seeing the wisdom of the strategy, and
these stocks are outperforming. For the six months ended June 30, 1999, the
fund's class IA and class IB shares logged impressive total returns of
13.48% at net asset value.
We build the portfolio from the bottom up, so country allocations are really
the result of the stocks we choose. Canada represented the largest overweight
position during the period, where we discovered a number of stocks that met
our criteria of cheapness and change. We added to the fund's position in the
United Kingdom, especially among utilities stocks, which have long
underperformed and now show improving fundamentals. We have also found
attractive opportunities in some of the emerging markets like Korea,
Argentina, Brazil, and Mexico.
The portfolio remains slightly underweight in Japan. Although the move
toward corporate restructuring by many Japanese companies sounds positive,
we must be certain that actions follow words. In addition, we are concerned
that corporate restructuring, while positive for shareholders, may hurt
Japan's overall economic environment and make it difficult for companies to
show profits.
The portfolio is also underweight in Europe, although we believe the outlook
there is positive. Many European commodity producers and industrial
companies have been operating in difficult environments and have made
significant operational changes. Should economic growth heat up as many
analysts expect, these companies could enjoy more pricing flexibility and
greater profitability.
Among sectors, fund performance benefited from a modest overweight position
in cyclically sensitive sectors like paper and energy. While we have taken
some profits among telecommunications holdings, the portfolio remains
overweight in that sector.
With its diversified portfolio of value stocks, the fund is well positioned
to provide the opportunity for strong performance in the months ahead.
- -----------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation, with a secondary objective of income
- -----------------------------------------------------------------------------
PORTFOLIO
Common stocks
- -----------------------------------------------------------------------------
NET ASSET VALUE
Class IA $13.89
Class IB $13.89
June 30, 1999
- -----------------------------------------------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations, economic instability, and political developments.
Putnam VT International New Opportunities Fund
The first six months of 1999 were marked by several significant
international events including the introduction of the euro, the devaluation
of the Brazilian currency, rebounding economies in Asia, and a powerful
rally in the Japanese equity market. Amid this generally favorable though
somewhat volatile environment, our strategy of identifying the fastest
growing international companies served Putnam VT International New
Opportunities Fund well. For the six months ended June 30, 1999, the fund's
class IA and class IB shares logged total returns of 19.54% and 19.52%,
respectively, at net asset value.
Despite the poor economic conditions prevailing in Japan, we continued
to find smaller Japanese companies in strong industries that have shown
the ability to increase their earnings. The technology and consumer products
sectors have been particularly fruitful. Technology was also a winning
sector among the fund's European holdings, as were rapidly growing companies
in the telecommunications, telecommunications equipment, and media
industries. We have identified a number of international companies in the
telecommunications and information technology industries that are
aggressively positioning themselves for the convergence of voice and data
communications on a common network, creating a cheaper and more efficient
telecommunications technology.
Emerging markets stabilized during the period and almost all markets
rebounded from their recent lows. Asian markets including Thailand,
Malaysia, and Indonesia have been real stars, and the Latin American
markets of Brazil and Mexico have also been strong. The surprising
resilience of the Brazilian economy in the wake of its devaluation in
January and South Korea's resurgence have removed some of the more
extreme sources of volatility from these markets. The fund has benefited
from its Brazilian and Mexican holdings, where we continue to invest in
companies with attractive long-term growth potential and quality
management teams.
As the demand for equity investments rises around the world and the quality
of those investments improves, more companies will go public, driving growth
and creating more opportunities for the fund. We will continue to rely on a
bottom-up, research-driven process to identify companies of any size that we
believe offer visible and sustainable high earnings growth and the potential
for future positive earnings revisions.
- -----------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Long-term capital appreciation
- -----------------------------------------------------------------------------
PORTFOLIO
Common stocks of companies principally traded outside the
United States
- -----------------------------------------------------------------------------
NET ASSET VALUE
Class IA $13.73
Class IB $13.72
June 30, 1999
- -----------------------------------------------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations, economic instability, and political developments. 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.
Putnam VT Investors Fund
The long advance of U.S. growth stocks halted briefly during the recent
spring, as continued economic strength and rising interest rates prompted
investors to shift assets into value-oriented cyclical stocks. Selling the
large-capitalization stocks which had led the market since 1994, investors
poured money into large-capitalization value stocks and mid- and small-cap
issues, areas that had previously lagged. Despite this market rotation away
from the stocks that dominate its portfolio, Putnam VT Investors Fund turned
in respectable performance. For the six months ended June 30, 1999, the
fund's class IA and class IB shares provided total returns of 9.79% at net
asset value.
The period began with continuing strength among large-cap growth stocks.
Communications, technology, financial, and energy sectors were market
leaders. In the first quarter of 1999, Internet and Internet-related
holdings drove fund performance. Telecommunications stocks also contributed
solid returns. Drug store and drug distribution holdings lagged as investors
moved into more economically sensitive sectors. In response, we trimmed many
of the fund's drug holdings, while selectively adding to some of the more
defensive and cyclical industries.
During the first half of the second quarter, investors initiated the shift
from growth to value. Unfortunately, higher valuation growth stocks like
those in this and other growth fund portfolios underperformed significantly.
Some of the fund's best-performing holdings during the early part of the
quarter were mid-cap technology stocks, while Internet stocks
underperformed. By the end of the quarter, however, growth stocks regained
their strength as reports of more benign economic and inflation data in May
changed market psychology.
Investors had worried that the Federal Reserve Board would post a string of
interest-rate increases during the period. But by the end of June, after a
single quarter-point rise, investors resumed a more positive outlook about
inflation and interest rates. During this period, we added to technology
and financial sector holdings, where prices had declined on earlier
interest-rate fears. In terms of performance, technology led the way,
with basic materials, capital goods, and consumer cyclicals holdings also
posting strong returns.
We continue to use a rigorous risk-management program to broaden the
portfolio's holdings while maintaining its focus on large and mid-
capitalization stocks.
- -----------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- -----------------------------------------------------------------------------
PORTFOLIO
Primarily high quality common stocks
- -----------------------------------------------------------------------------
NET ASSET VALUE
Class IA $12.79
Class IB $12.78
June 30, 1999
- -----------------------------------------------------------------------------
Putnam VT Money Market Fund
Over the first half of 1999, a relatively confident mood regarding economic
growth and inflation provided a favorable environment for money market
investors. Putnam VT Money Market Fund's recent performance reflects this
prevailing attitude. For the six months ended June 30, 1999, the fund's
class IA and class IB shares posted total returns of 2.29% and 2.20%,
respectively, at net asset value.
In general, the economy remains in a fairly solid position. Growth has
continued in most sectors at a steady, though not alarmingly fast, pace.
Although inflation has begun to notch mildly higher in recent months, we
still live predominantly in a deflationary world where many prices are
falling.
Successfully managing the fund over the first half of fiscal 1999 required
flexibility. The year began as the markets were still absorbing three cuts
in short-term interest rates in fairly rapid succession in the fall of 1998.
When the Fed began to lower rates, we had extended the portfolio's average
duration to help maintain the fund's income stream.
Toward the mid point of fiscal 1999, as it became clear that the Fed's
easing bias was ending, we pulled duration back to a more neutral stance.
The market increasingly looked for a reversal in Fed policy, a move that
came with a quarter-point increase in the federal funds rate on June 30,
1999, the final day of the period.
Throughout the period, we have redoubled efforts to maintain current income
while preserving capital and staying focused on investments of superior
quality. The fund has always made capital preservation and credit quality
top priorities, investing in a wide spectrum of superior quality money
market securities.
In the months ahead, we will continue to seek out opportunities to extend
portfolio duration in anticipation of the cyclical supply swell that
regularly occurs over the summer. At the same time, we will remain watchful
of credit quality and focused on preserving capital, continuing to implement
the conservative strategies that have served shareholders well thus far.
- -----------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Current income consistent with preservation of capital and maintenance of
liquidity
- -----------------------------------------------------------------------------
PORTFOLIO
Primarily high-quality money market instruments
- -----------------------------------------------------------------------------
NET ASSET VALUE
Class IA $1.00
Class IB $1.00
June 30, 1999
- -----------------------------------------------------------------------------
An investment in Putnam VT Money Market Fund, in which the fund invests, is
not insured or guaranteed by the Federal Deposit Insurance Corporation or
any other government agency. Although the fund seeks to preserve your
investment at $1.00 per share, it is possible to lose money by investing in
the fund. The fund's holdings do not match those in the Lipper average.
Yield data more closely reflect the current earnings of the fund.
Putnam VT New Opportunities Fund
The rapid shift in stock market leadership that occurred over the first half
of 1999 took its toll on all aggressive growth stock funds, and Putnam VT
New Opportunities Fund was no exception. The fund began the period with
large-capitalization growth stocks still in the lead, as they had been for
the past four years. Beginning in March, however, value stocks began to
surge forward, as investors saw opportunities to capitalize on economic
strength by investing in economically sensitive cyclical stocks. Fund
performance reflects this volatile environment. For the six months ended
June 30, 1999, the fund's class IA and class IB shares provided total
returns of 12.41% and 12.30%, respectively, at net asset value.
Early in the period, large-cap growth stocks continued to propel the U.S.
stock market to new highs. Portfolio holdings of these large rapidly
growing companies drove fund performance, with technology and media
holdings leading the way. Internet, communications equipment, storage, and
radio stocks were especially strong performers. Telecommunications holdings
also outperformed as these stocks responded positively to growing demand
for data and wireless services. Health care services and business
services holdings lagged.
Then toward the beginning of April, investors began to sell growth stocks
and buy value-oriented cyclical stocks. The market rotation occurred
quickly, and many of the fund's large-cap holdings underperformed.
Fortunately, the fund had some exposure to value stocks, primarily in the
industrial and transportation sectors. We also captured some positive
returns from holdings in telecommunication services and health care
services. Technology holdings turned in mixed returns but hurt performance
slightly overall. Biotechnology and pharmaceuticals holdings were also weak.
Although the Federal Reserve Board currently describes its monetary policy
as neutral, the interest-rate environment remains somewhat unclear. To be
sure, rates are now higher, but uncertainty about what lies ahead could
produce further market volatility. We will watch the interest-rate
environment closely, but we continue to believe in the long-term potential
of the fund's growth-oriented investment style.
- -----------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- -----------------------------------------------------------------------------
PORTFOLIO
Common stocks of companies in market sectors with above-average long-term
growth potential
- -----------------------------------------------------------------------------
NET ASSET VALUE
Class IA $28.90
Class IB $28.85
June 30, 1999
- -----------------------------------------------------------------------------
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.
Putnam VT New Value Fund
So far, 1999 has marked another year of expansion for the U.S. stock market.
The big story for Putnam VT New Value Fund, however, has been the shift in
investor sentiment from a long-standing bias toward large-capitalization
growth stocks to a new interest in the value stocks that form the backbone
of the fund's portfolio. Indeed, the focus on smaller, more dynamic
companies enabled the fund to capitalize on this trend and outperform over
the period. For the six months ended June 30, 1999, the fund's class IA and
class IB shares posted total returns of 14.39% at net asset value.
The first indications of the shift toward value-oriented stocks came in
February, when energy stocks started to rally in response to rising oil
prices. OPEC's March decision to reduce production gave another boost to
energy stocks, and then surprisingly strong first quarter earnings from
metals and paper companies precipitated the spread of the improving trend
to other value sectors. It appeared that the global economy was poised
for improvement that could translate into stronger demand for products
and services of previously out-of-favor value sectors. The value
investing surge was on.
The fund's numerous stock purchases last fall positioned it well to benefit
from the market's rise. We established unusually large overweightings in the
financial and technology sectors. Many of these stocks went on to outperform
the broad market. The fund also continued to benefit from the increasing
amount of merger and acquisition activity over the period. While we
do not buy stocks in anticipation of mergers, the discounted prices of the
fund's holdings make many of them natural targets for acquisition by
other companies. Two fund holdings were involved in mergers over the
period, and the fund realized profits on both transactions.
We remain optimistic that the trend toward value investing will continue
over the next several months. The valuation differences between growth
and other stocks remains extreme, and with expectations of increased
global economic activity, investors will be seeking ways to optimize
returns in this environment. Many cyclical companies have restructured
extensively and stand poised to benefit from an uptick in economic growth.
- -----------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Growth and current income
- -----------------------------------------------------------------------------
PORTFOLIO
Common stocks and fixed-income securities
- -----------------------------------------------------------------------------
NET ASSET VALUE
Class IA $13.53
Class IB $13.52
June 30, 1999
- -----------------------------------------------------------------------------
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.
Putnam VT OTC & Emerging Growth Fund
An acceleration in economic growth during the second quarter, both in the
United States and abroad, coupled with a sustained increase in interest
rates led to a dramatic shift in investor sentiment and a rapid, widespread
market rotation. The small-capitalization issues in which Putnam OTC &
Emerging Growth Fund invests realized some benefits from the change, and for
the six months ended June 30, 1999, the fund's class IA and class IB shares
provided total returns of 18.14% and 18.25%, respectively, at net asset
value.
At the start of the period, large cap growth stocks continued to lead the
U.S. equity market's advance. Then, in April, stronger-than-expected
economic data and growing concern about an impending increase in short-term
interest rates (which came on the last day of June) led investors to change
course to favor the economically sensitive cyclical stocks they believed had
the best future performance potential. Unfortunately, the fund is typically
underweighted in value-oriented sectors such as financial and industrials,
and these were the stocks that outperformed over the past several months.
The rise in interest rates was the biggest negative of the period, and this
led to large valuation corrections in the most highly priced growth stocks.
Overall, the fund's difficulties can be attributed to weaknesses in the four
sectors where the portfolio is overweighted: technology, telecommunications,
media, information technology (IT) services. The fund had a significant
position in Internet stocks, and these corrected sharply.
Going forward, we remain positive about prospects for emerging growth
companies. As the Internet evolves, it continues to create new investment
opportunities. In addition, the U.S. stock market advance appears to be
broadening, which could eventually favor the small-cap stocks in which
the fund invests. Over the short term, rising interest rates could keep
pressure on aggressive growth stocks, but we are confident that strong
fundamentals will be the catalyst to return investor interest to these stocks.
- -----------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Above-average growth potential
- -----------------------------------------------------------------------------
PORTFOLIO
Common stocks primarily of small to medium-size emerging growth companies
- -----------------------------------------------------------------------------
NET ASSET VALUE
Class IA $11.92
Class IB $11.92
June 30, 1999
- -----------------------------------------------------------------------------
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.
Putnam VT Research Fund
The first year of operation can be a challenging time for any fund, and
these past nine months have been no exception. Over this period, U.S.
equities continued to move higher, with the Dow Jones Industrial Average
charting new territory in May. At the same time, market leadership shifted
dramatically, as cyclical, economically sensitive value stocks shunted
large-capitalization growth stocks aside to outperform during 1999's second
quarter. With its diversified portfolio of growth and value stocks, Putnam
VT Research Fund fared well over the period, its class IA and class IB
shares posting total returns of 12.20% and 12.31%, respectively, at net
asset value for the six months ended June 30, 1999.
Stock selection was the top contributor to fund performance over the period.
The fund remained style-neutral, owning both growth and value stocks. The
fund also avoided large sector bets, focusing instead on bottom-up stock
analysis and including the best ideas of each Putnam global equity research
analyst.
Modest sector over- and underweightings, which resulted from our bottom-up
practice, detracted from overall performance. On the other hand, an
orientation toward smaller-capitalization and lower valuation stocks versus
the Standard & Poor's 500 Index, which also resulted from our stock
selection process, helped performance. The telecommunications and technology
sectors provided the best-performing stocks, and holdings in basic
materials, capital goods, and utilities were also strong. Selected
technology stock detracted from returns, while performance benefited from
the absence of certain large growth stocks that significantly lagged the
market.
We remain optimistic about the fund's prospects in the months ahead. The
overall economic environment remains strong, with inflation relatively low.
While rising interest rates may contribute to volatility over the short
term, we believe the collected expertise of nearly four dozen industry
analysts is a solid long-term strategy for success.
- -----------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- -----------------------------------------------------------------------------
PORTFOLIO
Common stocks and fixed-income securities
- -----------------------------------------------------------------------------
NET ASSET VALUE
Class IA $13.27
Class IB $13.25
June 30, 1999
- -----------------------------------------------------------------------------
Putnam VT Small Cap Value Fund
Because Putnam VT Small Cap Value Fund was introduced just two months before
the close of the semiannual period, the performance data shown in this
report are not necessarily representative of its longer-term performance.
However, the new fund's strategy of seeking out the long-term growth
potential of small companies has long been employed successfully with
competitive results.
The fund uses a value-oriented stock selection process designed to limit
volatility by emphasizing companies with qualities of "cheapness and
change." The investment process begins with a screening of the Russell 2000
Index of small-capitalization equities to identify stocks that have below-
average price/earnings multiples and are priced below their long-term
business value.
Small companies can sometimes enjoy higher rates of growth than large
companies but also tend to be more volatile. Their stocks may trade less
frequently and they tend to have more limited product lines and markets. To
manage risk, the fund's managers invest in equities they believe are
underpriced relative to their earnings, since they carry less risk of being
overpriced and tend to be less sensitive to general market volatility.
Applying Putnam's extensive research capabilities, the managers seek out
overlooked small companies with solid growth, seeking to find growing
companies before they gain recognition and their stock prices rise. They
also seek companies undertaking positive changes to improve stock
performance.
After finding companies that meet these valuation criteria, the management
team conducts fundamental analysis by examining financial statements and
talking with company executives. The team then selects the companies it
considers most likely to experience improved stock performance.
- -----------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- -----------------------------------------------------------------------------
PORTFOLIO
Common stocks of small-capitalization companies with potential for above-
average capital growth
- -----------------------------------------------------------------------------
NET ASSET VALUE
Class IA $10.99
Class IB $10.99
June 30, 1999
- -----------------------------------------------------------------------------
The fund invests all or a portion of its assets in small to medium-sized
companies. Such investments increase the risk of greater price fluctuations.
Putnam VT Utilities Growth and Income Fund
Managing a portfolio of utility companies has become vastly more complex
than it was only a few years ago. Deregulation, mergers and acquisitions,
and technology have changed the landscape, both literally and figuratively.
Fortunately, we can draw on Putnam's extensive global equity research
capability to supplement our expertise and assist in understanding the
investment implications of these monumental changes. Putnam VT Utilities
Growth and Income Fund continues to provide attractive dividends, and for
the six months ended June 30, 1999, the fund's class IA and class IB
shares provided total returns of 3.26% and 3.25%, respectively, at net
asset value.
While the broader stock market averages continued to set new highs over the
period, utility stocks as a group lagged, reflecting their conservative
nature. Utility stocks, however, remain undervalued relative to the general
market. We believe that positive financial news from numerous utilities and
the sweeping transformation of the industry as a whole position many of
these stocks for significant price appreciation.
As the utility industry has changed shape, we have adapted our investment
strategies to maximize the fund's performance in the new environment. In the
past, when all utility companies looked quite similar, our goal was to
diversify the fund's portfolio to emphasize companies that seemed most
likely to raise dividends or to get more rate relief than the competition.
Recently, many gas and electric utility companies have begun divesting
some assets, acquiring others, forming alliances, or capitalizing on a
particular expertise to specialize in one area of the utility industry.
Some utilities have begun to acquire operations in other parts of the
country, or even to expand internationally. Today, our goal is to balance
the fund's portfolio to benefit from the utilities' different business
strategies.
The fund is currently more than 90% invested in utility stocks because we
believe they offer extreme value at present. The remaining 10% is invested
in high-quality bonds issued by utility companies, a position that further
enhances dividends. We are confident that this concentration will benefit
shareholders in the coming months.
- -----------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital growth and current income
- -----------------------------------------------------------------------------
PORTFOLIO
Common stocks and bonds issued by public utility companies
- -----------------------------------------------------------------------------
NET ASSET VALUE
Class IA $17.64
Class IB $17.64
June 30, 1999
- -----------------------------------------------------------------------------
Investing in a single sector increases the possibility of greater price
fluctuations and does not provide the diversification of a multisector
investment.
Putnam VT Vista Fund
The U.S stock market continued to perform well over the first half of 1999,
although market leadership turned around completely. During the first
quarter, the large-capitalization growth stocks that have led the market for
a year kept their position. Then, strong U.S. economic data, stabilizing
international economies, and investor concerns about rising interest rates
precipitated a shift toward value investing. The cyclical, economically-
sensitive stocks that had underperformed became investor favorites and began
to outperform their growth stock counterparts. With its growth bias and
focus on mid-cap companies, Putnam VT Vista Fund fared moderately well over
the period, as strong returns during the first quarter and June helped
offset a bumpy ride in the middle. For the six months ended June 30, 1999,
the fund's class IA and class IB shares tallied total returns of 12.77% and
12.63%, respectively, at net asset value.
Despite a strong first-quarter bias toward "mega-cap" growth stocks and
Internet-related issues, the fund turned in respectable performance during
the first quarter of 1999. In terms of style, our growth bias certainly
benefited fund performance during the quarter, as did overweight positions
in the technology, media, and telecommunications services sectors. We also
had some outstanding performers in the financial and consumer sectors. Our
challenges included a few poor-performing health care and manufacturing
stocks.
As value investing came to the forefront in April and May, the fund had a
difficult time, like most of its growth-oriented brethren. Basic industries,
other cyclicals, and energy were the best-performing sectors -- not typically
important sectors for growth funds like this one. However, the fund did have
some representation in these areas for portfolio diversification, and we had
recently added to these holdings. Unfortunately, these positions did not
offset underperformance among consumer cyclicals, technology, and health
care holdings. In June, the fund benefited from superior stock selection in
technology and utilities. The strength in utilities reflected the shift
toward slower growth and more value-oriented stocks.
Our disciplined approach to stock selection and risk management is designed
to deliver consistent results over time. Today's current bias toward value
investing may hamper short-term returns somewhat, but we continue to believe
in the long-term performance potential of the fund's strategy.
- -----------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- -----------------------------------------------------------------------------
PORTFOLIO
Common stocks with potential for above-average capital growth
- -----------------------------------------------------------------------------
NET ASSET VALUE
Class IA $16.60
Class IB $16.59
June 30, 1999
- -----------------------------------------------------------------------------
The fund invests all or a portion of its assets in small to medium-size
companies. Such investments increase the risk of greater price fluctuations.
Putnam VT Voyager Fund
Effective stock selection and ample diversification helped Putnam VT Voyager
Fund navigate a rapidly changing market over the past six months. For the six
months ended June 30, 1999, the fund's class IA and class IB shares delivered
total returns of 14.54% and 14.46%, respectively, at net asset value.
After more than a year of narrow market performance dominated by the stocks
of large, growth-oriented companies, the market broadened in the first half
of 1999, improving returns for some of 1998's most neglected sectors. The
return of stability to global markets and the strength of corporate profits
at home coaxed investors back into a number of previously overlooked
sectors. In fact, some of the best-performing stocks during the second
quarter of 1999 were those which had been hardest hit in 1998. They included
oil-related stocks and cyclical stocks. Likewise, many of last year's top
performers gave back their gains.
The fund's strong performance over the period was primarily the result of
our stock selection in the technology, media, and specialty retail sectors.
Although many Internet-related stocks suffered setbacks in the last three
months of the period, the gains for the full six-month period remained
strong. Nevertheless, the fund's Internet strategy is broad, extending to
semiconductor makers and companies building infrastructure to facilitate the
flow of data around the world.
The Internet's growth and proliferation of wireless communications have also
benefited radio, television, and billboard companies as purveyors of the new
technologies have turned to these media to market their new products and
services. Fund media holdings have shared in the gains. The fund's retail
holdings have also been strong, especially specialty chains offering both
volume and discounts -- two recent consumer favorites.
With any portfolio there are bound to be disappointments from time to time.
Among those that detracted from fund performance during the period were
stocks in the health care field, which were negatively affected by
legislative proposals aimed at reducing Medicare costs.
Although we expect volatility in certain segments of the market, we are
optimistic about the overall economic backdrop. Your fund's ability to take
advantage of opportunities in a number of areas should continue to serve
it well.
- -----------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- -----------------------------------------------------------------------------
PORTFOLIO
Stocks of "emerging growth" companies with significant growth potential and
established companies with positive growth prospects
- -----------------------------------------------------------------------------
NET ASSET VALUE
Class IA $47.96
Class IB $47.89
June 30, 1999
- -----------------------------------------------------------------------------
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.
<TABLE>
Putnam VT Asia Pacific Fund
Portfolio of investments owned
June 30, 1999 (Unaudited)
<CAPTION>
COMMON STOCKS (91.2%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Australia (8.1%)
....................................................................................................
201,600 Amcord Ltd. $1,126,716
....................................................................................................
138,400 Australia & New Zealand Banking
Group Ltd. (NON) 1,023,196
....................................................................................................
148,420 Broken Hill Proprietary Ltd. 1,728,536
....................................................................................................
44,100 Cable & Wireless Optus Ltd. (NON) 100,959
....................................................................................................
213,100 Cable & Wireless Optus Ltd. 144A (NON) 487,854
....................................................................................................
315,882 Coles Myer Ltd. (NON) 1,847,829
....................................................................................................
58,852 Commonwealth Bank of Australia 941,942
....................................................................................................
71,501 News Corp. Ltd. ADR 2,524,879
....................................................................................................
75,805 News Corporation Ltd. (The) 650,278
....................................................................................................
189,500 Western Mining Co. Ltd. (NON) 818,469
- ----------------------------------------------------------------------------------------------------
11,250,658
- ----------------------------------------------------------------------------------------------------
China (0.2%)
....................................................................................................
1,030,000 Shandong International Power
Development Co. Ltd. 232,335
- ----------------------------------------------------------------------------------------------------
Hong Kong (13.3%)
....................................................................................................
22,166 Asia Pulp & Paper Co. Ltd. 213,348
....................................................................................................
231,000 Cathey Life Insurance 829,854
....................................................................................................
929,000 Cathey Pacific Airways 1,424,957
....................................................................................................
165,000 Cheung Kong Holdings 1,467,480
....................................................................................................
462,000 China Telecom Ltd. (NON) 1,283,302
....................................................................................................
598,000 First Pacific Ltd. (NON) 508,726
....................................................................................................
97,300 Hang Seng Bank Ltd. 1,087,981
....................................................................................................
201,000 Henderson Land
Development Co. Ltd. (R) 1,155,500
....................................................................................................
27,800 Hong Kong and China Gas Co., Ltd. 40,312
....................................................................................................
321,600 Hong Kong Telecommunications Ltd. (NON) 835,276
....................................................................................................
242,000 Hutchison Whampoa, Ltd. (NON) 2,191,294
....................................................................................................
369,000 Johnson Electric Holdings Ltd. 1,522,003
....................................................................................................
712,000 Legend Holdings Ltd. 683,715
....................................................................................................
442,000 Li & Fung Ltd. 1,059,679
....................................................................................................
224,000 New World Development Co. Ltd. 671,290
....................................................................................................
1,000 South China Morning Post Ltd. 561
....................................................................................................
168,000 Sun Hung Kai Properties Ltd. 1,532,056
....................................................................................................
504,000 Wharf (Holdings) Ltd (NON) 1,572,117
....................................................................................................
149,000 Wing Hang Bank Ltd. 479,177
- ----------------------------------------------------------------------------------------------------
18,558,628
- ----------------------------------------------------------------------------------------------------
Indonesia (0.7%)
....................................................................................................
304,000 PT Indofood Sukses (NON) 424,922
....................................................................................................
919,000 PT Telekomunikasi Indonesia 546,617
- ----------------------------------------------------------------------------------------------------
971,539
- ----------------------------------------------------------------------------------------------------
Japan (43.1%)
....................................................................................................
500 Asahi Bank Ltd. 2,398
....................................................................................................
1,800 Bellsystem 24 Inc. 735,924
....................................................................................................
21,300 Benesse Corp. 2,315,792
....................................................................................................
44,000 Canon Inc. (NON) 1,265,978
....................................................................................................
468 DDI Corp. 2,919,860
....................................................................................................
62,000 Daiwa House Industry Co. Ltd. 652,551
....................................................................................................
13,300 Data Communication System 527,821
....................................................................................................
34,000 Eisai Co. Ltd. (NON) 670,442
....................................................................................................
5,200 Fancl Corp. 945,845
....................................................................................................
228,000 Fujitsu Ltd. (NON) 4,590,161
....................................................................................................
2,800 Hikari Tsushin, Inc. 865,812
....................................................................................................
49,000 Honda Motor Co., Ltd. (NON) 2,078,297
....................................................................................................
22,000 Hoshiden Corp. 474,742
....................................................................................................
33,000 INES Corp. 431,087
....................................................................................................
22,000 KAO Corp. 618,437
....................................................................................................
1,500 KDD Corp. 107,772
....................................................................................................
18,300 Kita Kyushu Coca-Cola Bottling 1,040,959
....................................................................................................
15,800 Mabuchi Motor 1,469,616
....................................................................................................
163,000 Matsushita Electric Industrial Co. (NON) 3,167,011
....................................................................................................
69,000 Meiji Seika Kaisha Ltd. (NON) 386,217
....................................................................................................
233,000 Mitsubishi Trust and Banking Corp. 2,265,465
....................................................................................................
41,500 Mitsumi Electric Company, Ltd. 1,159,735
....................................................................................................
55,000 Murata Manufacturing Co. Ltd. 3,619,678
....................................................................................................
16,000 N I C Corp. 542,373
....................................................................................................
777,000 Nikko Securities Co. Ltd. (NON) 5,017,255
....................................................................................................
9,400 Nippon Systemware Co., Ltd. 559,570
....................................................................................................
125 Nippon Telegraph and Telephone Corp. 1,457,214
....................................................................................................
2,480 Nippon Television Network Corp. 1,025,217
....................................................................................................
22,000 Nissin Food Products Co., Ltd. 536,585
....................................................................................................
18,600 Promise Co., Ltd. 1,099,545
....................................................................................................
10,200 Rohm Co. Ltd. 1,598,098
....................................................................................................
75,000 Shin-Etsu Chemical Co. 2,511,368
....................................................................................................
79,000 Shiseido Co., Ltd. 1,184,837
....................................................................................................
16,400 Sony Corp. 1,769,492
....................................................................................................
49,446 Sumitomo Corp. 361,800
....................................................................................................
3,000 Takefuji Corp. 310,294
....................................................................................................
9,000 TDK Corp. (NON) 823,729
....................................................................................................
179,000 Teijin Ltd. 725,176
....................................................................................................
27,000 Tokyo Electric Power Co. 570,360
....................................................................................................
430,000 Toshiba Corp. 3,068,127
....................................................................................................
11,300 Trans Cosmos Inc. 822,158
....................................................................................................
4,000 Trend Micro Inc. 674,659
....................................................................................................
86,000 Yamanouchi Pharmaceutical Co., Ltd. 3,292,104
- ----------------------------------------------------------------------------------------------------
60,261,561
- ----------------------------------------------------------------------------------------------------
Malaysia (1.0%)
....................................................................................................
505,000 Public Bank Berhad 384,116
....................................................................................................
187,000 Telekom Malaysia 698,881
....................................................................................................
161,000 Tenaga Nasional Berhad 370,772
- ----------------------------------------------------------------------------------------------------
1,453,769
- ----------------------------------------------------------------------------------------------------
Philippines (0.9%)
....................................................................................................
23,000 Bank of Philippine Islands 82,424
....................................................................................................
53,000 Bank of Philippine Islands 144A 189,934
....................................................................................................
1,678,100 Benpres Holdings Corp. (NON) 397,968
....................................................................................................
1,090,000 SM Prime Holdings Inc. 247,009
....................................................................................................
150,700 San Miguel Corp. 329,594
- ----------------------------------------------------------------------------------------------------
1,246,929
- ----------------------------------------------------------------------------------------------------
Singapore (6.6%)
....................................................................................................
68,000 City Development 436,000
....................................................................................................
119,000 Cycle & Carriage Ltd. 686,000
....................................................................................................
114,000 Datacraft Asia Ltd. 483,960
....................................................................................................
134,000 Development Bank of Singapore Ltd. 1,639,529
....................................................................................................
109,000 Fraser & Neave Ltd. 484,088
....................................................................................................
434,000 Keppel Bank 965,012
....................................................................................................
97,000 Keppel Corp. Ltd. 330,941
....................................................................................................
77,400 Keppel Land Ltd. 145,694
....................................................................................................
52,000 Overseas Chinese Banking Corp. 434,353
....................................................................................................
39,000 Singapore Press Holdings Ltd. 665,294
....................................................................................................
385,500 Venture Manufacturing Ltd. 2,970,618
- ----------------------------------------------------------------------------------------------------
9,241,489
- ----------------------------------------------------------------------------------------------------
South Korea (9.1%)
....................................................................................................
20,100 Housing & Commercial Bank GDR (NON) 633,823
....................................................................................................
27,000 Kookmin Bank 144A GDR 548,164
....................................................................................................
37,500 Korea Electric Power Corp. 1,558,315
....................................................................................................
22,700 Korea Telecom Corp. ADR (NON) 908,000
....................................................................................................
10,700 Korea Telecom Corp. 709,944
....................................................................................................
26,100 L.G. Chemical Ltd. 710,281
....................................................................................................
11,000 L.G. Electronics 304,104
....................................................................................................
11,710 Pohang Iron & Steel Company, Ltd. 1,406,768
....................................................................................................
29,400 Samsung Corp. (NON) 690,868
....................................................................................................
36,900 Samsung Display GDR 144A 470,475
....................................................................................................
18,843 Samsung Electronics 2,067,475
....................................................................................................
15,600 Samsung Securities Co. Ltd. 835,594
....................................................................................................
4,471 Samsung Securities Co. Ltd. Rights
(expiration date 7/15/99) 11,123
....................................................................................................
46,240 Shinhan Bank 519,326
....................................................................................................
43,000 SK Telecom Co., Ltd. ADR 731,000
....................................................................................................
25,500 Ssangyong Oil Refining Co. Ltd. 660,907
- ----------------------------------------------------------------------------------------------------
12,766,167
- ----------------------------------------------------------------------------------------------------
Taiwan (5.2%)
....................................................................................................
22,100 Ase Test Limited 475,150
....................................................................................................
1,320,000 Bank Sinopac 919,789
....................................................................................................
609,000 China Steel 460,419
....................................................................................................
459,000 Far Eastern Textile Ltd. 682,316
....................................................................................................
74,000 Hon Hai Precision Industry 669,186
....................................................................................................
193,000 President Chain Store Corp. 654,491
....................................................................................................
336,000 Siliconware Precision Industries Co. GDR 639,950
....................................................................................................
536,810 Taiwan Semiconductor Manufacturing Co. 2,053,144
....................................................................................................
351,900 United Microelectronics Corp. 757,419
- ----------------------------------------------------------------------------------------------------
7,311,864
- ----------------------------------------------------------------------------------------------------
Thailand (2.1%)
....................................................................................................
30,000 Advanced Info Service Public Co. Ltd. 407,056
....................................................................................................
143,000 Bangkok Bank Public Co. Ltd. 535,522
....................................................................................................
19,600 Siam Cement Public Company Ltd. (The) 595,712
....................................................................................................
536,100 Siam Commercial Bank Public Co. Ltd. 763,779
....................................................................................................
185,200 Total Access Communication
Public Co. Ltd. 592,640
- ----------------------------------------------------------------------------------------------------
2,894,709
- ----------------------------------------------------------------------------------------------------
United Kingdom (0.7%)
....................................................................................................
27,273 HSBC Holdings PLC 994,852
- ----------------------------------------------------------------------------------------------------
United States (0.2%)
....................................................................................................
351,600 National Financial Insurance 212,296
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $99,577,584) $127,396,796
- ----------------------------------------------------------------------------------------------------
UNITS (1.1%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Units Value
....................................................................................................
26,000 Development Bank of Singapore Structured
Warrants expiration 3/23/00 (Issued by
Lehman Brothers Finance S.A.) (Singapore) $278,434
....................................................................................................
5,100 Korea Telecom Corp. Structured Note
(Issued by Merrill Lynch & Co., Inc.)
3s, 2000 (South Korea) 345,168
....................................................................................................
36,000 Overseas Chinese Banking Corp.
Structured Note (Issued by
Credit Suisse First Boston) zero %,
2000 (Singapore) 274,320
....................................................................................................
35,000 Overseas Chinese Banking Corp. ser. D
Structured Note (issued by Credit
Suisse First Boston) zero %, 2000 (Singapore) 266,700
....................................................................................................
26,000 Overseas Chinese Banking Corp.
Structured Note (Issued by Merrill
Lynch & Co., Inc.) 3s, 2000 (Singapore) 202,064
....................................................................................................
28,600 Oversea Chinese Banking Corp. Structured
Warrants expiration 3/23/00 (Issued by
Lehman Brothers Finance S.A.) (Singapore) 218,770
- ----------------------------------------------------------------------------------------------------
Total Units(cost $1,088,351) $1,585,456
- ----------------------------------------------------------------------------------------------------
WARRANTS (0.2%) (a) (cost $--) (NON)
- ----------------------------------------------------------------------------------------------------
Number of Warrants Expiration Date Value
....................................................................................................
533,400 Siam Commercial Banks 5/10/02 343,779
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $100,665,935) (b) $129,326,031
- ----------------------------------------------------------------------------------------------------
The fund had the following industry group concentrations greater than
10% at June 30, 1999 (as a percentage of market value).
Electronics and Electrical Equipment 25.5%
Insurance and Finance 18.6
- ----------------------------------------------------------------------------------------------------
See page 124 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT Diversified Income Fund
Portfolio of investments owned
June 30, 1999 (Unaudited)
<CAPTION>
CORPORATE BONDS AND NOTES (45.2%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
<S> <C> <C> <C> <C>
Advertising (0.9%)
....................................................................................................
$500,000 Adams Outdoor Advertising sr. notes
10 3/4s, 2006 $535,000
....................................................................................................
2,915,000 Lamar Advertising Co. company
guaranty 8 5/8s, 2007 2,958,725
....................................................................................................
350,000 Lamar Advertising Co. sr. sub. notes
9 5/8s, 2006 358,750
....................................................................................................
1,200,000 Outdoor Communications Inc. sr. sub.
notes 9 1/4s, 2007 1,263,000
....................................................................................................
500,000 Outdoor Systems, Inc. company
guaranty 8 7/8s, 2007 522,500
- ----------------------------------------------------------------------------------------------------
5,637,975
- ----------------------------------------------------------------------------------------------------
Aerospace and Defense (0.9%)
....................................................................................................
380,000 Argo-Tech Corp. company guaranty
Ser. D, 8 5/8s, 2007 351,500
....................................................................................................
220,000 Argo-Tech Corp. company guaranty
8 5/8s, 2007 203,500
....................................................................................................
680,000 Aviation Sales Co. company guaranty
8 1/8s, 2008 639,200
....................................................................................................
230,000 BE Aerospace, Inc. sr. sub. notes
9 1/2s, 2008 233,450
....................................................................................................
1,250,000 BE Aerospace, Inc. sr. sub. notes
Ser. B, 8s, 2008 1,168,750
....................................................................................................
1,240,000 Decrane Aircraft Holdings company
guaranty Ser. B, 12s, 2008 1,246,200
....................................................................................................
255,000 K&F Industries, Inc. sr. sub. notes
Ser. B, 9 1/4s, 2007 251,175
....................................................................................................
250,000 L-3 Communications Corp. sr. sub.
notes Ser. B, 10 3/8s, 2007 263,750
....................................................................................................
340,000 L-3 Communications Corp. sr. notes
9 1/8s, 2008 334,475
....................................................................................................
320,000 L-3 Communications Corp. sr. sub.
notes 8 1/2s, 2008 315,200
....................................................................................................
400,000 L-3 Communications Corp. company
guaranty Ser. B, 8s, 2008 381,000
....................................................................................................
400,000 Sequa Corp. sr. sub. notes 9 3/8s, 2003 406,000
- ----------------------------------------------------------------------------------------------------
5,794,200
- ----------------------------------------------------------------------------------------------------
Agriculture (--%)
....................................................................................................
355,312 Premium Standard Farms, Inc. sr. sec.
notes 11s, 2003 (PIK) 326,887
- ----------------------------------------------------------------------------------------------------
Airlines (0.6%)
....................................................................................................
390,000 Calair LLC 144A company guaranty
8 1/8s, 2008 364,650
....................................................................................................
680,000 Canadian Airlines Corp. secd. notes
10s, 2005 (Canada) 503,200
....................................................................................................
470,000 Canadian Airlines Corp. sr. notes
12 1/4s, 2006 (Canada) 188,000
....................................................................................................
860,000 Cathay International Ltd. 144A sr. notes
13s, 2008 (China) 318,200
....................................................................................................
315,000 Trans World Airlines, Inc. sr. notes
11 1/2s, 2004 271,294
....................................................................................................
1,010,000 Trans World Airlines, Inc. sr. notes
11 3/8s, 2006 565,600
....................................................................................................
1,770,000 US Air Inc. pass-through certificates
Ser. 93-A2, 9 5/8s, 2003 1,808,958
- ----------------------------------------------------------------------------------------------------
4,019,902
- ----------------------------------------------------------------------------------------------------
Apparel (0.3%)
....................................................................................................
780,000 Fruit of the Loom 144A company
guaranty 8 7/8s, 2006 674,700
....................................................................................................
830,000 Guess Jeans, Inc. sr. sub. notes 9 1/2s, 2003 834,150
....................................................................................................
265,000 William Carter Holdings Co. sr. sub.
notes Ser. A, 12s, 2008 272,950
- ----------------------------------------------------------------------------------------------------
1,781,800
- ----------------------------------------------------------------------------------------------------
Automotive (0.5%)
....................................................................................................
770,000 Dura Operating Corp. 144A sr. sub.
notes 9s, 2009 739,200
....................................................................................................
1,842,109 Exide Inc. bank term loan, Ser. B,
7 3/4s, 2005 1,839,751
....................................................................................................
500,000 Oxford Automotive, Inc. company
guaranty Ser. D, 10 1/8s, 2007 500,625
....................................................................................................
380,000 Transportation Manufacturing
Operations Inc. 144A company guaranty
11 1/4s, 2009 380,000
- ----------------------------------------------------------------------------------------------------
3,459,576
- ----------------------------------------------------------------------------------------------------
Automotive Parts (0.7%)
....................................................................................................
240,000 Aftermarket Technology Corp. sr. sub.
notes 12s, 2004 250,200
....................................................................................................
2,060,000 Federal Mogul Corp. 144A notes
7 3/8s, 2006 1,938,769
....................................................................................................
910,000 Hayes Lemmerz International, Inc.
144A company guaranty 8 1/4s, 2008 864,500
....................................................................................................
590,000 Lear Corp. sub. notes 9 1/2s, 2006 644,575
....................................................................................................
1,200,000 Navistar International Corp. sr. notes
Ser. B, 8s, 2008 1,182,000
- ----------------------------------------------------------------------------------------------------
4,880,044
- ----------------------------------------------------------------------------------------------------
Banks (0.7%)
....................................................................................................
695,000 Chevy Chase Savings Bank Inc. sub. deb.
9 1/4s, 2005 703,688
....................................................................................................
DKK 2,839,000 Bank Realkredit Danmark mortgage
7s, 2029 (Denmark) 396,661
....................................................................................................
290,000 Delta Financial Corp. sr. notes
9 1/2s, 2004 249,400
....................................................................................................
460,000 Dime Capital Trust I bank guaranty
Ser. A, 9.33s, 2027 478,492
....................................................................................................
350,000 First Federal Financial Corp. notes
11 3/4s, 2004 358,750
....................................................................................................
460,000 Greenpoint Capital Trust I company
guaranty 9.1s, 2027 462,760
....................................................................................................
250,000 North Fork Capital Trust I company
guaranty 8.7s, 2026 247,713
....................................................................................................
160,000 Ocwen Capital Trust I company
guaranty 10 7/8s, 2027 124,800
....................................................................................................
260,000 Ocwen Federal Bank FSB sub. deb.
12s, 2005 254,800
....................................................................................................
155,000 Ocwen Financial Corp. notes
11 7/8s, 2003 146,475
....................................................................................................
300,000 Peoples Heritage Capital Trust
company guaranty Ser. B, 9.06s, 2027 284,799
....................................................................................................
365,000 Provident Capital Trust company
guaranty 8.6s, 2026 352,612
....................................................................................................
160,000 Riggs Capital Trust 144A bonds
8 5/8s, 2026 151,157
....................................................................................................
245,000 Sovereign Capital Trust company
guaranty 9s, 2027 236,572
....................................................................................................
220,000 Webster Capital Trust I 144A bonds
9.36s, 2027 215,376
- ----------------------------------------------------------------------------------------------------
4,664,055
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (0.4%)
....................................................................................................
240,000 Koppers Industries, Inc. 144A company
guaranty 9 7/8s, 2007 234,000
....................................................................................................
350,000 Owens-Illinois, Inc. sr. notes 8.1s, 2007 347,827
....................................................................................................
750,000 Owens-Illinois, Inc. sr. notes 7.35s, 2008 707,790
....................................................................................................
1,150,000 Owens-Illinois, Inc. sr. notes 7.15s, 2005 1,105,587
....................................................................................................
115,000 Roller Bearing Co. company guaranty
Ser. B, 9 5/8s, 2007 106,950
- ----------------------------------------------------------------------------------------------------
2,502,154
- ----------------------------------------------------------------------------------------------------
Broadcasting (4.7%)
....................................................................................................
1,440,000 Affinity Group Holdings sr. notes
11s, 2007 1,396,800
....................................................................................................
1,710,000 Allbritton Communications Co. sr. sub.
notes Ser. B, 8 7/8s, 2008 1,645,875
....................................................................................................
10,795 Australis Media, Ltd. sr. disc. notes
stepped-coupon 1 3/4s, (15 3/4s
5/15/00), 2003 (In default)
(Australia) (STP) (PIK) 108
....................................................................................................
1,870,000 Benedek Communications Corp.
sr. disc. notes stepped-coupon zero %
(13 1/4s, 5/15/01), 2006 (STP) 1,561,450
....................................................................................................
820,000 Capstar Broadcasting sr. disc. notes
stepped-coupon zero % (12 3/4s,
2/1/02), 2009 (STP) 692,900
....................................................................................................
980,000 Capstar Broadcasting sr. sub. notes
9 1/4s, 2007 1,013,075
....................................................................................................
994,975 Capstar Broadcasting Corp., bank term
loan, 4.999s, 2005 997,462
....................................................................................................
190,000 Central European Media Enterprises
Ltd. sr. notes 9 3/8s, 2004 (Bermuda) 163,400
....................................................................................................
2,600,000 Chancellor Media Corp. company
guaranty 8s, 2008 2,561,000
....................................................................................................
348,290 Citadel Broadcasting, Inc. sr. sub. notes
10 1/4s, 2007 374,847
....................................................................................................
870,000 Citadel Broadcasting, Inc. company
guaranty 9 1/4s, 2008 896,100
....................................................................................................
300,000 Comcast Corp. sr. notes sub. 9 1/8s, 2006 319,314
....................................................................................................
1,575,000 Comcast UK Cable, Ltd. deb.
stepped-coupon zero %
(11.2s, 11/15/00), 2007 (Bermuda) (STP) 1,417,500
....................................................................................................
3,170,000 Echostar DBS Corp. 144A sr. notes
9 3/8s, 2009 3,233,400
....................................................................................................
180,000 Exodus Communications, Inc. 144A
sr. notes 11 1/4s, 2008 187,650
....................................................................................................
1,030,000 Fox Family Worldwide, Inc. sr. notes
9 1/4s, 2007 947,600
....................................................................................................
840,000 Fox/Liberty Networks LLC sr. notes
8 7/8s, 2007 873,600
....................................................................................................
500,000 Granite Broadcasting Corp. sr. sub.
notes 9 3/8s, 2005 495,000
....................................................................................................
1,140,000 Granite Broadcasting Corp. sr. sub.
notes 8 7/8s, 2008 1,105,800
....................................................................................................
1,250,000 Heritage Media Services Corp. sr. sub.
notes 8 3/4s, 2006 1,318,750
....................................................................................................
150,000 Lenfest Communications, Inc. sr. notes
8 3/8s, 2005 156,665
....................................................................................................
500,000 Lenfest Communications, Inc. sr. sub.
notes 8 1/4s, 2008 507,500
....................................................................................................
1,840,000 Paramount Communications, Inc. deb.
7 1/2s, 2023 1,699,498
....................................................................................................
410,000 Paxson Communications Corp. 144A
sr. sub. notes 11 5/8s, 2002 423,325
....................................................................................................
180,000 Pegasus Communications Corp.
sr. notes Ser. B, 9 3/4s, 2006 176,400
....................................................................................................
1,000,000 Pegasus Media & Communications notes
Ser. B, 12 1/2s, 2005 1,100,000
....................................................................................................
1,318,000 PHI Holdings, Inc. sr. sub. notes
zero %, 2001 1,056,509
....................................................................................................
445,000 Radio One Inc. company guaranty
stepped-coupon Ser. B, 7s,
(12s, 5/15/00), 2004 (STP) 462,800
....................................................................................................
1,200,000 Sinclair Broadcast Group, Inc.
company guaranty 9s, 2007 1,188,000
....................................................................................................
530,000 Sinclair Broadcast Group, Inc. sr. sub.
notes 8 3/4s, 2007 519,400
....................................................................................................
1,000,000 Spanish Broadcasting Systems sr. notes
Ser. B, 11s, 2004 1,080,000
....................................................................................................
1,210,000 Time Warner Telecom Inc. sr. notes
9 3/4s, 2008 1,240,250
....................................................................................................
200,000 TV Azteca Holdings S.A. de C.V.
sr. notes 11s, 2002 (Mexico) 169,000
....................................................................................................
415,000 TV Azteca S.A. de C.V. sr. notes 10 1/2s,
2007 (Mexico) 317,475
- ----------------------------------------------------------------------------------------------------
31,298,453
- ----------------------------------------------------------------------------------------------------
Building and Construction (1.1%)
....................................................................................................
550,000 Albecca Inc. company guaranty
10 3/4s, 2008 456,500
....................................................................................................
240,000 American Architectural Products Corp.
company guaranty 11 3/4s, 2007 180,000
....................................................................................................
220,000 Atrium Companies Inc. 144A sr. sub.
notes 10 1/2s, 2009 214,500
....................................................................................................
560,000 Building Materials Corp. company
guaranty 8s, 2008 522,200
....................................................................................................
135,000 Cia Latino Americana 144A company
guaranty 11 5/8s, 2004 (Argentina) 70,200
....................................................................................................
2,880,000 D.R. Horton, Inc. company guaranty
8s, 2009 2,721,600
....................................................................................................
910,000 GS Superhighway Holdings sr. notes
9 7/8s, 2004 (China) 455,000
....................................................................................................
240,000 Jackson Products, Inc. company
guaranty Ser. B, 9 1/2s, 2005 237,000
....................................................................................................
40,000 NCI Building Systems 144A sr. sub.
notes 9 1/4s, 2009 38,500
....................................................................................................
800,000 Neenah Foundry Co. 144A sr. sub.
notes 11 1/8s, 2007 788,000
....................................................................................................
980,000 Terex Corp., bank term loan Ser. B,
8.18s, 2005 977,550
....................................................................................................
540,000 Toll Corp. company guaranty 8 1/8s, 2009 511,650
- ----------------------------------------------------------------------------------------------------
7,172,700
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (0.9%)
....................................................................................................
760,000 Cex Holdings, Inc. company guaranty
Ser. B, 9 5/8s, 2008 714,400
....................................................................................................
150,000 Iron Mountain, Inc. med. term notes
company guaranty 10 1/8s, 2006 159,000
....................................................................................................
700,000 Iron Mountain, Inc. company guaranty
8 3/4s, 2009 691,250
....................................................................................................
1,590,000 Iron Mountain, Inc. 144A sr. sub. notes
8 1/4s, 2011 1,510,500
....................................................................................................
175,000 Outsourcing Solutions, Inc. sr. sub. notes
Ser. B, 11s, 2006 171,500
....................................................................................................
992,754 Outsourcing Solutions, Inc. bank term
loan, 8 5/8s, 2000 962,971
....................................................................................................
1,580,000 U.S. Office Products Co. company
guaranty 9 3/4s, 2008 1,050,700
....................................................................................................
433,000 United Stationer Supply, Inc. sr. sub. notes
12 3/4s, 2005 474,135
....................................................................................................
130,000 United Stationer Supply, Inc. sr. sub. notes
8 3/8s, 2008 123,825
- ----------------------------------------------------------------------------------------------------
5,858,281
- ----------------------------------------------------------------------------------------------------
Cable Television (2.1%)
....................................................................................................
600,000 Acme Television sr. disc. notes
stepped-coupon zero %
(10 7/8s, 9/30/00), 2004 (STP) 498,000
....................................................................................................
200,000 Adelphia Communications Corp.
sr. notes Ser. B, 10 1/4s, 2000 204,000
....................................................................................................
1,110,000 Adelphia Communications Corp.
sr. notes Ser. B, 9 7/8s, 2007 1,159,950
....................................................................................................
820,000 Adelphia Communications Corp.
sr. notes Ser. B, 8 3/8s, 2008 787,200
....................................................................................................
50,000 Adelphia Communications Corp.
sr. notes 7 7/8s, 2009 46,750
....................................................................................................
450,000 Century Communications Corp.
sr. notes 8 7/8s, 2007 450,000
....................................................................................................
240,000 Century Communications Corp.
sr. notes 8 3/4s, 2007 237,600
....................................................................................................
1,500,000 Charter Communications Holdings LLC
144A sr. disc. notes stepped-coupon
zero % (9.92s, 4/1/04), 2011 (STP) 930,000
....................................................................................................
3,490,000 Charter Communications Holdings LLC
144A sr. notes 8 5/8s, 2009 3,341,675
....................................................................................................
40,000 CSC Holdings, Inc. sr. sub. deb.
9 7/8s, 2013 43,200
....................................................................................................
170,000 CSC Holdings, Inc. deb. Ser. B, 8 1/8s, 2009 170,903
....................................................................................................
210,000 CSC Holdings, Inc. deb. 7 7/8s, 2018 199,891
....................................................................................................
510,000 CSC Holdings, Inc. sr. notes 7 1/4s, 2008 485,877
....................................................................................................
420,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(11 3/4s, 12/15/00), 2005
(United Kingdom) (STP) 374,850
....................................................................................................
2,450,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(10 3/4s, 2/15/02), 2007
(United Kingdom) (STP) 1,901,813
....................................................................................................
190,000 Globo Communicacoes 144A sr. notes
10 5/8s, 2008 (Brazil) 133,000
....................................................................................................
375,000 Globo Communicacoes 144A company
guaranty 10 1/2s, 2006 (Brazil) 270,000
....................................................................................................
670,000 Jones Intercable, Inc. sr. sub. deb.
10 1/2s, 2008 716,900
....................................................................................................
140,000 Jones Intercable, Inc. sr. notes 9 5/8s, 2002 149,800
....................................................................................................
690,000 RCN Corp. sr. disc. notes stepped-coupon
zero% (11 1/8s, 10/15/02), 2007 (STP) 460,575
....................................................................................................
170,000 Rogers Cablesystems Ltd. sr. notes
Ser. B, 10s, 2005 (Canada) 181,900
....................................................................................................
480,000 Supercanal Holdings S.A. 144A
sr. notes 11 1/2s, 2005 (In default)
(Argentina) (NON) 244,800
....................................................................................................
130,000 TeleWest Communications PLC 144A
11 1/4s, 2008 146,900
....................................................................................................
710,000 TeleWest Communications PLC 144A
sr. disc. notes stepped-coupon zero %,
(9 1/4, 4/15/04) 2009 (United Kingdom) (STP) 475,700
....................................................................................................
690,000 United International Holdings
sr. disc. notes stepped-coupon Ser. B,
zero % (10 3/4s, 2/15/03), 2008 (STP) 455,400
- ----------------------------------------------------------------------------------------------------
14,066,684
- ----------------------------------------------------------------------------------------------------
Cellular Communications (1.7%)
....................................................................................................
930,000 Allegiance Telecom, Inc. sr. disc.
notes stepped-coupon Ser. B, zero %
(11 3/4s, 2/15/03), 2008 (STP) 574,275
....................................................................................................
260,000 Allegiance Telecom, Inc. sr. notes
12 7/8s, 2008 275,600
....................................................................................................
1,240,000 Celcaribe S.A. sr. notes 13 1/2s,
2004 (Colombia) 1,078,800
....................................................................................................
2,205,000 CellNet Data Systems, Inc. sr. disc.
notes stepped-coupon zero %
(14s, 10/1/02), 2007 (STP) 837,900
....................................................................................................
1,030,000 Cencall Communications Corp. sr. disc.
notes 10 1/8s, 2004 1,045,450
....................................................................................................
450,000 Conecel Holdings 144A notes Ser. A,
14s, 2000 (In default) (NON) 58,500
....................................................................................................
1,600,000 McCaw International Ltd
sr. disc. notes stepped coupon zero %
(13s, 4/15/02), 2007 (STP) 944,000
....................................................................................................
2,600,000 Millicom International Cellular S.A.
sr. disc. notes stepped-coupon
zero % (13 1/2s, 6/1/01), 2006
(Luxembourg) (STP) 1,937,000
....................................................................................................
400,000 NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero %
(12 1/8s, 4/15/03), 2008 (STP) 208,000
....................................................................................................
1,130,000 NEXTEL Communications, Inc. sr. notes
12s, 2008 1,271,250
....................................................................................................
120,000 NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero %
(10.65s, 9/15/02), 2007 (STP) 87,000
....................................................................................................
140,000 NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero %
(9.95s, 2/15/03), 2008 (STP) 96,600
....................................................................................................
2,685,000 NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero %
(9 3/4s, 10/31/02), 2007 (STP) 1,872,788
....................................................................................................
640,000 Price Communications Wireless, Inc.
144A sr. notes 9 1/8s, 2006 649,600
- ----------------------------------------------------------------------------------------------------
10,936,763
- ----------------------------------------------------------------------------------------------------
Chemicals (1.2%)
....................................................................................................
410,000 Geo Specialty Chemicals, Inc. sr. sub.
notes 10 1/8s, 2008 395,650
....................................................................................................
1,530,000 Huntsman ICI Chemicals Inc. 144A
sr. sub. notes 10 1/8s, 2009 1,545,300
....................................................................................................
170,000 Huntsman Corp. 144A sr. sub. notes
9 1/2s, 2007 160,650
....................................................................................................
550,000 Huntsman Corp. 144A sr. sub. notes
FRN 8.872s, 2007 495,000
....................................................................................................
1,260,000 Lyondell Petrochemical Co. 144A
sec. notes 9 7/8s, 2007 1,283,625
....................................................................................................
1,720,000 Lyondell Petrochemical Co. 144A
sec. notes 9 5/8s, 2007 1,760,850
....................................................................................................
400,000 Pioneer Americas Acquisition 144A
sr. notes 9 1/4s, 2007 336,000
....................................................................................................
563,174 Polytama International notes 11 1/4s,
2007 (Indonesia) 101,371
....................................................................................................
740,000 Royster-Clark Inc. 144A 1st mtge
10 1/4s, 2009 732,600
....................................................................................................
680,000 Scotts Co 144A sr. sub. notes 8 5/8s,
2009 669,800
....................................................................................................
235,000 Sterling Chemicals Holdings sr. disc.
notes stepped-coupon zero %
(13 1/2s, 8/15/01), 2008 (STP) 70,500
....................................................................................................
565,000 Trikem S.A. 144A bonds 10 5/8s,
2007 (Brazil) 322,050
....................................................................................................
170,000 UCAR Global Enterprises sr. sub. notes
Ser. B, 12s, 2005 180,200
- ----------------------------------------------------------------------------------------------------
8,053,596
- ----------------------------------------------------------------------------------------------------
Computer Services (0.7%)
....................................................................................................
160,000 Concentric Network Corp. sr. notes
12 3/4s, 2007 167,200
....................................................................................................
650,000 Interact Systems, Inc. 144A
stepped-coupon zero % (14s, 8/1/99),
2003 (STP) 117,000
....................................................................................................
1,090,000 IPC Information Systems sr. disc.
notes stepped-coupon zero %
(10 7/8s, 11/1/01), 2008 (STP) 812,050
....................................................................................................
710,000 PSINet, Inc. sr. notes 11 1/2s, 2008 745,500
....................................................................................................
360,000 PSINet, Inc. sr. notes Ser. B, 10s, 2005 358,200
....................................................................................................
660,000 Unisys Corp. sr. notes 11 3/4s, 2004 732,600
....................................................................................................
870,000 Unisys Corp. sr. notes 7 7/8s, 2008 883,050
....................................................................................................
350,000 Verio Inc. sr. notes 11 1/4s, 2008 365,750
....................................................................................................
290,000 Verio Inc. sr. notes 10 3/8s, 2005 292,900
- ----------------------------------------------------------------------------------------------------
4,474,250
- ----------------------------------------------------------------------------------------------------
Conglomerates (0.1%)
....................................................................................................
880,000 Axia, Inc. company guaranty
10 3/4s, 2008 866,800
- ----------------------------------------------------------------------------------------------------
Consumer Durable Goods (0.1%)
....................................................................................................
80,000 Hedstrom Holdings, Inc. 144A
sr. disc. notes stepped-coupon zero %
(12s, 6/1/02), 2009 (STP) 35,200
....................................................................................................
190,000 Iron Age Corp. company guaranty
9 7/8s, 2008 142,500
....................................................................................................
220,000 Sealy Mattress Co. sr. sub. notes
Ser. B, 9 7/8s, 2007 216,425
- ----------------------------------------------------------------------------------------------------
394,125
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (0.2%)
....................................................................................................
1,250,000 Samsonite Corp. sr. sub. notes
10 3/4s, 2008 1,006,250
- ----------------------------------------------------------------------------------------------------
Consumer Services (0.2%)
....................................................................................................
895,000 Coinmach Corp. sr. notes Ser. D,
11 3/4s, 2005 964,363
....................................................................................................
270,000 Protection One, Inc. sr. disc. notes
stepped-coupon zero %
(13 5/8s, 6/30/00), 2005 (STP) 302,400
- ----------------------------------------------------------------------------------------------------
1,266,763
- ----------------------------------------------------------------------------------------------------
Cosmetics (0.3%)
....................................................................................................
150,000 French Fragrances, Inc. sr. notes
Ser. B, 10 3/8s, 2007 153,000
....................................................................................................
190,000 French Fragrances, Inc. company
guaranty Ser. D, 10 3/8s, 2007 191,900
....................................................................................................
360,000 Revlon Consumer Products sr. notes
9s, 2006 355,500
....................................................................................................
1,500,000 Revlon Consumer Products sr. sub.
notes 8 5/8s, 2008 1,417,500
- ----------------------------------------------------------------------------------------------------
2,117,900
- ----------------------------------------------------------------------------------------------------
Electric Utilities (1.2%)
....................................................................................................
280,000 Applied Power Inc. sr. sub. notes
8 3/4s, 2009 271,600
....................................................................................................
850,000 Calpine Corp. sr. notes 10 1/2s, 2006 901,000
....................................................................................................
500,000 Calpine Corp. sr. notes 9 1/4s, 2004 505,000
....................................................................................................
660,000 Calpine Corp. sr. notes 7 7/8s, 2008 623,700
....................................................................................................
610,000 Calpine Corp. sr. notes 7 3/4s, 2009 579,500
....................................................................................................
920,000 Cleveland Electric Illuminating Co.
1st mtge 6.86s, 2008 884,865
....................................................................................................
500,000 Midland Funding II Corp. deb. Ser. B,
13 1/4s, 2006 597,685
....................................................................................................
2,115,000 Midland Funding II Corp. deb. Ser. A,
11 3/4s, 2005 2,424,467
....................................................................................................
924,336 Northeast Utilities System notes
Ser. A, 8.58s, 2006 919,594
....................................................................................................
90,667 Northeast Utilities System notes
Ser. B, 8.38s, 2005 90,264
- ----------------------------------------------------------------------------------------------------
7,797,675
- ----------------------------------------------------------------------------------------------------
Electronic Components (0.8%)
....................................................................................................
125,000 Celestica International Ltd. 144A
sr. sub. notes 10 1/2s, 2006 (Canada) 135,313
....................................................................................................
320,000 DII Group, Inc. (The) sr. sub. notes
8 1/2s, 2007 315,200
....................................................................................................
970,000 Flextronics International Ltd.
sr. sub. notes Ser. B, 8 3/4s, 2007 965,150
....................................................................................................
125,000 HCC Industries, Inc. company guaranty
10 3/4s, 2007 113,750
....................................................................................................
1,180,000 Metromedia Fiber Network, Inc.
sr. notes Ser. B, 10s, 2008 1,212,450
....................................................................................................
500,000 Moog, Inc. sr. sub. notes Ser. B, 10s, 2006 520,000
....................................................................................................
630,000 Motors and Gears, Inc. sr. notes
Ser. D, 10 3/4s, 2006 639,450
....................................................................................................
1,060,000 Viasystems, Inc. sr. notes Ser. B,
9 3/4s, 2007 927,500
....................................................................................................
235,000 Viasystems, Inc. sr. sub notes 9 3/4s, 2007 205,625
....................................................................................................
115,000 Wavetek Corp. company guaranty
10 1/8s, 2007 101,200
- ----------------------------------------------------------------------------------------------------
5,135,638
- ----------------------------------------------------------------------------------------------------
Electrical Equipment (0.2%)
....................................................................................................
950,000 Dobson Communications Corp. sr. notes
11 3/4s, 2007 997,500
- ----------------------------------------------------------------------------------------------------
Energy-Related (0.3%)
....................................................................................................
500,000 Nuevo Energy Co. company guaranty
Ser. B, 8 7/8s, 2008 484,050
....................................................................................................
1,075,000 Panda Global Energy Co. company
guaranty 12 1/2s, 2004 (China) 580,500
....................................................................................................
320,000 RAM Energy Inc. sr. notes 11 1/2s, 2008 170,400
....................................................................................................
1,000,000 York Power Funding 144A notes 12s,
2007 (Cayman Islands) 1,000,000
- ----------------------------------------------------------------------------------------------------
2,234,950
- ----------------------------------------------------------------------------------------------------
Entertainment (1.2%)
....................................................................................................
490,000 AMC Entertainment, Inc. sr. sub. notes
9 1/2s, 2011 456,925
....................................................................................................
540,000 AMC Entertainment, Inc. sr. sub. notes
9 1/2s, 2009 518,400
....................................................................................................
1,910,000 ITT Corp. notes 6 3/4s, 2005 1,748,338
....................................................................................................
2,250,000 Premier Parks, Inc.144A sr. disc.
notes stepped-coupon zero %,
(10s, 4/1/03), 2008 (STP) 1,462,500
....................................................................................................
650,000 SFX Entertainment, Inc. 144A company
guaranty Ser. B, 9 1/8s, 2008 633,750
....................................................................................................
490,000 SFX Entertainment Inc. company
guaranty 9 1/8s, 2008 475,300
....................................................................................................
670,000 Silver Cinemas, Inc. sr. sub. notes
10 1/2s, 2005 301,500
....................................................................................................
950,000 Six Flags Corp. sr. notes 8 7/8s, 2006 945,250
....................................................................................................
949,153 United Artist bank term loan Ser. B
8.438s, 2006 908,814
....................................................................................................
800,000 United Artists Theatre sr. sub. notes
9 3/4s, 2008 616,000
- ----------------------------------------------------------------------------------------------------
8,066,777
- ----------------------------------------------------------------------------------------------------
Environmental Control (0.4%)
....................................................................................................
2,640,000 Allied Waste Industries, Inc. company
guaranty Ser. B, 7 7/8s, 2009 2,448,600
- ----------------------------------------------------------------------------------------------------
Financial Services (2.0%)
....................................................................................................
985,000 Aames Financial Corp. sr. notes
9 1/8s, 2003 689,500
....................................................................................................
1,080,000 Advanta Corp. med. term notes Ser. D,
6.92s, 2002 959,656
....................................................................................................
340,000 Advanta Corp. med. term notes Ser. B,
7s, 2001 313,973
....................................................................................................
510,000 AMRESCO, Inc. sr. sub. notes
Ser. 97-A, 10s, 2004 392,063
....................................................................................................
100,000 AMRESCO, Inc. sr. sub. notes
Ser. 98-A, 9 7/8s, 2005 77,000
....................................................................................................
645,000 Cellco Finance Corp. NV 144A sr. sub.
notes 15s, 2005 (Netherlands) 664,350
....................................................................................................
165,000 Colonial Capital II 144A company
guaranty 8.92s, 2027 154,315
....................................................................................................
130,000 Contifinancial Corp. sr. notes 8 3/8s, 2003 111,800
....................................................................................................
750,000 Contifinancial Corp. sr. notes 8 1/8s, 2008 645,000
....................................................................................................
1,260,000 Contifinancial Corp. sr. notes 7 1/2s, 2002 945,000
....................................................................................................
3,395,000 DTI Holdings Inc. sr. disc. notes,
stepped-coupon Ser. B, zero %
(12 1/2s, 03/01/03), 2008 (STP) 1,239,175
....................................................................................................
1,500,000 GS Escrow Corp. sr. notes 7 1/8s, 2005 1,441,575
....................................................................................................
2,280,000 Household Finance Corp. sr. unsub.
5 7/8s, 2009 2,071,471
....................................................................................................
825,000 Imperial Credit Capital Trust I 144A
company guaranty 10 1/4s, 2002 668,250
....................................................................................................
185,000 Imperial Credit Industries, Inc. sr.
notes 9 7/8s, 2007 146,150
....................................................................................................
350,000 Investors Capital Trust I company
guaranty Ser. B, 9.77s, 2027 330,750
....................................................................................................
190,000 Nationwide Credit Inc. sr. notes
Ser. A, 10 1/4s, 2008 129,200
....................................................................................................
1,580,000 RBF Finance 144A company guaranty
11s, 2006 1,627,400
....................................................................................................
1,000,000 Resource America Inc. 144A sr. notes
12s, 2004 915,000
- ----------------------------------------------------------------------------------------------------
13,521,628
- ----------------------------------------------------------------------------------------------------
Food and Beverages (0.5%)
....................................................................................................
470,000 Ameriserve Food Co. company guaranty
10 1/8s, 2007 394,800
....................................................................................................
100,000 Aurora Foods, Inc. sr. sub. notes
Ser. B, 9 7/8s, 2007 103,750
....................................................................................................
580,000 Aurora Foods, Inc. 144A ser. sub. notes
Ser. D, 9 7/8s, 2007 601,750
....................................................................................................
155,000 Doane Pet Care Co. sr. sub. notes
9 3/4s, 2007 156,550
....................................................................................................
790,000 RAB Enterprises, Inc. company guaranty
10 1/2s, 2005 497,700
....................................................................................................
1,070,000 Triarc Consumer Products, Inc. 144A
sr. sub. notes 10 1/4s, 2009 1,037,900
....................................................................................................
580,000 Vlassic Foods Intl. Inc. 144A sr. sub. notes
10 1/4s, 2009 572,025
- ----------------------------------------------------------------------------------------------------
3,364,475
- ----------------------------------------------------------------------------------------------------
Food Chains (0.1%)
....................................................................................................
850,000 Southland Corp. deb. Ser. A, 4 1/2s, 2004 722,500
- ----------------------------------------------------------------------------------------------------
Gaming (1.7%)
....................................................................................................
710,000 Argosy Gaming Co. 144A sr. sub. notes
10 3/4s, 2009 724,200
....................................................................................................
1,230,000 Boyd Gaming Corp. sr. sub. notes
9 1/2s, 2007 1,217,700
....................................................................................................
340,000 Circus Circus Enterprises, Inc. sr. notes
6.45s, 2006 309,726
....................................................................................................
793,500 Colorado Gaming & Entertainment Co.
sr. notes 12s, 2003 (PIK) 761,760
....................................................................................................
810,000 Fitzgeralds Gaming Corp. company
guaranty Ser. B, 12 1/4s, 2004 (In default) (NON) 449,550
....................................................................................................
280,000 Harrahs Entertainment, Inc. company
guaranty 7 1/2s, 2009 271,359
....................................................................................................
1,200,000 Hollywood Casino Corp. 144A
sec. notes 11 1/4s, 2007 1,200,000
....................................................................................................
410,000 Hollywood Park, Inc. company guaranty
Ser. B, 9 1/4s, 2007 402,825
....................................................................................................
840,000 Horseshoe Gaming Holdings 144A
sr. sub. notes 8 5/8s, 2009 812,700
....................................................................................................
1,420,000 International Game Technology 144A
sr. notes 7 7/8s, 2004 1,391,600
....................................................................................................
520,000 Isle of Capri Black Hawk LLC 144A
1st mortgage Ser. B, 13s, 2004 577,200
....................................................................................................
500,000 Mohegan Tribal Gaming, Auth. sr. sub.
notes 8 3/4s, 2009 492,500
....................................................................................................
660,000 Mohegan Tribal Gaming, Auth. sr. notes
8 1/8s, 2006 650,100
....................................................................................................
510,000 Park Place Entertainment sr. sub. notes
7 7/8s, 2005 484,500
....................................................................................................
275,000 Players International Inc. sr. notes
10 7/8s, 2005 291,500
....................................................................................................
700,000 PRT Funding Corp. sr. notes 11 5/8s,
2004 (In default) (NON) 315,000
....................................................................................................
1,060,000 Trump Castle Funding 144A sub. notes
10 1/4s, 2003 1,073,335
- ----------------------------------------------------------------------------------------------------
11,425,555
- ----------------------------------------------------------------------------------------------------
Health Care (1.4%)
....................................................................................................
210,000 Columbia/HCA Healthcare Corp. deb.
8.36s, 2024 197,560
....................................................................................................
600,000 Columbia/HCA Healthcare Corp. notes
7s, 2007 537,660
....................................................................................................
140,000 Columbia/HCA Healthcare Corp.
med. term notes 6.63s, 2045 131,054
....................................................................................................
350,000 Conmed Corp. company guaranty
9s, 2008 346,938
....................................................................................................
600,000 Extendicare Health Services, Inc.
company guaranty 9.35s, 2007 447,000
....................................................................................................
530,000 Hudson Respiratory Care, Inc. sr. sub.
notes 9 1/8s, 2008 474,350
....................................................................................................
770,000 Integrated Health Services, Inc. sr. sub.
notes Ser. A, 9 1/2s, 2007 558,250
....................................................................................................
670,000 Integrated Health Services, Inc. sr. sub.
notes Ser. A, 9 1/4s, 2008 480,725
....................................................................................................
410,000 Lifepoint Hospital Holdings 144A sr. sub.
notes 10 3/4s, 2009 417,175
....................................................................................................
280,000 Mariner Post-Acute Network, Inc.
sr. sub. notes stepped-coupon Ser. B,
zero % (10 1/2s, 11/1/02), 2007 (STP) 33,600
....................................................................................................
1,395,000 Mariner Post-Acute Network, Inc. sr. sub.
notes Ser. B, 9 1/2s, 2007 237,150
....................................................................................................
30,000 MedPartners, Inc. sr. sub. notes
6 7/8s, 2000 28,050
....................................................................................................
1,465,000 Multicare Cos., Inc. sr. sub. notes 9s, 2007 996,200
....................................................................................................
1,040,000 Paracelsus Healthcare sr. sub. notes
10s, 2006 811,200
....................................................................................................
285,000 Paragon Corp. Holdings, Inc. company
guaranty Ser. B, 9 5/8s, 2008 165,300
....................................................................................................
650,000 Quorum Health Group, Inc. sr. sub. notes
8 3/4s, 2005 630,500
....................................................................................................
720,000 Sun Healthcare Group, Inc. 144A sr. sub.
notes 9 3/8s, 2008 (In default) (NON) 108,000
....................................................................................................
745,000 Sun Healthcare Group, Inc. sr. sub. notes
Ser. B, 9 1/2s, 2007 111,750
....................................................................................................
350,000 Tenet Healthcare Corp. sr. sub. notes
8 5/8s, 2007 341,250
....................................................................................................
585,000 Tenet Healthcare Corp. sr. notes
Ser. B, 8 1/8s, 2008 549,900
....................................................................................................
310,000 Tenet Healthcare Corp. sr. notes 8s, 2005 300,700
....................................................................................................
410,000 Tenet Healthcare Corp. sr. notes
Ser. B, 7 5/8s, 2008 383,350
....................................................................................................
460,000 Triad Hospitals Holdings 144A sr. sub.
notes 11s, 2009 466,900
- ----------------------------------------------------------------------------------------------------
8,754,562
- ----------------------------------------------------------------------------------------------------
Lodging (1.2%)
....................................................................................................
670,000 Epic Resorts LLC company guaranty
Ser. B, 13s, 2005 616,400
....................................................................................................
120,000 HMH Properties, Inc. sr. notes Ser. C,
8.45s, 2008 113,400
....................................................................................................
1,550,000 HMH Properties, Inc. company guaranty
Ser. B, 7 7/8s, 2008 1,422,125
....................................................................................................
1,675,000 Host Marriott Travel Plaza sr. notes
Ser. B, 9 1/2s, 2005 1,675,000
....................................................................................................
450,000 Prime Hospitality Corp. sub. notes
9 3/4s, 2007 445,500
....................................................................................................
2,020,000 Starwood Hotels & Resorts notes
6 3/4s, 2003 1,894,518
....................................................................................................
1,500,000 Tanger Properties Ltd. partnership
gtd. notes 8 3/4s, 2001 1,500,075
- ----------------------------------------------------------------------------------------------------
7,667,018
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (0.4%)
....................................................................................................
480,000 ALARIS Medical Systems, Inc. company
guaranty 9 3/4s, 2006 475,200
....................................................................................................
625,000 Dade International, Inc. sr. sub. notes
Ser. B, 11 1/8s, 2006 656,250
....................................................................................................
250,000 Kinetic Concepts, Inc. company guaranty
Ser. B, 9 5/8s, 2007 222,500
....................................................................................................
450,000 Leiner Health Products sr. sub. notes
9 5/8s, 2007 432,000
....................................................................................................
495,000 Mediq, Inc. deb. stepped-coupon
zero % (13s, 6/1/03), 2009 (STP) 188,100
....................................................................................................
560,000 Mediq, Inc. company guaranty 11s, 2008 436,800
- ----------------------------------------------------------------------------------------------------
2,410,850
- ----------------------------------------------------------------------------------------------------
Metals and Mining (0.5%)
....................................................................................................
640,000 Ameristeel Corp. company guaranty
Ser. B, 8 3/4s, 2008 641,600
....................................................................................................
345,000 Anker Coal Group, Inc. sr. notes
Ser. B, 9 3/4s, 2007 (In default) (NON) 179,400
....................................................................................................
250,000 Armco, Inc. sr. notes 9s, 2007 258,750
....................................................................................................
325,000 Continental Global Group sr. notes
Ser. B, 11s, 2007 271,375
....................................................................................................
660,000 Lodestar Holdings, Inc. company
guaranty 11 1/2s, 2005 501,600
....................................................................................................
300,000 NL Industries, Inc. sr. notes 11 3/4s, 2003 318,000
....................................................................................................
730,000 Weirton Steel Co. sr. notes 11 3/8s, 2004 715,400
....................................................................................................
390,000 WHX Corp. sr. notes 10 1/2s, 2005 376,350
- ----------------------------------------------------------------------------------------------------
3,262,475
- ----------------------------------------------------------------------------------------------------
Motion Picture Distribution (0.1%)
....................................................................................................
495,000 Cinemark USA, Inc. sr. sub. notes
9 5/8s, 2008 (Mexico) 487,575
....................................................................................................
1,536,000 Diva Systems Corp. sr. disc. notes,
stepped-coupon Ser. B, zero %
(12 5/8s, 3/1/03), 2008 (STP) 445,440
- ----------------------------------------------------------------------------------------------------
933,015
- ----------------------------------------------------------------------------------------------------
Oil and Gas (1.3%)
....................................................................................................
550,000 Belco Oil & Gas Corp. company
guaranty Ser. B, 10 1/2s, 2006 573,375
....................................................................................................
70,000 Benton Oil & Gas Co. sr. notes
9 3/8s, 2007 45,500
....................................................................................................
430,000 Eagle Geophysical, Inc. company
guaranty Ser. B, 10 3/4s, 2008 236,500
....................................................................................................
1,310,000 Flores & Rucks, Inc. sr. sub. notes
9 3/4s, 2006 1,347,663
....................................................................................................
90,000 Gothic Energy Corp. sr. disc. notes,
stepped-coupon Ser. B, zero %
(14 1/8s, 5/1/03), 2006 (STP) 31,500
....................................................................................................
410,000 Gothic Production Corp. company
guaranty Ser. B, 11 1/8s, 2005 348,500
....................................................................................................
590,000 Gulf Canada Resources Ltd. sr. sub.
notes 9 5/8s, 2005 (Canada) 601,800
....................................................................................................
440,000 Gulf Canada Resources, Ltd. sr. notes
8 3/8s, 2005 (Canada) 433,968
....................................................................................................
260,000 Leviathan Gas Corp. 144A sr. sub. notes
10 3/8s, 2009 267,800
....................................................................................................
690,000 Ocean Energy, Inc. company guaranty
Ser. B, 8 7/8s, 2007 679,650
....................................................................................................
610,000 Ocean Energy, Inc. company guaranty
Ser. B, 8 3/8s, 2008 588,650
....................................................................................................
900,000 Petro Geo-Services ADR notes 7 1/2s,
2007 (Norway) 897,984
....................................................................................................
580,000 Pogo Producing Co. sr. sub. notes
Ser. B, 8 3/4s, 2007 551,000
....................................................................................................
990,000 Seven Seas Petroleum sr. notes
Ser. B, 12 1/2s, 2005 504,900
....................................................................................................
1,090,000 Vintage Petroleum sr. sub. notes
9 3/4s, 2009 1,117,250
....................................................................................................
200,000 XCL Ltd. 144A company guaranty
13 1/2s, 2004 124,000
- ----------------------------------------------------------------------------------------------------
8,350,040
- ----------------------------------------------------------------------------------------------------
Packaging and Containers (1.1%)
....................................................................................................
410,000 AEP Industries, Inc. sr. sub. notes
9 7/8s, 2007 410,000
....................................................................................................
480,000 Ball Corp. company guaranty 7 3/4s, 2006 470,400
....................................................................................................
1,000,000 Consumers International 144A sr. notes
10 1/4s, 2005 1,020,000
....................................................................................................
390,000 Huntsman Packaging Corp. company
guaranty 9 1/8s, 2007 382,200
....................................................................................................
1,000,000 Jefferson Smurfit bank term loan,
8.65s, 2006 1,001,250
....................................................................................................
980,000 Packaging Corp. 144A sr. sub. notes
9 5/8s, 2009 989,800
....................................................................................................
844,214 Packaging Corp. bank term loan,
Ser. C, 6s, 2008 841,513
....................................................................................................
150,000 Radnor Holdings Inc. sr. notes 10s, 2003 157,500
....................................................................................................
1,690,000 Riverwood International Corp. company
guaranty 10 7/8s, 2008 1,639,300
....................................................................................................
450,000 Riverwood International Corp. company
guaranty 10 5/8s, 2007 459,000
- ----------------------------------------------------------------------------------------------------
7,370,963
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (0.6%)
....................................................................................................
1,515,000 APP Finance II Mauritius Ltd. bonds
stepped-coupon 12s, (16s, 2/15/04),
2049 (Indonesia) (STP) 999,900
....................................................................................................
620,000 Impac Group Inc. company guaranty
Ser. B, 10 1/8s, 2008 589,000
....................................................................................................
545,000 Indah Kiat Financial Mauritius Ltd.
company guaranty 10s, 2007 (Indonesia) 376,050
....................................................................................................
800,000 Pacifica Papers, Inc. 144A sr. notes
10s, 2009 (Canada) 824,000
....................................................................................................
655,000 Pindo Deli Finance Mauritius Ltd.
company guaranty 10 3/4s, 2007
(Indonesia) 451,950
....................................................................................................
540,000 PT Pabrik Kertas Tjiwi Kimia company
guaranty 10s, 2004 (Indonesia) 388,800
....................................................................................................
370,000 Republic Group, Inc. sr. sub. notes
9 1/2s, 2008 362,600
- ----------------------------------------------------------------------------------------------------
3,992,300
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (0.1%)
....................................................................................................
940,000 ICN Pharmaceuticals, Inc. 144A sr. notes
9 1/4s, 2005 948,225
- ----------------------------------------------------------------------------------------------------
Photography (--%)
....................................................................................................
180,000 PX Escrow Corp. sr. disc. notes
stepped-coupon zero %
(9 5/8s, 2/1/02), 2006 (STP) 109,800
- ----------------------------------------------------------------------------------------------------
Publishing (0.6%)
....................................................................................................
400,000 American Media Operation, Inc. 144A
sr. sub. notes 10 1/4s, 2009 404,000
....................................................................................................
880,000 Garden State Newspapers, Inc. sr. sub.
notes Ser. B, 8 3/4s, 2009 836,000
....................................................................................................
610,000 Garden State Newspapers, Inc. 144A sr. sub.
notes 8 5/8s, 2011 570,350
....................................................................................................
1,370,000 News America Inc. deb. 7 1/8s, 2028 1,240,165
....................................................................................................
570,000 Perry-Judd company guaranty
10 5/8s, 2007 570,000
....................................................................................................
128,274 Von Hoffman Press, Inc. 144A sr. sub.
notes 13 1/2s, 2009 122,502
....................................................................................................
160,000 Von Hoffman Press, Inc. 144A sr. sub.
notes 10 3/8s, 2007 160,000
- ----------------------------------------------------------------------------------------------------
3,903,017
- ----------------------------------------------------------------------------------------------------
Railroads (0.1%)
....................................................................................................
630,000 TFM S.A. de C.V. company guaranty
stepped-coupon zero %
(11 3/4s, 6/15/02), 2009 (Mexico) (STP) 371,700
....................................................................................................
125,000 TFM S.A. de C.V. company guaranty
10 1/4s, 2007 (Mexico) 110,000
- ----------------------------------------------------------------------------------------------------
481,700
- ----------------------------------------------------------------------------------------------------
Restaurants (0.1%)
....................................................................................................
500,000 FRD Acquisition Co. sr. notes Ser. B,
12 1/2s, 2004 482,500
- ----------------------------------------------------------------------------------------------------
Retail (0.7%)
....................................................................................................
240,000 Home Interiors & Gifts, Inc. company
guaranty 10 1/8s, 2008 237,600
....................................................................................................
250,000 K mart Corp. deb. 7 3/4s, 2012 251,250
....................................................................................................
400,000 K mart Corp. med. term notes 8s, 2001 396,616
....................................................................................................
460,000 Kasper A.S.L. Ltd. sr. notes 12 3/4s, 2004 450,800
....................................................................................................
800,000 Mothers Work, Inc. sr. notes 12 5/8s, 2005 828,000
....................................................................................................
930,000 NBTY Inc. 144A sr. sub. notes 8 5/8s, 2007 802,125
....................................................................................................
915,000 North Atlantic Trading Co. company
guaranty Ser. B, 11s, 2004 928,725
....................................................................................................
450,000 Zale Corp. sr. notes Ser. B, 8 1/2s, 2007 455,625
- ----------------------------------------------------------------------------------------------------
4,350,741
- ----------------------------------------------------------------------------------------------------
Satellite Services (0.1%)
....................................................................................................
320,000 Satelites Mexicanos S.A. de C.V. 144A
sr. notes 10 1/8s, 2004 (Mexico) 252,800
....................................................................................................
650,000 Golden Sky Systems company guaranty
Ser. B, 12 3/8s, 2006 721,500
- ----------------------------------------------------------------------------------------------------
974,300
- ----------------------------------------------------------------------------------------------------
Semiconductors (0.4%)
....................................................................................................
1,000,000 Amkor Technologies, Inc. 144A sr. notes
9 1/4s, 2006 972,500
....................................................................................................
165,185 Cirent Semiconductor sr. sub. notes
10.22s, 2002 166,011
....................................................................................................
189,531 Cirent Semiconductor 144A sr. sub.
notes 10.14s, 2004 191,426
....................................................................................................
446,527 Fairchild Semiconductor Corp. 144A
sr. sub. notes 11.74s, 2008 (PIK) 435,364
....................................................................................................
340,000 Fairchild Semiconductor Corp. sr. sub.
notes 10 1/8s, 2007 329,800
....................................................................................................
640,000 Zilog, Inc. company guaranty Ser. B,
9 1/2s, 2005 564,800
- ----------------------------------------------------------------------------------------------------
2,659,901
- ----------------------------------------------------------------------------------------------------
Shipping (0.2%)
....................................................................................................
180,000 International Shipholding Corp. sr.
notes 7 3/4s, 2007 165,600
....................................................................................................
745,000 Johnstown America Industries, Inc.
company guaranty Ser. C, 11 3/4s, 2005 785,975
....................................................................................................
290,000 MC Shipping, Inc. sr. notes Ser. B,
11 1/4s, 2008 203,000
- ----------------------------------------------------------------------------------------------------
1,154,575
- ----------------------------------------------------------------------------------------------------
Specialty Consumer Products (0.1%)
....................................................................................................
540,000 Decora Industries, Inc. sr. sec. notes
Ser. B, 11s, 2005 518,400
- ----------------------------------------------------------------------------------------------------
Steel (0.4%)
....................................................................................................
1,580,000 AK Steel Corp. 144A sr. notes
7 7/8s, 2009 1,516,800
....................................................................................................
820,000 California Steel Industries 144A sr. notes
8 1/2s, 2009 803,600
....................................................................................................
500,000 National Steel Corp. 1st mtge.
Ser. D, 9 7/8s, 2009 510,000
- ----------------------------------------------------------------------------------------------------
2,830,400
- ----------------------------------------------------------------------------------------------------
Telecommunications (5.8%)
....................................................................................................
60,000 21st Century Telecom Group, Inc.
sr. disc. notes stepped-coupon zero %
(12 1/4s, 2/15/03), 2008 (STP) 26,400
....................................................................................................
1,290,000 Alaska Communications Systems 144A
sr. sub. notes 9 3/8s, 2009 1,241,625
....................................................................................................
540,000 Barak I.T.C. sr. disc. notes
stepped-coupon Ser. B, zero %
(12 1/2s, 11/15/02), 2007 (Israel) (STP) 307,800
....................................................................................................
410,000 Bestel S.A. de C.V. sr. disc. notes
stepped-coupon zero %
(12 3/4s, 5/15/03), 2005 (Mexico) (STP) 262,400
....................................................................................................
410,000 Birch Telecommunications, Inc. sr. notes
14s, 2008 391,550
....................................................................................................
420,000 Caprock Communications Corp.
sr. notes Ser. B, 12s, 2008 432,600
....................................................................................................
730,000 Caprock Communications Corp. 144A
sr. notes 11 1/2s, 2009 737,300
....................................................................................................
1,870,000 Colt Telecommunications Group PLC
sr. disc. notes stepped-coupon zero %
(12s, 12/15/01), 2006
(United Kingdom) (STP) 1,542,750
....................................................................................................
1,080,000 Covad Communications Group, Inc.
sr. disc. notes stepped-coupon Ser. B,
zero % (13 1/2s, 03/15/03), 2008 (STP) 591,300
....................................................................................................
1,130,000 Covad Communications Group Inc.
sr. notes 12 1/2s, 2009 1,087,625
....................................................................................................
1,330,000 Econophone, Inc. 144A notes
stepped-coupon zero % (11s, 2/15/03),
2008 (STP) 691,600
....................................................................................................
280,000 Esprit Telecom Group PLC sr. notes
11 1/2s, 2007 (United Kingdom) 294,000
....................................................................................................
1,790,000 Firstworld Communication Corp.
sr. disc. notes stepped-coupon zero %
(13s, 4/15/03), 2008 (STP) 930,800
....................................................................................................
1,080,000 Focal Communications Corp. sr. disc.
notes, stepped-coupon Ser. B, zero %
(12 1/8s, 02/15/03), 2008 (STP) 594,000
....................................................................................................
850,000 GST Equipment Funding sr. notes
13 1/4s, 2007 918,000
....................................................................................................
1,160,000 GST Telecommunications, Inc. company
guaranty stepped-coupon zero %
(13 7/8s, 12/15/00), 2005 (STP) 945,400
....................................................................................................
1,510,000 GST Telecommunications, Inc. 144A
sr. disc. notes stepped-coupon zero %
(10 1/2s, 5/1/03), 2008 (STP) 853,150
....................................................................................................
330,000 Hyperion Telecommunications Corp.,
Inc. sr. disc. notes stepped-coupon
Ser. B, zero % (13s, 4/15/01), 2003 (STP) 272,250
....................................................................................................
595,000 Hyperion Telecommunications Corp.,
Inc. sr. notes Ser. B, 12 1/4s, 2004 624,750
....................................................................................................
730,000 Hyperion Telecommunications Corp.
144A sr. sub. notes 12s, 2007 737,300
....................................................................................................
730,000 ICG Holdings, Inc. sr. disc. notes
stepped-coupon zero %
(13 1/2s, 9/15/00), 2005 (Canada) (STP) 642,400
....................................................................................................
330,000 ICG Communications, Inc. sr. disc.
notes stepped-coupon zero %
(10s, 02/15/03), 2008 (STP) 178,200
....................................................................................................
1,940,000 ICG Services, Inc. sr. disc. notes
stepped-coupon zero %
(9 7/8s, 5/1/03), 2008 (STP) 1,028,200
....................................................................................................
310,000 Intelcom Group (USA), Inc. company
guaranty stepped-coupon zero %
(12 1/2s, 5/1/01), 2006 (STP) 248,000
....................................................................................................
1,520,000 Intermedia Communications, Inc.
sr. disc. notes stepped-coupon Ser. B,
zero % (11 1/4s, 7/15/02), 2007 (STP) 1,079,200
....................................................................................................
130,000 Intermedia Communications, Inc.
sr. notes Ser. B, 8 7/8s, 2007 121,550
....................................................................................................
2,130,000 Intermedia Communications, Inc.
sr. notes Ser. B, 8.6s, 2008 1,959,600
....................................................................................................
2,100,000 International Cabletel, Inc. sr. notes
stepped-coupon Ser. B, zero %
(11 1/2s, 2/01/01), 2006 (STP) 1,827,000
....................................................................................................
860,000 KMC Telecomunications 144A sr. notes
13 1/2s, 2009 855,700
....................................................................................................
2,450,000 KMC Telecom Holdings, Inc. sr. disc.
notes stepped-coupon zero %
(12 1/2s, 2/15/03), 2008 (STP) 1,286,250
....................................................................................................
1,275,000 Knology Holdings, Inc. sr. disc.
notes stepped-coupon zero %
(11 7/8s, 10/15/02), 2007 (STP) 739,500
....................................................................................................
250,000 MetroNet Communications Corp.
sr. disc. notes stepped-coupon zero %
(10 3/4s, 11/1/02), 2007 (Canada) (STP) 195,000
....................................................................................................
1,280,000 MetroNet Communications Corp. 144A
sr. notes 10 5/8s, 2008 (Canada) 1,456,000
....................................................................................................
710,000 MetroNet Communications Corp.
sr. disc. notes stepped-coupon zero %
(9.95s, 6/15/03), 2008 (Canada) (STP) 525,400
....................................................................................................
1,180,000 Microcell Telecommunications sr. disc.
notes stepped-coupon Ser. B, zero %
(14s, 12/1/01), 2006 (Canada) (STP) 955,800
....................................................................................................
100,000 Netia Holdings B.V. 144A company
guaranty stepped-coupon zero %
(11 1/4s, 11/1/01), 2007 (Poland) (STP) 62,000
....................................................................................................
180,000 Netia Holdings B.V. 144A company
guaranty 10 1/4s, 2007 (Poland) 156,600
....................................................................................................
980,000 NorthEast Optic Network, Inc. sr. notes
12 3/4s, 2008 1,009,400
....................................................................................................
580,000 NTL Communications Corp. sr. notes
Ser. B, 11 1/2s, 2008 635,100
....................................................................................................
500,000 NTL Inc. sr. notes Ser. B, 10s, 2007
(United Kingdom) 515,000
....................................................................................................
1,035,000 Pathnet, Inc. sr. notes 12 1/4s, 2008 579,600
....................................................................................................
1,140,000 Primus Telecommunications Group, Inc.
sr. notes Ser. B, 9 7/8s, 2008 1,100,100
....................................................................................................
1,215,000 Qwest Communications International,
Inc. sr. disc. notes stepped-coupon
zero % (9.47s, 10/15/02), 2007 (STP) 949,680
....................................................................................................
500,000 Qwest Communications International,
Inc. sr. disc. notes stepped-coupon
zero % (8.29s, 2/1/03), 2008 (STP) 376,450
....................................................................................................
330,000 Qwest Communications International,
Inc. sr. notes Ser. B, 7 1/4s, 2008 317,625
....................................................................................................
1,190,000 Rhythms Netconnections, Inc. sr. disc.
notes stepped-coupon Ser. B, zero %
(13 1/2s, 5/15/03), 2008 (STP) 633,675
....................................................................................................
950,000 Startec Global Communications Corp.
sr. notes 12s, 2008 826,500
....................................................................................................
1,060,000 Telecommunications Techniques, Inc.
company guaranty 9 3/4s, 2008 1,044,100
....................................................................................................
360,000 Telehub Communications Corp. company
guaranty stepped-coupon zero %
(13 7/8s, 7/31/02), 2005 (STP) 237,600
....................................................................................................
1,080,000 Teligent, Inc. sr. disc. notes
stepped-coupon Ser. B, zero %
(11 1/2s, 3/1/03), 2008 (STP) 637,200
....................................................................................................
860,000 Teligent, Inc. sr. notes 11 1/2s, 2007 847,100
....................................................................................................
660,000 WinStar Communications, Inc. sr. sub.
notes stepped-coupon zero %
(15s, 3/1/02), 2007 (STP) 765,600
....................................................................................................
670,000 WinStar Communications. Inc. sr. sub.
notes 11s, 2008 589,600
....................................................................................................
850,000 WinStar Communications, Inc. sr. sub.
notes 10s, 2008 756,500
- ----------------------------------------------------------------------------------------------------
38,619,830
- ----------------------------------------------------------------------------------------------------
Telephone Services (2.3%)
....................................................................................................
1,390,000 BTI Telecom Corp. sr. notes 10 1/2s, 2007 1,195,400
....................................................................................................
1,360,000 Call-Net Enterprises, Inc. sr. disc.
notes stepped-coupon zero %
(10.8s, 5/15/04), 2009 (Canada) (STP) 748,000
....................................................................................................
1,180,000 Call-Net Enterprises, Inc. sr. disc.
notes stepped-coupon zero %
(9.27s, 8/15/02), 2007 (Canada) (STP) 749,300
....................................................................................................
1,200,000 Call-Net Enterprises, Inc. sr. disc.
notes stepped-coupon zero %
(8.94s, 8/15/03), 2008 (Canada) (STP) 669,000
....................................................................................................
540,000 Call-Net Enterprises, Inc. sr. notes
8s, 2008 (Canada) 480,600
....................................................................................................
315,000 Facilicom International sr. notes
Ser. B, 10 1/2s, 2008 245,700
....................................................................................................
1,060,000 Flag Ltd. 144A sr. notes 8 1/4s,
2008 (Bermuda) 988,450
....................................................................................................
276,000 ITC Deltacom, Inc. sr. notes 11s, 2007 296,700
....................................................................................................
570,000 Logix Communications Enterprises
sr. notes 12 1/4s, 2008 513,000
....................................................................................................
260,000 Long Distance International, Inc.
sr. notes 12 1/4s, 2008 176,150
....................................................................................................
1,500,000 McLeodUSA, Inc. sr. disc. notes
stepped-coupon zero %
(10 1/2s, 3/1/02), 2007 (STP) 1,151,250
....................................................................................................
1,200,000 McLeodUSA, Inc. 144A sr. notes
8 1/8s, 2009 1,116,000
....................................................................................................
235,000 OnePoint Communications Corp. 144A
sr. notes 14 1/2s, 2008 126,900
....................................................................................................
1,387,000 RSL Communications, Ltd. company
guaranty 12 1/4s, 2006 1,449,415
....................................................................................................
430,000 RSL Communications, Ltd. 144A
10 1/2s, 2008 424,625
....................................................................................................
140,000 RSL Communications, Ltd. company
guaranty 9 1/8s, 2008 127,750
....................................................................................................
730,000 Sprint Spectrum L.P. sr. disc. notes
stepped-coupon zero %
(12 1/2s, 8/15/01), 2006 (STP) 664,796
....................................................................................................
250,000 Sprint Spectrum L.P. sr. notes 11s, 2006 283,705
....................................................................................................
210,000 Transtel S.A. 144A pass-through
certificates 12 1/2s, 2007 (Colombia) 119,700
....................................................................................................
600,000 US Xchange LLC sr. notes 15s, 2008 618,000
....................................................................................................
210,000 Versatel Telecom B.V. sr. notes
13 1/4s, 2008 (Netherlands) 217,350
....................................................................................................
440,000 Versatel Telecom B.V. sr. notes
13 1/4s, 2008 (Netherlands) 455,400
....................................................................................................
730,000 Viatel, Inc. sr. disc. notes
stepped-coupon zero %
(12 1/2s, 4/15/03), 2008 (STP) 467,200
....................................................................................................
1,470,000 Viatel, Inc. sr. notes 11 1/4s, 2008 1,492,050
- ----------------------------------------------------------------------------------------------------
14,776,441
- ----------------------------------------------------------------------------------------------------
Textiles (0.2%)
....................................................................................................
790,000 Galey & Lord, Inc. company guaranty
9 1/8s, 2008 521,400
....................................................................................................
350,000 Polymer Group, Inc. company guaranty
Ser. B, 9s, 2007 335,125
....................................................................................................
280,000 Polymer Group, Inc. company guaranty
Ser. B, 8 3/4s, 2008 265,300
- ----------------------------------------------------------------------------------------------------
1,121,825
- ----------------------------------------------------------------------------------------------------
Transportation (0.1%)
....................................................................................................
370,000 Kitty Hawk, Inc. company guaranty
9.95s, 2004 364,450
- ----------------------------------------------------------------------------------------------------
Utilities (0.5%)
....................................................................................................
380,000 CMS Energy Corp. sr. notes 8 1/8s,
2002 387,000
....................................................................................................
1,120,000 CMS Energy Corp. pass-through
certificates 7s, 2005 1,070,272
....................................................................................................
330,000 CMS Energy Corp. sr. notes Ser. B,
6 3/4s, 2004 317,054
....................................................................................................
330,000 Niagara Mohawk Power Corp. sr. notes
Ser. F, 7 5/8s, 2005 332,056
....................................................................................................
350,000 Niagara Mohawk Power Corp. sr. notes
Ser. E, 7 3/8s, 2003 355,992
....................................................................................................
940,000 Public Service Co. of New Mexico
sr. notes Ser. A, 7.1s, 2005 933,608
- ----------------------------------------------------------------------------------------------------
3,395,982
- ----------------------------------------------------------------------------------------------------
Wireless Communications (0.2%)
....................................................................................................
325,000 American Mobile Satellite Corp.
company guaranty 12 1/4s, 2008 248,625
....................................................................................................
330,000 Clearnet Communications, Inc.
sr. disc. notes stepped-coupon zero %
(14 3/4s, 12/15/00), 2005 (STP) 300,300
....................................................................................................
60,000 Orbital Imaging Corp. 144A sr. notes
11 5/8s, 2005 54,600
....................................................................................................
500,000 Orbital Imaging Corp. sr. notes
Ser. B, 11 5/8s, 2005 455,000
....................................................................................................
215,000 Paging Network Do Brasil sr. notes
13 1/2s, 2005 (Brazil) 88,150
....................................................................................................
730,000 Telecorp PCS Inc. 144A sr. disc.
notes stepped-coupon zero %
(11 5/8s, 4/15/04), 2009 (STP) 408,800
- ----------------------------------------------------------------------------------------------------
1,555,475
- ----------------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $319,562,528) $297,283,241
- ----------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (20.6%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
U.S. Government Agency Obligations (8.2%)
....................................................................................................
$1,124,337 Federal Home Loan Mortgage Corp. 7s,
July 1, 2012 $1,128,902
....................................................................................................
Federal National Mortgage Association
Pass-Through Certificates
....................................................................................................
884,517 7s, Dwarf, with due dates from
December 1, 2010 to January 1, 2013 887,550
....................................................................................................
4,015,627 6 1/2s, with due dates from
November 1, 2025 to
November 1, 2028 3,874,086
....................................................................................................
294,034 6 1/2s, Dwarf, August 1, 2010 289,714
....................................................................................................
Government National Mortgage
Association Pass-Through Certificates
....................................................................................................
6,117,244 8s, with due dates from
November 15, 2024 to
February 15, 2028 6,292,113
....................................................................................................
4,205,882 7 1/2s, with due dates from
January 15, 2023 to August 15, 2025 4,251,851
....................................................................................................
14,825,643 7s, with due dates from
March 15, 2023 to July 15, 2028 14,646,146
....................................................................................................
23,800,537 6 1/2s, with due dates from
February 15, 2027 to May 15, 2029 23,023,247
- ----------------------------------------------------------------------------------------------------
54,393,609
- ----------------------------------------------------------------------------------------------------
U.S. Treasury Obligations (12.4%)
....................................................................................................
U.S. Treasury Bonds
....................................................................................................
6,670,000 6 5/8s, February 15, 2027 7,044,120
....................................................................................................
1,525,000 5 1/4s, November 15, 2028 1,351,775
....................................................................................................
U.S. Treasury Notes
....................................................................................................
2,980,000 5 1/2s, May 15, 2009 2,911,073
....................................................................................................
60,243,000 5 1/4s, May 15, 2004 (SEG) 59,198,386
....................................................................................................
5,365,000 5 1/4s, May 31, 2001 5,339,838
....................................................................................................
135,000 4 7/8s, March 31, 2001 133,628
....................................................................................................
4,095,000 4 3/4s, November 15, 2008 3,760,357
....................................................................................................
1,900,000 4 1/4s, November 15, 2003 1,794,018
- ----------------------------------------------------------------------------------------------------
81,533,195
- ----------------------------------------------------------------------------------------------------
Total U.S. Government and
Agency Obligations
(cost $136,800,931) $135,926,804
- ----------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BONDS AND NOTES (10.5%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
USD 2,050,000 Brazil (Government of) bonds 11 5/8s, 2004 $1,909,165
....................................................................................................
CAD 14,290,000 Canada (Government of) bonds
Ser. WL43, 5 3/4s, 2029 9,962,712
....................................................................................................
CAD 6,810,000 Canada (Government of) bonds
Ser. WB60, 7 1/4s, 2007 5,141,552
....................................................................................................
USD 1,215,000 Colombia (Republic of) 9 3/4s, 2009 1,002,375
....................................................................................................
USD 465,000 Colombia (Republic of) 8 5/8s, 2008 360,375
....................................................................................................
SEK 162,500,000 Sweden (Government of) bonds
Ser. 1041, 6 3/4s, 2014 21,746,097
....................................................................................................
SEK 18,600,000 Sweden (Government of) bonds
Ser. 1035, 6s, 2005 2,339,518
....................................................................................................
RUB 21,625,000 U.S. Dollar GKO Pass-Through
Structured Note 1999 (Issued by
Deutsche Bank. The principal USD
is linked to the bid price for the
Russian Treasury Bill at maturity,
and the change in the spot rate of
the Russian Ruble from issue date),
zero %, 1999 (In default) (NON) 26,747
....................................................................................................
GBP 12,905,000 United Kingdom Treasury bonds 8s, 2000 21,178,094
....................................................................................................
GBP 4,265,000 United Kingdom Treasury bonds
Ser. 85, 9 3/4s, 2002 7,540,696
....................................................................................................
USD 5,475,000 United Mexican States bonds
10 3/8s, 2009 5,584,500
....................................................................................................
USD 2,445,000 United Mexican States bonds
9 3/4s, 2005 2,438,888
- ----------------------------------------------------------------------------------------------------
Total Foreign Government
Bonds and Notes (cost $85,636,265) $79,230,719
- ----------------------------------------------------------------------------------------------------
BRADY BONDS (8.4%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$7,350,000 Argentina (Republic of) 11 3/4s, 2009 $6,651,750
....................................................................................................
31,794,448 Brazil (Government of) disc. bonds
FRB 8s, 2014 (POR) 20,507,419
....................................................................................................
2,760,000 Brazil (Government of) disc. bonds
FRB 5 7/8s, 2024 1,742,388
....................................................................................................
6,855,000 Bulgaria (Government of) Ser. A, FRB,
2 1/2s, 2012 4,087,294
....................................................................................................
6,965,000 Bulgaria (Government of)
FRB Ser. A, 6.688s, 2024 4,718,788
....................................................................................................
18,880,000 United Mexican States Sec. Ser. B,
6 1/4s, 2019 13,924,000
....................................................................................................
5,050,000 Venezuela (Government of) deb.
Ser. W-A, 6 3/4s, 2020 3,471,875
- ----------------------------------------------------------------------------------------------------
Total Brady Bonds (cost $59,683,997) $55,103,514
- ----------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (5.2%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
Commercial Mortgage Acceptance Corp.
....................................................................................................
$1,770,000 Ser. 97-ML1, Class D, 7.11s, 2030 $1,713,581
....................................................................................................
869,944 Ser. 98-C2, Class A1, 5.8s, 2006 842,758
....................................................................................................
2,145,000 Ser. 98-C2, Class D, 6.757s, 2009 2,012,948
....................................................................................................
1,575,000 Countrywide Home Loan Ser. 98-3,
Class A5, 6 3/4s, 2028 1,516,184
....................................................................................................
1,980,000 Countrywide Mortgage Backed
Securities, Inc. Ser. 93-C, Class A8,
6 1/2s, 2024 1,848,350
....................................................................................................
Fannie Mae Strip
....................................................................................................
8,040,219 Ser. 281, Class 2, Interest
Only (IO) 9s, 2026 2,040,206
....................................................................................................
First Union-Lehman Brothers
Commercial Mortgage Co.
....................................................................................................
2,070,000 Ser. 98-C2, Class D, 6.778s, 2013 1,877,716
....................................................................................................
36,699,236 Ser. 98-C2, IO 0.816s, 2028 1,413,494
....................................................................................................
Freddie Mac
....................................................................................................
675,000 Ser. 2040, Class PE, 7 1/2s, 2028 682,918
....................................................................................................
530,000 Ser. 1439, Class I, 7 1/2s, 2022 542,339
....................................................................................................
1,361,390 Ser. 2113, Class ZM, 6 1/2s, 2028 1,246,523
....................................................................................................
745,302 Ser. 1717, Class L, 6 1/2s, 2024 734,996
....................................................................................................
Freddie Mac Strip
....................................................................................................
9,065,000 Ser. 2089, Class PI, IO, 7s, 2023 1,757,236
....................................................................................................
122,157 Ser. 201, IO, 6s, 2029 38,441
....................................................................................................
925,000 GE Capital Mortgage Services, Inc.
Ser. 98-11, Class 2A4, 6 3/4s, 2028 877,594
....................................................................................................
GMAC Commercial Mortgage
Securities Inc.
....................................................................................................
6,650,000 Ser. 98-C2, Class D, 6 1/2s, 2031 6,086,309
....................................................................................................
10,205,080 Ser. 98-C2, Class X, IO, 0.629s, 2031 419,365
....................................................................................................
855,000 Government National Mortgage
Association Ser. 97-8, Class PE,
7 1/2s, 2027 882,654
....................................................................................................
1,055,000 GS Mortgage Securities Corp. II
Ser. 98-GLII, Class D, 7.191s, 2031 982,139
....................................................................................................
Merrill Lynch Mortgage Investors, Inc.
....................................................................................................
499,000 Ser. 98-C2, Class D, 7.116s, 2030 477,637
....................................................................................................
17,720,382 Ser. 98-C2, IO, 1.579s, 2030 1,320,722
....................................................................................................
3,537,605 Ser. 96-C2, IO, 1.5239s, 2028 254,683
....................................................................................................
Morgan Stanley Capital I
....................................................................................................
18,586,037 Ser. 98-HF1, Class X, IO, 1.202s, 2018 1,025,136
....................................................................................................
595,000 Ser. 98-XL1, Class E, 6.989s, 2030 573,501
....................................................................................................
7,603,809 Mortgage Capital Funding, Inc.
Ser. 97-MC2, Class X, IO, 1.571s, 2012 550,385
....................................................................................................
1,188,836 PNC Mortgage Securities Corp.
Ser. 97-6, Class A2, 6.6s, 2027 1,196,254
....................................................................................................
390,119 Prudential Home Mortgage Securities
Ser. 93-57, Class A4, 5.9s, 2023 387,638
....................................................................................................
730,222 Rural Housing Trust Ser. 87-1, Class
D, 6.33s, 2026 717,290
- ----------------------------------------------------------------------------------------------------
Total Collateralized Mortgage Obligations
(cost $35,322,829) $34,018,997
- ----------------------------------------------------------------------------------------------------
PREFERRED STOCKS (2.9%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
181 21st Century Telecom Group 144A
13.75% cum. pfd. (PIK) $90,500
....................................................................................................
10,649 AmeriKing, Inc. $3.25 pfd. (PIK) 244,927
....................................................................................................
3,104 Capstar Broadcasting, Inc. 144A
$12.00 pfd. (PIK) 364,720
....................................................................................................
2,991 Capstar Communications, Inc. Ser. E,
$12.625 cum. pfd. (PIK) 370,884
....................................................................................................
36,699 CGA Group Ltd. 144A Ser. A,
$13.75pfd. (PIK) 1,009,223
....................................................................................................
6,390 Chevy Chase Capital Corp. Ser. A,
$5.188 pfd. (PIK) 338,670
....................................................................................................
5,087 Citadel Broadcasting Inc. 144A
$13.25 cum. pfd. (PIK) 590,092
....................................................................................................
351 Concentric Network Corp. Ser. B,
13.50% pfd. (PIK) 333,450
....................................................................................................
14,954 CSC Holdings, Inc. Ser. M,
$11.125 cum. pfd. (PIK) 1,689,802
....................................................................................................
22,720 Diva Systems Corp. Ser. C, $6.00 pfd. 136,320
....................................................................................................
34,000 Diva Systems Corp. Ser. D, $6.00 pfd. 204,000
....................................................................................................
920 Dobson Communications 144A
$13.00 pfd. (PIK) 901,600
....................................................................................................
599 Dobson Communications Corp. 144A
$12.25 pfd. (PIK) 539,100
....................................................................................................
310 First Republic 144A $10.50 pfd. 325,500
....................................................................................................
10,600 Fitzgeralds Gaming $3.75 cum. pfd. 21,200
....................................................................................................
475,000 Fresenius Medical Capital Trust I
company guaranty Ser. D,
9.00% pfd. (Germany) 510,625
....................................................................................................
720,000 Fresenius Medical Capital Trust II
company guaranty
7.875% pfd. (Germany) 702,000
....................................................................................................
12,880 Global Crossing Holdings 144A
$10.50 pfd. (PIK) 1,352,400
....................................................................................................
2,053 ICG Holdings, Inc. $14.25 pfd. (Canada) 1,981,145
....................................................................................................
741 Intermedia Communication Ser. B,
13.50% pfd. (PIK) 726,180
....................................................................................................
863 IXC Communications, Inc. $12.50 pfd. (PIK) 828,480
....................................................................................................
40,000 Loewen Group, Inc. Ser. A, $2.36 pfd. 80,000
....................................................................................................
585 NEXTEL Communications, Inc. Ser. D,
13.00% cum. pfd. (PIK) 640,575
....................................................................................................
17,260 Nextlink Communications, Inc. 144A
$7.00 cum. pfd. (PIK) 871,630
....................................................................................................
159 Paxson Communications Corp. 13.25%
cum. pfd. (PIK) 1,431,000
....................................................................................................
19,997 Public Service Co. of New Hampshire
$2.65 1st mtge. pfd. 499,925
....................................................................................................
640 R& B Falcon Corp. $1.387 cum. pfd. 652,800
....................................................................................................
1,034 Spanish Broadcasting Systems
14.25% cum. pfd. (PIK) 1,121,890
....................................................................................................
715 WinStar Communications, Inc. 144A
$14.25 cum. pfd. (PIK) 579,150
- ----------------------------------------------------------------------------------------------------
Total Preferred Stocks
(cost $20,506,373) $19,137,788
- ----------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (0.7%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$1,034,000 Chemical Master Credit Card Trust
Ser. 95-2, Class A, 6.23s, 2003 $1,038,839
....................................................................................................
525,000 Contimortgage Home Equity Loan Trust
Ser. 97-1, Class M2, 7.67s, 2028 509,906
....................................................................................................
2,385,000 Green Tree Financial Corp. Ser. 98-2,
Class A5, 6.24s, 2016 2,376,895
....................................................................................................
518,088 Green Tree Recreational Equipment &
Cons. Ser. 97-B, Class A1, 6.55s, 2028 519,808
- ----------------------------------------------------------------------------------------------------
Total Asset-Backed Securities
(cost $4,494,296) $4,445,448
- ----------------------------------------------------------------------------------------------------
UNITS (0.3%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Units Value
....................................................................................................
840 Australis Media, Ltd. units
stepped-coupon zero %
(15 3/4s, 5/15/00), 2003 (In default)
(Australia) (STP) (NON) $8,400
....................................................................................................
750 Network Plus Corp. units pfd.
13 1/4s, 2009 766,875
....................................................................................................
760 Pegasus Shipping 144A units company
guaranty stepped-coupon zero %
(14 1/2s, 6/20/03), 2008 (Bermuda) (STP) 258,400
....................................................................................................
750 Signature Brands USA, Inc. units
13s, 2002 825,000
....................................................................................................
650 XCL Ltd. units sr. sec. notes 13 1/2s, 2004 403,000
....................................................................................................
2,800 XCL Ltd. 144A units cum. pfd. zero % (PIK) 39,200
- ----------------------------------------------------------------------------------------------------
Total Units (cost $3,548,881) $2,300,875
- ----------------------------------------------------------------------------------------------------
COMMON STOCKS (0.6%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
1,590 Allegiance Telecom, Inc. (NON) $87,251
....................................................................................................
200 AmeriKing, Inc. (NON) 8,000
....................................................................................................
69,601 Celcaribe 43,500
....................................................................................................
201,624 Celcaribe S.A. 144A (Colombia) 352,842
....................................................................................................
14,720 CellNet Data Systems, Inc. (NON) 132,480
....................................................................................................
9,224 Chesapeake Energy Corp. 27,096
....................................................................................................
20,830 Fitzgerald Gaming Corp. 10,415
....................................................................................................
4,852 Hedstrom Holdings, Inc. 144A (NON) 4,852
....................................................................................................
233 Mothers Work, Inc. (NON) 3,029
....................................................................................................
3,541 NEXTEL Communications, Inc. Class A (NON) 177,714
....................................................................................................
215 Paging Do Brazil Holdings Co., LLC
144A Class B (Brazil) 2
....................................................................................................
61 Premium Holdings (L.P.) 144A 229
....................................................................................................
40,637 Price Communications Corp. (NON) 609,558
....................................................................................................
52,810 PSF Holdings LLC Class A (NON) 646,923
....................................................................................................
178 Spanish Broadcasting System, Inc. (NON) 106,572
....................................................................................................
5,939 Viatel, Inc. (NON) 333,326
....................................................................................................
24,180 WinStar Communications. Inc. (NON) 1,178,775
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $3,490,074) $3,722,564
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.4%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
3,400 Chancellor Media Corp. $3.00 cv. cum. pfd. $374,425
....................................................................................................
2,910 Chesapeake Energy Corp. $3.50 cv.
cum. pfd. 70,931
....................................................................................................
24,670 Global Telesystems, Inc. 144A $3.625
cv. pfd. 1,615,885
....................................................................................................
20,000 Kelly Oil & Gas Corp. $2.625 cv. pfd. 100,000
....................................................................................................
30 Paxson Communications Corp. 144A
$9.75 cv. pfd. (PIK) 300,000
....................................................................................................
553 XCL Ltd 144A Ser. A, $9.50 cv. cum. pfd. 7,742
- ----------------------------------------------------------------------------------------------------
Total Convertible Preferred Stocks
(cost $2,601,031) $2,468,983
- ----------------------------------------------------------------------------------------------------
WARRANTS (0.3%) (a) (NON)
- ----------------------------------------------------------------------------------------------------
Number of Warrants Expiration Date Value
....................................................................................................
325 American Mobile
Satellite Corp. 4/1/08 $13,000
....................................................................................................
410 Bestel S.A. (Mexico) 5/15/05 820
....................................................................................................
410 Birch Telecommunications,
Inc. 144A (PIK) 6/15/08 2,050
....................................................................................................
2,575 Cellnet Data Systems, Inc. 10/1/07 59,225
....................................................................................................
36,500 CGA Group Ltd. 144A 2/11/07 730
....................................................................................................
395 Club Regina, Inc. 144A 12/1/04 395
....................................................................................................
370 Colt Telecommunications
Group PLC 12/31/06 148,000
....................................................................................................
1,100 Comunicacion Cellular
144A (Colombia) 11/15/03 66,000
....................................................................................................
6,075 Consorcio Ecuatoriano
144A (Ecuador) 10/1/00 608
....................................................................................................
1,240 Decrane Holdings 9/30/08 0
....................................................................................................
515 Diva Systems Corp. 5/15/06 124,630
....................................................................................................
4,608 Diva Systems Corp. 3/1/08 55,296
....................................................................................................
12,400 DTI Holdings Inc. 3/1/08 124
....................................................................................................
10 E. Spire Communications, Inc. 11/1/05 150
....................................................................................................
670 Epic Resorts 6/15/05 7
....................................................................................................
375 Esat Holdings, Inc. (Ireland) 2/1/07 26,625
....................................................................................................
1,790 Firstworld Communication 4/15/08 89,500
....................................................................................................
300 Globalstar Telecommunications 2/15/04 16,500
....................................................................................................
750 Hyperion Telecommunications
Corp. 144A 4/15/01 57,469
....................................................................................................
5,181 ICG Communications, Inc. 10/15/05 99,734
....................................................................................................
650 Interact Systems, Inc. 8/1/03 7
....................................................................................................
400 Intermedia Communications, Inc. 6/1/00 26,000
....................................................................................................
270 International Wireless
Communications Holdings 144A 8/15/01 1
....................................................................................................
650 Iridium World Com 144A 7/15/05 325
....................................................................................................
1,750 KMC Telecom Holdings, Inc. 4/15/08 5,250
....................................................................................................
1,035 Knology Holdings, Inc. 144A 10/15/07 2,329
....................................................................................................
260 Long Distance
International, Inc. 144A 4/13/08 520
....................................................................................................
1,660 McCaw International Ltd. 4/15/07 6,640
....................................................................................................
495 Mediq Inc. 144A 6/1/09 5
....................................................................................................
4,185 Mexico-United Mexican States 2/18/00 259,470
....................................................................................................
1,135 MGC Communications,
Inc. 144A 10/1/04 131,660
....................................................................................................
235 OnePoint Communications, Corp. 6/1/08 235
....................................................................................................
500 Orbital Imaging Corp. 144A 3/1/05 15,000
....................................................................................................
585 Orion Network Systems 1/15/07 6,874
....................................................................................................
460 Pagemart, Inc. 144A 12/31/03 3,680
....................................................................................................
795 Pathnet, Inc. 144A 4/15/08 7,950
....................................................................................................
960 Paxson Communications
Corp. 144A 6/30/03 10
....................................................................................................
4,194 President Riverboat Casinos, Inc. 9/30/99 126
....................................................................................................
4,760 Rhythms Netconnections,
Inc. 144A 5/15/08 800,346
....................................................................................................
950 Startec Global
Communications Corp. 5/15/08 950
....................................................................................................
235 Sterling Chemicals Holdings 8/15/08 3,525
....................................................................................................
360 Telehub Communications Corp. 7/31/05 10,800
....................................................................................................
1,390 UIH Australia/Pacific, Inc. 144A 5/15/06 2,780
....................................................................................................
650 Versatel Telecom B.V. 144A
(Netherlands) 5/15/08 32,500
- ----------------------------------------------------------------------------------------------------
Total Warrants (cost $780,223) $2,077,846
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (0.2%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$500,000 Corporate Express, Inc. cv. notes
4 1/2s, 2000 $463,750
....................................................................................................
145,000 GST Telecommunications, Inc. cv. sr.
disc. notes stepped-coupon zero %,
(13 7/8s, 12/15/00), 2005 (STP) 166,750
....................................................................................................
450,000 HEALTHSOUTH Corp. cv. sub. deb.
3 1/4s, 2003 376,313
....................................................................................................
500,000 Integrated Device Technology, Inc.
cv. sub. notes 5 1/2s, 2002 405,000
- ----------------------------------------------------------------------------------------------------
Total Convertible Bonds and Notes
(cost $1,305,870) $1,411,813
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (1.3%) (a) (cost $8,625,000)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$8,625,000 Interest in $487,755,000 joint repurchase
agreement dated June 30, 1999 with
S.B.C. Warburg, Inc., due July 1, 1999
with respect to various U.S. Treasury
obligations - maturity value of
$8,626,150 for an effective yield of 4.80% $8,625,000
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $682,358,298) (b) $645,753,592
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell at June 30, 1999 (Unaudited)
(aggregate face value $107,625,663)
- ----------------------------------------------------------------------------------------------------
<CAPTION>
Unrealized
Market Aggregate Delivery Appreciation/
Value Face Value Date (Depreciation)
....................................................................................................
<S> <C> <C> <C> <C>
British Pounds $29,537,772 $30,073,696 9/15/99 $535,924
....................................................................................................
Canadian Dollar 15,427,048 15,423,401 9/15/99 (3,647)
....................................................................................................
Euro Dollar 6,852,785 6,842,839 9/15/99 (9,946)
....................................................................................................
Japanese Yen 39,167,500 39,907,430 9/16/99 739,930
....................................................................................................
Swedish Krona 15,284,652 15,378,297 9/15/99 93,645
- ----------------------------------------------------------------------------------------------------
$1,355,906
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Buy at June 30, 1999 (Unaudited)
(aggregate face value $73,382,212)
- ----------------------------------------------------------------------------------------------------
Unrealized
Market Aggregate Delivery Appreciation/
Value Face Value Date (Depreciation)
....................................................................................................
Australian Dollars $3,393,613 $3,302,117 9/15/99 $91,496
....................................................................................................
Danish Krone 1,530,831 1,541,026 9/15/99 (10,195)
....................................................................................................
Euro Dollar 23,959,677 23,998,166 9/15/99 (38,489)
....................................................................................................
Japanese Yen 43,669,169 44,540,903 9/16/99 (871,734)
- ----------------------------------------------------------------------------------------------------
$(828,922)
- ----------------------------------------------------------------------------------------------------
Futures Contracts Outstanding at June 30, 1999 (Unaudited)
- ----------------------------------------------------------------------------------------------------
Aggregate Expiration Unrealized
Total Value Face Value Date Appreciation
....................................................................................................
U.S. Treasury Bond
(short) $927,250 $929,549 9/21/99 $2,299
- ----------------------------------------------------------------------------------------------------
Diversification by Country (Unaudited)
- ----------------------------------------------------------------------------------------------------
Distribution of investments by country of issue at
June 30, 1999: (as percentage of Market Value)
- ----------------------------------------------------------------------------------------------------
Argentina 1.1%
....................................................................................................
Brazil 3.9
....................................................................................................
Bulgaria 1.4
....................................................................................................
Canada 4.1
....................................................................................................
Mexico 3.7
....................................................................................................
Sweden 3.7
....................................................................................................
United Kingdom 5.2
....................................................................................................
United States 73.8
....................................................................................................
Other 3.1
- ----------------------------------------------------------------------------------------------------
Total 100.0%
- ----------------------------------------------------------------------------------------------------
See page 124 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT The George Putnam Fund of Boston
Portfolio of investments owned
June 30, 1999 (Unaudited)
<CAPTION>
COMMON STOCKS (61.4%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Aerospace and Defense (1.1%)
....................................................................................................
31,500 Boeing Co. $1,391,906
....................................................................................................
29,500 Lockheed Martin Corp. 1,098,875
- ----------------------------------------------------------------------------------------------------
2,490,781
- ----------------------------------------------------------------------------------------------------
Automotive (1.6%)
....................................................................................................
6,980 Delphi Automotive Systems Corp. 129,566
....................................................................................................
27,200 Ford Motor Co. 1,535,100
....................................................................................................
19,500 General Motors Corp. (NON) 1,287,000
....................................................................................................
18,300 Lear Corp. (NON) 910,425
- ----------------------------------------------------------------------------------------------------
3,862,091
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (2.2%)
....................................................................................................
17,400 Caterpillar, Inc. 1,044,000
....................................................................................................
11,500 Deere (John) & Co. 455,688
....................................................................................................
29,400 Dover Corp. 1,029,000
....................................................................................................
16,500 Minnesota Mining & Manufacturing Co. 1,434,469
....................................................................................................
38,900 Owens-Illinois, Inc. (NON) 1,271,544
- ----------------------------------------------------------------------------------------------------
5,234,701
- ----------------------------------------------------------------------------------------------------
Building and Construction (0.5%)
....................................................................................................
19,800 Armstrong World Industries, Inc. 1,144,688
....................................................................................................
3,300 Sherwin Williams Co. 91,575
- ----------------------------------------------------------------------------------------------------
1,236,263
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (0.8%)
....................................................................................................
5,500 Hewlett-Packard Co. 552,750
....................................................................................................
23,300 Xerox Corp. 1,376,156
- ----------------------------------------------------------------------------------------------------
1,928,906
- ----------------------------------------------------------------------------------------------------
Chemicals (2.6%)
....................................................................................................
12,300 Dow Chemical Co. 1,560,563
....................................................................................................
21,400 du Pont (E.I.) de Nemours & Co., Ltd. 1,461,886
....................................................................................................
53,100 Engelhard Corp. 1,201,386
....................................................................................................
16,400 PPG Industries, Inc. 968,625
....................................................................................................
21,900 Union Carbide Corp. 1,067,625
- ----------------------------------------------------------------------------------------------------
6,260,085
- ----------------------------------------------------------------------------------------------------
Computer Equipment (0.3%)
....................................................................................................
14,500 Apple Computer, Inc. (NON) 671,526
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (1.1%)
....................................................................................................
24,000 Computer Associates International, Inc. 1,320,000
....................................................................................................
9,300 IBM Corp. 1,202,025
- ----------------------------------------------------------------------------------------------------
2,522,025
- ----------------------------------------------------------------------------------------------------
Conglomerates (0.5%)
....................................................................................................
22,600 TRW, Inc. 1,240,175
- ----------------------------------------------------------------------------------------------------
Consumer Durable Goods (1.0%)
....................................................................................................
39,300 Hasbro, Inc. 1,097,944
....................................................................................................
16,500 Whirlpool Corp. 1,221,000
- ----------------------------------------------------------------------------------------------------
2,318,944
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (1.2%)
....................................................................................................
19,700 Kimberly-Clark Corp. 1,122,900
....................................................................................................
40,800 Philip Morris Cos., Inc. 1,639,650
- ----------------------------------------------------------------------------------------------------
2,762,550
- ----------------------------------------------------------------------------------------------------
Consumer Products (0.3%)
....................................................................................................
17,100 Fortune Brands, Inc. 707,513
- ----------------------------------------------------------------------------------------------------
Consumer Services (1.0%)
....................................................................................................
57,500 Service Corp. International 1,106,875
....................................................................................................
14,500 Tribune Co. 1,263,313
- ----------------------------------------------------------------------------------------------------
2,370,188
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (1.3%)
....................................................................................................
19,500 Emerson Electric Co. 1,226,063
....................................................................................................
8,000 Micron Technology, Inc. (NON) 322,500
....................................................................................................
15,800 Motorola, Inc. 1,497,050
- ----------------------------------------------------------------------------------------------------
3,045,613
- ----------------------------------------------------------------------------------------------------
Entertainment (0.2%)
....................................................................................................
16,600 Disney (Walt) Productions, Inc. 511,484
- ----------------------------------------------------------------------------------------------------
Environmental Control (0.3%)
....................................................................................................
32,000 Republic Services, Inc. (NON) 792,000
- ----------------------------------------------------------------------------------------------------
Food and Beverages (3.2%)
....................................................................................................
23,900 Heinz (H.J.) Co. 1,197,988
....................................................................................................
27,600 Kellogg Co. 910,800
....................................................................................................
43,800 Nabisco Group Holdings Corp. 856,838
....................................................................................................
52,900 Pepsi Bottling Group, Inc. (The) 1,220,006
....................................................................................................
55,500 Sara Lee Corp. 1,259,156
....................................................................................................
22,100 Seagram Co., Ltd. 1,113,288
....................................................................................................
38,600 SYSCO Corp. 1,150,763
- ----------------------------------------------------------------------------------------------------
7,708,839
- ----------------------------------------------------------------------------------------------------
Forest Products (1.3%)
....................................................................................................
29,200 Mead Corp. 1,219,100
....................................................................................................
28,000 Weyerhaeuser Co. 1,925,000
- ----------------------------------------------------------------------------------------------------
3,144,100
- ----------------------------------------------------------------------------------------------------
Health Care (0.4%)
....................................................................................................
52,600 HEALTHSOUTH Corp. (NON) 785,713
....................................................................................................
13,900 Tenet Healthcare Corp. (NON) 258,019
- ----------------------------------------------------------------------------------------------------
1,043,732
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (14.2%)
....................................................................................................
39,000 Ace Ltd. 1,101,750
....................................................................................................
33,700 Allstate Corp. 1,208,986
....................................................................................................
19,500 American General Corp. 1,469,813
....................................................................................................
49,705 Bank of America Corp. 3,643,998
....................................................................................................
38,900 Bank One Corp. 2,316,981
....................................................................................................
23,300 BankBoston Corp. 1,191,211
....................................................................................................
36,600 Charter One Financial, Inc. 1,017,938
....................................................................................................
16,900 Chase Manhattan Corp. 1,463,963
....................................................................................................
15,200 CIGNA Corp. 1,352,800
....................................................................................................
59,600 Citigroup, Inc. 2,831,000
....................................................................................................
18,200 Fannie Mae 1,244,425
....................................................................................................
3,700 Hartford Financial Services Group 215,756
....................................................................................................
8,400 Morgan (J.P.) & Co., Inc. 1,180,200
....................................................................................................
25,800 Paine Webber Group Inc. 1,206,150
....................................................................................................
27,900 PNC Bank Corp. 1,607,738
....................................................................................................
17,100 SAFECO Corp. 754,538
....................................................................................................
22,450 Synovus Financial Corp. 446,194
....................................................................................................
18,800 The Chubb Corp. 1,306,600
....................................................................................................
15,400 The Equitable Cos., Inc. 1,031,800
....................................................................................................
19,200 Torchmark Corp. 655,200
....................................................................................................
36,400 U.S. Bancorp 1,237,600
....................................................................................................
23,500 UNUM Corp. (NON) 1,286,625
....................................................................................................
12,600 Wachovia Corp. 1,078,088
....................................................................................................
37,700 Washington Mutual, Inc. 1,333,638
....................................................................................................
38,900 Wells Fargo Co. 1,662,975
- ----------------------------------------------------------------------------------------------------
33,845,967
- ----------------------------------------------------------------------------------------------------
Lodging (0.4%)
....................................................................................................
32,900 Starwood Hotels & Resorts
Worldwide, Inc. 1,005,506
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (0.7%)
....................................................................................................
14,400 Baxter International, Inc. 873,000
....................................................................................................
39,600 Bergen Brunswig Corp. Class A 683,100
- ----------------------------------------------------------------------------------------------------
1,556,100
- ----------------------------------------------------------------------------------------------------
Metals and Mining (0.5%)
....................................................................................................
18,200 Alcoa Inc. 1,126,125
- ----------------------------------------------------------------------------------------------------
Oil and Gas (6.0%)
....................................................................................................
18,400 Chevron, Inc. 1,751,450
....................................................................................................
33,900 Conoco, Inc. 944,963
....................................................................................................
23,900 El Paso Energy Corp. 840,981
....................................................................................................
15,400 Elf Aquitane ADR (France) 1,132,863
....................................................................................................
33,000 Exxon Corp. 2,545,125
....................................................................................................
35,500 Halliburton Co. 1,606,375
....................................................................................................
24,300 Mobil Corp. 2,405,700
....................................................................................................
5,100 Phillips Petroleum Co. 256,594
....................................................................................................
31,000 Royal Dutch Petroleum Co. PLC ADR
(Netherlands) 1,867,750
....................................................................................................
38,200 Tosco Corp. 990,813
- ----------------------------------------------------------------------------------------------------
14,342,614
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (2.8%)
....................................................................................................
33,400 American Home Products Corp. 1,920,500
....................................................................................................
29,400 Bristol-Myers Squibb Co. 2,070,863
....................................................................................................
25,900 Monsanto Co. 1,021,431
....................................................................................................
29,000 Pharmacia & Upjohn, Inc. 1,647,563
- ----------------------------------------------------------------------------------------------------
6,660,357
- ----------------------------------------------------------------------------------------------------
Publishing (0.5%)
....................................................................................................
21,800 McGraw-Hill, Inc. 1,175,838
- ----------------------------------------------------------------------------------------------------
REITs (Real Estate Investment Trust) (0.7%)
....................................................................................................
21,000 Equity Office Properties Trust 538,125
....................................................................................................
25,000 Equity Residential Properties Trust 1,126,563
- ----------------------------------------------------------------------------------------------------
1,664,688
- ----------------------------------------------------------------------------------------------------
Retail (2.4%)
....................................................................................................
23,300 Albertsons, Inc. 1,201,406
....................................................................................................
27,200 Federated Department Stores, Inc. (NON) 1,439,900
....................................................................................................
36,300 Rite Aid Corp. 893,888
....................................................................................................
33,200 Saks, Inc. (NON) 958,650
....................................................................................................
24,200 Sears, Roebuck & Co. 1,078,413
- ----------------------------------------------------------------------------------------------------
5,572,257
- ----------------------------------------------------------------------------------------------------
Specialty Consumer Products (0.5%)
....................................................................................................
43,300 Mattel, Inc. 1,144,744
- ----------------------------------------------------------------------------------------------------
Telecommunications (0.5%)
....................................................................................................
17,550 ALLTEL Corp. 1,254,825
- ----------------------------------------------------------------------------------------------------
Telephone Services (4.4%)
....................................................................................................
43,650 American Telephone & Telegraph Co. 2,436,216
....................................................................................................
29,200 Bell Atlantic Corp. 1,908,950
....................................................................................................
25,700 BellSouth Corp. 1,204,688
....................................................................................................
40,000 GTE Corp. 3,030,000
....................................................................................................
32,600 SBC Communications, Inc. 1,890,800
- ----------------------------------------------------------------------------------------------------
10,470,654
- ----------------------------------------------------------------------------------------------------
Transportation (1.9%)
....................................................................................................
46,190 Burlington Northern Santa Fe Corp. 1,431,890
....................................................................................................
20,000 Delta Air Lines, Inc. 1,152,500
....................................................................................................
20,300 FDX Corp. (NON) 1,101,275
....................................................................................................
14,600 UAL Corp. (NON) 949,000
- ----------------------------------------------------------------------------------------------------
4,634,665
- ----------------------------------------------------------------------------------------------------
Utilities (5.0%)
....................................................................................................
33,300 Ameritech Corp. 2,447,550
....................................................................................................
22,100 CiNergy Corp. 707,200
....................................................................................................
20,450 Consolidated Natural Gas Co. 1,242,338
....................................................................................................
27,200 Duke Energy Corp. 1,479,000
....................................................................................................
39,500 Edison International 1,056,625
....................................................................................................
39,600 Entergy Corp. 1,237,500
....................................................................................................
46,800 OGE Energy Corp. 1,111,500
....................................................................................................
52,600 Sempra Energy 1,190,075
....................................................................................................
18,400 Texas Utilities Co. 759,000
....................................................................................................
26,900 Western Resources, Inc. 716,213
- ----------------------------------------------------------------------------------------------------
11,947,001
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $134,306,803) $146,252,857
- ----------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES (15.5%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
Aerospace and Defense (0.2%)
....................................................................................................
$560,000 Boeing Co. deb. 6 5/8s, 2038 $502,628
- ----------------------------------------------------------------------------------------------------
Agriculture (--%)
....................................................................................................
60,000 IMC Global, Inc. notes 7.4s, 2002 60,623
- ----------------------------------------------------------------------------------------------------
Airlines (--%)
....................................................................................................
120,000 Northwest Airlines Corp. pass-through
certificate Ser. 1999-1A, 6.81s, 2020 112,478
- ----------------------------------------------------------------------------------------------------
Automotive (1.1%)
....................................................................................................
800,000 Chrysler Corp. deb. Ser. B, 7.45s, 2097 796,160
....................................................................................................
535,000 Dana Corp. notes 7s, 2029 491,660
....................................................................................................
385,000 Ford Motor Co. bonds 6 5/8s, 2028 346,568
....................................................................................................
895,000 Ford Motor Co. deb. 7.4s, 2046 871,442
- ----------------------------------------------------------------------------------------------------
2,505,830
- ----------------------------------------------------------------------------------------------------
Banks (0.6%)
....................................................................................................
275,000 BankAmerica Corp. sr. notes 5 7/8s, 2009 252,857
....................................................................................................
300,000 Bank United unit Ser. A, 8s, 2009 290,903
....................................................................................................
135,000 Colonial Bank sub. notes 8s, 2009 128,104
....................................................................................................
225,000 Dresdner Funding Trust I 144A notes
8.151s, 2031 222,894
....................................................................................................
215,000 Imperial Bank sub. notes 8 1/2s, 2009 206,400
....................................................................................................
200,000 Sovereign Bancorp, Inc. sr. notes
6 5/8s, 2001 199,194
- ----------------------------------------------------------------------------------------------------
1,300,352
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (0.3%)
....................................................................................................
450,000 American Standard Companies, Inc.
sr. notes 7 3/8s, 2008 423,000
....................................................................................................
295,000 Ball Corp. company guaranty 7 3/4s, 2006 289,100
- ----------------------------------------------------------------------------------------------------
712,100
- ----------------------------------------------------------------------------------------------------
Beverages (0.1%)
....................................................................................................
290,000 Pepsi Bottling Group Inc. 144A sr. notes
7s, 2029 272,351
- ----------------------------------------------------------------------------------------------------
Broadcasting (0.5%)
....................................................................................................
200,000 CBS Corp. sr. notes 7.15s, 2005 199,500
....................................................................................................
250,000 Chancellor Media Corp. company guaranty
8s, 2008 246,250
....................................................................................................
450,000 Lenfest Communications, Inc. sr. notes
8 3/8s, 2005 469,994
....................................................................................................
300,000 TCI Communications Inc. deb. 8 3/4s, 2015 339,879
- ----------------------------------------------------------------------------------------------------
1,255,623
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (0.2%)
....................................................................................................
239,928 Federal Express Corp. pass-through
certificates Ser. 1998-1A, 6.72s, 2022 228,990
....................................................................................................
285,000 Xerox Corp. notes 5 1/2s, 2003 273,899
- ----------------------------------------------------------------------------------------------------
502,889
- ----------------------------------------------------------------------------------------------------
Chemicals (0.5%)
....................................................................................................
170,000 DSM NV 144A notes 6 1/4s, 2004
(Netherlands) 164,662
....................................................................................................
300,000 Lyondell Petrochemical Co. 144A sec. notes
9 5/8s, 2007 307,125
....................................................................................................
120,000 Nova Chemicals Corp. deb. 7s, 2026
(Canada) 118,536
....................................................................................................
205,000 Rohm & Haas Co. 144A deb. 7.85s, 2029 204,850
....................................................................................................
500,000 Union Carbide Corp. notes 6 1/4s, 2003 487,720
- ----------------------------------------------------------------------------------------------------
1,282,893
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (0.2%)
....................................................................................................
480,000 IBM Corp. deb. 7 1/8s, 2096 466,349
- ----------------------------------------------------------------------------------------------------
Conglomerates (0.6%)
....................................................................................................
320,000 Canadian Pacific Ltd. deb. 9.45s,
2021 (Canada) 371,939
....................................................................................................
380,000 TRW, Inc. 144A notes 7 3/4s, 2029 371,211
....................................................................................................
545,000 Tyco International Ltd. company guaranty
6 3/8s, 2005 533,081
....................................................................................................
210,000 Tyco International Ltd. company guaranty
6 1/4s, 2003 206,638
- ----------------------------------------------------------------------------------------------------
1,482,869
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (0.3%)
....................................................................................................
300,000 Imperial Tobacco Global 7 1/8s, 2009 286,197
....................................................................................................
315,000 Philip Morris Cos., Inc. notes 7 1/2s, 2004 324,352
....................................................................................................
95,000 Philip Morris Cos., Inc. notes 7 1/4s, 2003 96,806
- ----------------------------------------------------------------------------------------------------
707,355
- ----------------------------------------------------------------------------------------------------
Consumer Services (0.2%)
....................................................................................................
50,000 Hertz Corp. notes 6 1/4s, 2009 46,589
....................................................................................................
25,000 Hertz Corp. sr. notes 7s, 2028 23,091
....................................................................................................
265,000 Hertz Corp. sr. notes 6 1/2s, 2006 257,153
....................................................................................................
60,000 Service Corp. International notes 6s, 2005 55,344
- ----------------------------------------------------------------------------------------------------
382,177
- ----------------------------------------------------------------------------------------------------
Energy-Related (--%)
....................................................................................................
25,000 Edison Mission Energy 144A company
guaranty 7.33s, 2008 24,921
....................................................................................................
30,000 KN Capital Trust III company guaranty
7.63s, 2028 25,443
- ----------------------------------------------------------------------------------------------------
50,364
- ----------------------------------------------------------------------------------------------------
Entertainment (0.5%)
....................................................................................................
450,000 News America Holdings, Inc. deb.
7 3/4s, 2045 424,049
....................................................................................................
410,000 Time Warner Entertainment Inc. notes
8 7/8s, 2012 456,740
....................................................................................................
140,000 Time Warner Entertainment sr. notes
8 3/8s, 2033 152,225
....................................................................................................
230,000 Walt Disney Co. med. term notes
5.62s, 2008 212,256
- ----------------------------------------------------------------------------------------------------
1,245,270
- ----------------------------------------------------------------------------------------------------
Environmental Control (0.1%)
....................................................................................................
250,000 Allied Waste Industries, Inc. company
guaranty Ser. B, 7 7/8s, 2009 231,875
- ----------------------------------------------------------------------------------------------------
Gaming (0.2%)
....................................................................................................
135,000 Mashantucket Pequot Tribe 144A bonds
Ser. A, FSA, 6.57s, 2013 123,377
....................................................................................................
300,000 Mohegan Tribal Gaming, Auth. sr. sub. notes
8 3/4s, 2009 295,500
- ----------------------------------------------------------------------------------------------------
418,877
- ----------------------------------------------------------------------------------------------------
Health Care (0.4%)
....................................................................................................
450,000 Columbia/HCA Healthcare Corp.
med. term notes 6.63s, 2045 421,245
....................................................................................................
450,000 Tenet Healthcare Corp. sr. sub. notes
8 5/8s, 2007 438,750
- ----------------------------------------------------------------------------------------------------
859,995
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (5.6%)
....................................................................................................
270,000 AFC Capital Trust company guaranty
Ser. B, 8.207s, 2027 280,522
....................................................................................................
265,000 AFLAC Inc. sr. notes 6 1/2s, 2009 252,476
....................................................................................................
435,000 American General Institute 144A
company guaranty 8 1/8s, 2046 456,189
....................................................................................................
300,000 Associates Corp. deb. 6.95s, 2018 289,050
....................................................................................................
700,000 Associates First Capital Corp. sr. notes
6 1/4s, 2008 666,204
....................................................................................................
60,000 Associates First Capital Corp. sub. deb.
8.15s, 2009 64,409
....................................................................................................
105,000 Bombardier Capital Inc. 144A notes
6s, 2002 102,743
....................................................................................................
315,000 Capital One Financial Corp. notes
7 1/4s, 2006 299,689
....................................................................................................
420,000 Capital One Financial Corp. notes
7 1/4s, 2003 412,541
....................................................................................................
580,000 Citicorp sub. notes 6 3/8s, 2008 550,229
....................................................................................................
305,000 Conseco Financing Trust II
company guaranty 8.7s, 2026 274,872
....................................................................................................
110,000 Conseco Inc. med. term notes
6 1/2s, 2002 104,281
....................................................................................................
200,000 Conseco Inc. sr. notes Ser. B, 7.6s, 2001 200,273
....................................................................................................
115,000 Countrywide Home Loan Corp.
company guaranty 6.935s, 2007 113,299
....................................................................................................
800,000 Countrywide Home Loan Corp.
company guaranty med. term notes
6 1/4s, 2009 742,960
....................................................................................................
115,000 Dime Bancorp, Inc. sr. notes 6 3/8s, 2001 114,857
....................................................................................................
600,000 Dime Capital Trust I bank guaranty Ser. A,
9.33s, 2027 624,120
....................................................................................................
25,000 Executive Risk Capital Trust company
guaranty Ser. B, 8.675s, 2027 25,503
....................................................................................................
185,000 Finova Capital Corp. med. term notes
6.11s, 2003 182,047
....................................................................................................
90,000 Finova Capital Corp. notes 7.4s, 2007 90,841
....................................................................................................
910,000 Finova Capital Corp. notes 6 1/4s, 2002 901,455
....................................................................................................
10,000 Ford Motor Credit Corp. notes
5 1/8s, 2001 9,744
....................................................................................................
21,000 Ford Motor Credit Corp. sr. notes 6s, 2003 20,667
....................................................................................................
105,000 Ford Motor Credit Corp. sr. notes
5.8s, 2009 95,960
....................................................................................................
40,000 General Motors Acceptance Corp.
notes 5 3/4s, 2003 38,702
....................................................................................................
270,000 Heller Financial Inc. notes 6s, 2004 261,363
....................................................................................................
220,000 Household Finance Corp. notes
6 1/2s, 2008 209,772
....................................................................................................
335,000 Household Finance Corp. sr. unsub.
5 7/8s, 2009 304,361
....................................................................................................
565,000 Household Netherlands N.V. company
guaranty 6.2s, 2003 (Netherlands) 552,648
....................................................................................................
25,000 Lehman Brothers Holdings, Inc. notes
6 1/4s, 2003 24,360
....................................................................................................
350,000 Lehman Brothers Holdings, Inc. notes
6 5/8s, 2004 340,949
....................................................................................................
24,000 Lehman Brothers Holdings, Inc. notes
6 1/2s, 2002 23,680
....................................................................................................
25,000 Markel Capital Trust I company guaranty
Ser. B, 8.71s, 2046 23,107
....................................................................................................
220,000 Merey Sweeney L.P. 144A sr. notes
8.85s, 2019 225,500
....................................................................................................
395,000 Newcourt Credit Group Inc. 144A notes
6 7/8s, 2005 386,551
....................................................................................................
95,000 Newcourt Credit Group, Inc. 144A
company guaranty 7 1/8s, 2003 96,611
....................................................................................................
50,000 Paine Webber Group, Inc. sr. med. term
notes 6.52s, 2005 48,125
....................................................................................................
370,000 Paine Webber Group, Inc. sr. notes
6.55s, 2008 349,165
....................................................................................................
25,000 Peoples Bank-Bridgeport sub. notes
7.2s, 2006 23,375
....................................................................................................
110,000 Presidential Life Corp. sr. notes
7 7/8s, 2009 108,350
....................................................................................................
80,000 Provident Companies, Inc. bonds
7.405s, 2038 74,960
....................................................................................................
165,000 Prudential Insurance Co. 144A
6 7/8s, 2003 165,535
....................................................................................................
450,000 Salomon, Inc. sr. notes 6 3/4s, 2003 451,895
....................................................................................................
230,000 Sears Roebuck Acceptance Corp. notes
6 1/2s, 2028 200,774
....................................................................................................
100,000 Sprint Capital Corp. company guaranty
6.9s, 2019 92,597
....................................................................................................
160,000 Sprint Capital Corp. company guaranty
6 1/8s, 2008 147,662
....................................................................................................
545,000 Sprint Capital Corp. company guaranty
5.7s, 2003 522,312
....................................................................................................
385,000 St. Paul Bancorp sr. notes 7 1/8s, 2004 375,895
....................................................................................................
615,000 Sun Life Canada Capital Trust 144A
8.526s, 2049 621,931
....................................................................................................
130,000 Toyota Motor Credit Corp. notes
5 5/8s, 2003 125,889
....................................................................................................
100,000 Transamerica Capital III bonds 7 5/8s, 2037 97,501
....................................................................................................
525,000 Trenwick Capital Trust I company guaranty
8.82s, 2037 477,020
....................................................................................................
175,000 Zurich Capital Trust I 144A company
guaranty 8.376s, 2037 178,007
- ----------------------------------------------------------------------------------------------------
13,423,528
- ----------------------------------------------------------------------------------------------------
Metals and Mining (0.1%)
....................................................................................................
250,000 AK Steel Corp. sr. notes 9 1/8s, 2006 256,250
- ----------------------------------------------------------------------------------------------------
Office Equipment (--%)
....................................................................................................
35,000 Newell Co. notes 6.35s, 2008 33,713
- ----------------------------------------------------------------------------------------------------
Oil and Gas (1.1%)
....................................................................................................
175,000 Alliance Pipeline L.P. 144A sr. notes 7.77s,
2015 (Canada) 176,313
....................................................................................................
15,000 Coastal Corp. deb. 6 1/2s, 2008 14,350
....................................................................................................
200,000 Conoco, Inc. sr. notes 6.95s, 2029 187,244
....................................................................................................
100,000 El Paso Energy Corp. sr. notes 6 3/4s, 2009 96,050
....................................................................................................
50,000 Enron Corp. notes 6.4s, 2006 48,138
....................................................................................................
25,000 K N Energy, Inc. sr. notes 6.45s, 2003 24,359
....................................................................................................
165,000 Norsk Hydro ASA notes 6.36s,
2009 (Norway) 155,186
....................................................................................................
500,000 Panhandle Eastern Corp. 144A sr. notes
6 1/8s, 2004 485,480
....................................................................................................
205,000 Petro Geo-Services sr. notes 7 1/8s,
2028 (Norway) 183,588
....................................................................................................
255,000 Petro Geo-Services ADR notes 7 1/2s,
2007 (Norway) 254,429
....................................................................................................
960,000 Union Oil Company of California
company guaranty 7 1/2s, 2029 943,757
- ----------------------------------------------------------------------------------------------------
2,568,894
- ----------------------------------------------------------------------------------------------------
Pipelines (0.1%)
....................................................................................................
185,000 Maritime & Ne Pipele P/p 144A 7.7s, 2019 184,519
- ----------------------------------------------------------------------------------------------------
Packaging and Containers (0.1%)
....................................................................................................
250,000 Riverwood International Corp.
company guaranty 10 5/8s, 2007 255,000
- ----------------------------------------------------------------------------------------------------
Publishing (0.1%)
....................................................................................................
330,000 News America Holdings, Inc. deb. 7.7s, 2025 319,651
- ----------------------------------------------------------------------------------------------------
Real Estate (0.2%)
....................................................................................................
145,000 EOP Operating L.P. notes 6.8s, 2009 136,565
....................................................................................................
205,000 EOP Operating L.P. sr. notes 6 3/4s, 2008 193,848
....................................................................................................
50,000 EOP Operating L.P. notes 6 3/8s, 2002 49,368
....................................................................................................
110,000 Omega Healthcare Investors, Inc. notes
6.95s, 2002 105,931
- ----------------------------------------------------------------------------------------------------
485,712
- ----------------------------------------------------------------------------------------------------
Restaurants (0.3%)
....................................................................................................
725,000 Tricon Global Restaurants, Inc. sr. notes
7.45s, 2005 723,586
- ----------------------------------------------------------------------------------------------------
Specialty Consumer Products (--%)
....................................................................................................
30,000 US West Capital Funding, Inc.
company guaranty 6 1/4s, 2005 29,078
- ----------------------------------------------------------------------------------------------------
Telecommunications (0.9%)
....................................................................................................
250,000 Adelphia Communications Corp. sr. notes
Ser. B, 9 7/8s, 2007 261,250
....................................................................................................
50,000 AT&T Capital Corp. med. term notes
6 1/4s, 2001 49,269
....................................................................................................
250,000 Covad Communications Group Inc.
sr. notes 12 1/2s, 2009 240,625
....................................................................................................
250,000 Global Crossing Holdings, Ltd.
company guaranty 9 5/8s, 2008 270,000
....................................................................................................
150,000 Hyperion Telecommunications Corp., Inc.
sr. disc. notes stepped-coupon Ser. B,
zero % (13s, 4/15/01), 2003 (STP) 123,750
....................................................................................................
250,000 International Cabletel, Inc. sr. notes
stepped-coupon Ser. B, zero %
(11 1/2s, 2/01/01), 2006 (STP) 217,500
....................................................................................................
95,000 MCI WorldCom, Inc. sr. notes 6.4s, 2005 92,939
....................................................................................................
250,000 Price Communications Wireless, Inc.
144A sr. notes 9 1/8s, 2006 253,750
....................................................................................................
460,000 TCI Communications sr. notes 7 1/8s, 2028 444,581
....................................................................................................
190,000 WorldCom, Inc. sr. notes 6.95s, 2028 180,301
- ----------------------------------------------------------------------------------------------------
2,133,965
- ----------------------------------------------------------------------------------------------------
Telephone Services (0.3%)
....................................................................................................
140,000 GTE Corp. deb. 6.46s, 2008 135,034
....................................................................................................
475,000 U S West, Inc. notes 5 5/8s, 2008 430,673
- ----------------------------------------------------------------------------------------------------
565,707
- ----------------------------------------------------------------------------------------------------
Transportation (0.4%)
....................................................................................................
280,000 Atlas Air, Inc. pass-through certificates
Ser. 991A, 7.2s, 2019 265,860
....................................................................................................
200,000 Burlington Northern Santa Fe Corp.
notes 6 1/8s, 2009 187,090
....................................................................................................
110,000 Continental Airlines, Inc. pass-through
certificates Ser. 98-2, 6.32s, 2008 104,039
....................................................................................................
20,000 Continental Airlines, Inc. pass-through
certificates Ser. 97-4C, 6.8s, 2009 19,308
....................................................................................................
22,632 Continental Airlines, Inc. pass-through
certificates Ser. 97-CI, 7.42s, 2007 22,489
....................................................................................................
100,000 CSX Corp. deb. 7.95s, 2027 103,349
....................................................................................................
200,000 United Air Lines Corp. deb. 9 3/4s, 2021 231,766
- ----------------------------------------------------------------------------------------------------
933,901
- ----------------------------------------------------------------------------------------------------
Utilities (0.3%)
....................................................................................................
265,000 Aes Eastern Energy 144A pass-through
certificates 9s, 2017 259,340
....................................................................................................
265,000 Nevada Power Co. sr. notes Ser. B,
6.2s, 2004 257,453
....................................................................................................
105,000 Niagara Mohawk Power Corp. sr. notes
Ser. G, 7 3/4s, 2008 108,446
....................................................................................................
50,000 Public Service Co. of New Mexico
sr. notes Ser. B, 7 1/2s, 2018 48,863
....................................................................................................
25,000 Texas Utilities Electric Capital Trust V
company guaranty 8.175s, 2037 24,766
- ----------------------------------------------------------------------------------------------------
698,868
- ----------------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $38,781,486) $36,965,270
- ----------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (14.1%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
U.S. Government and Agency Obligations (7.0%)
....................................................................................................
Federal National Mortgage Association
Pass-Through Certificates
....................................................................................................
$1,232,913 8 1/2s, with due dates from
May 1, 2017 to December 1, 2026 $1,288,698
....................................................................................................
5,235,810 6 1/2s, with due dates from
November 1, 2027 to April 1, 2029 5,051,254
....................................................................................................
928,081 6s, with due dates from
January 1, 2029 to February 15, 2029 871,812
....................................................................................................
1,107,801 6s, Dwarf, with due dates from
January 1, 2013 to October 1, 2013 1,070,058
....................................................................................................
Government National Mortgage
Association Pass-Through Certificates
....................................................................................................
2,521,952 8s, with due dates from July 15, 2025
to January 15, 2028 2,593,934
....................................................................................................
2,426,512 7s, with due dates from
August 15, 2023 to December 15, 2027 2,395,781
....................................................................................................
3,442,841 6 1/2s, with due dates from
October 15, 2023 to May 15, 2029 3,311,843
- ----------------------------------------------------------------------------------------------------
16,583,380
- ----------------------------------------------------------------------------------------------------
U.S. Treasury Obligations (7.1%)
....................................................................................................
U.S. Treasury Notes
....................................................................................................
5,959,000 5 1/2s, May 15, 2009 5,821,168
....................................................................................................
7,885,000 5 1/4s, May 15, 2004 7,748,274
....................................................................................................
260,000 4 3/4s, November 15, 2008 238,753
....................................................................................................
2,510,000 4 1/2s, September 30, 2000 2,482,541
....................................................................................................
745,000 4s, October 31, 2000 731,612
- ----------------------------------------------------------------------------------------------------
17,022,348
- ----------------------------------------------------------------------------------------------------
Total U.S. Government and
Agency Obligations (cost $34,073,291) $33,605,728
- ----------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (1.3%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
Commercial Mortgage Acceptance Corp.
....................................................................................................
$104,015 Ser. 98-C2, Class A1, 5.8s, 2006 $100,765
....................................................................................................
550,000 Ser. 98-C2, Class A2, 6.03s, 2008 520,266
....................................................................................................
37,776 First Union-Lehman Brothers --
Bank of America Ser. 98-C2, Class A1,
6.28s, 2007 37,245
....................................................................................................
120,000 First Union-Lehman Brothers
Commercial Mortgage Co. Ser. 98-C2,
Class A2, 6.56s, 2008 117,319
....................................................................................................
Freddie Mac
....................................................................................................
596,761 Ser. 1954, 6s, 2027 173,247
....................................................................................................
136,381 Ser. 2113, 6 1/2s, 2028 124,874
....................................................................................................
756,588 Freddie Mac Strip, Ser. 201,
Interest Only (IO) 6s, 2029 238,089
....................................................................................................
70,000 GE Capital Mortgage Services, Inc.
Ser. 98-11, Class 2A4, 6 3/4s, 2028 66,413
....................................................................................................
GMAC Commercial Mortgage Securities Inc.
....................................................................................................
752,612 Ser. 98-C2, Class A1, 6.15s, 2007 738,185
....................................................................................................
165,000 Ser. 98-C2, Class A2, 6.42s, 2008 159,708
....................................................................................................
Merrill Lynch Mortgage Investors, Inc.
....................................................................................................
303,887 Ser. 98-C2, Class A1, 6.22s, 2030 299,709
....................................................................................................
1,425,647 Ser. 98-C2, IO, 1.579s, 2030 106,255
....................................................................................................
Mortgage Capital Funding, Inc.
....................................................................................................
558,412 Ser. 97-MC2, Class X, IO, 1.571s, 2012 40,419
....................................................................................................
250,436 Ser. 98-MC1, Class A1, 6.417s, 2007 249,184
....................................................................................................
100,000 Residential Asset Securitization Trust
Ser. 98-A12, Class A14, 8s, 2028 103,250
- ----------------------------------------------------------------------------------------------------
Total Collateralized Mortgage Obligations
(cost $3,082,387) $3,074,928
- ----------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BONDS AND NOTES (0.5%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$385,000 Ontario (Province of) sr. unsub.
5 1/2s, 2008 $354,292
....................................................................................................
130,000 Quebec (Province of) deb. 7s, 2007 130,871
....................................................................................................
695,000 Quebec (Province of) sr. unsub.
5 3/4s, 2009 639,428
- ----------------------------------------------------------------------------------------------------
Total Foreign Government Bonds
and Notes (cost $1,196,075) $1,124,591
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (0.4%) (a) (cost $899,562)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$850,000 Micron Technology, Inc. cv. sub. notes
7s, 2004 $871,250
- ----------------------------------------------------------------------------------------------------
PREFERRED STOCKS (--%) (a) (cost $90,000)
- ----------------------------------------------------------------------------------------------------
Number of Shares
....................................................................................................
90 Centaur Funding Corp 144A 9.08% pfd.
(Cayman Islands) $94,578
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (5.5%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount
....................................................................................................
$4,000,000 Federal Home Loan Mortgage-1 Fr,
effective yield of 4.87%, August 12, 1999 $3,977,227
....................................................................................................
9,081,000 Interest in $402,952,000 joint repurchase
agreement dated June 30, 1999 with
Merrill Lynch, Pierce, Fenner & Smith, Inc.
due July 1, 1999 with respect to various
U.S. Treasury obligations -- maturity
value of $9,082,186 for an effective
yield of 4.70% 9,081,000
- ----------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $13,058,227) $13,058,227
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $225,487,831) (b) $235,047,429
- ----------------------------------------------------------------------------------------------------
See page 124 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT Global Asset Allocation Fund
Portfolio of investments owned
June 30, 1999 (Unaudited)
<CAPTION>
COMMON STOCKS (63.6%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Advertising (0.2%)
....................................................................................................
90 Havas Advertising SA (France) $18,616
....................................................................................................
15,250 Lamar Advertising Co. (NON) 624,297
....................................................................................................
1,210 Publicis S.A. (France) 256,608
....................................................................................................
121,406 WPP Group PLC (United Kingdom) 1,027,298
- ----------------------------------------------------------------------------------------------------
1,926,819
- ----------------------------------------------------------------------------------------------------
Aerospace and Defense (0.8%)
....................................................................................................
7,590 Aerospatiale Matra (France) (NON) 175,489
....................................................................................................
800 Aerospatiale Matra 144A (France) (NON) 18,497
....................................................................................................
63,010 Boeing Co. 2,784,254
....................................................................................................
381,000 Cathay Pacific Airways (Hong Kong) 584,401
....................................................................................................
20,910 Northrop Grumman Corp. 1,386,594
....................................................................................................
31,040 Raytheon Co. Class A 2,137,880
....................................................................................................
48,636 Smiths Industries PLC (United Kingdom) 642,819
- ----------------------------------------------------------------------------------------------------
7,729,934
- ----------------------------------------------------------------------------------------------------
Automotive (1.1%)
....................................................................................................
821 Bayerische Motoren Werke (BMW)
AG (Germany) 566,154
....................................................................................................
14,600 CSK Auto Corp. (NON) 394,200
....................................................................................................
17,465 DaimlerChrysler AG (Germany) 1,517,674
....................................................................................................
27,356 Delphi Automotive Systems Corp. 507,796
....................................................................................................
46,570 Ford Motor Co. 2,628,294
....................................................................................................
39,140 General Motors Corp. 2,583,240
....................................................................................................
13,000 Honda Motor Co., Ltd. (Japan) (NON) 551,385
....................................................................................................
16,370 Lear Corp. (NON) 814,408
....................................................................................................
19 Michelin Corp. Class B, (France) 780
....................................................................................................
14,654 Volkswagen AG (Germany) 941,409
....................................................................................................
2,623 Volkswagen AG (Germany) 97,278
- ----------------------------------------------------------------------------------------------------
10,602,618
- ----------------------------------------------------------------------------------------------------
Banks (0.7%)
....................................................................................................
52,179 National Westminster Bancorp Inc,
(United Kingdom) 1,106,891
....................................................................................................
3,900 Net.B@nk, Inc. (NON) 148,200
....................................................................................................
7,400 Northern Trust Corp. 717,800
....................................................................................................
3,858 Societe Generale (France) 682,079
....................................................................................................
20,500 Toronto-Dominion Bank (Canada) 934,108
....................................................................................................
64,195 Wells Fargo Co. 2,744,336
....................................................................................................
3,800 Zions Bancorp 241,300
- ----------------------------------------------------------------------------------------------------
6,574,714
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (1.0%)
....................................................................................................
17,945 Caterpillar, Inc. 1,076,700
....................................................................................................
15,990 Cooper Industries, Inc. 831,480
....................................................................................................
38,950 Deere (John) & Co. 1,543,394
....................................................................................................
21,755 Minnesota Mining & Manufacturing Co. 1,891,325
....................................................................................................
84,910 Owens-Illinois, Inc. (NON) 2,775,496
....................................................................................................
27,200 Parker-Hannifin Corp. 1,244,400
....................................................................................................
5,420 Sandvik AB Class A, (Sweden) 118,899
....................................................................................................
4,390 Sandvik AB Class B, (Sweden) 97,602
- ----------------------------------------------------------------------------------------------------
9,579,296
- ----------------------------------------------------------------------------------------------------
Broadcasting (1.7%)
....................................................................................................
109,596 AT&T Corp. 4,027,653
....................................................................................................
21,500 Citadel Communications Corp. (NON) 778,031
....................................................................................................
14,400 Clear Channel Communications, Inc. (NON) 992,700
....................................................................................................
33,600 Comcast Corp. Class A (NON) 1,291,500
....................................................................................................
36,700 Cumulus Media Inc. Class A (NON) 802,813
....................................................................................................
70,093 Granada Group PLC (United Kingdom) 1,301,182
....................................................................................................
16,912 Grupo Televisa S.A.GDR (Mexico) (NON) 757,869
....................................................................................................
15,000 Hispanic Broadcasting Corp. (NON) 1,138,125
....................................................................................................
25,300 Jones Intercable, Inc. (NON) 1,239,700
....................................................................................................
9,300 Mediaset SPA (Italy) 82,932
....................................................................................................
51,984 News Corp. Ltd. ADR (Australia) 1,835,685
....................................................................................................
810 Nippon Television Network Corp. (Japan) 334,849
....................................................................................................
13,300 Pegasus Communications Corp. (NON) 524,519
....................................................................................................
14,800 Radio One, Inc. (NON) 688,200
....................................................................................................
15,550 SAGA Communications Inc. Class A (NON) 289,619
....................................................................................................
9,100 SBS Broadcasting SA (Luxembourg) (NON) 293,475
....................................................................................................
3,694 Sinclair Broadcast Group, Inc. Class A (NON) 60,489
....................................................................................................
34 Spanish Broadcasting System, Inc. (NON) 20,544
....................................................................................................
1,553 Television Francaise I (TF1) (France) 363,087
- ----------------------------------------------------------------------------------------------------
16,822,972
- ----------------------------------------------------------------------------------------------------
Building and Construction (0.4%)
....................................................................................................
2,577 Bouygues S.A. (France) 683,272
....................................................................................................
2,577 Bouygues S.A. (France) 6,878
....................................................................................................
68,427 CRH PLC (Ireland) (NON) 1,217,549
....................................................................................................
17,900 Dycom Industries, Inc. 1,002,400
....................................................................................................
5,800 Hanson PLC (United Kingdom) (NON) 51,548
....................................................................................................
14,600 Insituform Technologies, Inc. (NON) 315,725
....................................................................................................
9,383 Lafarge Coppee (France) 894,959
- ----------------------------------------------------------------------------------------------------
4,172,331
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (1.7%)
....................................................................................................
19,000 ACT Networks, Inc. (NON) 324,188
....................................................................................................
14,700 AHL Services, Inc. (NON) 366,581
....................................................................................................
7,100 Charles River Associates Inc. (NON) 177,944
....................................................................................................
68,400 Cisco Systems, Inc. (NON) 4,407,525
....................................................................................................
12,700 Cunningham Graphics International, Inc. (NON) 211,138
....................................................................................................
5,400 Daisytek International Corp. (NON) 88,087
....................................................................................................
21,600 EMC Corp. (NON) 1,188,000
....................................................................................................
8,100 F.Y.I., Inc. (NON) 254,138
....................................................................................................
34,200 Hewlett-Packard Co. 3,437,100
....................................................................................................
8,800 NCO Group, Inc. (NON) 334,400
....................................................................................................
34,500 Pitney Bowes, Inc. 2,216,625
....................................................................................................
15,750 ProBusiness Services, Inc. (NON) 565,031
....................................................................................................
10,547 Provant, Inc. (NON) 164,138
....................................................................................................
13,938 Vedior NV (Netherlands) 237,911
....................................................................................................
46,675 Xerox Corp. 2,756,742
- ----------------------------------------------------------------------------------------------------
16,729,548
- ----------------------------------------------------------------------------------------------------
Cable Television (0.3%)
....................................................................................................
40,200 MediaOne Group Inc. (NON) 2,989,875
- ----------------------------------------------------------------------------------------------------
Chemicals (1.5%)
....................................................................................................
35,688 Akzo-Nobel N.V. (Netherlands) (NON) 1,506,305
....................................................................................................
5,800 Albany Molecular Research, Inc. (NON) 172,550
....................................................................................................
18,765 Dow Chemical Co. 2,380,809
....................................................................................................
68,053 du Pont (E.I.) de Nemours & Co., Ltd. 4,648,871
....................................................................................................
46,317 Hoechst AG (Germany) (NON) 2,103,466
....................................................................................................
15,790 PPG Industries, Inc. 932,597
....................................................................................................
40,800 Praxair, Inc. 1,996,650
....................................................................................................
5,000 Shin-Etsu Chemical Co. (Japan) 167,425
....................................................................................................
26,695 Union Carbide Corp. 1,301,381
- ----------------------------------------------------------------------------------------------------
15,210,054
- ----------------------------------------------------------------------------------------------------
Communications (--%)
....................................................................................................
9,700 Advanced Communication Systems, Inc. (NON) 132,769
- ----------------------------------------------------------------------------------------------------
Computer Equipment (1.0%)
....................................................................................................
22,900 Apple Computer, Inc. (NON) 1,060,556
....................................................................................................
24,700 Artesyn Technologies, Inc. (NON) 548,031
....................................................................................................
12,800 Emulex Corp. (NON) 1,423,200
....................................................................................................
10,300 Lexmark International Group, Inc. Class A (NON) 680,444
....................................................................................................
52,170 NCR Corp. (NON) 2,546,551
....................................................................................................
5,500 PRI Automation, Inc. (NON) 199,375
....................................................................................................
39,840 Seagate Technology, Inc. (NON) 1,020,900
....................................................................................................
43,600 Sun Microsystems, Inc. (NON) 3,002,950
- ----------------------------------------------------------------------------------------------------
10,482,007
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (3.6%)
....................................................................................................
3,300 Allaire Corp. (NON) 225,225
....................................................................................................
8,400 Aware, Inc. (NON) 387,450
....................................................................................................
4,500 BackWeb Technologies Ltd. (Israel) (NON) 123,188
....................................................................................................
4,200 Bottomline Technologies, Inc. (NON) 222,600
....................................................................................................
13,300 Brio Technology, Inc. (NON) 266,000
....................................................................................................
3,800 BroadVision, Inc. (NON) 280,250
....................................................................................................
13,900 Business Objects S.A. (France) (NON) 507,350
....................................................................................................
5,900 Catapult Communications Corp. (NON) 111,363
....................................................................................................
1,600 Clarent Corp. (NON) 24,000
....................................................................................................
7,900 Clarify, Inc. (NON) 325,875
....................................................................................................
7,800 CMG Information Services, Inc. (NON) 889,688
....................................................................................................
27,300 Computer Network Technology Corp. (NON) 590,363
....................................................................................................
16,700 Comverse Technology, Inc. (NON) 1,260,850
....................................................................................................
3,300 Concord Communications, Inc. (AFF) (NON) 148,500
....................................................................................................
8,900 Concur Technologies, Inc. (NON) 250,313
....................................................................................................
12,000 Dendrite International, Inc. (NON) 433,500
....................................................................................................
30,130 Electronic Data Systems Corp. 1,704,228
....................................................................................................
13,000 Exchange Applications, Inc. (NON) 529,750
....................................................................................................
114,000 Fujitsu Ltd. (Japan) (NON) 2,295,081
....................................................................................................
22,700 Genesys Telecommunications
Laboratories, Inc. (NON) 567,500
....................................................................................................
11,600 Globix Corp. (NON) 512,575
....................................................................................................
68,595 IBM Corp. 8,865,904
....................................................................................................
5,700 Informatica Corp. (NON) 203,063
....................................................................................................
5,100 InterVU Inc. (NON) 195,394
....................................................................................................
11,000 Micromuse, Inc. (NON) 548,625
....................................................................................................
115,200 Microsoft Corp. (NON) 10,389,600
....................................................................................................
3,800 Mpath Interactive, Inc. (NON) 83,600
....................................................................................................
6,200 Multex.com Inc. (NON) 161,975
....................................................................................................
5,870 Net Perceptions, Inc. (NON) 128,039
....................................................................................................
2,200 nFront, Inc. (NON) 33,413
....................................................................................................
2,100 OneSource Information Services, Inc. (NON) 18,375
....................................................................................................
1,700 Peregrine Systems, Inc. (NON) 43,669
....................................................................................................
8,200 Pinnacle Systems, Inc. (NON) 275,725
....................................................................................................
500 Proxicom, Inc. (NON) 12,844
....................................................................................................
7,900 Ramp Networks, Inc. (NON) 113,069
....................................................................................................
5,200 Security First Technologies Corp. (NON) 234,650
....................................................................................................
3,900 Silknet Software, Inc. (NON) 157,950
....................................................................................................
12,500 Spyglass, Inc. (NON) 251,563
....................................................................................................
900 StarMedia Network, Inc. (NON) 57,713
....................................................................................................
39,100 Unisys Corp. (NON) 1,522,456
....................................................................................................
9,200 Verity, Inc. (NON) 498,525
....................................................................................................
1,400 VerticalNet, Inc. (NON) 147,000
....................................................................................................
500 Viant Corp. (NON) 17,500
....................................................................................................
10,200 Visual Networks, Inc. (NON) 326,400
- ----------------------------------------------------------------------------------------------------
35,942,701
- ----------------------------------------------------------------------------------------------------
Conglomerates (2.0%)
....................................................................................................
41,620 Allied-Signal, Inc. 2,622,060
....................................................................................................
470,000 First Pacific Co., Ltd. (Hong Kong) (NON) 399,835
....................................................................................................
34,000 Hutchison Whampoa, Ltd. (Hong Kong) (NON) 307,868
....................................................................................................
81,614 Securicor Group PLC (United Kingdom) 716,336
....................................................................................................
38,065 TRW, Inc. 2,088,817
....................................................................................................
99,203 Tyco International Ltd. 9,399,484
....................................................................................................
66,700 United Technologies Corp. 4,781,556
- ----------------------------------------------------------------------------------------------------
20,315,956
- ----------------------------------------------------------------------------------------------------
Consumer Durable Goods (0.3%)
....................................................................................................
54,257 Hasbro, Inc. 1,515,805
....................................................................................................
24,565 Whirlpool Corp. 1,817,810
- ----------------------------------------------------------------------------------------------------
3,333,615
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (1.3%)
....................................................................................................
13,000 Clorox Co. 1,388,563
....................................................................................................
23,900 Colgate-Palmolive Co. 2,360,125
....................................................................................................
57,600 Estee Lauder Cos. Class A 2,887,200
....................................................................................................
910 Hedstrom Holdings, Inc. 144A (NON) 910
....................................................................................................
59,240 Kimberly-Clark Corp. 3,376,680
....................................................................................................
9,800 Nike, Inc. 620,463
....................................................................................................
59,410 Philip Morris Cos., Inc. 2,387,539
....................................................................................................
9,000 Wesley Jessen VisionCare, Inc. (NON) 291,375
- ----------------------------------------------------------------------------------------------------
13,312,855
- ----------------------------------------------------------------------------------------------------
Consumer Services (1.0%)
....................................................................................................
8,000 Amazon.com, Inc. (NON) 1,001,000
....................................................................................................
15,600 America Online, Inc. (NON) 1,723,800
....................................................................................................
130 AmeriKing, Inc. (NON) 5,200
....................................................................................................
500 Ask Jeeves, Inc. (NON) 7,000
....................................................................................................
12,000 Carey International, Inc. (NON) 295,500
....................................................................................................
1,100 Global Vacation Group, Inc. (NON) 4,950
....................................................................................................
40,600 Interpublic Group Cos. Inc. 3,516,975
....................................................................................................
3,900 MemberWorks Inc. (NON) 113,100
....................................................................................................
14,050 On Assignment, Inc. (NON) 367,056
....................................................................................................
4,900 PJ America Inc. (NON) 103,819
....................................................................................................
20,825 Rent-Way, Inc. (NON) 512,816
....................................................................................................
121,485 Service Corp. International 2,338,586
....................................................................................................
8,900 SportsLine USA, Inc. (NON) 319,288
....................................................................................................
3,650 Steiner Leisure Ltd. 110,641
- ----------------------------------------------------------------------------------------------------
10,419,731
- ----------------------------------------------------------------------------------------------------
Cosmetics (0.1%)
....................................................................................................
71,000 Shiseido Co., Ltd. (Japan) (NON) 1,064,853
- ----------------------------------------------------------------------------------------------------
Education (0.1%)
....................................................................................................
3,700 Benesse Corp. (Japan) 402,274
....................................................................................................
11,600 Career Education Corp. (NON) 392,225
....................................................................................................
23,100 Education Management Corp. (NON) 479,325
- ----------------------------------------------------------------------------------------------------
1,273,824
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (4.3%)
....................................................................................................
6,300 Advantest Corp. (Japan) 692,766
....................................................................................................
7,100 Alpha Industries, Inc. 338,138
....................................................................................................
5,200 American Xtal Technology, Inc. (NON) 123,825
....................................................................................................
15,300 ANADIGICS, Inc. (NON) 566,100
....................................................................................................
6,800 Applied Micro Circuits Corp. (NON) 559,300
....................................................................................................
16,500 ATMI, Inc. (NON) 490,875
....................................................................................................
13,300 Benchmark Electronics, Inc. (NON) 477,969
....................................................................................................
16,600 Credence Systems Corp. (NON) 616,275
....................................................................................................
4,300 Cree Research, Inc. (NON) 330,831
....................................................................................................
25,000 DII Group Inc., (The) (NON) 932,813
....................................................................................................
4,800 DuPont Photomasks, Inc. (NON) 229,800
....................................................................................................
29,295 Emerson Electric Co. 1,841,923
....................................................................................................
8,900 Etec Systems, Inc. (NON) 295,925
....................................................................................................
78,800 General Electric Co. 8,904,400
....................................................................................................
11,600 Hadco Corp. (NON) 461,100
....................................................................................................
19,100 Harmonic Lightwaves, Inc. (NON) 1,097,056
....................................................................................................
19,000 Helix Technology Corp. 454,813
....................................................................................................
5,200 Hi/Fn, Inc. (NON) 395,850
....................................................................................................
9,800 Honeywell, Inc. 1,135,575
....................................................................................................
63,600 Invensys PLC (United Kingdom) 301,181
....................................................................................................
900 Maker Communications, Inc. (NON) 27,900
....................................................................................................
77,000 Matsushita Electric Industrial Co. 1,496,073
....................................................................................................
7,300 Micrel, Inc. (NON) 540,200
....................................................................................................
81,315 Motorola, Inc. 7,704,596
....................................................................................................
6,000 Murata Manufacturing Co. Ltd. (Japan) 394,874
....................................................................................................
16,420 Nanometrics, Inc. (NON) 129,308
....................................................................................................
400 Optical Coating Laboratory, Inc. 33,450
....................................................................................................
11,100 Photronics, Inc. (NON) 271,950
....................................................................................................
11,200 Power Integrations, Inc. (NON) 819,000
....................................................................................................
6,000 QLogic Corp. (NON) 792,000
....................................................................................................
26,895 Rockwell International Corp. 1,633,871
....................................................................................................
3,800 Rohm Co. Ltd. (Japan) 595,370
....................................................................................................
2,271 Samsung Electronics Co. (South Korea) 249,192
....................................................................................................
11,800 Sipex Corp. (NON) 241,900
....................................................................................................
32,900 Solectron Corp. (NON) 2,194,019
....................................................................................................
11,800 Sony Corp. (Japan) 1,273,171
....................................................................................................
21,288 STMicroelectronics N.V. ADR (France) 1,476,855
....................................................................................................
11,500 Taiwan Semiconductor
Manufacturing Co. (Taiwan) 43,984
....................................................................................................
3,000 TDK Corp. (Japan) (NON) 274,576
....................................................................................................
8,800 Texas Instruments, Inc. 1,276,000
....................................................................................................
124,000 Toshiba Corp. 884,762
....................................................................................................
4,650 TranSwitch Corp. (NON) 220,294
....................................................................................................
5,800 Veeco Instruments, Inc. (NON) 197,200
....................................................................................................
25,200 Zoran Corp. (NON) 422,100
- ----------------------------------------------------------------------------------------------------
43,439,160
- ----------------------------------------------------------------------------------------------------
Energy-Related (--%)
....................................................................................................
12,300 Advanced Energy Industries, Inc. (NON) 498,919
- ----------------------------------------------------------------------------------------------------
Entertainment (1.3%)
....................................................................................................
40,200 Carnival Corp. Class A 1,949,700
....................................................................................................
45,290 Disney (Walt) Productions, Inc. 1,395,498
....................................................................................................
26,600 Sunterra Corp. (NON) 370,738
....................................................................................................
74,000 Time Warner, Inc. 5,439,000
....................................................................................................
88,600 Viacom, Inc. Class B (NON) 3,898,400
....................................................................................................
16,800 Vistana, Inc. (NON) 264,600
- ----------------------------------------------------------------------------------------------------
13,317,936
- ----------------------------------------------------------------------------------------------------
Environmental Control (0.2%)
....................................................................................................
7,000 Casella Waste Systems, Inc. (NON) 182,000
....................................................................................................
9,931 Vivendi (France) 806,993
....................................................................................................
22,100 Waste Management, Inc. 1,187,875
- ----------------------------------------------------------------------------------------------------
2,176,868
- ----------------------------------------------------------------------------------------------------
Food and Beverages (1.5%)
....................................................................................................
9,790 Anheuser-Busch Cos., Inc. 694,478
....................................................................................................
19,485 Bass PLC (United Kingdom) 282,886
....................................................................................................
12,392 Coca-Cola Femsa S.A. ADR (Mexico) (NON) 240,095
....................................................................................................
130,439 Diageo PLC (United Kingdom) 1,362,952
....................................................................................................
10,424 Fomento Economico Mexicano,
S.A. de C.V. ADR (Mexico) 415,657
....................................................................................................
20,830 General Mills, Inc. 1,674,211
....................................................................................................
2,435 Groupe Danone (France) 629,752
....................................................................................................
8,200 Hain Food Group, Inc. (The) (NON) 169,125
....................................................................................................
17,525 Heinz (H.J.) Co. 878,441
....................................................................................................
28,780 Kellogg Co. 949,740
....................................................................................................
7,150 P.F. Chang's China Bistro, Inc. (NON) 154,619
....................................................................................................
79,995 Pepsi Bottling Group, Inc. (The) 1,844,885
....................................................................................................
71,440 Sara Lee Corp. 1,620,795
....................................................................................................
29,945 Seagram Co., Ltd. 1,508,479
....................................................................................................
481,200 Tesco PLC (United Kingdom) (NON) 1,242,450
....................................................................................................
24,925 The Quaker Oats Co. 1,654,397
- ----------------------------------------------------------------------------------------------------
15,322,962
- ----------------------------------------------------------------------------------------------------
Health Care (0.3%)
....................................................................................................
7,700 Brookdale Living Communities, Inc. (NON) 114,056
....................................................................................................
4,828 CareMatrix Corp. (NON) 60,048
....................................................................................................
4,900 Laser Vision Centers, Inc. (NON) 308,700
....................................................................................................
26,300 LCA-Vision Inc. (NON) 210,400
....................................................................................................
1,600 Pediatrix Medical Group, Inc. (NON) 34,000
....................................................................................................
12,800 Province Healthcare Co. (NON) 249,600
....................................................................................................
15,575 Renal Care Group, Inc. (NON) 403,003
....................................................................................................
10,400 Sunrise Assisted Living, Inc. (NON) 362,700
....................................................................................................
68,010 Tenet Healthcare Corp. (NON) 1,262,436
- ----------------------------------------------------------------------------------------------------
3,004,943
- ----------------------------------------------------------------------------------------------------
Hospital Management and Medical Services (0.2%)
....................................................................................................
14,700 Accredo Health, Inc. (NON) 481,425
....................................................................................................
8,400 Advance Paradigm, Inc. (NON) 512,400
....................................................................................................
12,900 AmSurg Corp. (NON) 97,556
....................................................................................................
3,200 Eclipsys Corp. (NON) 76,600
....................................................................................................
21,500 Medquist, Inc. (NON) 940,625
....................................................................................................
11,800 RehabCare Group, Inc. (NON) 217,563
- ----------------------------------------------------------------------------------------------------
2,326,169
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (9.7%)
....................................................................................................
38,778 ABN AMRO Holding N.V. (Netherlands) 842,433
....................................................................................................
23,500 AFLAC Inc. 1,125,063
....................................................................................................
22,824 Allied Irish Banks PLC (Ireland) 301,046
....................................................................................................
24,104 Allied Zurich AG (United Kingdom) 303,184
....................................................................................................
50,525 Allstate Corp. 1,812,584
....................................................................................................
27,100 American Express Co. 3,526,388
....................................................................................................
60,515 American General Corp. 4,561,318
....................................................................................................
41,448 American International Group, Inc. 4,852,006
....................................................................................................
7,030 Axa S.A. (France) 860,341
....................................................................................................
87,277 Bank of America Corp. 6,398,472
....................................................................................................
14,537 Bank of Ireland (Ireland) 245,132
....................................................................................................
24,398 Bank of Nova Scotia (Canada) 532,962
....................................................................................................
77,896 Bank One Corp. 4,639,681
....................................................................................................
34,890 BankBoston Corp. 1,783,751
....................................................................................................
8,595 Banque Nationale de Paris (France) (NON) 718,435
....................................................................................................
23,100 Capital One Financial Corp. 1,286,381
....................................................................................................
91,310 Charter One Financial, Inc. 2,539,559
....................................................................................................
18,905 Chase Manhattan Corp. 1,637,646
....................................................................................................
866 Cie Finance Richemont 1,673,782
....................................................................................................
28,985 CIGNA Corp. 2,579,665
....................................................................................................
175,275 Citigroup, Inc. 8,325,563
....................................................................................................
17,250 Comerica, Inc. 1,025,297
....................................................................................................
763 Commonwealth Bank of Australia
(Australia) 12,212
....................................................................................................
30,000 Development Bank of Singapore Ltd.
(Singapore) 367,059
....................................................................................................
29,000 Fannie Mae 1,982,875
....................................................................................................
28,000 Fifth Third Bancorp 1,863,750
....................................................................................................
25,600 First Security Corp. 697,600
....................................................................................................
112,104 Firstar Corp. 3,138,912
....................................................................................................
39,110 Fleet Financial Group, Inc. 1,735,506
....................................................................................................
8,000 Gilman & Ciocia, Inc. (NON) 73,500
....................................................................................................
1,800 Goldman Sachs Group, Inc. (The) (NON) 130,050
....................................................................................................
36,727 Internationale Nederlanden Groep
(Netherlands) 1,994,689
....................................................................................................
44,470 Investor AB (Sweden) 499,604
....................................................................................................
317 Julius Baer Holdings AG (Switzerland) 907,764
....................................................................................................
211,000 Keppel Bank (Singapore) 469,165
....................................................................................................
50,350 Lehman Brothers Holding, Inc. 3,134,288
....................................................................................................
11,100 Lincoln National Corp. 580,669
....................................................................................................
21,900 Merrill Lynch & Co., Inc. 1,750,631
....................................................................................................
34,500 Monte Dei Paschi NY Branch 153,468
....................................................................................................
20,990 Morgan (J.P.) & Co., Inc. 2,949,095
....................................................................................................
16,000 Morgan Stanley, Dean Witter,
Discover and Co. 1,640,000
....................................................................................................
24,800 National City Corp. 1,624,400
....................................................................................................
800 NextCard, Inc. (NON) 27,150
....................................................................................................
322,000 Nikko Securities Co. Ltd. (Japan) (NON) 2,079,223
....................................................................................................
56,100 Overseas Union Bank Ltd. (Singapore) 270,600
....................................................................................................
40,527 PNC Bank Corp. 2,335,368
....................................................................................................
15,900 Promise Co., Ltd. (Japan) 939,934
....................................................................................................
19,365 Providian Financial Corp. 1,810,628
....................................................................................................
7,075 Reinsurance Group America, Inc. 249,394
....................................................................................................
18,900 Schwab (Charles) Corp. 2,076,638
....................................................................................................
9,600 Shinhan Bank 144A 211,200
....................................................................................................
56,450 St. Paul Cos., Inc. 1,795,816
....................................................................................................
51,951 Svenska Handelsbanken (Sweden) 626,656
....................................................................................................
3,300 Takefuji Corp. (Japan) 341,322
....................................................................................................
22,925 The Chubb Corp. 1,593,288
....................................................................................................
15,565 Travelers Property Casualty Corp. 608,981
....................................................................................................
67,755 U.S. Bancorp 2,303,670
....................................................................................................
2,375 UBS AG (Switzerland) 712,346
....................................................................................................
29,000 United Overseas Bank Ltd. (Singapore) (NON) 203,000
....................................................................................................
56,757 Washington Mutual, Inc. 2,007,779
- ----------------------------------------------------------------------------------------------------
97,468,919
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (0.8%)
....................................................................................................
28,135 Bausch & Lomb, Inc. 2,152,328
....................................................................................................
34,575 Baxter International, Inc. 2,096,109
....................................................................................................
44,100 Bergen Brunswig Corp. Class A 760,725
....................................................................................................
11,400 Colorado MEDtech, Inc. (NON) 250,088
....................................................................................................
4,800 Igen, Inc. (NON) 139,800
....................................................................................................
28,720 Mallinckrodt Inc. 1,044,690
....................................................................................................
5,100 Osteotech, Inc. (NON) 146,625
....................................................................................................
10,300 ResMed Inc. (NON) 341,831
....................................................................................................
10,000 Sabratek Corp. (AFF) (NON) 218,750
....................................................................................................
7,500 Ventana Medical Systems, Inc. (NON) 143,438
....................................................................................................
18,750 Xomed Surgical Products Inc. (NON) 912,891
- ----------------------------------------------------------------------------------------------------
8,207,275
- ----------------------------------------------------------------------------------------------------
Metals and Mining (0.2%)
....................................................................................................
29,070 Alcoa Inc. 1,798,706
....................................................................................................
580 Pohang Iron & Steel Company, Ltd.
(South Korea) 69,678
- ----------------------------------------------------------------------------------------------------
1,868,384
- ----------------------------------------------------------------------------------------------------
Oil and Gas (4.2%)
....................................................................................................
26,710 Atlantic Richfield Co. 2,231,954
....................................................................................................
22,970 Burmah Castrol PLC (United Kingdom) (NON) 436,189
....................................................................................................
23,840 Chevron, Inc. 2,269,270
....................................................................................................
103,390 Conoco, Inc. 2,881,996
....................................................................................................
15,298 Elf Aquitaine S.A. (France) 2,252,009
....................................................................................................
38,100 Enron Corp. 3,114,675
....................................................................................................
320,085 Ente Nazionale Idrocarburi (ENI)
SPA (Italy) 1,917,231
....................................................................................................
99,306 Exxon Corp. 7,658,975
....................................................................................................
58,355 Halliburton Co. 2,640,564
....................................................................................................
7,000 Hong Kong and China Gas Co., Ltd.
(Hong Kong) 10,151
....................................................................................................
16,365 Laurasia Resources Ltd. (Canada) 380,925
....................................................................................................
26,540 Mobil Corp. 2,627,460
....................................................................................................
93,075 Occidental Petroleum Corp. 1,966,209
....................................................................................................
29,095 Phillips Petroleum Co. 1,463,842
....................................................................................................
41,360 Royal Dutch Petroleum Co. PLC ADR
(Netherlands) 2,491,940
....................................................................................................
165,246 Shell Transportation & Trading
(United Kingdom) (NON) 1,239,928
....................................................................................................
44,885 Sonat, Inc. 1,486,816
....................................................................................................
45,100 Tosco Corp. 1,169,781
....................................................................................................
36,225 Unocal Corp. 1,435,416
....................................................................................................
43,985 Williams Cos., Inc. 1,872,112
- ----------------------------------------------------------------------------------------------------
41,547,443
- ----------------------------------------------------------------------------------------------------
Packaging and Containers (0.1%)
....................................................................................................
15,300 Sealed Air Corp. (NON) 992,588
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (0.7%)
....................................................................................................
22,700 Abitibi-Consolidated Inc. (Canada) 261,881
....................................................................................................
82,710 Boise Cascade Corp. 3,546,191
....................................................................................................
90,765 Smurfit-Stone Container Corp. (NON) 1,866,355
....................................................................................................
17,355 Weyerhaeuser Co. 1,193,156
- ----------------------------------------------------------------------------------------------------
6,867,583
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (4.1%)
....................................................................................................
8,000 Allergan, Inc. 888,000
....................................................................................................
103,950 American Home Products Corp. 5,977,125
....................................................................................................
24,900 Amgen Inc. (NON) 1,515,788
....................................................................................................
27,800 Biogen, Inc. (NON) 1,787,888
....................................................................................................
42,745 Bristol-Myers Squibb Co. 3,010,851
....................................................................................................
16,800 Coulter Pharmaceutical, Inc. (NON) 379,050
....................................................................................................
17,000 Eisai Co. Ltd. (Japan) (NON) 335,221
....................................................................................................
3,600 Immunex Corp. (NON) 458,775
....................................................................................................
29,800 Johnson & Johnson 2,920,400
....................................................................................................
9,250 Medicis Pharmaceutical Corp. Class A (NON) 234,719
....................................................................................................
44,530 Merck & Co., Inc. 3,295,220
....................................................................................................
577 Novartis AG ADR (Switzerland) 846,665
....................................................................................................
102,172 Pharmacia & Upjohn, Inc. 5,804,647
....................................................................................................
16,895 Pharmacia & Upjohn, Inc. ADS (Sweden) 939,055
....................................................................................................
19,850 Priority Healthcare Corp. Class B (NON) 684,825
....................................................................................................
18,566 Sanofi-Synthelabo SA (France) (NON) 790,349
....................................................................................................
94,600 Schering-Plough Corp. 5,013,800
....................................................................................................
38,332 Smithkline Beecham PLC ADR
(United Kingdom) 498,470
....................................................................................................
5,000 Trimeris, Inc. (NON) 72,500
....................................................................................................
51,800 Warner-Lambert Co. 3,593,625
....................................................................................................
38,000 Yamanouchi Pharmaceutical Co., Ltd.
(Japan) 1,454,651
- ----------------------------------------------------------------------------------------------------
40,501,624
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (0.2%)
....................................................................................................
57,230 Monsanto Co. 2,257,008
- ----------------------------------------------------------------------------------------------------
Photography (0.2%)
....................................................................................................
17,200 Canon, Inc. (Japan) 494,882
....................................................................................................
25,500 Eastman Kodak Co. (NON) 1,727,625
- ----------------------------------------------------------------------------------------------------
2,222,507
- ----------------------------------------------------------------------------------------------------
Publishing (0.4%)
....................................................................................................
28,075 McGraw-Hill, Inc. 1,514,295
....................................................................................................
33,600 Times Mirror Co. Class A 1,990,800
- ----------------------------------------------------------------------------------------------------
3,505,095
- ----------------------------------------------------------------------------------------------------
Real Estate (0.1%)
....................................................................................................
58,000 Henderson Land Development Co. Ltd.
(Hong Kong) (R) 333,428
....................................................................................................
11,100 Realty Information Group, Inc. (NON) 482,850
- ----------------------------------------------------------------------------------------------------
816,278
- ----------------------------------------------------------------------------------------------------
Recreation (0.2%)
....................................................................................................
18,200 Cinar Films, Inc. Class B, (Canada) (NON) 445,900
....................................................................................................
129,298 EMI Group PLC (United Kingdom) 1,037,998
- ----------------------------------------------------------------------------------------------------
1,483,898
- ----------------------------------------------------------------------------------------------------
Retail (4.3%)
....................................................................................................
9,762 99 Cents Only Stores (NON) 487,490
....................................................................................................
24,000 Best Buy Co., Inc. (NON) 1,620,000
....................................................................................................
103,506 Coles Myer Ltd. (Australia) (NON) 605,484
....................................................................................................
12,000 Cost Plus, Inc. (NON) 546,000
....................................................................................................
41,800 Costco Companies, Inc. (NON) 3,346,613
....................................................................................................
69,554 CVS Corp. 3,529,866
....................................................................................................
18,500 David's Bridal, Inc. (NON) 287,906
....................................................................................................
22,000 Dayton Hudson Corp. 1,430,000
....................................................................................................
8,000 Factory 2-U Stores, Inc. 148,000
....................................................................................................
45,735 Federated Department Stores, Inc. (NON) 2,421,097
....................................................................................................
38,250 Gap, Inc. (The) (NON) 1,926,844
....................................................................................................
62,500 Home Depot, Inc. (The) 4,027,344
....................................................................................................
8,200 J. Jill Group Inc. (NON) 119,925
....................................................................................................
107,710 K mart Corp. (NON) 1,770,483
....................................................................................................
5,947 Koninklijke Ahold N.V. (Netherlands) 205,483
....................................................................................................
16,500 Linens 'N Things, Inc. (NON) 721,875
....................................................................................................
92,480 Rite Aid Corp. 2,277,320
....................................................................................................
44,400 Safeway, Inc. (NON) 2,197,800
....................................................................................................
50,880 Saks, Inc. (NON) 1,469,160
....................................................................................................
40,480 Sears, Roebuck & Co. 1,803,890
....................................................................................................
27,200 Sunglass Hut International, Inc. (NON) 467,500
....................................................................................................
77,600 TJX Cos., Inc. (The) 2,585,050
....................................................................................................
7,300 Tuesday Morning Corp. (NON) 186,150
....................................................................................................
11,742 Tweeter Home Entertainment
Group, Inc. (NON) 460,874
....................................................................................................
6,832 Vendex International N.V. (Netherlands) 183,054
....................................................................................................
118,400 Wal-Mart Stores, Inc. 5,712,800
....................................................................................................
92,800 Walgreen Co. 2,726,000
....................................................................................................
11,600 Zany Brainy, Inc. (NON) 112,375
- ----------------------------------------------------------------------------------------------------
43,376,383
- ----------------------------------------------------------------------------------------------------
Satellite Services (--%)
....................................................................................................
16,599 Hellenic Telecommunication
Organization S.A. (Greece) 357,429
- ----------------------------------------------------------------------------------------------------
Specialty Consumer Products (0.3%)
....................................................................................................
5,100 Action Performance Cos., Inc. (NON) 168,300
....................................................................................................
10,138 Gucci Group N.V. (Netherlands) 709,660
....................................................................................................
66,270 Mattel, Inc. 1,752,013
- ----------------------------------------------------------------------------------------------------
2,629,973
- ----------------------------------------------------------------------------------------------------
Telecommunications (7.4%)
....................................................................................................
233 Allegiance Telecom, Inc. (NON) 12,786
....................................................................................................
41,390 ALLTEL Corp. 2,959,385
....................................................................................................
39,909 BCE, Inc. (Canada) 1,954,721
....................................................................................................
9,500 Black Box Corp. (NON) 476,188
....................................................................................................
138,336 British Telecommunications PLC ADR 2,319,291
....................................................................................................
47,000 Cable & Wireless Optus Ltd. 144A
(Australia) 107,598
....................................................................................................
81,107 Cable & Wireless PLC (United Kingdom) 1,034,249
....................................................................................................
52,000 Carso Global Telecom (Mexico) 331,030
....................................................................................................
605,000 China Telecom Ltd. (Hong Kong) (NON) 1,680,512
....................................................................................................
500 Copper Mountain Networks, Inc. (NON) 38,625
....................................................................................................
196 DDI Corp. (Japan) 1,220,240
....................................................................................................
12,100 Ditech Communications Corp. (NON) 242,000
....................................................................................................
61,535 Ericsson Class B, (Sweden) 1,983,005
....................................................................................................
7,180 France Telecom S.A. (France) 544,080
....................................................................................................
5,100 GlobeSpan, Inc. (NON) 202,725
....................................................................................................
24,500 GST Telecommunications, Inc. (Canada) (NON) 323,094
....................................................................................................
43,595 GTE Corp. 3,302,321
....................................................................................................
8,100 Intermedia Communications, Inc. (NON) 243,000
....................................................................................................
13,300 Korea Telecom Corp. (South Korea) (NON) 532,000
....................................................................................................
100,800 Lucent Technologies, Inc. 6,797,700
....................................................................................................
17,488 Mannesmann AG (Germany) (NON) 2,617,816
....................................................................................................
54,100 MCI WorldCom, Inc. (NON) 4,655,981
....................................................................................................
1,200 Network Plus Corp. (NON) 25,050
....................................................................................................
26,000 Nokia Corp. ADR (Finland) 2,380,625
....................................................................................................
21,125 Nortel Networks Corp. (Canada) 1,833,914
....................................................................................................
34,000 Orange PLC ADR (United Kingdom) (NON) 498,711
....................................................................................................
16,696 Oy Nokia AB Class A, (Finland) 1,468,121
....................................................................................................
42,600 Pinnacle Holdings Inc. (NON) 1,043,700
....................................................................................................
20,801 Portugal Telecom S.A. (Portugal) 848,910
....................................................................................................
8,600 Powerwave Technologies, Inc. (NON) 277,350
....................................................................................................
34,200 Price Communications Corp (NON) 513,000
....................................................................................................
15,400 QUALCOMM, Inc. 2,209,900
....................................................................................................
158,656 SBC Communications, Inc. 9,201,982
....................................................................................................
131,670 Sprint Corp. 6,953,822
....................................................................................................
21,601 Sprint PCS 1,233,929
....................................................................................................
11,100 Stanford Telecommunications, Inc. (NON) 328,838
....................................................................................................
3,726 Swisscom AG 1,408,992
....................................................................................................
10,575 Tele Centro Sul Participacoes S.A. (Brazil) 586,913
....................................................................................................
1 Telecomunicacoes de Sao Paulo
S.A. (Brazil) 178
....................................................................................................
24,984 Telesp Celular Participacoes S.A.
ADR (Brazil) 668,322
....................................................................................................
33,812 Telesp Participacoes S.A. ADR (Brazil) 773,450
....................................................................................................
21,207 Telfonica S.A. (France) 1,024,773
....................................................................................................
33,200 Tellabs, Inc. (NON) 2,243,075
....................................................................................................
31,771 U S West, Inc. 1,866,546
....................................................................................................
667 Viatel, Inc. (NON) 37,417
....................................................................................................
11,150 Vodafone AirTouch PLC
(United Kingdom) 2,196,550
....................................................................................................
9,826 WinStar Communications. Inc. (NON) 478,993
- ----------------------------------------------------------------------------------------------------
73,681,408
- ----------------------------------------------------------------------------------------------------
Transportation (1.3%)
....................................................................................................
21,816 Bombardier, Inc. (Canada) 335,081
....................................................................................................
92,165 British Airways PLC (United Kingdom) 636,325
....................................................................................................
54,118 Burlington Northern Santa Fe Corp. 1,677,658
....................................................................................................
40,950 Delta Air Lines, Inc. 2,359,744
....................................................................................................
20,400 Eagle USA Airfreight, Inc. (NON) 865,725
....................................................................................................
18,300 Expeditors International of
Washington, Inc. (NON) 498,675
....................................................................................................
34,200 FDX Corp. (NON) 1,855,350
....................................................................................................
18,600 Fritz Companies, Inc. (NON) 199,950
....................................................................................................
22,000 Mesaba Holdings, Inc. (NON) 280,500
....................................................................................................
32,433 Peninsular and Oriental Steam
Navigation Co. (United Kingdom) 487,235
....................................................................................................
11,000 SkyWest, Inc. 274,313
....................................................................................................
75,337 Southwest Airlines Co. 2,344,864
....................................................................................................
8,248 TNT Post Group N.V. (Netherlands) 197,529
....................................................................................................
19,300 Union Pacific Corp. 1,125,431
- ----------------------------------------------------------------------------------------------------
13,138,380
- ----------------------------------------------------------------------------------------------------
Utilities (2.7%)
....................................................................................................
70,587 American Telephone & Telegraph Co. 3,939,637
....................................................................................................
19,680 Ameritech Corp. 1,446,480
....................................................................................................
34,800 Anglian Water PLC (United Kingdom) 385,029
....................................................................................................
40,640 Bell Atlantic Corp. 2,656,840
....................................................................................................
50,700 BellSouth Corp. 2,376,563
....................................................................................................
22,000 Companhia Energetica de Minas Gerais
ADR (Brazil) 451,000
....................................................................................................
39,095 Consolidated Edison, Inc. 1,769,049
....................................................................................................
36,175 Dominion Resources, Inc. 1,566,830
....................................................................................................
28,385 Duke Energy Corp. 1,543,434
....................................................................................................
58,372 Edison International 1,561,451
....................................................................................................
62,480 Entergy Corp. 1,952,500
....................................................................................................
20,100 Independent Energy Holdings PLC
(United Kingdom) (NON) 273,863
....................................................................................................
720 Korea Electric Power Corp. (South Korea) 29,920
....................................................................................................
33,709 Korea Electric Power Corp. ADR
(South Korea) 691,035
....................................................................................................
15,100 Libertel NV (Netherlands) 296,798
....................................................................................................
130 Nippon Telegraph and Telephone Corp.
(Japan) 1,515,502
....................................................................................................
85,131 Scottish Power PLC (United Kingdom) 735,792
....................................................................................................
12,624 Telefonos de Mexico S.A. Class L,
ADR (Mexico) 1,020,177
....................................................................................................
37,220 Texas Utilities Co. 1,535,325
....................................................................................................
43,300 Tokyo Electric Power Co. (Japan) 914,688
- ----------------------------------------------------------------------------------------------------
26,661,913
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $494,915,086) $636,287,517
- ----------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (10.8%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
U.S. Government Agency Mortgage Obligations (5.2%)
....................................................................................................
Federal Home Loan Mortgage Association
....................................................................................................
$1,368,511 8 1/2s, July 1, 2028 $1,429,656
....................................................................................................
1,119,707 6 1/2s, April 1, 2029 1,080,865
....................................................................................................
970,000 Federal Home Loan Mortgage
Association 6s, TBA July 15, 2006 944,198
....................................................................................................
88,022 Federal National Mortgage Association
Adjustable Rate Mortgage 7.346s,
July 1, 2025 88,902
....................................................................................................
Federal National Mortgage Association
Pass-through Certificates
....................................................................................................
3,011,217 8 1/2s, with due dates from
May 1, 2019 to February 1, 2029 3,147,508
....................................................................................................
1,848,875 8s, with due dates from May 1, 2025
to January 1, 2029 1,899,127
....................................................................................................
317,588 7 1/2s, July 1, 2007 323,749
....................................................................................................
1,815,849 7 1/2s, Dwarf, with due dates from
September 1, 2010 to June 1, 2013 1,848,190
....................................................................................................
4,657,414 7s, Dwarf, with due dates from
January 1, 2008 to October 1, 2011 4,685,182
....................................................................................................
Federal National Mortgage Association
Pass-through Certificates
$4,524,554 6 1/2s, with due dates from
April 1, 2026 to June 1, 2029 4,365,171
....................................................................................................
2,205,585 6 1/2s, Dwarf, with due dates from
August 1, 2010 to September 1, 2013 2,173,185
....................................................................................................
3,210,000 6s, May 15, 2008 3,113,186
....................................................................................................
5,000,638 6s, Dwarf, with due dates from
April 1, 2013 to January 15, 2014 4,830,265
....................................................................................................
1,370,000 5 3/4s, April 15, 2003 1,354,807
....................................................................................................
Government National Mortgage
Association Pass-through Certificates
....................................................................................................
41,056 11s, December 15, 2015 45,226
....................................................................................................
1,613,514 10s, with due dates from June 15, 2013
to March 1, 2029 1,773,730
....................................................................................................
616,747 9 1/2s, December 15, 2017 669,171
....................................................................................................
686,072 9s, December 15, 2016 737,527
....................................................................................................
5,528,222 8s, with due dates from
September 15, 2020 to
January 15, 2028 5,686,458
....................................................................................................
5,690,102 7 1/2s, with due dates from
January 15, 2023 to May 16, 2027 5,822,745
....................................................................................................
2,782,427 7s, with due dates from May 15, 2023
to September 15, 2028 2,750,624
....................................................................................................
3,370,949 6 1/2s, with due dates from
October 15, 2023 to March 15, 2029 3,247,843
- ----------------------------------------------------------------------------------------------------
52,017,315
- ----------------------------------------------------------------------------------------------------
U.S. Treasury Obligations (5.6%)
....................................................................................................
U.S. Treasury Bonds
....................................................................................................
2,105,000 6 3/8s, August 15, 2027 (SEG) 2,156,972
....................................................................................................
3,015,000 6 1/8s, November 15, 2027 2,994,739
....................................................................................................
3,590,000 5 1/4s, February 15, 2029 3,225,400
....................................................................................................
2,523,000 5 1/4s, November 15, 2028 2,236,412
....................................................................................................
6,023,000 5 1/4s, August 15, 2003 (SEG) 5,920,428
....................................................................................................
U.S. Treasury Notes
....................................................................................................
880,000 6 1/8s, August 15, 2007 889,486
....................................................................................................
1,153,000 5 5/8s, May 15, 2008 (SEG) 1,129,398
....................................................................................................
1,860,000 5 1/2s, May 15, 2009 1,816,978
....................................................................................................
2,025,000 5 1/4s, May 15, 2004 1,989,887
....................................................................................................
3,380,000 5s, February 28, 2001 3,353,568
....................................................................................................
6,765,000 4 7/8s, March 31, 2001 6,696,268
....................................................................................................
14,350,000 4 3/4s, November 15, 2008 13,177,318
....................................................................................................
8,480,000 4 5/8s, December 31, 2000 (SEG) 8,380,614
....................................................................................................
2,440,000 4 1/2s, September 30, 2000 2,413,308
- ----------------------------------------------------------------------------------------------------
56,380,776
- ----------------------------------------------------------------------------------------------------
Total U.S. Government and
Agency Obligations
(cost $110,933,561) $108,398,091
- ----------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES (9.5%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
Advertising (0.1%)
....................................................................................................
$100,000 Adams Outdoor Advertising sr. notes
10 3/4s, 2006 $107,000
....................................................................................................
255,000 Lamar Advertising Co. sr. sub. notes
9 5/8s, 2006 261,375
....................................................................................................
20,000 Lamar Advertising Co. company
guaranty 8 5/8s, 2007 20,300
....................................................................................................
225,000 Outdoor Communications Inc. sr. sub.
notes 9 1/4s, 2007 236,813
....................................................................................................
15,000 Outdoor Systems, Inc. sr. sub. notes
9 3/8s, 2006 15,975
....................................................................................................
100,000 Outdoor Systems, Inc. company
guaranty 8 7/8s, 2007 104,500
- ----------------------------------------------------------------------------------------------------
745,963
- ----------------------------------------------------------------------------------------------------
Aerospace and Defense (0.2%)
....................................................................................................
20,000 Argo-Tech Corp. company guaranty
8 5/8s, 2007 18,500
....................................................................................................
60,000 Argo-Tech Corp. company guaranty
Ser. D, 8 5/8s, 2007 55,500
....................................................................................................
110,000 Aviation Sales Co. company guaranty
8 1/8s, 2008 103,400
....................................................................................................
200,000 BE Aerospace, Inc. sr. sub. notes
Ser. B, 9 7/8s, 2006 204,000
....................................................................................................
40,000 BE Aerospace, Inc. sr. sub. notes
9 1/2s, 2008 40,600
....................................................................................................
60,000 BE Aerospace, Inc. sr. sub. notes
Ser. B, 8s, 2008 56,100
....................................................................................................
125,000 Derlan Industries Ltd. sr. notes 10s,
2007 (Canada) 119,375
....................................................................................................
25,000 K&F Industries, Inc. sr. sub. notes
Ser. B, 9 1/4s, 2007 24,625
....................................................................................................
50,000 L-3 Communications Corp. sr. sub.
notes Ser. B, 10 3/8s, 2007 52,750
....................................................................................................
50,000 L-3 Communications Corp. sr. sub.
notes 8 1/2s, 2008 49,250
....................................................................................................
50,000 L-3 Communications Corp. company
guaranty Ser. B, 8s, 2008 47,625
....................................................................................................
275,000 Lockheed Martin Corp. company
guaranty 7 1/4s, 2006 275,187
....................................................................................................
460,000 Raytheon Co notes 6.45s, 2002 461,007
....................................................................................................
410,000 Raytheon Co. notes 6.15s, 2008 387,077
....................................................................................................
5,000 Sequa Corp. sr. sub. notes 9 3/8s, 2003 5,075
- ----------------------------------------------------------------------------------------------------
1,900,071
- ----------------------------------------------------------------------------------------------------
Agriculture (0.1%)
....................................................................................................
611,808 Premium Standard Farms, Inc. sr. sec.
notes 11s, 2003 (PIK) 562,863
- ----------------------------------------------------------------------------------------------------
Apparel (--%)
....................................................................................................
210,000 Fruit of the Loom 144A company
guaranty 8 7/8s, 2006 181,650
....................................................................................................
50,000 William Carter Holdings Co. sr. sub.
notes Ser. A, 12s, 2008 51,500
....................................................................................................
125,000 William Carter Holdings Co. sr. sub.
notes Ser. A, 10 3/8s, 2006 127,500
- ----------------------------------------------------------------------------------------------------
360,650
- ----------------------------------------------------------------------------------------------------
Automotive (0.4%)
....................................................................................................
290,000 Aftermarket Technology Corp. sr. sub.
notes 12s, 2004 302,325
....................................................................................................
380,000 Chrysler Corp. deb. Ser. B, 7.45s, 2097 378,176
....................................................................................................
920,000 Delphi Automotive Systems Corp. notes
6 1/8s, 2004 894,672
....................................................................................................
90,000 Dura Operating Corp. 144A sr. sub.
notes 9s, 2009 86,400
....................................................................................................
90,000 Federal Mogul Corp. 144A notes
7 1/2s, 2009 83,056
....................................................................................................
300,000 Federal Mogul Corp. 144A notes
7 3/8s, 2006 282,345
....................................................................................................
1,485,000 Ford Motor Co. bonds 6 5/8s, 2028 1,336,767
....................................................................................................
170,000 Hayes Lemmerz International, Inc.
144A company guaranty 8 1/4s, 2008 161,500
....................................................................................................
75,000 Lear Corp. sub. notes 9 1/2s, 2006 81,938
....................................................................................................
180,000 Navistar International Corp. sr. notes
Ser. B, 8s, 2008 177,300
....................................................................................................
250,000 Navistar International Corp. sr. notes
Ser. B, 7s, 2003 245,000
....................................................................................................
45,000 Safety Components International, Inc.
sr. sub. notes Ser. B, 10 1/8s, 2007 40,050
....................................................................................................
160,000 Talon Automotive Group sr. sub. notes
Ser. B, 9 5/8s, 2008 137,600
- ----------------------------------------------------------------------------------------------------
4,207,129
- ----------------------------------------------------------------------------------------------------
Banks (0.2%)
....................................................................................................
1,010,000 BankAmerica Corp. sr. notes 5 7/8s, 2009 928,675
....................................................................................................
DKK 2,697,000 Bank Realkredit Danmark mortgage
7s, 2029 (Denmark) 376,821
....................................................................................................
$5,000 North Fork Capital Trust I company
guaranty 8.7s, 2026 4,954
....................................................................................................
15,000 Ocwen Capital Trust I company
guaranty 10 7/8s, 2027 11,700
....................................................................................................
5,000 Ocwen Federal Bank FSB sub. deb.
12s, 2005 4,900
....................................................................................................
10,000 Ocwen Financial Corp. notes
11 7/8s, 2003 9,450
....................................................................................................
30,000 Peoples Heritage Capital Trust
company guaranty Ser. B, 9.06s, 2027 28,480
....................................................................................................
70,000 Provident Capital Trust company
guaranty 8.6s, 2026 67,624
....................................................................................................
80,000 Riggs Capital Trust 144A bonds
8 5/8s, 2026 75,578
....................................................................................................
50,000 Sovereign Capital Trust company
guaranty 9s, 2027 48,280
....................................................................................................
5,000 Webster Capital Trust I 144A bonds
9.36s, 2027 4,895
- ----------------------------------------------------------------------------------------------------
1,561,357
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (--%)
....................................................................................................
170,000 Ball Corp. company guaranty 8 1/4s, 2008 165,750
....................................................................................................
80,000 Ball Corp. company guaranty 7 3/4s, 2006 78,400
....................................................................................................
65,000 Owens-Illinois, Inc. sr. notes 8.1s, 2007 64,596
....................................................................................................
170,000 Owens-Illinois, Inc. sr. notes 7.15s, 2005 163,435
- ----------------------------------------------------------------------------------------------------
472,181
- ----------------------------------------------------------------------------------------------------
Broadcasting (0.3%)
....................................................................................................
150,000 Allbritton Communications Co. sr. sub.
deb. Ser. B, 9 3/4s, 2007 150,750
....................................................................................................
175,000 Capstar Broadcasting sr. disc. notes
stepped-coupon zero %
(12 3/4s, 2/1/02), 2009 (STP) 147,875
....................................................................................................
110,000 Capstar Broadcasting sr. sub. notes
9 1/4s, 2007 113,713
....................................................................................................
10,000 Central European Media Enterprises
Ltd. sr. notes 9 3/8s, 2004 (Bermuda) 8,600
....................................................................................................
360,000 Chancellor Media Corp. company
guaranty 8s, 2008 354,600
....................................................................................................
40,000 Citadel Broadcasting, Inc. sr. sub.
notes 10 1/4s, 2007 43,050
....................................................................................................
270,000 Citadel Broadcasting, Inc. company
guaranty 9 1/4s, 2008 278,100
....................................................................................................
100,000 Comcast UK Cable, Ltd. deb.
stepped-coupon zero %
(11.2s, 11/15/00), 2007 (Bermuda) (STP) 90,000
....................................................................................................
95,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(11 3/4s, 12/15/00), 2005
(United Kingdom) (STP) 84,788
....................................................................................................
130,000 Fox Family Worldwide, Inc. sr. notes
9 1/4s, 2007 119,600
....................................................................................................
60,000 Fox/Liberty Networks LLC sr. notes
8 7/8s, 2007 62,400
....................................................................................................
225,000 Granite Broadcasting Corp. sr. sub.
notes 9 3/8s, 2005 222,750
....................................................................................................
15,000 Gray Communications Systems, Inc.
sr. sub. notes 10 5/8s, 2006 15,675
....................................................................................................
235,000 Jacor Communications, Inc. sr. sub.
notes 10 1/8s, 2006 257,325
....................................................................................................
75,000 Jacor Communications, Inc. company
guaranty Ser. B, 8 3/4s, 2007 79,688
....................................................................................................
110,000 Lenfest Communications, Inc. sr.
notes 8 3/8s, 2005 114,887
....................................................................................................
100,000 Lenfest Communications, Inc. sr. sub.
notes 8 1/4s, 2008 101,500
....................................................................................................
30,000 Pegasus Communications Corp.
sr. notes Ser. B, 9 3/4s, 2006 29,400
....................................................................................................
10,000 Radio One Inc. company guaranty
stepped-coupon Ser. B, 7s,
(12s, 5/15/00), 2004 (STP) 10,400
....................................................................................................
181,000 SFX Broadcasting, Inc. sr. sub. notes
Ser. B, 10 3/4s, 2006 196,838
....................................................................................................
100,000 Sinclair Broadcast Group, Inc. sr. sub.
notes 8 3/4s, 2007 98,000
....................................................................................................
80,000 Spanish Broadcasting Systems sr. notes
Ser. B, 11s, 2004 86,400
- ----------------------------------------------------------------------------------------------------
2,666,339
- ----------------------------------------------------------------------------------------------------
Building and Construction (0.1%)
....................................................................................................
90,000 Albecca Inc. company guaranty
10 3/4s, 2008 74,700
....................................................................................................
25,000 American Architectural Products Corp.
company guaranty 11 3/4s, 2007 18,750
....................................................................................................
40,000 Atrium Companies Inc. 144A sr. sub.
notes 10 1/2s, 2009 39,000
....................................................................................................
10,000 Building Materials Corp. sr. notes
Ser. B, 8 5/8s, 2006 9,800
....................................................................................................
200,000 Building Materials Corp. company
guaranty 8s, 2008 186,500
....................................................................................................
25,000 Cia Latino Americana 144A company
guaranty 11 5/8s, 2004 (Argentina) 13,000
....................................................................................................
80,000 D.R. Horton, Inc. company guaranty
10s, 2006 82,600
....................................................................................................
240,000 D.R. Horton, Inc. company guaranty
8s, 2009 226,800
....................................................................................................
155,000 GS Superhighway Holdings sr. notes
9 7/8s, 2004 (China) 77,500
....................................................................................................
40,000 Jackson Products, Inc. company
guaranty Ser. B, 9 1/2s, 2005 39,500
....................................................................................................
70,000 NCI Building Systems 144A sr. sub.
notes 9 1/4s, 2009 67,375
....................................................................................................
80,000 Toll Corp. company guaranty
8 1/8s, 2009 75,800
- ----------------------------------------------------------------------------------------------------
911,325
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (0.1%)
....................................................................................................
80,000 Cex Holdings, Inc. company guaranty
Ser. B, 9 5/8s, 2008 75,200
....................................................................................................
220,000 Iron Mountain, Inc. company guaranty
8 3/4s, 2009 217,250
....................................................................................................
175,000 Iron Mountain, Inc. company guaranty
10 1/8s, 2006 185,500
....................................................................................................
50,000 Outsourcing Solutions, Inc. sr. sub.
notes Ser. B, 11s, 2006 49,000
....................................................................................................
110,000 U.S. Office Products Co. company
guaranty 9 3/4s, 2008 73,150
....................................................................................................
153,000 United Stationer Supply, Inc. sr. sub.
notes 12 3/4s, 2005 167,535
....................................................................................................
20,000 United Stationer Supply, Inc. sr. sub.
notes 8 3/8s, 2008 19,050
- ----------------------------------------------------------------------------------------------------
786,685
- ----------------------------------------------------------------------------------------------------
Cable Television (0.3%)
....................................................................................................
40,000 Acme Television sr. disc. notes
stepped-coupon zero %
(10 7/8s, 9/30/00), 2004 (STP) 33,200
....................................................................................................
10,000 Adelphia Communications Corp.
sr. notes Ser. B, 10 1/4s, 2000 10,200
....................................................................................................
200,000 Adelphia Communications Corp.
sr. notes Ser. B, 9 7/8s, 2007 209,000
....................................................................................................
90,000 Adelphia Communications Corp.
sr. notes Ser. B, 8 3/8s, 2008 86,400
....................................................................................................
140,000 Adelphia Communications Corp.
sr. notes 7 7/8s, 2009 130,900
....................................................................................................
370,000 Charter Communications Holdings LLC
144A sr. notes 8 5/8s, 2009 354,275
....................................................................................................
300,000 CSC Holdings, Inc. sr. sub. deb.
9 7/8s, 2013 324,000
....................................................................................................
10,000 CSC Holdings, Inc. sr. sub. notes
9 1/4s, 2005 10,450
....................................................................................................
238,000 CSC Holdings, Inc. deb. Ser. B,
8 1/8s, 2009 239,264
....................................................................................................
30,000 CSC Holdings, Inc. deb. 7 7/8s, 2018 28,556
....................................................................................................
80,000 CSC Holdings, Inc. sr. notes 7 1/4s, 2008 76,216
....................................................................................................
70,000 Globo Communicacoes 144A sr. notes
10 5/8s, 2008 (Brazil) 49,000
....................................................................................................
200,000 Grupo Televisa S.A. sr. notes
11 7/8s, 2006 (Mexico) 201,000
....................................................................................................
125,000 Jones Intercable, Inc. sr. sub. deb.
10 1/2s, 2008 133,750
....................................................................................................
20,000 Jones Intercable, Inc. sr. notes 9 5/8s, 2002 21,400
....................................................................................................
238,000 Jones Intercable, Inc. sr. notes 8 7/8s, 2007 259,420
....................................................................................................
30,000 Rogers Cablesystems Ltd. sr. notes
Ser. B, 10s, 2005 32,100
....................................................................................................
230,000 Telewest Communications PLC deb.
9 5/8s, 2006 (United Kingdom) 236,900
....................................................................................................
130,000 TeleWest Communications PLC 144A
sr. disc. notes stepped-coupon zero %,
(9 1/4, 4/15/04) 2009 (United Kingdom) (STP) 87,100
....................................................................................................
120,000 United International Holdings sr. disc.
notes stepped-coupon Ser. B, zero %
(10 3/4s, 2/15/03), 2008 (STP) 79,200
- ----------------------------------------------------------------------------------------------------
2,602,331
- ----------------------------------------------------------------------------------------------------
Chemicals (0.2%)
....................................................................................................
60,000 Geo Specialty Chemicals, Inc. sr. sub.
notes 10 1/8s, 2008 57,900
....................................................................................................
30,000 Huntsman Corp. 144A sr. sub. notes
9 1/2s, 2007 28,350
....................................................................................................
110,000 Huntsman Corp. 144A sr. sub. notes
FRN 8.87250s, 2007 99,000
....................................................................................................
260,000 Huntsman ICI Chemicals Inc. 144A
sr. sub. notes 10 1/8s, 2009 262,600
....................................................................................................
105,000 ISP Holdings, Inc. sr. notes Ser. B,
9 3/4s, 2002 107,625
....................................................................................................
815,000 Nova Chemicals Corp. notes 7.4s,
2009 (Canada) 789,914
....................................................................................................
30,000 Pioneer Americas Acquisition 144A
sr. notes 9 1/4s, 2007 25,200
....................................................................................................
70,000 Royster-Clark Inc. 144A 1st mtge
10 1/4s, 2009 69,300
....................................................................................................
100,000 Scotts Co 144A sr. sub. notes
8 5/8s, 2009 98,500
....................................................................................................
100,000 Sterling Chemicals Holdings sr. disc.
notes stepped-coupon zero %
(13 1/2s, 8/15/01), 2008 (STP) 30,000
....................................................................................................
90,000 Trikem S.A. 144A bonds 10 5/8s,
2007 (Brazil) 51,300
....................................................................................................
80,000 UCAR Global Enterprises sr. sub.
notes Ser. B, 12s, 2005 84,800
- ----------------------------------------------------------------------------------------------------
1,704,489
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (0.1%)
....................................................................................................
20,000 Concentric Network Corp. sr. notes
12 3/4s, 2007 20,900
....................................................................................................
110,000 PSINet, Inc. sr. notes 11 1/2s, 2008 115,500
....................................................................................................
60,000 PSINet, Inc. sr. notes Ser. B, 10s, 2005 59,700
....................................................................................................
30,000 Unisys Corp. sr. notes 7 7/8s, 2008 30,450
....................................................................................................
50,000 Verio Inc. sr. notes 11 1/4s, 2008 52,250
....................................................................................................
240,000 Verio Inc. sr. notes 10 3/8s, 2005 242,400
- ----------------------------------------------------------------------------------------------------
521,200
- ----------------------------------------------------------------------------------------------------
Computers (--%)
....................................................................................................
195,000 IPC Information Systems sr. disc.
notes stepped-coupon zero %
(10 7/8s, 11/1/01), 2008 (STP) 145,275
- ----------------------------------------------------------------------------------------------------
Conglomerates (0.1%)
....................................................................................................
110,000 Axia, Inc. company guaranty 10 3/4s, 2008 108,350
....................................................................................................
150,000 Cathay International Ltd. 144A sr. notes
13s, 2008 (China) 55,500
....................................................................................................
650,000 Tyco International Ltd. company
guaranty 6 3/8s, 2005 635,785
....................................................................................................
455,000 Tyco International Ltd. company
guaranty 6 1/4s, 2003 447,715
- ----------------------------------------------------------------------------------------------------
1,247,350
- ----------------------------------------------------------------------------------------------------
Consumer Durable Goods (--%)
....................................................................................................
15,000 Hedstrom Holdings, Inc. 144A sr. disc.
notes stepped-coupon zero %
(12s, 6/1/02), 2009 (STP) 6,600
....................................................................................................
160,000 Iron Age Corp. company guaranty
9 7/8s, 2008 120,000
....................................................................................................
30,000 Sealy Mattress Co. company guaranty
stepped-coupon Ser. B, zero %
(10 7/8s, 12/15/02), 2007 (STP) 19,650
....................................................................................................
240,000 Samsonite Corp. sr. sub. notes
10 3/4s, 2008 193,200
- ----------------------------------------------------------------------------------------------------
339,450
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (0.2%)
....................................................................................................
30,000 French Fragrances, Inc. sr. notes
Ser. B, 10 3/8s, 2007 30,600
....................................................................................................
30,000 French Fragrances, Inc. company
guaranty Ser. D, 10 3/8s, 2007 30,300
....................................................................................................
110,000 Guess Jeans, Inc. sr. sub. notes
9 1/2s, 2003 110,550
....................................................................................................
1,340,000 Philip Morris Cos., Inc. notes 7 1/2s, 2002 1,371,383
....................................................................................................
50,000 Revlon Consumer Products sr. notes
9s, 2006 49,375
....................................................................................................
450,000 Revlon Consumer Products sr. sub.
notes 8 5/8s, 2008 425,250
- ----------------------------------------------------------------------------------------------------
2,017,458
- ----------------------------------------------------------------------------------------------------
Consumer Services (0.3%)
....................................................................................................
160,000 Coinmach Corp. sr. notes Ser. D,
11 3/4s, 2005 172,400
....................................................................................................
70,000 Epic Resorts LLC company guaranty
Ser. B, 13s, 2005 64,400
....................................................................................................
55,000 FRD Acquisition Co. sr. notes Ser. B,
12 1/2s, 2004 53,075
....................................................................................................
1,810,000 Hertz Corp. sr. notes 7s, 2028 1,671,807
....................................................................................................
250,000 HMH Properties, Inc. company guaranty
Ser. B, 7 7/8s, 2008 229,375
....................................................................................................
30,000 Host Marriott L.P. 144A sr. notes
8 3/8s, 2006 28,650
....................................................................................................
280,000 Host Marriott Travel Plaza sr. notes
Ser. B, 9 1/2s, 2005 280,000
....................................................................................................
40,000 Protection One, Inc. sr. disc. notes
stepped-coupon zero %,
(13 5/8s, 6/30/00), 2005 (STP) 44,800
....................................................................................................
150,000 Sun International Hotels Ltd. sr. sub.
notes 8 5/8s, 2007 147,000
- ----------------------------------------------------------------------------------------------------
2,691,507
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (0.2%)
....................................................................................................
35,000 Celestica International Ltd. 144A
sr. sub. notes 10 1/2s, 2006 (Canada) 37,888
....................................................................................................
48,330 Cirent Semiconductor sr. sub. notes
10.22s, 2002 48,572
....................................................................................................
56,334 Cirent Semiconductor 144A sr. sub.
notes 10.14s, 2004 56,898
....................................................................................................
40,000 DII Group, Inc. (The) sr. sub. notes
8 1/2s, 2007 39,400
....................................................................................................
210,000 Dobson Communications Corp. sr. notes
11 3/4s, 2007 220,500
....................................................................................................
182,384 Fairchild Semiconductor Corp. 144A
sr. sub. notes 11.74s, 2008 (PIK) 177,825
....................................................................................................
200,000 Fairchild Semiconductor Corp. sr. sub.
notes 10 1/8s, 2007 194,000
....................................................................................................
275,000 Flextronics International Ltd. sr. sub.
notes Ser. B, 8 3/4s, 2007 273,625
....................................................................................................
40,000 HCC Industries, Inc. company guaranty
10 3/4s, 2007 36,400
....................................................................................................
430,000 Metromedia Fiber Network, Inc.
sr. notes Ser. B, 10s, 2008 441,825
....................................................................................................
95,000 Motors and Gears, Inc. sr. notes
Ser. D, 10 3/4s, 2006 96,425
....................................................................................................
180,000 Viasystems, Inc. sr. notes Ser. B,
9 3/4s, 2007 157,500
....................................................................................................
20,000 Wavetek Corp. company guaranty
10 1/8s, 2007 17,600
....................................................................................................
110,000 Zilog, Inc. company guaranty Ser. B,
9 1/2s, 2005 97,075
- ----------------------------------------------------------------------------------------------------
1,895,533
- ----------------------------------------------------------------------------------------------------
Energy-Related (--%)
....................................................................................................
70,000 Gothic Production Corp. company
guaranty Ser. B, 11 1/8s, 2005 59,500
....................................................................................................
5,000 Panda Global Energy Co. company
guaranty 12 1/2s, 2004 (China) 2,700
....................................................................................................
300,000 PP&L Capital Funding, Inc. company
guaranty 5.9s, 2000 285,300
- ----------------------------------------------------------------------------------------------------
347,500
- ----------------------------------------------------------------------------------------------------
Entertainment (0.4%)
....................................................................................................
260,000 AMC Entertainment, Inc. sr. sub. notes
9 1/2s, 2009 249,600
....................................................................................................
135,000 Cinemark USA, Inc. sr. sub. notes
8 1/2s, 2008 125,550
....................................................................................................
185,150 Colorado Gaming & Entertainment Co.
sr. notes 12s, 2003 (PIK) 177,744
....................................................................................................
370,000 Diva Systems Corp. sr. disc. notes,
stepped-coupon Ser. B, zero %
(12 5/8s, 3/1/03), 2008 (STP) 107,300
....................................................................................................
140,000 Fitzgeralds Gaming Corp. company
guaranty Ser. B, 12 1/4s, 2004
(In default) (NON) 77,700
....................................................................................................
10,000 Isle of Capri Black Hawk LLC 144A
1st mortgage Ser. B, 13s, 2004 11,100
....................................................................................................
320,000 ITT Corp. notes 6 3/4s, 2005 292,915
....................................................................................................
580,000 News America Holdings, Inc. deb.
7 3/4s, 2045 546,551
....................................................................................................
3,000 Premier Parks, Inc. sr. notes 9 1/4s, 2006 2,970
....................................................................................................
80,000 SFX Entertainment, Inc. company
guaranty 9 1/8s, 2008 77,600
....................................................................................................
70,000 SFX Entertainment, Inc. 144A company
guaranty Ser. B, 9 1/8s, 2008 68,250
....................................................................................................
90,000 Silver Cinemas, Inc. sr. sub. notes
10 1/2s, 2005 40,500
....................................................................................................
365,000 Time Warner Entertainment Inc. notes
8 7/8s, 2012 406,610
....................................................................................................
1,070,000 Time Warner, Inc. company guaranty
6 5/8s, 2029 943,954
....................................................................................................
80,000 Trump A.C. 1st mtge. company guaranty
11 1/4s, 2006 71,600
....................................................................................................
190,000 Trump Castle Funding 144A sub. notes
10 1/4s, 2003 192,390
....................................................................................................
320,000 United Artists Theatre sr. sub. notes
9 3/4s, 2008 246,400
- ----------------------------------------------------------------------------------------------------
3,638,734
- ----------------------------------------------------------------------------------------------------
Environmental Control (0.2%)
....................................................................................................
240,000 Allied Waste Industries, Inc. company
guaranty Ser. B, 7 7/8s, 2009 222,600
....................................................................................................
120,000 Allied Waste Industries, Inc. company
guaranty Ser. B, 7 5/8s, 2006 111,300
....................................................................................................
1,705,000 WMX Technologies Inc. notes 7.1s, 2026 1,738,401
- ----------------------------------------------------------------------------------------------------
2,072,301
- ----------------------------------------------------------------------------------------------------
Food and Beverages (0.2%)
....................................................................................................
30,000 Ameriserve Food Co. company guaranty
10 1/8s, 2007 25,200
....................................................................................................
45,000 Aurora Foods, Inc. sr. sub. notes
Ser. B, 9 7/8s, 2007 46,688
....................................................................................................
80,000 Aurora Foods, Inc. 144A ser. sub. notes
Ser. D, 9 7/8s, 2007 83,000
....................................................................................................
15,000 Doane Pet Care Co. sr. sub. notes
9 3/4s, 2007 15,150
....................................................................................................
720,000 Pepsi Bottling Group Inc. 144A sr. notes
7s, 2029 676,181
....................................................................................................
1,020,000 Philip Morris Cos., Inc. notes 7 1/2s, 2004 1,050,284
....................................................................................................
140,000 RAB Enterprises, Inc. company
guaranty 10 1/2s, 2005 88,200
....................................................................................................
200,000 Signature Brands Ltd. sr. sub. notes
13s, 2002 (Canada) 220,000
....................................................................................................
100,000 Triarc Consumer Products, Inc. 144A
sr. sub. notes 10 1/4s, 2009 97,000
- ----------------------------------------------------------------------------------------------------
2,301,703
- ----------------------------------------------------------------------------------------------------
Gaming (--%)
....................................................................................................
50,000 Circus Circus Enterprises, Inc. sr. notes
6.45s, 2006 45,548
....................................................................................................
80,000 Hollywood Park, Inc. company guaranty
Ser. B, 9 1/4s, 2007 78,600
....................................................................................................
250,000 Mohegan Tribal Gaming Auth. sr. sub.
notes 8 3/4s, 2009 246,250
....................................................................................................
90,000 Park Place Entertainment sr. sub. notes
7 7/8s, 2005 85,500
....................................................................................................
90,000 PRT Funding Corp. sr. notes 11 5/8s,
2004 (In default) (NON) 40,500
- ----------------------------------------------------------------------------------------------------
496,398
- ----------------------------------------------------------------------------------------------------
Health Care (0.1%)
....................................................................................................
30,000 Columbia/HCA Healthcare Corp. deb.
8.36s, 2024 28,223
....................................................................................................
50,000 Columbia/HCA Healthcare Corp.
med term notes notes 7.69s, 2025 41,587
....................................................................................................
160,000 Columbia/HCA Healthcare Corp.
med term notes 6.63s, 2045 149,776
....................................................................................................
50,000 Columbia/HCA Healthcare Corp. notes
7 1/4s, 2008 45,314
....................................................................................................
60,000 Conmed Corp. company guaranty
9s, 2008 59,475
....................................................................................................
200,000 Extendicare Health Services, Inc.
company guaranty 9.35s, 2007 149,000
....................................................................................................
90,000 Hudson Respiratory Care, Inc. sr. sub.
notes 9 1/8s, 2008 80,550
....................................................................................................
200,000 Integrated Health Services, Inc. sr sub. .
notes Ser. A, 9 1/2s, 2007 145,000
....................................................................................................
110,000 Integrated Health Services, Inc. sr. sub.
notes Ser. A, 9 1/4s, 2008 78,925
....................................................................................................
80,000 Mariner Post-Acute Network, Inc.
sr. sub. notes stepped-coupon Ser. B,
zero % (10 1/2s, 11/1/02), 2007 (STP) 9,600
....................................................................................................
130,000 Mariner Post-Acute Network, Inc.
sr. sub. notes Ser. B, 9 1/2s, 2007 22,100
....................................................................................................
260,000 Multicare Cos., Inc. sr. sub. notes 9s, 2007 176,800
....................................................................................................
60,000 Paracelsus Healthcare sr. sub. notes
10s, 2006 46,800
....................................................................................................
50,000 Paragon Corp. Holdings, Inc. company
guaranty Ser. B, 9 5/8s, 2008 29,000
....................................................................................................
90,000 Quest Diagnostic 144A Inc. sr. sub.
notes 9 7/8s, 2009 90,900
....................................................................................................
40,000 Tenet Healthcare Corp. sr. notes
Ser. B, 8 1/8s, 2008 37,600
....................................................................................................
90,000 Tenet Healthcare Corp. sr. notes
Ser. B, 7 5/8s, 2008 84,150
....................................................................................................
125,000 Tenet Healthcare Corp. sr. sub. notes
8 5/8s, 2007 121,875
- ----------------------------------------------------------------------------------------------------
1,396,675
- ----------------------------------------------------------------------------------------------------
Hospital Management and Medical Services (--%)
....................................................................................................
80,000 Triad Hospitals Holdings 144A sr. sub.
notes 11s, 2009 81,200
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (2.4%)
....................................................................................................
100,000 Aames Financial Corp. sr. notes
9 1/8s, 2003 70,000
....................................................................................................
60,000 Advanta Corp. med. term notes Ser. B,
7s, 2001 55,407
....................................................................................................
180,000 Advanta Corp. med. term notes Ser. D,
6.92s, 2002 159,943
....................................................................................................
970,000 AFC Capital Trust company guaranty
Ser. B, 8.207s, 2027 1,007,801
....................................................................................................
1,010,000 American General Institute 144A
company guaranty 8 1/8s, 2046 1,059,197
....................................................................................................
805,000 Banponce Financial Corp. med. term
note 7 1/8s, 2002 810,410
....................................................................................................
115,000 Chevy Chase Savings Bank Inc.
sub. deb. 9 1/4s, 2005 116,438
....................................................................................................
890,000 CIT Group Holdings sr. notes
6 1/2s, 2002 891,638
....................................................................................................
965,000 Citigroup, Inc. bonds 6.2s, 2009 909,889
....................................................................................................
80,000 Colonial Capital II 144A company
guaranty 8.92s, 2027 74,820
....................................................................................................
10,000 Contifinancial Corp. sr. notes 8 3/8s, 2003 8,600
....................................................................................................
40,000 Contifinancial Corp. sr. notes 8 1/8s, 2008 34,400
....................................................................................................
210,000 Contifinancial Corp. sr. notes 7 1/2s, 2002 157,500
....................................................................................................
1,000,000 Countrywide Home Loan Corp. company
guaranty med. term notes 6 1/4s, 2009 928,700
....................................................................................................
40,000 Delta Financial Corp. sr. notes
9 1/2s, 2004 34,400
....................................................................................................
35,000 Dime Capital Trust I bank guaranty
Ser. A, 9.33s, 2027 36,407
....................................................................................................
430,000 DTI Holdings Inc. sr. disc. notes,
stepped-coupon Ser. B, zero %
(12 1/2s, 03/01/03), 2008 (STP) 156,950
....................................................................................................
385,000 Firstar Bank Milwaukee sr. bank notes
6 1/4s, 2002 382,374
....................................................................................................
875,000 General Motors Acceptance Corp.
sr. unsub. 5.85s, 2009 802,839
....................................................................................................
30,000 Greenpoint Capital Trust I company
guaranty 9.1s, 2027 30,180
....................................................................................................
920,000 Heller Financial Inc. notes 6s, 2004 890,569
....................................................................................................
1,345,000 Household Finance Corp. notes
6 1/2s, 2008 1,282,471
....................................................................................................
175,000 Imperial Credit Capital Trust I 144A
company guaranty 10 1/4s, 2002 141,750
....................................................................................................
85,000 Imperial Credit Industries, Inc. sr. notes
9 7/8s, 2007 67,150
....................................................................................................
10,000 Investors Capital Trust I company
guaranty Ser. B, 9.77s, 2027 9,450
....................................................................................................
1,000,000 Lehman Brothers Holdings, Inc. notes
6 5/8s, 2004 974,140
....................................................................................................
1,290,000 Merita Bank Ltd. sub. notes 6 1/2s,
2006 (Finland) 1,243,947
....................................................................................................
950,000 Merrill Lynch & Co., Inc. notes 6s, 2009 877,610
....................................................................................................
500,000 Money Store, Inc. notes 8.05s, 2002 516,315
....................................................................................................
1,950,000 NationsBank Corp. sub. notes 6 7/8s, 2005 1,949,844
....................................................................................................
30,000 Nationwide Credit Inc. sr. notes
Ser. A, 10 1/4s, 2008 20,400
....................................................................................................
275,000 Orange Cogen Funding 144A company
guaranty 8.175s, 2022 276,375
....................................................................................................
1,500,000 Paine Webber Group, Inc. sr. notes
6.55s, 2008 1,415,535
....................................................................................................
705,000 Peoples Bank-Bridgeport sub. notes
7.2s, 2006 659,175
....................................................................................................
1,040,000 Popular, Inc. med. term notes 6.4s, 2000 1,037,993
....................................................................................................
1,270,000 Provident Companies, Inc. bonds
7.405s, 2038 1,189,990
....................................................................................................
270,000 RBF Finance 144A company guaranty
11s, 2006 278,100
....................................................................................................
370,000 Sears Roebuck Acceptance Corp. notes
6 7/8s, 2017 349,295
....................................................................................................
320,000 Sears Roebuck Acceptance Corp. notes
6 1/2s, 2028 279,338
....................................................................................................
895,000 Sprint Capital Corp. company guaranty
6.9s, 2019 828,752
....................................................................................................
650,000 St. Paul Bancorp sr. notes 7 1/8s, 2004 634,628
....................................................................................................
865,000 TIG Holdings, Inc. notes 8 1/8s, 2005 875,873
- ----------------------------------------------------------------------------------------------------
23,526,593
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (--%)
....................................................................................................
120,000 ALARIS Medical Systems, Inc. company
guaranty 9 3/4s, 2006 118,800
....................................................................................................
100,000 Kinetic Concepts, Inc. company
guaranty Ser. B, 9 5/8s, 2007 89,000
....................................................................................................
100,000 Mediq, Inc. company guaranty 11s, 2008 78,000
....................................................................................................
80,000 Mediq, Inc. deb. stepped-coupon
zero % (13s, 6/1/03), 2009 (STP) 30,400
- ----------------------------------------------------------------------------------------------------
316,200
- ----------------------------------------------------------------------------------------------------
Metals and Mining (0.1%)
....................................................................................................
155,000 AK Steel Corp. sr. notes 9 1/8s, 2006 158,875
....................................................................................................
110,000 AK Steel Corp. 144A sr. notes
7 7/8s, 2009 105,600
....................................................................................................
160,000 Ameristeel Corp. company guaranty
Ser. B, 8 3/4s, 2008 160,400
....................................................................................................
40,000 Anker Coal Group, Inc. sr. notes
Ser. B, 9 3/4s, 2007 (In default) (NON) 20,800
....................................................................................................
65,000 Continental Global Group sr. notes
Ser. B, 11s, 2007 54,275
....................................................................................................
70,000 Lodestar Holdings, Inc. company
guaranty 11 1/2s, 2005 53,200
....................................................................................................
110,000 Weirton Steel Co. sr. notes 11 3/8s, 2004 107,800
- ----------------------------------------------------------------------------------------------------
660,950
- ----------------------------------------------------------------------------------------------------
Oil and Gas (0.7%)
....................................................................................................
240,000 Belco Oil & Gas Corp. company
guaranty Ser. B, 10 1/2s, 2006 250,200
....................................................................................................
160,000 Belco Oil & Gas Corp. sr. sub. notes
Ser. B, 8 7/8s, 2007 157,200
....................................................................................................
10,000 Benton Oil & Gas Co. sr. notes
9 3/8s, 2007 6,500
....................................................................................................
150,000 Cliffs Drilling Co. company guaranty
Ser. D, 10 1/4s, 2003 142,500
....................................................................................................
995,000 Coastal Corp. bonds 6.95s, 2028 910,286
....................................................................................................
1,000,000 Columbia Gas System, Inc. notes
Ser. E, 7.32s, 2010 980,840
....................................................................................................
410,000 Conoco, Inc. sr. notes 6.35s, 2009 393,522
....................................................................................................
800,000 Conoco, Inc. sr. notes 5.9s, 2004 780,624
....................................................................................................
65,000 Eagle Geophysical, Inc. company
guaranty Ser. B, 10 3/4s, 2008 35,750
....................................................................................................
30,000 Flores & Rucks, Inc. sr. sub. notes
9 3/4s, 2006 30,863
....................................................................................................
10,000 Gothic Energy Corp. sr. disc. notes,
stepped-coupon Ser. B, zero %
(14 1/8s, 5/1/03), 2006 (STP) 3,500
....................................................................................................
245,000 Gulf Canada Resources Ltd. sr. sub.
notes 9 5/8s, 2005 (Canada) 249,900
....................................................................................................
70,000 Gulf Canada Resources, Ltd. sr. notes
8 3/8s, 2005 (Canada) 69,040
....................................................................................................
240,000 K N Energy, Inc. sr. notes 6.45s, 2003 233,844
....................................................................................................
40,000 Ocean Energy, Inc. company guaranty
Ser. B, 8 7/8s, 2007 39,400
....................................................................................................
140,000 Ocean Energy, Inc. company guaranty
Ser. B, 8 3/8s, 2008 135,100
....................................................................................................
600,000 Panhandle Eastern Corp. 144A sr. notes
6 1/8s, 2004 582,576
....................................................................................................
550,000 Petro Geo-Services AS notes 7 1/2s,
2007 ADR (Norway) 548,768
....................................................................................................
290,000 Pogo Producing Co. sr. sub. notes
Ser. B, 8 3/4s, 2007 275,500
....................................................................................................
60,000 RAM Energy Inc. sr. notes 11 1/2s, 2008 31,950
....................................................................................................
50,000 Seven Seas Petroleum sr. notes
Ser. B, 12 1/2s, 2005 25,500
....................................................................................................
30,000 Snyder Oil Corp. sr. sub. notes
8 3/4s, 2007 29,700
....................................................................................................
655,000 Statoil 144A notes 6 1/2s, 2028 (Norway) 593,037
....................................................................................................
160,000 Vintage Petroleum sr. sub. notes
9 3/4s, 2009 164,000
- ----------------------------------------------------------------------------------------------------
6,670,100
- ----------------------------------------------------------------------------------------------------
Packaging and Containers (0.1%)
....................................................................................................
20,000 AEP Industries, Inc. sr. sub. notes
9 7/8s, 2007 20,000
....................................................................................................
160,000 Packaging Corp. 144A sr. sub. notes
9 5/8s, 2009 161,600
....................................................................................................
90,000 Radnor Holdings Inc. sr. notes 10s, 2003 94,500
....................................................................................................
190,000 Riverwood International Corp. company
guaranty 10 7/8s, 2008 184,300
....................................................................................................
110,000 Riverwood International Corp. company
guaranty 10 1/4s, 2006 111,100
- ----------------------------------------------------------------------------------------------------
571,500
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (--%)
....................................................................................................
100,000 APP Finance II Mauritius Ltd. bonds
stepped-coupon 12s, (16s, 2/15/04),
2049 (Indonesia) (STP) 66,000
....................................................................................................
10,000 Boise Cascade Co. med. term notes
Ser. A, 7.43s, 2005 9,418
....................................................................................................
5,000 Consumers International 144A sr. notes
10 1/4s, 2005 5,100
....................................................................................................
35,000 Huntsman Packaging Corp. company
guaranty 9 1/8s, 2007 34,300
....................................................................................................
140,000 Pacifica Papers, Inc. 144A sr. notes
10s, 2009 (Canada) 144,200
....................................................................................................
65,000 Pindo Deli Finance Mauritius Ltd.
company guaranty 10 3/4s, 2007
(Indonesia) 44,850
....................................................................................................
40,000 Republic Group, Inc. sr. sub. notes
9 1/2s, 2008 39,200
- ----------------------------------------------------------------------------------------------------
343,068
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (--%)
....................................................................................................
150,000 ICN Pharmaceuticals, Inc. 144A sr. notes
9 1/4s, 2005 151,313
- ----------------------------------------------------------------------------------------------------
Photography (--%)
....................................................................................................
30,000 PX Escrow Corp. sr. disc. notes
stepped-coupon zero %
(9 5/8s, 2/1/02), 2006 (STP) 18,300
- ----------------------------------------------------------------------------------------------------
Publishing (0.1%)
....................................................................................................
245,000 Affinity Group Holdings sr. notes
11s, 2007 237,650
....................................................................................................
70,000 American Media Operation, Inc. 144A
sr. sub. notes 10 1/4s, 2009 70,700
....................................................................................................
100,000 Garden State Newspapers 144A sr. sub.
notes 8 5/8s, 2011 93,500
....................................................................................................
150,000 Garden State Newspapers, Inc. sr. sub.
notes Ser. B, 8 3/4s, 2009 142,500
....................................................................................................
80,000 News America Holdings, Inc. deb.
7.7s, 2025 77,491
....................................................................................................
100,000 Perry-Judd company guaranty
10 5/8s, 2007 100,000
....................................................................................................
26,304 Von Hoffman Press, Inc. 144A sr. sub.
notes 13 1/2s, 2009 25,120
....................................................................................................
35,000 Von Hoffman Press, Inc. 144A sr. sub.
notes 10 3/8s, 2007 35,000
- ----------------------------------------------------------------------------------------------------
781,961
- ----------------------------------------------------------------------------------------------------
Recreation (--%)
....................................................................................................
170,000 Horseshoe Gaming Holdings 144A
sr. sub. notes 8 5/8s, 2009 164,475
- ----------------------------------------------------------------------------------------------------
REITs (Real Estate Investment Trust) (0.1%)
....................................................................................................
1,020,000 EOP Operating L.P. notes 6.763s, 2007 969,632
....................................................................................................
210,000 Tanger Properties Ltd. company
guaranty 8 3/4s, 2001 210,011
- ----------------------------------------------------------------------------------------------------
1,179,643
- ----------------------------------------------------------------------------------------------------
Retail (0.2%)
....................................................................................................
855,000 Federated Department Stores, Inc.
sr. notes 8 1/2s, 2003 905,180
....................................................................................................
550,000 Federated Department Stores, Inc.
notes 6.3s, 2009 513,150
....................................................................................................
40,000 Home Interiors & Gifts, Inc. company
guaranty 10 1/8s, 2008 39,600
....................................................................................................
90,000 K mart Corp. med. term notes
8.85s, 2011 86,656
....................................................................................................
10,000 K mart Corp. med. term notes
8.19s, 2003 9,818
....................................................................................................
10,000 K mart Corp. med. term notes 8s, 2001 9,915
....................................................................................................
10,000 K mart Corp. med. term notes
6.88s, 1999 10,005
....................................................................................................
980,000 Lowe's Cos., Inc. 144A notes 6 1/2s, 2029 873,964
....................................................................................................
50,000 Zale Corp. sr. notes Ser. B, 8 1/2s, 2007 50,625
- ----------------------------------------------------------------------------------------------------
2,498,913
- ----------------------------------------------------------------------------------------------------
Satellite Services (--%)
....................................................................................................
320,000 Echostar DBS Corp. 144A sr. notes
9 3/8s, 2009 326,400
....................................................................................................
110,000 Golden Sky Systems company guaranty
Ser. B, 12 3/8s, 2006 122,100
- ----------------------------------------------------------------------------------------------------
448,500
- ----------------------------------------------------------------------------------------------------
Shipping (--%)
....................................................................................................
30,000 International Shipholding Corp. sr. notes
7 3/4s, 2007 27,600
- ----------------------------------------------------------------------------------------------------
Specialty Consumer Products (--%)
....................................................................................................
100,000 Decora Industries, Inc. sr. sec. notes
Ser. B, 11s, 2005 96,000
- ----------------------------------------------------------------------------------------------------
Steel (--%)
....................................................................................................
90,000 National Steel Corp. 1st mtge.
Ser. D, 9 7/8s, 2009 91,800
....................................................................................................
80,000 Oregon Steel Mills 1st mortgage
11s, 2003 82,000
- ----------------------------------------------------------------------------------------------------
173,800
- ----------------------------------------------------------------------------------------------------
Telecommunications (1.2%)
....................................................................................................
20,000 Allbritton Communications Co. sr. sub.
notes Ser. B, 8 7/8s, 2008 19,250
....................................................................................................
40,000 Allegiance Telecom, Inc. sr. notes
12 7/8s, 2008 42,400
....................................................................................................
180,000 Allegiance Telecom, Inc. sr. disc.
notes stepped-coupon Ser. B, zero %
(11 3/4s, 2/15/03), 2008 (STP) 111,150
....................................................................................................
1,020,000 AT&T Capital Corp. med. term notes
6 1/4s, 2001 1,005,088
....................................................................................................
55,000 Barak I.T.C. sr. disc. notes
stepped-coupon Ser. B, zero %
(12 1/2s, 11/15/02), 2007 (Israel) (STP) 31,350
....................................................................................................
70,000 Bestel S.A. de C.V. sr. disc. notes
stepped-coupon zero %
(12 3/4s, 5/15/03), 2005 (Mexico) (STP) 44,800
....................................................................................................
70,000 Birch Telecommunications, Inc. sr. notes
14s, 2008 66,850
....................................................................................................
220,000 BTI Telecom Corp. sr. notes 10 1/2s, 2007 189,200
....................................................................................................
70,000 CapRock Communications Corp.
sr. notes Ser. B, 12s, 2008 72,100
....................................................................................................
175,000 Celcaribe S.A. sr. notes 13 1/2s, 2004 152,250
....................................................................................................
360,000 CellNet Data Systems, Inc. sr. disc.
notes stepped-coupon zero %
(14s, 10/1/02), 2007 (STP) 136,800
....................................................................................................
230,000 Clearnet Communications, Inc. sr. disc.
notes stepped-coupon zero %
(14 3/4s, 12/15/00), 2005 (STP) 209,300
....................................................................................................
225,000 Colt Telecommunications Group PLC
sr. disc. notes stepped-coupon
zero % (12s, 12/15/01), 2006
(United Kingdom) (STP) 185,625
....................................................................................................
45,000 Conecel Holdings 144A notes Ser. A,
14s, 2000 (In default) (NON) 5,850
....................................................................................................
260,000 Covad Communications Group Inc. sr.
notes 12 1/2s, 2009 250,250
....................................................................................................
80,000 Covad Communications Group, Inc.
sr. disc. notes stepped-coupon Ser. B,
zero % (13 1/2s, 03/15/03), 2008 (STP) 43,800
....................................................................................................
220,000 Econophone, Inc. 144A notes
stepped-coupon zero %
(11s, 2/15/03), 2008 (STP) 114,400
....................................................................................................
140,000 Esprit Telecom Group PLC sr. notes
11 1/2s, 2007 (United Kingdom) 147,000
....................................................................................................
50,000 Facilicom International sr. notes
Ser. B, 10 1/2s, 2008 39,000
....................................................................................................
300,000 Firstworld Communication Corp.
sr. disc. notes stepped-coupon zero %
(13s, 4/15/03), 2008 (STP) 156,000
....................................................................................................
90,000 Flag Ltd. 144A sr. notes 8 1/4s,
2008 (Bermuda) 83,925
....................................................................................................
300,000 Focal Communications Corp. sr. disc.
notes, stepped-coupon Ser. B, zero %
(12 1/8s, 02/15/03), 2008 (STP) 165,000
....................................................................................................
430,000 Global Crossing Holdings, Ltd.
company guaranty 9 5/8s, 2008 464,400
....................................................................................................
240,000 GST Telecommunications, Inc. company
guaranty stepped-coupon zero %
(13 7/8s, 15/15/00), 2005 (STP) 195,600
....................................................................................................
340,000 GST Telecommunications, Inc. 144A
sr. disc. notes stepped-coupon zero %
(10 1/2s, 5/1/03), 2008 (STP) 192,100
....................................................................................................
60,000 Hyperion Telecommunications Corp.,
Inc. sr. disc. notes stepped-coupon
Ser. B, zero % (13s, 4/15/01), 2003 (STP) 49,500
....................................................................................................
90,000 Hyperion Telecommunications Corp.,
Inc. sr. notes Ser. B, 12 1/4s, 2004 94,500
....................................................................................................
130,000 Hyperion Telecommunications Corp.
144A sr. sub. notes 12s, 2007 131,300
....................................................................................................
250,000 ICG Communications, Inc. sr. disc.
notes stepped-coupon zero %
(10s, 02/15/03), 2008 (STP) 135,000
....................................................................................................
130,000 ICG Holdings, Inc. sr. disc. notes
stepped-coupon zero %
(13 1/2s, 9/15/00), 2005 (Canada) (STP) 114,400
....................................................................................................
250,000 ICG Services, Inc. sr. disc. notes
stepped-coupon zero %
(9 7/8s, 5/1/03), 2008 (STP) 132,500
....................................................................................................
90,000 Intelcom Group (USA), Inc. company
guaranty stepped-coupon zero %
(12 1/2s, 5/1/01), 2006 (STP) 72,000
....................................................................................................
140,000 Intermedia Communications, Inc. sr.
notes Ser. B, 8.6s, 2008 128,800
....................................................................................................
335,000 Intermedia Communications, Inc.
sr. notes Ser. B, 8 1/2s, 2008 307,363
....................................................................................................
745,000 International Cabletel, Inc. sr. notes
stepped-coupon Ser. B, zero %
(11 1/2s, 2/01/01), 2006 (STP) 648,150
....................................................................................................
55,000 ITC Deltacom, Inc. sr. notes 11s, 2007 59,125
....................................................................................................
170,000 KMC Telecom Holdings, Inc. sr. disc.
notes stepped-coupon zero %
(12 1/2s, 2/15/03), 2008 (STP) 89,250
....................................................................................................
240,000 Knology Holdings, Inc. sr. disc.
notes stepped-coupon zero %
(11 7/8s, 10/15/02), 2007 (STP) 139,200
....................................................................................................
10,000 McCaw International Ltd sr. disc.
notes stepped coupon zero %
(13s, 4/15/02), 2007 (STP) 5,900
....................................................................................................
210,000 MetroNet Communications Corp. 144A
sr. notes 10 5/8s, 2008 (Canada) 238,875
....................................................................................................
25,000 MetroNet Communications Corp.
sr. disc. notes stepped-coupon zero %
(10 3/4s, 11/1/02), 2007 (Canada) (STP) 19,500
....................................................................................................
120,000 MetroNet Communications Corp.
sr. disc. notes stepped-coupon zero %
(9.95s, 6/15/03), 2008 (Canada) (STP) 88,800
....................................................................................................
150,000 Microcell Telecommunications sr. disc.
notes stepped-coupon Ser. B,
zero % (14s, 12/1/01), 2006 (Canada) (STP) 121,500
....................................................................................................
315,000 Millicom International Cellular S.A.
sr. disc. notes stepped-coupon zero %
(13 1/2s, 6/1/01), 2006 (Luxembourg) (STP) 234,675
....................................................................................................
20,000 Netia Holdings B.V. 144A company
guaranty 10 1/4s, 2007 (Poland) 17,400
....................................................................................................
10,000 Netia Holdings B.V. 144A company
guaranty stepped-coupon zero %
(11 1/4s, 11/1/01), 2007 (Poland) (STP) 6,200
....................................................................................................
480,000 NEXTEL Communicaitons, Inc. sr. disc.
notes stepped-coupon zero %
(12 1/8s, 4/15/03), 2008 (STP) 249,600
....................................................................................................
180,000 NEXTEL Communications, Inc. sr. notes
12s, 2008 202,500
....................................................................................................
20,000 NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero %
(10.65s, 9/15/02), 2007 (STP) 14,500
....................................................................................................
560,000 NEXTEL Communications, Inc. sr. disc.
notes 9 3/4s, 2004 (STP) 568,400
....................................................................................................
170,000 NorthEast Optic Network, Inc. sr. notes
12 3/4s, 2008 175,100
....................................................................................................
90,000 NTL Communications Corp. sr. notes
Ser. B, 11 1/2s, 2008 98,550
....................................................................................................
110,000 NTL Inc. sr. notes Ser. B, 10s, 2007 113,300
....................................................................................................
140,000 Pathnet, Inc. sr. notes 12 1/4s, 2008 78,400
....................................................................................................
220,000 Price Communications Wireless, Inc.
144A sr. notes 9 1/8s, 2006 223,300
....................................................................................................
70,000 Primus Telecommunications Group, Inc.
sr. notes Ser. B, 9 7/8s, 2008 67,550
....................................................................................................
65,000 Qwest Communications International,
Inc. sr. disc. notes stepped-coupon
zero % (9.47s, 10/15/02), 2007 (STP) 50,806
....................................................................................................
30,000 Qwest Communications International,
Inc. sr. disc. notes stepped-coupon
zero % (8.29s, 2/1/03), 2008 (STP) 22,587
....................................................................................................
180,000 Qwest Communications International,
Inc. sr. notes Ser. B, 7 1/4s, 2008 173,250
....................................................................................................
30,000 RCN Corp. sr. disc. notes
stepped-coupon zero %,
(11 1/8s, 10/15/02), 2007 (STP) 20,025
....................................................................................................
170,000 Rhythms Netconnections, Inc. sr. disc.
notes stepped-coupon Ser. B,
zero % (13 1/2s, 5/15/03), 2008 (STP) 90,525
....................................................................................................
250,000 Rogers Cantel, Inc. sr. sub. notes
8.8s, 2007 (Canada) 250,000
....................................................................................................
85,000 RSL Communications, Ltd. company
guaranty 9 1/8s, 2008 77,563
....................................................................................................
60,000 Satelites Mexicanos S.A. de C.V. 144A
sr. notes 10 1/8s, 2004 (Mexico) 47,400
....................................................................................................
80,000 Startec Global Communications Corp.
sr. notes 12s, 2008 69,600
....................................................................................................
1,050,000 TCI Communications, Inc. sr. notes
8.65s, 2004 1,144,710
....................................................................................................
50,000 Telecommunications Techniques, Inc.
company guaranty 9 3/4s, 2008 49,250
....................................................................................................
110,000 Telehub Communications Corp. company
guaranty stepped-coupon zero %
(13 7/8s, 7/31/02), 2005 (STP) 72,600
....................................................................................................
30,000 TeleWest Communications PLC 144A
11 1/4s, 2008 33,900
....................................................................................................
200,000 Teligent, Inc. sr. disc. notes
stepped-coupon Ser. B, zero %
(11 1/2s, 3/1/03), 2008 (STP) 118,000
....................................................................................................
70,000 Teligent, Inc. sr. notes 11 1/2s, 2007 68,950
....................................................................................................
200,000 Time Warner Telecom Inc. sr. notes
9 3/4s, 2008 205,000
....................................................................................................
60,000 US Xchange LLC sr. notes 15s, 2008 61,800
....................................................................................................
80,000 Versatel Telecom B.V. sr. notes
13 1/4s, 2008 (Netherlands) 82,800
....................................................................................................
30,000 Versatel Telecom B.V. sr. notes
13 1/4s, 2008 (Netherlands) 31,050
....................................................................................................
580,000 Viatel, Inc. sr. disc. notes
stepped-coupon zero %
(12 1/2s, 4/15/03), 2008 (STP) 371,200
....................................................................................................
200,000 Viatel, Inc. sr. notes 11 1/4s, 2008 203,000
....................................................................................................
70,000 WinStar Communications, Inc. sr. sub.
notes 10s, 2008 62,300
- ----------------------------------------------------------------------------------------------------
12,054,942
- ----------------------------------------------------------------------------------------------------
Telephone Services (0.1%)
....................................................................................................
70,000 Call-Net Enterprises, Inc. sr. disc.
notes stepped-coupon zero %
(9.27s, 8/15/02), 2007 (Canada) (STP) 44,450
....................................................................................................
220,000 Call-Net Enterprises, Inc. sr. disc.
notes stepped-coupon zero %
(8.94s, 8/15/03), 2008 (Canada) (STP) 122,650
....................................................................................................
100,000 Call-Net Enterprises, Inc. sr. notes
8s, 2008 (Canada) 89,000
....................................................................................................
90,000 Logix Communications Enterprises
sr. notes 12 1/4s, 2008 81,000
....................................................................................................
50,000 Long Distance International, Inc.
sr. notes 12 1/4s, 2008 33,875
....................................................................................................
10,000 McLeodUSA, Inc. 144A sr. notes
8 1/8s, 2009 9,300
....................................................................................................
40,000 OnePoint Communications Corp. 144A
sr. notes 14 1/2s, 2008 21,600
....................................................................................................
123,000 RSL Communications, Ltd. company
guaranty 12 1/4s, 2006 128,535
....................................................................................................
70,000 RSL Communications, Ltd. 144A
10 1/2s, 2008 69,125
....................................................................................................
20,000 Transtel S.A. 144A pass-through
certificates 12 1/2s, 2007 (Colombia) 11,400
- ----------------------------------------------------------------------------------------------------
610,935
- ----------------------------------------------------------------------------------------------------
Textiles (--%)
....................................................................................................
130,000 Day International Group, Inc. company
guaranty 9 1/2s, 2008 118,950
....................................................................................................
50,000 Polymer Group, Inc. company guaranty
Ser. B, 9s, 2007 47,875
....................................................................................................
60,000 Polymer Group, Inc. company guaranty
Ser. B, 8 3/4s, 2008 56,850
....................................................................................................
47,586 Polytama International notes 11 1/4s,
2007 (Indonesia) 8,565
....................................................................................................
120,000 Westpoint Stevens, Inc. sr. notes
7 7/8s, 2008 115,200
- ----------------------------------------------------------------------------------------------------
347,440
- ----------------------------------------------------------------------------------------------------
Transportation (0.3%)
....................................................................................................
490,000 Calair LLC company guaranty
8 1/8s, 2008 458,150
....................................................................................................
75,000 Canadian Airlines Corp. sr. notes
12 1/4s, 2006 (Canada) 30,000
....................................................................................................
120,000 Canadian Airlines Corp. sr. notes
10s, 2005 (Canada) 88,800
....................................................................................................
150,000 Continental Airlines, Inc. sr. notes
9 1/2s, 2001 155,160
....................................................................................................
1,648,317 Continental Airlines, Inc.
pass-through certificates Ser. 98-1C,
6.541s, 2008 1,602,478
....................................................................................................
70,000 Hermes Europe Railtel 144A sr. notes
11 1/2s, 2007 (Netherlands) 73,500
....................................................................................................
135,000 Johnstown America Industries, Inc.
company guaranty Ser. C, 11 3/4s, 2005 142,425
....................................................................................................
50,000 Kitty Hawk, Inc. company guaranty
9.95s, 2004 49,250
....................................................................................................
50,000 MC Shipping, Inc. sr. notes Ser. B,
11 1/4s, 2008 35,000
....................................................................................................
130,000 TFM S.A. de C.V. company guaranty
stepped-coupon zero %
(11 3/4s, 6/15/02), 2009 (Mexico) (STP) 76,700
....................................................................................................
130,000 Trans World Airlines, Inc. sr. notes
11 1/2s, 2004 111,963
....................................................................................................
70,000 Trans World Airlines, Inc. sr. notes
11 3/8s, 2006 39,200
- ----------------------------------------------------------------------------------------------------
2,862,626
- ----------------------------------------------------------------------------------------------------
Utilities (0.5%)
....................................................................................................
50,000 Applied Power Inc. sr. sub. notes
8 3/4s, 2009 48,500
....................................................................................................
715,000 Arizona Public Service Co. sr. notes
6 3/4s, 2006 708,014
....................................................................................................
300,000 Calpine Corp. sr. notes 10 1/2s, 2006 318,000
....................................................................................................
110,000 Calpine Corp. sr. notes 7 7/8s, 2008 103,950
....................................................................................................
70,000 Calpine Corp. sr. notes 7 3/4s, 2009 66,500
....................................................................................................
665,000 CiNergy Corp. 144A deb. 6 1/8s, 2004 651,248
....................................................................................................
60,000 Cleveland Electric Illuminating Co.
1st mtge. Ser. B, 9 1/2s, 2005 63,988
....................................................................................................
150,000 Cleveland Electric Illuminating Co.
1st mtge. 6.86s, 2008 144,272
....................................................................................................
210,000 CMS Energy Corp. sr. notes Ser. B,
6 3/4s, 2004 201,762
....................................................................................................
10,000 El Paso Electric Co. 1st mtge.
Ser. E, 9.4s, 2011 11,074
....................................................................................................
275,000 Jersey Central Power & Light Co.
1st mtge. med. term note 6.85s, 2006 270,993
....................................................................................................
40,000 Leviathan Gas Corp.144A sr. sub.
notes 10 3/8s, 2009 41,200
....................................................................................................
134,158 Midland Funding Corp. I deb.
Ser. C-94, 10.33s, 2002 140,657
....................................................................................................
295,000 Midland Funding Corp. II deb. Ser. A,
11 3/4s, 2005 338,164
....................................................................................................
760,000 Nevada Power Co. sr. notes Ser. B,
6.2s, 2004 738,342
....................................................................................................
100,000 Niagara Mohawk Power Corp. med. term
notes 9.95s, 2000 (Philippines) 102,667
....................................................................................................
50,000 Niagara Mohawk Power Corp. sr. notes
Ser. E, 7 3/8s, 2003 50,856
....................................................................................................
50,000 Niagara Mohawk Power Corp. sr. notes
Ser. F, 7 5/8s, 2005 50,312
....................................................................................................
28,886 Northeast Utilities System notes
Ser. A, 8.58s, 2006 28,738
....................................................................................................
113,333 Northeast Utilities System notes
Ser. B, 8.38s, 2005 112,830
....................................................................................................
30,000 Public Service Co. of New Mexico
sr. notes Ser. A, 7.1s, 2005 29,796
....................................................................................................
170,000 York Power Funding 144A notes 12s,
2007 (Cayman Islands) 170,000
- ----------------------------------------------------------------------------------------------------
4,391,863
- ----------------------------------------------------------------------------------------------------
Wireless Communications (--%)
....................................................................................................
90,000 Orbital Imaging Corp. sr. notes
Ser. B, 11 5/8s, 2005 81,900
....................................................................................................
120,000 Telecorp PCS Inc. 144A sr. disc.
notes stepped-coupon zero % (11 5/8s,
4/15/04), 2009 (STP) 67,200
- ----------------------------------------------------------------------------------------------------
149,100
- ----------------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $100,405,757) $95,719,489
- ----------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BONDS AND NOTES (7.6%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
AUD 4,590,000 Australia (Government of) Ser. 909,
7 1/2s, 2009 $3,326,508
....................................................................................................
CAD 10,790,000 Canada (Government of) 5 1/2s, 2009 7,331,072
....................................................................................................
EUR 10,585,000 Cert Di Credito Del Tes (Italy Treasury
bill) bonds zero % 1999 10,802,355
....................................................................................................
EUR 12,940,000 Denmark (Kingdom) bonds 4s, 2001 1,804,013
....................................................................................................
EUR 12,785,000 France Treasury bill bonds 4s, 2000 13,312,052
....................................................................................................
EUR 6,571,685 Germany (Federal Republic of) bonds
Ser. 98, 5 5/8s, 2028 6,995,562
....................................................................................................
EUR 615,000 Germany (Federal Republic of) bonds
Ser. 98, 4 3/4s, 2028 577,049
....................................................................................................
EUR 8,035,000 Germany (Federal Republic of) bonds
Ser. 128, 3 3/4s, 2003 8,303,895
....................................................................................................
GRD 232,600,000 Hellenic Greece (Republic of) bonds
9.2s, 2002 783,199
....................................................................................................
GRD 543,500,000 Hellenic Greece (Republic of) bonds
6.6s, 2004 1,745,088
....................................................................................................
NZD 3,045,000 New Zealand (Government of) bonds
Ser. 1106, 8s, 2006 1,759,948
....................................................................................................
USD 1,160,000 Quebec (Province of) deb. 7s, 2007 1,167,772
....................................................................................................
SEK 60,100,000 Sweden (Government of) bonds
Ser. 1039, 5 1/2s, 2002 7,345,477
....................................................................................................
SEK 14,100,000 Sweden (Government of) bonds
Ser. 1035, 6s, 2005 1,773,505
....................................................................................................
RUB 4,830,000 U.S. Dollar GKO Pass-Through
Structured Note 1999 (Issued by
Deutsche Bank. The principal USD is
linked to the bid price for the
Russian Treasury Bill at maturity, and
the change in the spot rate of the
Russian Ruble from issue date), zero %
1999 (In default) (NON) 5,974
....................................................................................................
GBP 4,975,000 United Kingdom Treasury bonds
Ser. 85, 9 3/4s, 2002 8,796,009
- ----------------------------------------------------------------------------------------------------
Total Foreign Government Bonds
and Notes
(cost $79,979,667) $75,829,478
- ----------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (1.9%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$2,659,175 Collateralized Mortgage Obligation
Trust Ser. 64, Class Z, 9s, 2020 $2,778,838
....................................................................................................
Commercial Mortgage Acceptance Corp.
....................................................................................................
125,000 Ser. 97-ML1, Class A2, 6.53s, 2007 123,750
....................................................................................................
6,562,348 Ser. 97-ML1, Interest Only (IO),
0.899s, 2017 333,244
....................................................................................................
271,385 Ser. 98-C2, Class A1, 5.8s, 2006 262,904
....................................................................................................
645,000 Criimi Mae Commercial Mortgage Trust
Ser. 98-C1, Class A2, 7s, 2011 568,406
....................................................................................................
3,957,295 Deutsche Mortgage & Asset Receiving
Corp. Ser. 98-C1, Class X, IO,
1.244s, 2031 227,390
....................................................................................................
Fannie Mae
....................................................................................................
1,695,000 Ser. 1989-71, Class J, 8 1/2s, 2019 1,758,761
....................................................................................................
706,198 Ser. 1997-61, Class ZC, 7s, 2027 657,894
....................................................................................................
1,222,995 First Union-Lehman Brothers -- Bank of
America Ser. 98-C2, Class A1, 6.28s, 2007 1,205,796
....................................................................................................
Freddie Mac
....................................................................................................
2,045,000 Ser. 1439, Class I, 7 1/2s, 2022 2,092,610
....................................................................................................
403,083 Ser. 2113, Class ZM, 6 1/2s, 2028 369,073
....................................................................................................
1,773,254 Ser. 201, IO, 6s, 2029 558,021
....................................................................................................
1,524,778 Ser. 1954, Class MG, IO, 6s, 2027 442,662
....................................................................................................
GMAC Commercial Mortgage
Securities Inc.
....................................................................................................
1,460,000 6.175s, 2033 1,385,175
....................................................................................................
534,851 Ser. 98-C2, Class A1, 6.15s, 2007 524,598
....................................................................................................
249,389 Independent National Mortgage Corp.
Ser. 94-V, Class A1, 8.373s, 2024 249,467
....................................................................................................
Merrill Lynch Mortgage Investors, Inc.
....................................................................................................
2,260,000 Ser. 97-C2, Class A2, 6.54s, 2029 2,207,738
....................................................................................................
380,993 Ser. 98-C2, Class A1, 6.22s, 2030 375,754
....................................................................................................
Morgan Stanley Capital I
....................................................................................................
320,000 6.54s, 2008 313,200
....................................................................................................
1,280,000 Ser. 96-WF1, Class A2, 7.218s, 2006 1,300,000
....................................................................................................
Mortgage Capital Funding, Inc.
....................................................................................................
621,453 Ser. 98-MC1, Class A1, 6.417s, 2007 618,346
....................................................................................................
3,007,158 Ser. 98-MC1, Class X, IO, 0.86s, 2009 118,407
....................................................................................................
508,604 PNC Mortgage Securities Corp.
Ser. 97-6, Class A2, 6.6s, 2027 511,783
- ----------------------------------------------------------------------------------------------------
Total Collateralized Mortgage Obligations
(cost $19,521,741) $18,983,817
- ----------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (1.1%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$961,534 Advanta Mortgage Loan Trust
Ser. 97-2, Class A2, 7.05s, 2021 $962,736
....................................................................................................
1,340,000 Advanta Mortgage Loan Trust
Ser. 97-3, Class A3, 6.69s, 2017 1,338,744
....................................................................................................
1,355,000 Advanta Mortgage Loan Trust
Ser. 97-4, Class A7, 6.63s, 2029 1,339,650
....................................................................................................
553,236 Amresco Residential Securities
Mortgage Loan Ser. 97-3, Class A3,
6.6s, 2018 552,544
....................................................................................................
287,802 Capita Equipment Receivables Trust
Ser. 96-1, Class A4, 6.28s, 2000 287,937
....................................................................................................
561,106 First Plus Ser. 98-A, Class A, 8 1/2s, 2023 476,940
....................................................................................................
350,000 GE Capital Mortgage Services, Inc.
Ser. 96-HE2, Class A4, 7.65s, 2012 353,883
....................................................................................................
1,195,000 Green Tree Financial Corp. Ser. 97-2,
Class A6, 7.24s, 2028 1,200,222
....................................................................................................
1,990,000 Green Tree Financial Corp. Ser. 98-2,
Class A5, 6.24s, 2016 1,983,237
....................................................................................................
1,278,828 Green Tree Recreational Equipment &
Cons. Ser. 98-A, Class A1C, 6.18s, 2019 1,270,786
....................................................................................................
425,000 Provident Bank Home Equity Loan Trust
Ser. 97-4, Class A3, 6.91s, 2029 421,597
....................................................................................................
576,295 The Money Store Home Equity Trust
Ser. 96-A, Class A5, 6.85s, 2019 577,556
- ----------------------------------------------------------------------------------------------------
Total Asset-Backed Securities
(cost $10,885,210) $10,765,832
- ----------------------------------------------------------------------------------------------------
PREFERRED STOCKS (0.3%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
3,000 AmeriKing, Inc. $3.25 pfd. (PIK) $69,000
....................................................................................................
10,000 California Federal Bancorp Inc.
Ser. A, $2.281 pfd. 260,000
....................................................................................................
596 Capstar Broadcasting, Inc. 144A
$12.00 pfd. (PIK) 70,030
....................................................................................................
828 Capstar Communications, Inc. Ser. E,
$12.625 cum. pfd. (PIK) 102,672
....................................................................................................
726 Citadel Broadcasting Inc. 144A $13.25
pfd. (PIK) 84,216
....................................................................................................
54 Concentric Network Corp. Ser. B,
13.50% pfd. (PIK) 51,300
....................................................................................................
828 CSC Holdings, Inc. Ser. M, $11.125 pfd. (PIK) 93,564
....................................................................................................
20 Dobson Communications 144A
$12.25 pfd. (PIK) 18,000
....................................................................................................
190 Fresenius Medical Capital Trust I company
guaranty, Ser. D, 9.00% pfd. (Germany) 204,250
....................................................................................................
250 Fresenius Medical Capital Trust II company
guaranty, 7.875% pfd. (Germany) 243,750
....................................................................................................
2,200 Global Crossing Holdings 144A
$10.50 pfd. 231,000
....................................................................................................
256 ICG Holdings, Inc., 144A $14.00 pfd.
(Canada) (PIK) 238,080
....................................................................................................
211 Intermedia Communication Ser. B,
13.50% pfd. (PIK) 206,780
....................................................................................................
47 IXC Communications, Inc. $12.50 pfd. (PIK) 45,121
....................................................................................................
60 NEXTEL Communications, Inc. Ser. D,
13.00% cum. pfd. (PIK) 65,700
....................................................................................................
42 NEXTEL Communications, Inc. Ser. E,
$11.125 pfd. (PIK) 42,210
....................................................................................................
5,684 Nextlink Communications, Inc. 144A
$7.00 cum. pfd. (PIK) 287,042
....................................................................................................
17 Paxson Communications Corp. 13.25%
cum. pfd. (PIK) 153,000
....................................................................................................
90 R& B Falcon Corp. $13.875 pfd. (PIK) 91,800
....................................................................................................
154 Spanish Broadcasting Systems 14.25%
cum. pfd. (PIK) 167,090
....................................................................................................
110 WinStar Communications, Inc. 144A
$14.25 pfd. (PIK) 89,100
- ----------------------------------------------------------------------------------------------------
Total Preferred Stocks
(cost $2,934,907) $2,813,705
- ----------------------------------------------------------------------------------------------------
PURCHASED OPTIONS OUTSTANDING (0.2%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Expiration Date/Strike Price Value
....................................................................................................
$1,100,000 Japanese Government
Bond Future Contracts
(Call) Aug. 99/110 JPY $1,753,452
....................................................................................................
1,200,000 Japanese Government
Bond Future Contracts
(Call) Aug. 99/124 JPY 557,586
- ----------------------------------------------------------------------------------------------------
Total Purchased Options Outstanding
(cost $3,053,913) $2,311,038
- ----------------------------------------------------------------------------------------------------
WARRANTS (--%) (a) (NON)
- ----------------------------------------------------------------------------------------------------
Number of Warrants Expiration Date Value
....................................................................................................
70 Bestel S.A. (Mexico) 5/15/05 $140
....................................................................................................
70 Birch Telecommunications, Inc.
144A 6/15/08 350
....................................................................................................
275 Cellnet Data Systems, Inc. 10/1/07 6,325
....................................................................................................
40 Club Regina, Inc. 144A 12/1/04 40
....................................................................................................
225 Colt Telecommunications
Group PLC 12/31/06 90,000
....................................................................................................
607 Consorcio Ecuatoriano
144A (Ecuador) 10/1/00 61
....................................................................................................
1,110 Diva Systems Corp. 3/1/08 13,320
....................................................................................................
2,150 DTI Holdings Inc. 3/1/08 22
....................................................................................................
1,020 EOP Operating Ltd. Partnership 61
....................................................................................................
70 Epic Resorts 6/15/05 1
....................................................................................................
175 Esat Holdings, Inc. (Ireland) 2/1/07 12,425
....................................................................................................
300 Firstworld Communication 4/15/08 15,000
....................................................................................................
80 Globalstar Telecommunications 2/15/04 4,400
....................................................................................................
425 Hyperion Telecommunications
144A 4/15/01 32,566
....................................................................................................
150 KMC Telecom Holdings, Inc. 4/15/08 450
....................................................................................................
210 Knology Holdings, Inc. 144A 10/15/07 473
....................................................................................................
50 Long Distance International, Inc.
144A 4/13/08 100
....................................................................................................
10 McCaw International Ltd. 4/15/07 40
....................................................................................................
80 Mediq Inc. 144A 6/1/09 1
....................................................................................................
20 MGC Communications, Inc.
144A 10/1/04 2,320
....................................................................................................
40 Onepoint Communications, Inc. 6/1/08 40
....................................................................................................
90 Orbital Imaging Corp. 144A 3/1/05 2,700
....................................................................................................
120 Orion Network Systems 1/15/07 1,410
....................................................................................................
140 Pathnet, Inc. 144A 4/15/08 1,400
....................................................................................................
1,920 Powertel, Inc. 2/1/06 7,680
....................................................................................................
800 Rhythms Netcon 144A 5/15/08 134,512
....................................................................................................
80 Startec Global
Communications Corp. 5/15/08 80
....................................................................................................
110 Telehub Communications Corp. 7/31/05 3,300
....................................................................................................
150 UIH Australia/Pacific, Inc. 144A 5/15/06 300
....................................................................................................
110 Versatel Telecom 144A 5/15/08 5,500
- ----------------------------------------------------------------------------------------------------
Total Warrants (cost $105,555) $335,017
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (--%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
600 Chancellor Media Corp. $3.00
cv. cum. pfd. $66,075
....................................................................................................
515 Chesapeake Energy Corp. 144A $3.50
cv. cum. pfd. 12,553
- ----------------------------------------------------------------------------------------------------
Total Convertible Preferred Stocks
(cost $89,076) $78,628
- ----------------------------------------------------------------------------------------------------
UNITS (0.1%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Units Value
....................................................................................................
130 Network Plus Corp. units 13 1/4s, 2009 $132,925
....................................................................................................
2,800 Pohang Iron & Steel Co. Ltd. Structured
Note (issued by Merrill Lynch & Co., Inc.)
3.00%, 2000 337,932
....................................................................................................
65,792 Pohang Iron & Steel Company, Ltd. Structured
Note (issued by UBS AG), 3.00%, 2000 96,425
- ----------------------------------------------------------------------------------------------------
Total Units (cost $427,383) 567,282
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (--%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$70,000 HEALTHSOUTH Corp. cv. sub. deb.
3 1/4s, 2003 $58,538
....................................................................................................
50,000 Integrated Device Technology, Inc.
cv. sub. notes 5 1/2s, 2002 40,500
- ----------------------------------------------------------------------------------------------------
Total Convertible Bonds and Notes
(cost $102,351) $99,038
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (4.0%) (a) (cost $39,681,000)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$39,681,000 Interest in $402,952,000 joint repurchase
agreement dated June 30, 1999 with
Merrill Lynch, Pierce, Fenner & Smith, Inc.
due July 1, 1999 with respect to various
U.S. Treasury obligations -- maturity
value of $39,686,181 for an effective
yield of 4.70% $39,681,000
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $863,035,207) (b) $991,869,932
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Buy at June 30, 1999 (Unaudited)
(aggregate face value $109,807,498)
- ----------------------------------------------------------------------------------------------------
<CAPTION>
Unrealized
Market Aggregate Delivery Appreciation/
Value Face Value Date (Depreciation)
....................................................................................................
<S> <C> <C> <C> <C>
Australian Dollars $366,274 $358,262 9/15/99 $8,012
....................................................................................................
British Pounds 4,663,190 4,735,983 9/15/99 (72,793)
....................................................................................................
Danish Krone 752,141 757,151 9/15/99 (5,010)
....................................................................................................
Euro Dollar 15,945,964 16,062,493 9/15/99 (116,529)
....................................................................................................
Greece 122,485 96,771 9/15/99 25,714
....................................................................................................
Japanese Yen 64,893,239 66,165,913 9/16/99 (1,272,674)
....................................................................................................
New Zealand Dollar 170,704 168,160 9/15/99 2,544
....................................................................................................
Norwegian Krone 412,319 408,176 9/15/99 4,143
....................................................................................................
Swedish Krona 19,177,737 18,710,325 9/15/99 467,412
....................................................................................................
Swiss Franc 2,328,311 2,344,264 9/15/99 (15,953)
- ----------------------------------------------------------------------------------------------------
$(975,134)
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell at June 30, 1999 (Unaudited)
(aggregate face value $173,424,630)
- ----------------------------------------------------------------------------------------------------
Unrealized
Market Aggregate Delivery Appreciation/
Value Face Value Date (Depreciation)
....................................................................................................
Australian Dollars $6,354,813 $6,235,933 9/15/99 $(118,880)
....................................................................................................
British Pounds 16,460,116 16,539,028 9/15/99 78,912
....................................................................................................
Canadian Dollar 11,742,742 11,687,544 9/15/99 (55,198)
....................................................................................................
Danish Krone 352,211 354,557 9/15/99 2,346
....................................................................................................
Euro Dollar 81,279,508 81,434,956 9/15/99 155,448
....................................................................................................
Greece 3,027,730 3,000,253 9/15/99 (27,477)
....................................................................................................
Japanese Yen 37,361,919 38,075,984 9/16/99 714,065
....................................................................................................
New Zealand Dollar 1,767,160 1,748,856 9/15/99 (18,304)
....................................................................................................
Swedish Krona 8,779,765 8,576,215 9/15/99 (203,550)
....................................................................................................
Swiss Franc 5,716,428 5,771,305 9/15/99 54,877
- ----------------------------------------------------------------------------------------------------
$582,239
- ----------------------------------------------------------------------------------------------------
Futures Contracts Outstanding at June 30, 1999 (Unaudited)
- ----------------------------------------------------------------------------------------------------
Unrealized
Total Aggregate Expiration Appreciation/
Value Face Value Date (Depreciation)
....................................................................................................
ASX Index (Short) $842,007 $832,219 Sep-99 $(9,788)
....................................................................................................
CAC40 Index (Short) 8,133,223 7,954,052 Jul-99 (179,171)
....................................................................................................
DAX Index (Short) 2,508,249 2,551,981 Sep-99 43,732
....................................................................................................
Euro Bond 10 Yr
(Long) 4,111,889 4,358,436 Sep-99 (246,547)
....................................................................................................
Euro Bond 10 Yr
(Short) 14,620,051 14,721,612 Sep-99 101,561
....................................................................................................
Euro Euribor (Long) 17,606,802 18,164,666 Sep-99 (557,864)
....................................................................................................
FT-SE 100 Index
(Short) 16,618,720 17,159,137 Sep-99 540,417
....................................................................................................
Gilt (Short) 7,022,325 7,260,188 Sep-99 237,863
....................................................................................................
Japanese Government
Bonds (Long) 24,565,027 25,398,630 Sep-99 (833,603)
....................................................................................................
Municipal Bond Index
(Short) 181,001 185,413 Sep-99 4,412
....................................................................................................
NASDAQ 100
(Short) 28,623,330 25,839,889 Sep-99 (2,783,441)
....................................................................................................
Nikkei 225 SMX
(Long) 1,015,709 1,013,054 Sep-99 2,655
....................................................................................................
Russell 2000 (Short) 25,641,000 24,811,675 Sep-99 (829,325)
....................................................................................................
S&P 500 Index
(Short) 56,304,275 53,898,572 Sep-99 (2,405,703)
....................................................................................................
U.S. Treasury Note
10 Yr (Long) 16,566,938 16,773,945 Sep-99 (207,007)
- ----------------------------------------------------------------------------------------------------
$(7,121,809)
- ----------------------------------------------------------------------------------------------------
TBA Sale Commitments at June 30, 1999 (Unaudited)
(Proceeds receivable $945,369)
- ----------------------------------------------------------------------------------------------------
Principal Settlement Market
Agency Amount Date Value
....................................................................................................
FNMA 7s, July 2014 $945,000 7/19/99 $945,378
- ----------------------------------------------------------------------------------------------------
Diversification by Country
- ----------------------------------------------------------------------------------------------------
Distribution of investments by country of issue at
June 30, 1999: (as percentage of Market Value)
- ----------------------------------------------------------------------------------------------------
Canada 1.9%
....................................................................................................
France 2.6
....................................................................................................
Germany 2.4
....................................................................................................
Italy 1.3
....................................................................................................
Japan 1.8
....................................................................................................
Netherlands 0.9
....................................................................................................
Sweden 1.4
....................................................................................................
United Kingdom 2.8
....................................................................................................
United States 81.3
....................................................................................................
Other 3.6
- ----------------------------------------------------------------------------------------------------
Total 100.0%
- ----------------------------------------------------------------------------------------------------
See page 124 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT Global Growth Fund
Portfolio of investments owned
June 30, 1999 (Unaudited)
<CAPTION>
COMMON STOCKS (98.4%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Aerospace and Defense (0.3%)
....................................................................................................
542,800 Smiths Industries PLC (United Kingdom) $7,174,153
- ----------------------------------------------------------------------------------------------------
Automotive (1.3%)
....................................................................................................
160,233 DaimlerChrysler AG (Germany) 13,923,927
....................................................................................................
50 Telco (Tata Engineering and
Locomotive Co., Ltd.) (India) 237
....................................................................................................
157,700 Valeo S.A. (France) 13,051,252
- ----------------------------------------------------------------------------------------------------
26,975,416
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (--%)
....................................................................................................
274 Larsen & Toubro Ltd. GDR (India) 1,813
- ----------------------------------------------------------------------------------------------------
Broadcasting (3.8%)
....................................................................................................
428,412 AT&T Corp.-Liberty Media, Class A 15,744,141
....................................................................................................
58,900 Clear Channel Communications, Inc. (NON) 4,060,419
....................................................................................................
120,400 Comcast Corp. Class A (NON) 4,627,875
....................................................................................................
8,159 EM TV & Merchandising AG (Germany) 11,521,263
....................................................................................................
358,500 Granada Group PLC (United Kingdom) 6,655,066
....................................................................................................
178,400 Grupo Televisa S.A. GDR (Mexico) 7,994,550
....................................................................................................
1,323,400 Mediaset SPA (Italy) 11,801,274
....................................................................................................
70,741 Television Francaise I (TF1) (France) 16,539,034
- ----------------------------------------------------------------------------------------------------
78,943,622
- ----------------------------------------------------------------------------------------------------
Building and Construction (0.3%)
....................................................................................................
410,282 CRH PLC (Ireland) 7,300,312
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (2.7%)
....................................................................................................
111,400 Hewlett-Packard Co. 11,195,700
....................................................................................................
138,700 Pitney Bowes, Inc. 8,911,475
....................................................................................................
643,460 Securitas AB (Sweden) 9,664,075
....................................................................................................
370,240 Securitas AB Class B, (Sweden) 5,560,605
....................................................................................................
177,610 Sidel S.A. (France) 21,662,657
- ----------------------------------------------------------------------------------------------------
56,994,512
- ----------------------------------------------------------------------------------------------------
Cable Television (0.6%)
....................................................................................................
178,500 MediaOne Group Inc. (NON) 13,275,938
- ----------------------------------------------------------------------------------------------------
Chemicals (0.4%)
....................................................................................................
150,100 Praxair, Inc. 7,345,519
- ----------------------------------------------------------------------------------------------------
Computer Equipment (2.6%)
....................................................................................................
191,600 EMC Corp. (NON) 10,538,000
....................................................................................................
232,000 IBM Corp. 29,986,000
....................................................................................................
34,400 Lexmark International Group, Inc. Class A 2,272,550
....................................................................................................
172,700 Sun Microsystems, Inc. 11,894,713
- ----------------------------------------------------------------------------------------------------
54,691,263
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (9.5%)
....................................................................................................
130,800 Apple Computer, Inc. (NON) 6,057,675
....................................................................................................
148,340 Cap Gemini S.A. (France) 23,386,958
....................................................................................................
27,400 CMG Information Services, Inc. 3,125,313
....................................................................................................
471,200 CMG PLC (United Kingdom) 12,336,732
....................................................................................................
69,200 Comverse Technology, Inc. (NON) 5,224,600
....................................................................................................
947,700 Fujitsu Ltd. (Japan) 19,079,368
....................................................................................................
89,000 Fujitsu Support and Services Inc.
144A (Japan) 13,480,612
....................................................................................................
547,700 Microsoft Corp. (NON) 49,395,694
....................................................................................................
2,801,133 Misys PLC (United Kingdom) 23,989,452
....................................................................................................
2,156,400 SEMA Group PLC (United Kingdom) 20,814,573
....................................................................................................
87,700 Softbank Corp. (Japan) 17,772,030
....................................................................................................
131,000 Unisys Corp. 5,100,813
- ----------------------------------------------------------------------------------------------------
199,763,820
- ----------------------------------------------------------------------------------------------------
Conglomerates (3.0%)
....................................................................................................
79,300 Allied-Signal, Inc. 4,995,900
....................................................................................................
30,929 LVMH (Louis Vuitton Moet Hennessy)
(France) 9,083,679
....................................................................................................
30,929 LVMH (Louis Vuitton Moet Hennessy)
Rights (expiration date 9/21/99)
(France) (NON) 907,088
....................................................................................................
305,400 Tyco International Ltd. 28,936,650
....................................................................................................
259,000 United Technologies Corp. 18,567,063
- ----------------------------------------------------------------------------------------------------
62,490,380
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (2.1%)
....................................................................................................
96,100 Colgate-Palmolive Co. 9,489,875
....................................................................................................
213,200 Estee Lauder Cos. Class A 10,686,650
....................................................................................................
217,680 KAO Corp. (Japan) (NON) 6,119,157
....................................................................................................
90,300 Kimberly-Clark Corp. 5,147,100
....................................................................................................
15,569 L'OREAL (France) 10,557,569
....................................................................................................
29,700 Nike, Inc. 1,880,381
- ----------------------------------------------------------------------------------------------------
43,880,732
- ----------------------------------------------------------------------------------------------------
Consumer Services (1.5%)
....................................................................................................
42,300 Amazon.com, Inc. (NON) 5,292,788
....................................................................................................
116,800 America Online, Inc. (NON) 12,906,400
....................................................................................................
153,800 Interpublic Group Cos. Inc. 13,322,925
- ----------------------------------------------------------------------------------------------------
31,522,113
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (7.5%)
....................................................................................................
147,600 Applied Materials, Inc. (NON) 10,903,950
....................................................................................................
234,309 ASM Lithography Holding N.V.
(Netherlands) 13,598,228
....................................................................................................
316,700 General Electric Co. 35,787,100
....................................................................................................
40,700 Honeywell, Inc. 4,716,113
....................................................................................................
226,900 Motorola, Inc. 21,498,775
....................................................................................................
224,000 Murata Manufacturing Co. Ltd. (Japan) 14,741,959
....................................................................................................
46,000 Rohm Co. Ltd. (Japan) 7,207,110
....................................................................................................
90,100 Samsung Electronics Co. (South Korea) 9,885,702
....................................................................................................
21,000 Secom Co. (Japan) (NON) 2,187,681
....................................................................................................
98,800 Solectron Corp. (NON) 6,588,725
....................................................................................................
242,038 STMicroelectronics (France) 16,175,085
....................................................................................................
46,800 Texas Instruments, Inc. 6,786,000
....................................................................................................
97,600 Tokyo Electron Ltd. (Japan) 6,625,019
- ----------------------------------------------------------------------------------------------------
156,701,447
- ----------------------------------------------------------------------------------------------------
Entertainment (1.8%)
....................................................................................................
313,200 Time Warner, Inc. 23,020,200
....................................................................................................
345,500 Viacom, Inc. Class B (NON) 15,202,000
- ----------------------------------------------------------------------------------------------------
38,222,200
- ----------------------------------------------------------------------------------------------------
Food and Beverages (1.2%)
....................................................................................................
271,400 Heineken NV (Netherlands) 13,939,898
....................................................................................................
159,800 Itoen, Ltd. (Japan) 10,701,778
- ----------------------------------------------------------------------------------------------------
24,641,676
- ----------------------------------------------------------------------------------------------------
Hotels (0.3%)
....................................................................................................
28,846 Accor S.A. (France) 7,266,329
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (17.7%)
....................................................................................................
525,759 ABN AMRO Holding N.V. (Netherlands) 11,421,851
....................................................................................................
111,800 AFLAC Inc. 5,352,425
....................................................................................................
110,440 Aiful Corp. (Japan) 13,532,210
....................................................................................................
1,037,630 Alleanza Assicurazioni SPA (Italy) 11,968,725
....................................................................................................
533,698 Allied Irish Banks PLC (Ireland) 7,039,410
....................................................................................................
138,400 American Express Co. 18,009,300
....................................................................................................
78,800 American General Corp. 5,939,550
....................................................................................................
151,700 American International Group, Inc. 17,758,381
....................................................................................................
101,400 Associates First Capital Corp. 4,493,288
....................................................................................................
125,425 Axa S.A. (France) 15,349,681
....................................................................................................
276,600 Banca Popolare di Brescia SpA (Italy) 11,889,229
....................................................................................................
427,300 Banco Comercial Portugues,
S.A. (Portugal) 11,108,512
....................................................................................................
1,200,818 Banco Santander Central Hispano
S.A. (Spain) 12,546,687
....................................................................................................
148,600 Bank of America Corp. 10,894,238
....................................................................................................
499,650 Citigroup, Inc. 23,733,375
....................................................................................................
120,400 Comerica, Inc. 7,156,275
....................................................................................................
725,200 Commonwealth Bank of Australia
(Australia) 11,607,025
....................................................................................................
111,800 Fifth Third Bancorp 7,441,688
....................................................................................................
533,752 Firstar Corp. 14,945,056
....................................................................................................
493,286 Fortis Amev NV (Netherlands) 15,283,616
....................................................................................................
5,018 Julius Baer Holdings AG (Switzerland) 14,369,580
....................................................................................................
1,001,900 Mediolanum SPA (Italy) 7,721,668
....................................................................................................
60,900 Morgan Stanley, Dean Witter,
Discover and Co. 6,242,250
....................................................................................................
3,011,000 Nikko Securities Co. Ltd. (Japan) (NON) 19,442,671
....................................................................................................
1,626,000 Oversea Chinese Banking Corp.
(Singapore) 13,581,882
....................................................................................................
679,000 Royal Bank Of Scotland Group 13,836,271
....................................................................................................
77,900 Schwab (Charles) Corp. 8,559,263
....................................................................................................
15,700 Shohkoh Fund & Co., Ltd. (Japan) 11,267,135
....................................................................................................
545,300 Skandia Forsakrings AB (Sweden) 10,253,394
....................................................................................................
52,800 Takefuji Corp. (Japan) 5,461,166
....................................................................................................
305,800 Toronto-Dominion Bank (Canada) 13,934,159
....................................................................................................
201,500 Wells Fargo Co. 8,614,125
- ----------------------------------------------------------------------------------------------------
370,754,086
- ----------------------------------------------------------------------------------------------------
Networking Equipment (1.3%)
....................................................................................................
419,700 Cisco Systems, Inc. (NON) 27,044,419
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (0.2%)
....................................................................................................
51,800 Bausch & Lomb, Inc. 3,962,700
- ----------------------------------------------------------------------------------------------------
Oil and Gas (2.4%)
....................................................................................................
129,600 Conoco, Inc. 3,612,600
....................................................................................................
103,769 Elf Aquitaine S.A. (France) 15,275,767
....................................................................................................
153,100 Enron Corp. 12,515,925
....................................................................................................
232,400 Exxon Corp. 17,923,850
- ----------------------------------------------------------------------------------------------------
49,328,142
- ----------------------------------------------------------------------------------------------------
Packaging and Containers (0.2%)
....................................................................................................
63,400 Sealed Air Corp. 4,113,075
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (7.2%)
....................................................................................................
26,800 Allergan, Inc. 2,974,800
....................................................................................................
150,300 American Home Products Corp. 8,642,250
....................................................................................................
99,500 Amgen Inc. (NON) 6,057,063
....................................................................................................
107,400 Biogen, Inc. (NON) 6,907,163
....................................................................................................
538,900 Elan Corp. PLC ADR (Ireland) 14,954,475
....................................................................................................
33,800 Immunex Corp. (NON) 4,307,388
....................................................................................................
119,800 Johnson & Johnson 11,740,400
....................................................................................................
189,100 Pharmacia & Upjohn, Inc. 10,743,244
....................................................................................................
397,629 Sanofi-Synthelabo SA (France) 16,926,929
....................................................................................................
388,000 Schering-Plough Corp. 20,564,000
....................................................................................................
373,000 Takeda Chemical Industries (Japan) 17,300,785
....................................................................................................
208,050 Warner-Lambert Co. 14,433,469
....................................................................................................
369,000 Yamanouchi Pharmaceutical Co., Ltd.
(Japan) 14,125,424
- ----------------------------------------------------------------------------------------------------
149,677,390
- ----------------------------------------------------------------------------------------------------
Retail (9.1%)
....................................................................................................
88,600 Best Buy Co., Inc. (NON) 5,980,500
....................................................................................................
42,756 Castorama Dubois (France) 10,173,149
....................................................................................................
3,128,282 Coles Myer Ltd. (Australia) (NON) 18,299,652
....................................................................................................
195,000 Costco Companies, Inc. (NON) 15,612,188
....................................................................................................
170,500 CVS Corp. 8,652,875
....................................................................................................
1,044,700 Dixons Group PLC (United Kingdom) 19,525,255
....................................................................................................
192,450 Gap, Inc. (The) (NON) 9,694,669
....................................................................................................
458,212 Hennes & Mauritz AB Class B, (Sweden) 11,379,437
....................................................................................................
251,200 Home Depot, Inc. (The) 16,186,700
....................................................................................................
1,010,000 Next Ord (United Kingdom) 12,273,849
....................................................................................................
150,200 Safeway, Inc. (NON) 7,434,900
....................................................................................................
92,000 Seven-Eleven Japan Co., Ltd. (Japan) 9,021,248
....................................................................................................
363,800 TJX Cos., Inc. (The) 12,119,088
....................................................................................................
542,600 Wal-Mart Stores, Inc. 26,180,450
....................................................................................................
294,500 Walgreen Co. 8,650,938
- ----------------------------------------------------------------------------------------------------
191,184,898
- ----------------------------------------------------------------------------------------------------
Telecommunications (19.0%)
....................................................................................................
1,371,700 British Telecommunications PLC ADR
(United Kingdom) 22,997,423
....................................................................................................
4,857,200 China Telecom Ltd. (Hong Kong) 13,491,874
....................................................................................................
1,088,900 Colt Telecom Group PLC
(United Kingdom) 22,858,768
....................................................................................................
312,600 Energis PLC ADR (United Kingdom) 7,459,585
....................................................................................................
54,000 Energis PLC (United Kingdom) 1,288,604
....................................................................................................
213,260 Equant N.V. (Netherlands) 19,723,202
....................................................................................................
96,900 Global Telesystems Group, Inc. (NON) 7,518,229
....................................................................................................
24,500 Hikari Tsushin, Inc. (Japan) 7,575,858
....................................................................................................
370,800 Korea Telecom Corp. (South Korea) (NON) 14,832,000
....................................................................................................
98,950 Libertel NV (Netherlands) 1,944,912
....................................................................................................
387,700 Lucent Technologies, Inc. 26,145,519
....................................................................................................
160,241 Mannesmann AG (Germany) 23,986,820
....................................................................................................
145,000 Matsushita Communication Industrial
Co., Ltd. (Japan) 10,369,988
....................................................................................................
218,800 MCI WorldCom, Inc. (NON) 18,830,475
....................................................................................................
291,700 Nortel Networks Corp. (Canada) 25,089,904
....................................................................................................
540 NTT Mobile Communications (Japan) 7,232,741
....................................................................................................
65 NTT Mobile Communications (Japan) 881,356
....................................................................................................
1,254,300 Orange PLC ADR (United Kingdom) 18,398,022
....................................................................................................
615,096 Oy Nokia AB Class A (Finland) 54,086,929
....................................................................................................
96,800 QUALCOMM, Inc. (NON) 13,890,800
....................................................................................................
17,300 Qwest Communications
International, Inc. (NON) 571,981
....................................................................................................
78,100 Tele Centro Sul Participacoes S.A. (Brazil) 4,334,550
....................................................................................................
250,000 Telesp Celular Participacoes S.A.
ADR (Brazil) 6,687,500
....................................................................................................
5,807,300 Telewest Communications PLC
(United Kingdom) 26,058,133
....................................................................................................
133,400 Tellabs, Inc. (NON) 9,012,838
....................................................................................................
42,200 Vodafone AirTouch PLC
(United Kingdom) 8,313,400
....................................................................................................
1,256,850 Vodafone Group PLC (United Kingdom) 24,778,798
- ----------------------------------------------------------------------------------------------------
398,360,209
- ----------------------------------------------------------------------------------------------------
Transportation (0.7%)
....................................................................................................
741,000 Cathay Pacific Airways (Hong Kong) 1,136,591
....................................................................................................
119,000 FDX Corp. 6,455,750
....................................................................................................
482,000 Singapore Airlines Ltd. (Singapore) 4,593,176
....................................................................................................
60,500 Union Pacific Corp. 3,527,906
- ----------------------------------------------------------------------------------------------------
15,713,423
- ----------------------------------------------------------------------------------------------------
Telephone Services (1.7%)
....................................................................................................
216,200 SBC Communications, Inc. 12,539,600
....................................................................................................
348,200 Sprint Corp. 18,389,313
....................................................................................................
84,400 Sprint PCS 4,822,354
- ----------------------------------------------------------------------------------------------------
35,751,267
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $1,724,429,833) $2,063,080,854
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (1.2%) (a) (cost $25,892,000)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$25,892,000 Interest in $487,755,000 joint repurchase
agreement dated June 30, 1999 with
Warburg Securities Inc. due July 1, 1999
with respect to various U.S. Treasury
obligations -- maturity value of
$28,895,452 for an effective yield
of 4.80% $25,892,000
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $1,750,321,833) (b) $2,088,972,854
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell at June 30, 1999 (Unaudited)
(aggregate face value $53,041,452)
- ----------------------------------------------------------------------------------------------------
<CAPTION>
Market Aggregate Delivery Unrealized
Value Face Value Date Appreciation
....................................................................................................
<S> <C> <C> <C> <C>
British Pounds $52,419,565 $53,041,452 8/27/99 $621,887
- ----------------------------------------------------------------------------------------------------
Diversification by Country (Unaudited)
- ----------------------------------------------------------------------------------------------------
Distribution of investments by country of issue at June 30, 1999:
(as a percentage of Market Value)
- ----------------------------------------------------------------------------------------------------
Australia 1.4%
....................................................................................................
Canada 1.9
....................................................................................................
Finland 2.6
....................................................................................................
France 8.4
....................................................................................................
Germany 2.4
....................................................................................................
Ireland 1.4
....................................................................................................
Italy 2.1
....................................................................................................
Japan 10.3
....................................................................................................
Netherlands 3.6
....................................................................................................
South Korea 1.2
....................................................................................................
Sweden 1.8
....................................................................................................
United Kingdom 10.1
....................................................................................................
United States 48.5
....................................................................................................
Other 4.3
- ----------------------------------------------------------------------------------------------------
Total 100%
- ----------------------------------------------------------------------------------------------------
See page 124 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT Growth and Income Fund
Portfolio of investments owned
June 30, 1999 (Unaudited)
<CAPTION>
COMMON STOCKS (98.4%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Aerospace and Defense (3.1%)
....................................................................................................
2,948,700 Boeing Co. $130,295,681
....................................................................................................
979,500 Lockheed Martin Corp. 36,486,375
....................................................................................................
515,000 Raytheon Co. Class A 35,470,625
....................................................................................................
529,100 Raytheon Co. Class B 37,235,413
....................................................................................................
1,428,300 United Technologies Corp. 102,391,256
- ----------------------------------------------------------------------------------------------------
341,879,350
- ----------------------------------------------------------------------------------------------------
Automotive (2.1%)
....................................................................................................
552,344 Delphi Automotive Systems Corp. 10,252,886
....................................................................................................
2,146,000 Ford Motor Co. 121,114,875
....................................................................................................
1,557,600 General Motors Corp. 102,801,600
- ----------------------------------------------------------------------------------------------------
234,169,361
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (2.4%)
....................................................................................................
583,656 Caterpillar, Inc. 35,019,360
....................................................................................................
980,670 Cooper Industries, Inc. 50,994,840
....................................................................................................
993,362 Deere (John) & Co. 39,361,969
....................................................................................................
1,207,215 Minnesota Mining & Manufacturing Co. 104,952,254
....................................................................................................
975,000 Owens-Illinois, Inc. (NON) 31,870,313
- ----------------------------------------------------------------------------------------------------
262,198,736
- ----------------------------------------------------------------------------------------------------
Broadcasting (0.2%)
....................................................................................................
670,000 Comcast Corp. Class A 25,753,125
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (1.0%)
....................................................................................................
100,700 Hewlett-Packard Co. 10,120,350
....................................................................................................
1,769,298 Xerox Corp. 104,499,163
- ----------------------------------------------------------------------------------------------------
114,619,513
- ----------------------------------------------------------------------------------------------------
Chemicals (3.7%)
....................................................................................................
534,800 Avery Dennison Corp. 32,288,550
....................................................................................................
944,300 Dow Chemical Co. 119,808,063
....................................................................................................
2,245,080 du Pont (E.I.) de Nemours & Co., Ltd. 153,367,028
....................................................................................................
498,000 Eastman Chemical Co. 25,771,500
....................................................................................................
550,586 PPG Industries, Inc. 32,518,986
....................................................................................................
425,000 Union Carbide Corp. 20,718,750
....................................................................................................
692,588 Witco Chemical Corp. 13,851,760
- ----------------------------------------------------------------------------------------------------
398,324,637
- ----------------------------------------------------------------------------------------------------
Computer Equipment (1.0%)
....................................................................................................
350,000 Apple Computer, Inc. 16,209,375
....................................................................................................
428,000 Compaq Computer Corp. 10,138,250
....................................................................................................
750,000 NCR Corp. (NON) 36,609,375
....................................................................................................
1,653,600 Seagate Technology, Inc. (NON) 42,373,500
- ----------------------------------------------------------------------------------------------------
105,330,500
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (3.1%)
....................................................................................................
1,235,000 Computer Associates International, Inc. 67,925,000
....................................................................................................
1,413,700 Electronic Data Systems Corp. 79,962,406
....................................................................................................
1,470,416 IBM Corp. 190,051,268
- ----------------------------------------------------------------------------------------------------
337,938,674
- ----------------------------------------------------------------------------------------------------
Conglomerates (1.0%)
....................................................................................................
1,549,200 Allied-Signal, Inc. 97,599,600
....................................................................................................
350,000 Ogden Corp. 9,428,125
- ----------------------------------------------------------------------------------------------------
107,027,725
- ----------------------------------------------------------------------------------------------------
Consumer Durable Goods (0.4%)
....................................................................................................
845,000 Newell Rubbermaid Inc. 39,292,500
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (2.3%)
....................................................................................................
142,800 Colgate-Palmolive Co. 14,101,500
....................................................................................................
1,755,401 Kimberly-Clark Corp. 100,057,857
....................................................................................................
2,856,137 Philip Morris Cos., Inc. 114,781,006
....................................................................................................
575,000 R.J. Reynolds Tobacco Holdings, Inc. 18,112,500
- ----------------------------------------------------------------------------------------------------
247,052,863
- ----------------------------------------------------------------------------------------------------
Consumer Services (0.2%)
....................................................................................................
1,400,000 Service Corp. International 26,950,000
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (3.4%)
....................................................................................................
1,565,500 Emerson Electric Co. 98,430,813
....................................................................................................
675,000 General Electric Co. 76,275,000
....................................................................................................
382,100 Illinois Tool Works, Inc. 31,332,200
....................................................................................................
1,595,300 Motorola, Inc. 151,154,675
....................................................................................................
213,800 Rockwell International Corp. 12,988,350
- ----------------------------------------------------------------------------------------------------
370,181,038
- ----------------------------------------------------------------------------------------------------
Entertainment (1.0%)
....................................................................................................
1,265,000 Disney (Walt) Productions, Inc. 38,977,813
....................................................................................................
1,529,172 Viacom, Inc. Class B (NON) 67,283,568
- ----------------------------------------------------------------------------------------------------
106,261,381
- ----------------------------------------------------------------------------------------------------
Environmental Control (0.2%)
....................................................................................................
503,413 Waste Management, Inc. 27,058,449
- ----------------------------------------------------------------------------------------------------
Food and Beverages (5.4%)
....................................................................................................
1,265,688 Anheuser-Busch Cos., Inc. 89,784,743
....................................................................................................
1,050,000 ConAgra, Inc. 27,956,250
....................................................................................................
1,804,630 Heinz (H.J.) Co. 90,457,079
....................................................................................................
1,588,200 Kellogg Co. 52,410,600
....................................................................................................
2,859,000 Nabisco Group Holdings Corp. 55,929,187
....................................................................................................
520,600 Nabisco Holdings Corp. Class A 22,515,950
....................................................................................................
1,219,800 Ralston-Ralston Purina Group 37,127,663
....................................................................................................
3,796,362 Sara Lee Corp. 86,129,963
....................................................................................................
972,200 Seagram Co., Ltd. 48,974,575
....................................................................................................
463,600 SYSCO Corp. 13,821,075
....................................................................................................
1,009,300 The Quaker Oats Co. 66,992,288
- ----------------------------------------------------------------------------------------------------
592,099,373
- ----------------------------------------------------------------------------------------------------
Health Care (0.5%)
....................................................................................................
2,639,800 Tenet Healthcare Corp. (NON) 49,001,288
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (23.3%)
....................................................................................................
310,000 Aetna Inc. 27,725,625
....................................................................................................
1,801,000 Allstate Corp. 64,610,875
....................................................................................................
1,677,087 American General Corp. 126,410,433
....................................................................................................
1,865,835 AON Corp. 76,965,694
....................................................................................................
2,903,027 Bank of America Corp. 212,828,167
....................................................................................................
3,042,689 Bank One Corp. 181,230,164
....................................................................................................
1,912,000 BankBoston Corp. 97,751,000
....................................................................................................
850,000 Chase Manhattan Corp. 73,631,250
....................................................................................................
1,473,142 CIGNA Corp. 131,109,638
....................................................................................................
5,286,350 Citigroup, Inc. 251,101,625
....................................................................................................
1,312,709 Fannie Mae 89,756,478
....................................................................................................
140,800 First Amercian Corp. 5,852,000
....................................................................................................
950,500 First Union Corp. 44,673,500
....................................................................................................
892,100 Fleet Financial Group, Inc. 39,586,938
....................................................................................................
474,700 Hartford Financial Services Group
(ITT) 27,680,944
....................................................................................................
381,820 Huntington Bancshares, Inc. 13,363,700
....................................................................................................
600,000 Lehman Brothers Holding, Inc. 37,350,000
....................................................................................................
1,005,100 Lincoln National Corp. 52,579,294
....................................................................................................
800,000 Mercantile Bancorp., Inc. 45,700,000
....................................................................................................
1,201,500 Merrill Lynch & Co., Inc. 96,044,906
....................................................................................................
781,959 Morgan (J.P.) & Co., Inc. 109,865,240
....................................................................................................
512,200 National City Corp. 33,549,100
....................................................................................................
415,000 Paine Webber Group Inc. 19,401,250
....................................................................................................
1,762,800 PNC Bank Corp. 101,581,350
....................................................................................................
1,175,000 St. Paul Cos., Inc. 37,379,688
....................................................................................................
210,826 Summit Bancorp 8,815,162
....................................................................................................
642,500 SunTrust Banks, Inc. 44,613,594
....................................................................................................
350,000 Synovus Financial Corp. 6,956,250
....................................................................................................
1,213,200 The Chubb Corp. 84,317,400
....................................................................................................
475,000 The Equitable Cos., Inc. 31,825,000
....................................................................................................
2,781,300 U.S. Bancorp 94,564,200
....................................................................................................
330,800 UNUM Corp. 18,111,300
....................................................................................................
3,522,100 Washington Mutual, Inc. 124,594,288
....................................................................................................
2,771,900 Wells Fargo Co. 118,498,725
- ----------------------------------------------------------------------------------------------------
2,530,024,778
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (0.7%)
....................................................................................................
1,311,538 Baxter International, Inc. 79,511,991
- ----------------------------------------------------------------------------------------------------
Metals and Mining (0.9%)
....................................................................................................
1,078,300 Alcoa Inc. 66,719,813
....................................................................................................
900,000 Freeport-McMoRan Copper &
Gold Co., Inc. Class A 15,075,000
....................................................................................................
610,000 Freeport-McMoRan Copper &
Gold Co., Inc. Class B 10,941,875
- ----------------------------------------------------------------------------------------------------
92,736,688
- ----------------------------------------------------------------------------------------------------
Oil and Gas (11.1%)
....................................................................................................
997,178 Atlantic Richfield Co. 83,326,687
....................................................................................................
529,996 BP Amoco PLC ADR (United Kingdom) 57,504,566
....................................................................................................
1,108,300 Chevron, Inc. 105,496,306
....................................................................................................
1,291,400 Conoco, Inc. 35,997,775
....................................................................................................
325,000 Elf Aquitane ADR (France) 23,907,813
....................................................................................................
482,300 Enron Corp. 39,428,025
....................................................................................................
2,708,668 Exxon Corp. 208,906,020
....................................................................................................
1,425,600 Halliburton Co. 64,508,400
....................................................................................................
1,208,444 Mobil Corp. 119,635,956
....................................................................................................
1,550,000 Occidental Petroleum Corp. 32,743,750
....................................................................................................
2,962,500 Royal Dutch Petroleum Co. PLC ADR
(Netherlands) 178,490,625
....................................................................................................
1,257,600 Schlumberger Ltd. 80,093,400
....................................................................................................
1,613,100 Sonat, Inc. 53,433,938
....................................................................................................
1,027,400 Tosco Corp. 26,648,188
....................................................................................................
2,155,600 Williams Cos., Inc. 91,747,725
- ----------------------------------------------------------------------------------------------------
1,201,869,174
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (1.7%)
....................................................................................................
365,000 Champion International Corp. 17,474,375
....................................................................................................
612,000 International Paper Co. 30,906,000
....................................................................................................
205,000 Temple Inland, Inc. 13,991,250
....................................................................................................
1,776,976 Weyerhaeuser Co. 122,167,100
- ----------------------------------------------------------------------------------------------------
184,538,725
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (6.0%)
....................................................................................................
2,686,238 American Home Products Corp. 154,458,685
....................................................................................................
2,093,194 Bristol-Myers Squibb Co. 147,439,352
....................................................................................................
1,271,466 Merck & Co., Inc. 94,088,484
....................................................................................................
1,989,100 Monsanto Co. 78,445,131
....................................................................................................
3,176,387 Pharmacia & Upjohn, Inc. 180,458,486
- ----------------------------------------------------------------------------------------------------
654,890,138
- ----------------------------------------------------------------------------------------------------
Photography (0.8%)
....................................................................................................
1,250,383 Eastman Kodak Co. 84,713,448
- ----------------------------------------------------------------------------------------------------
Publishing (1.3%)
....................................................................................................
954,000 McGraw-Hill, Inc. 51,456,375
....................................................................................................
920,000 Times Mirror Co. Class A 54,510,000
....................................................................................................
420,800 Tribune Co. 36,662,200
- ----------------------------------------------------------------------------------------------------
142,628,575
- ----------------------------------------------------------------------------------------------------
Real Estate (0.6%)
....................................................................................................
700,000 Equity Residential Properties Trust (R) 31,543,750
....................................................................................................
1,025,000 Starwood Hotels & Resorts
Worldwide, Inc. 31,326,563
- ----------------------------------------------------------------------------------------------------
62,870,313
- ----------------------------------------------------------------------------------------------------
Retail (4.3%)
....................................................................................................
545,000 Albertsons, Inc. 28,101,563
....................................................................................................
500,000 Dayton Hudson Corp. 32,500,000
....................................................................................................
1,877,600 Federated Department Stores, Inc. 99,395,450
....................................................................................................
4,620,047 K mart Corp. (NON) 75,942,023
....................................................................................................
1,508,135 May Department Stores Co. 61,645,018
....................................................................................................
490,575 Penney (J.C.) Co., Inc. 23,823,548
....................................................................................................
3,565,600 Rite Aid Corp. 87,802,900
....................................................................................................
1,332,100 Sears, Roebuck & Co. 59,361,706
- ----------------------------------------------------------------------------------------------------
468,572,208
- ----------------------------------------------------------------------------------------------------
Specialty Consumer Products (0.8%)
....................................................................................................
3,301,232 Mattel, Inc. 87,276,321
- ----------------------------------------------------------------------------------------------------
Telecommunications (2.5%)
....................................................................................................
1,710,100 GTE Corp. 129,540,075
....................................................................................................
548,100 MediaOne Group Inc. (NON) 40,764,938
....................................................................................................
569,500 Nortel Networks Corp. (Canada) 49,439,719
....................................................................................................
826,800 U S West, Inc. 48,574,500
- ----------------------------------------------------------------------------------------------------
268,319,232
- ----------------------------------------------------------------------------------------------------
Transportation (2.1%)
....................................................................................................
451,800 AMR Corp. 30,835,350
....................................................................................................
3,034,400 Burlington Northern Santa Fe Corp. 94,066,400
....................................................................................................
920,000 Delta Air Lines, Inc. 53,015,000
....................................................................................................
900,000 Norfolk Southern Corp. 27,112,500
....................................................................................................
347,500 UAL Corp. 22,587,500
- ----------------------------------------------------------------------------------------------------
227,616,750
- ----------------------------------------------------------------------------------------------------
Utilities (11.3%)
....................................................................................................
2,910,116 American Telephone & Telegraph Co. 162,420,849
....................................................................................................
1,653,900 Ameritech Corp. 121,561,650
....................................................................................................
2,474,000 Bell Atlantic Corp. 161,737,750
....................................................................................................
1,443,300 Consolidated Edison, Inc. 65,309,325
....................................................................................................
809,300 Dominion Resources, Inc. 35,052,806
....................................................................................................
1,823,300 Duke Energy Corp. 99,141,938
....................................................................................................
1,237,500 Edison International 33,103,125
....................................................................................................
1,915,000 Entergy Corp. 59,843,750
....................................................................................................
500,700 FirstEnergy Corp. 15,521,700
....................................................................................................
170,200 FPL Group, Inc. 9,297,175
....................................................................................................
665,000 Public Service Enterprise Group, Inc. 27,181,875
....................................................................................................
665,700 Reliant Energy, Inc. 18,389,963
....................................................................................................
2,985,738 SBC Communications, Inc. 173,172,804
....................................................................................................
1,300,000 Sempra Energy 29,412,500
....................................................................................................
2,256,000 Southern Co. 59,784,000
....................................................................................................
2,000,618 Sprint Corp. 105,657,638
....................................................................................................
1,391,000 Texas Utilities Co. 57,378,766
- ----------------------------------------------------------------------------------------------------
1,233,967,614
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $8,415,622,163) $10,704,674,468
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.2%) (a)
(cost $17,885,064)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
310,000 K mart Financing I $3.875 cum. cv. pfd. $18,057,500
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (1.2%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$20,000,000 Metlife Funding Inc. effective yield of
4.95%, July 14, 1999 $19,964,250
....................................................................................................
25,000,000 Sheffield Receivables Corp. effective
yield of 5.05%, July 16, 1999 24,947,396
....................................................................................................
23,000,000 Sigma Finance Inc. effective yield of
4.82%, July 15, 1999 22,956,888
....................................................................................................
25,000,000 Windmill Funding Corp. effective
yield of 4.82%, July 15, 1999 24,953,139
....................................................................................................
38,652,000 Interest in $402,952,000 joint repurchase
agreement dated June 30, 1999 with
Merrill Lynch, Pierce, Fenner & Smith, Inc.
due July 1, 1999 with respect to various
U.S. Treasury obligations -- maturity
value of $38,657,046 for an effective
yield of 4.70% 38,652,000
- ----------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $131,473,673) $131,473,673
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $8,564,980,900) (b) $10,854,205,641
- ----------------------------------------------------------------------------------------------------
See page 124 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT Health Sciences Fund
Portfolio of investments owned
June 30, 1999 (Unaudited)
<CAPTION>
COMMON STOCKS (95.4%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Biotechnology (7.4%)
....................................................................................................
93,200 Amgen Inc. (NON) $5,673,550
....................................................................................................
530 Ares-Serono Group Class B (Switzerland) (NON) 684,169
....................................................................................................
13,800 ICN Pharmaceuticals, Inc. 444,188
....................................................................................................
19,500 Immunex Corp. (NON) 2,485,031
....................................................................................................
26,200 Medimmune, Inc. (NON) 1,775,050
....................................................................................................
25,000 Millennium Pharmaceuticals, Inc.(NON) 900,000
....................................................................................................
12,800 PE Corp.-PE Biosystems Group 1,468,800
....................................................................................................
23,200 Transkaryotic Therapies, Inc. (Malaysia) (NON) 765,600
....................................................................................................
33,540 Trimeris, Inc. (NON) 486,330
- ----------------------------------------------------------------------------------------------------
14,682,718
- ----------------------------------------------------------------------------------------------------
Business Services (0.6%)
....................................................................................................
12,500 On Assignment, Inc. (NON) 326,563
....................................................................................................
29,500 Pharmaceutical Product
Development, Inc. (NON) 807,563
- ----------------------------------------------------------------------------------------------------
1,134,126
- ----------------------------------------------------------------------------------------------------
Chemicals (0.7%)
....................................................................................................
30,900 Hoechst AG (Germany)(NON) 1,403,310
- ----------------------------------------------------------------------------------------------------
Conglomerates (4.5%)
....................................................................................................
93,700 Tyco International Ltd. 8,878,075
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (0.2%)
....................................................................................................
19,500 Ocular Sciences, Inc. (NON) 338,813
- ----------------------------------------------------------------------------------------------------
Health Care Information Systems (1.6%)
....................................................................................................
48,800 IMS Health Inc. 1,525,000
....................................................................................................
37,800 Medquist, Inc. (NON) 1,653,750
- ----------------------------------------------------------------------------------------------------
3,178,750
- ----------------------------------------------------------------------------------------------------
Health Care Services (5.4%)
....................................................................................................
45,700 AmeriSource Health Corp. Class A (NON) 1,165,350
....................................................................................................
12,900 Applied Analytical Industries, Inc. 145,125
....................................................................................................
38,900 CIGNA Corp. 3,462,100
....................................................................................................
9,100 Healtheon Corp. (NON) 700,700
....................................................................................................
191,300 HEALTHSOUTH Corp. (NON) 2,857,544
....................................................................................................
2,000 MEDE AMERICA Corp. (NON) 75,500
....................................................................................................
21,000 Province Healthcare Co.(NON) 409,500
....................................................................................................
9,300 TLC The Laser Center Inc. (Canada) (NON) 446,400
....................................................................................................
22,900 United Healthcare Corp. 1,434,113
- ----------------------------------------------------------------------------------------------------
10,696,332
- ----------------------------------------------------------------------------------------------------
Managed Services (2.2%)
....................................................................................................
10,700 Express Scripts, Inc. Class A (NON) 644,006
....................................................................................................
71,100 Health Management Assoc., Inc. (NON) 799,875
....................................................................................................
20,900 Medical Manager Corp. (NON) 924,825
....................................................................................................
13,800 Trigon Healthcare, Inc. (NON) 501,975
....................................................................................................
16,700 Wellpoint Health Networks, Inc. (NON) 1,417,413
- ----------------------------------------------------------------------------------------------------
4,288,094
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (27.0%)
....................................................................................................
48,900 Bausch & Lomb, Inc. 3,740,850
....................................................................................................
40,900 Baxter International, Inc. 2,479,563
....................................................................................................
1,050 Bergen Brunswig Corp. Class A 18,113
....................................................................................................
29,600 Biomet, Inc. 1,176,600
....................................................................................................
68,900 Boston Scientific Corp. (NON) 3,027,294
....................................................................................................
118,400 Cardinal Health, Inc. 7,592,400
....................................................................................................
16,500 Cerus Corp. (NON) 363,000
....................................................................................................
67,800 Guidant Corp. (NON) 3,487,463
....................................................................................................
47,600 IDEXX Laboratories, Inc. (NON) 1,109,675
....................................................................................................
60,590 Johnson & Johnson 5,937,820
....................................................................................................
27,400 Mallinckrodt Inc. 996,675
....................................................................................................
80,229 Medtronic, Inc. 6,247,833
....................................................................................................
13,200 Minimed, Inc. (NON) 1,015,575
....................................................................................................
23,400 Molecular Devices Corp. (NON) 877,500
....................................................................................................
30,700 Perclose, Inc. (NON) 1,475,519
....................................................................................................
20,900 Sabratek Corp. (NON) 457,188
....................................................................................................
67,600 Sybron International Corp. (NON) 1,863,225
....................................................................................................
67,000 Takeda Chemical Industries (Japan) (NON) 3,107,648
....................................................................................................
31,000 Ventana Medical Systems, Inc. (NON) 592,875
....................................................................................................
42,600 VISX, Inc. (NON) 3,373,388
....................................................................................................
50,200 Waters Corp. (NON) 2,666,875
....................................................................................................
37,030 Wesley Jessen VisionCare, Inc.(NON) 1,198,846
....................................................................................................
13,400 Xomed Surgical Products Inc. (NON) 652,413
- ----------------------------------------------------------------------------------------------------
53,458,338
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (44.0%)
....................................................................................................
126,000 Abbott Laboratories 5,733,000
....................................................................................................
12,800 Alkermes, Inc. (NON) 296,000
....................................................................................................
31,200 Allergan, Inc. 3,463,200
....................................................................................................
29,700 Alpharma, Inc. Class A 1,056,206
....................................................................................................
9,320 Alza Corp. (NON) 474,155
....................................................................................................
169,200 American Home Products Corp. 9,729,000
....................................................................................................
36,200 AstraZeneca Group PLC
(United Kingdom) 1,418,588
....................................................................................................
55,200 Biogen, Inc. (NON) 3,550,050
....................................................................................................
92,900 Bristol-Myers Squibb Co. 6,543,644
....................................................................................................
24,600 Coulter Pharmaceutical, Inc. (NON) 555,038
....................................................................................................
122,000 Elan Corp. PLC ADR (Ireland) (NON) 3,385,500
....................................................................................................
22,200 Guilford Pharmaceuticals, Inc. (NON) 283,050
....................................................................................................
31,800 Inhale Therapeutic Systems (NON) 757,238
....................................................................................................
18,850 Medicis Pharmaceutical Corp. Class A (NON) 478,319
....................................................................................................
91,100 Merck & Co., Inc. 6,741,400
....................................................................................................
38,700 Monsanto Co. 1,526,231
....................................................................................................
147,600 Pharmacia & Upjohn, Inc. 8,385,525
....................................................................................................
12,800 QLT PhotoTherapeutics Inc. (Canada) (NON) 704,000
....................................................................................................
446 Roche Holdings AG (Switzerland) 4,607,033
....................................................................................................
44,700 Sanofi-Synthelabo SA (France) (NON) 1,902,864
....................................................................................................
109,100 Schering-Plough Corp. 5,782,300
....................................................................................................
22,400 Sepracor, Inc. (NON) 1,820,000
....................................................................................................
35,800 Shire Pharmaceuticals Group PLC
ADR (United Kingdom) (NON) 930,800
....................................................................................................
75,100 Smithkline Beecham PLC ADR
(United Kingdom) 4,961,294
....................................................................................................
117,700 Warner-Lambert Co. 8,165,438
....................................................................................................
37,600 Watson Pharmaceuticals, Inc. (NON) 1,318,350
....................................................................................................
62,000 Yamanouchi Pharmaceutical Co.,
Ltd. (Japan) (NON) 2,373,370
- ----------------------------------------------------------------------------------------------------
86,941,593
- ----------------------------------------------------------------------------------------------------
Retail (1.8%)
....................................................................................................
68,600 CVS Corp. 3,481,450
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $173,946,621) $188,481,599
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (4.9%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount
....................................................................................................
$4,000,000 Federal Home Loan Mortgage,
effective yield of 4.87%,
August 12, 1999 $3,977,227
....................................................................................................
5,788,000 Interest in $402,952,000 joint
repurchase agreement dated
June 30, 1999 with Merrill Lynch,
Pierce, Fenner & Smith, Inc. due
July 1, 1999 with respect to various
U.S. Treasury obligations -- maturity
value of $5,788,756 for an effective
yield of 4.70% 5,788,000
- ----------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $9,765,227) $9,765,227
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $183,711,848) (b) $198,246,826
- ----------------------------------------------------------------------------------------------------
See page 124 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT High Yield Fund
Portfolio of investments owned
June 30, 1999 (Unaudited)
<CAPTION>
CORPORATE BONDS AND NOTES (85.1%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
<S> <C> <C> <C> <C>
Advertising (0.4%)
....................................................................................................
$1,895,000 Adams Outdoor Advertising sr. notes
10 3/4s, 2006 $2,027,650
....................................................................................................
1,660,000 Outdoor Communications Inc.
sr. sub. notes 9 1/4s, 2007 1,747,150
- ----------------------------------------------------------------------------------------------------
3,774,800
- ----------------------------------------------------------------------------------------------------
Aerospace and Defense (1.5%)
....................................................................................................
920,000 Argo-Tech Corp. company guaranty
8 5/8s, 2007 851,000
....................................................................................................
1,220,000 Argo-Tech Corp. company guaranty
Ser. D, 8 5/8s, 2007 1,128,500
....................................................................................................
2,020,000 Aviation Sales Co. company guaranty
8 1/8s, 2008 1,898,800
....................................................................................................
2,790,000 BE Aerospace, Inc. sr. sub. notes
Ser. B, 9 7/8s, 2006 2,845,800
....................................................................................................
810,000 BE Aerospace, Inc. sr. sub. notes
9 1/2s, 2008 822,150
....................................................................................................
1,320,000 BE Aerospace, Inc. sr. sub. notes
Ser. B, 8s, 2008 1,234,200
....................................................................................................
2,000,000 Burke Industries, Inc. company
guaranty 10s, 2007 1,530,000
....................................................................................................
2,520,000 L-3 Communications Corp. sr. sub.
notes Ser. B, 10 3/8s, 2007 2,658,600
....................................................................................................
690,000 L-3 Communications Corp.
144A sr. sub. notes 8s, 2008 657,225
....................................................................................................
1,750,000 Sequa Corp. sr. sub. notes 9 3/8s, 2003 1,776,250
- ----------------------------------------------------------------------------------------------------
15,402,525
- ----------------------------------------------------------------------------------------------------
Agriculture (0.3%)
....................................................................................................
3,067,793 Premium Standard Farms, Inc.
sr. sec. notes 11s, 2003 (PIK) 2,822,369
- ----------------------------------------------------------------------------------------------------
Airlines (0.9%)
....................................................................................................
1,580,000 Calair LLC 144A company guaranty
8 1/8s, 2008 1,477,300
....................................................................................................
1,750,000 Canadian Airlines Corp. sr. notes
12 1/4s, 2006 (Canada) 700,000
....................................................................................................
2,710,000 Canadian Airlines Corp. sr. sec. notes
10s, 2005 (Canada) 2,005,400
....................................................................................................
1,400,000 Continental Airlines, Inc. sr. notes
9 1/2s, 2001 1,448,160
....................................................................................................
2,600,000 Trans World Airlines, Inc. sr. notes
11 1/2s, 2004 2,239,250
....................................................................................................
1,750,000 Trans World Airlines, Inc. sr. notes
11 3/8s, 2006 980,000
- ----------------------------------------------------------------------------------------------------
8,850,110
- ----------------------------------------------------------------------------------------------------
Apparel (0.8%)
....................................................................................................
2,290,000 Fruit of the Loom 144A company
guaranty 8 7/8s, 2006 1,980,850
....................................................................................................
1,035,000 GFSI, Inc. sr. disc. notes
stepped-coupon Ser. B, zero %
(11 3/8s, 9/15/04), 2009 (STP) 724,500
....................................................................................................
3,017,000 Guess Jeans, Inc. sr. sub. notes
9 1/2s, 2003 3,032,085
....................................................................................................
1,040,000 William Carter Holdings Co. sr. sub.
notes Ser. A, 12s, 2008 1,071,200
....................................................................................................
1,750,000 William Carter Holdings Co. sr. sub.
notes Ser. A, 10 3/8s, 2006 1,785,000
- ----------------------------------------------------------------------------------------------------
8,593,635
- ----------------------------------------------------------------------------------------------------
Automotive (1.2%)
....................................................................................................
1,810,000 Dura Operating Corp. 144A sr. sub. notes
9s, 2009 1,737,600
....................................................................................................
520,000 Lear Corp. sub. notes 9 1/2s, 2006 568,100
....................................................................................................
3,930,000 Navistar International Corp. sr. notes
Ser. B, 8s, 2008 3,871,050
....................................................................................................
4,370,000 Oxford Automotive, Inc. company
guaranty Ser. D, 10 1/8s, 2007 4,375,463
....................................................................................................
345,000 San Luis Corp SA notes 8 7/8s, 2008 287,213
....................................................................................................
1,260,000 Transportation Manufacturing
Operations Inc. 144A company guaranty
11 1/4s, 2009 1,260,000
- ----------------------------------------------------------------------------------------------------
12,099,426
- ----------------------------------------------------------------------------------------------------
Automotive Parts (1.1%)
....................................................................................................
821,000 Aftermarket Technology Corp. sr. sub.
notes 12s, 2004 855,893
....................................................................................................
2,100,000 Aftermarket Technology Corp. sr. sub.
notes Ser. D, 12s, 2004 2,189,250
....................................................................................................
3,740,000 Federal Mogul Corp. 144A notes
7 1/2s, 2009 3,451,422
....................................................................................................
910,000 Hayes Wheels International, Inc.
company guaranty Ser. B, 9 1/8s, 2007 912,275
....................................................................................................
3,500,000 Hayes Wheels International, Inc. 144A
sr. sub. notes 9 1/8s, 2007 3,517,500
- ----------------------------------------------------------------------------------------------------
10,926,340
- ----------------------------------------------------------------------------------------------------
Banks (1.6%)
....................................................................................................
1,885,000 Chevy Chase Savings Bank Inc. sub. deb.
9 1/4s, 2008 1,908,563
....................................................................................................
3,532,000 Chevy Chase Savings Bank Inc. sub. deb.
9 1/4s, 2005 3,576,150
....................................................................................................
1,950,000 Dime Capital Trust I bank guaranty
Ser. A, 9.33s, 2027 2,028,390
....................................................................................................
1,390,000 Greenpoint Capital Trust I company
guaranty 9.1s, 2027 1,398,340
....................................................................................................
895,000 North Fork Capital Trust I company
guaranty 8.7s, 2026 886,811
....................................................................................................
650,000 Ocwen Capital Trust I company
guaranty 10 7/8s, 2027 507,000
....................................................................................................
1,080,000 Ocwen Federal Bank FSB sub. deb.
12s, 2005 1,058,400
....................................................................................................
1,085,000 Peoples Heritage Capital Trust
company guaranty Ser. B, 9.06s, 2027 1,030,023
....................................................................................................
1,330,000 Provident Capital Trust company
guaranty 8.6s, 2026 1,284,860
....................................................................................................
610,000 Riggs Capital Trust 144A bonds
8 5/8s, 2026 576,285
....................................................................................................
1,965,000 Sovereign Capital Trust company
guaranty 9s, 2027 1,897,404
....................................................................................................
795,000 Webster Capital Trust I 144A bonds
9.36s, 2027 778,289
- ----------------------------------------------------------------------------------------------------
16,930,515
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (0.6%)
....................................................................................................
740,000 American Standard Companies, Inc.
sr. notes 7 3/8s, 2008 695,600
....................................................................................................
1,000,000 Owens-Illinois, Inc. sr. notes 8.1s, 2007 993,790
....................................................................................................
2,050,000 Owens-Illinois, Inc. sr. notes 7.35s, 2008 1,934,626
....................................................................................................
2,720,000 Roller Bearing Co. company guaranty
Ser. B, 9 5/8s, 2007 2,529,600
- ----------------------------------------------------------------------------------------------------
6,153,616
- ----------------------------------------------------------------------------------------------------
Broadcasting (6.4%)
....................................................................................................
1,750,000 Ackerly Group, Inc. sr. sub. notes
Ser. B, 9s, 2009 1,719,375
....................................................................................................
4,500,000 Allbritton Communications Co. sr.
sub. deb. Ser. B, 9 3/4s, 2007 4,522,500
....................................................................................................
350,000 Allbritton Communications Co. sr. sub.
notes Ser. B, 8 7/8s, 2008 336,875
....................................................................................................
1,400,216 Australis Media, Ltd. sr. sec. disc. notes
zero %, 2000 (In default) (Australia) (NON) 215,633
....................................................................................................
3,770,000 Benedek Communications Corp.
sr. disc. notes stepped-coupon zero %
(13 1/4s, 5/15/01), 2006 (STP) 3,147,950
....................................................................................................
5,690,000 Capstar Broadcasting sr. disc. notes
stepped-coupon zero % (12 3/4s,
2/1/02), 2009 (STP) 4,808,050
....................................................................................................
1,460,000 Capstar Broadcasting sr. sub. notes
9 1/4s, 2007 1,509,275
....................................................................................................
780,000 Central European Media Enterprises
Ltd. sr. notes 9 3/8s, 2004 (Bermuda) 670,800
....................................................................................................
7,920,000 Chancellor Media Corp. company
guaranty 8s, 2008 7,801,200
....................................................................................................
1,401,820 Citadel Broadcasting, Inc. sr. sub. notes
10 1/4s, 2007 1,508,709
....................................................................................................
770,000 Citadel Broadcasting, Inc. company
guaranty 9 1/4s, 2008 793,100
....................................................................................................
6,834,000 Comcast UK Cable, Ltd. deb.
stepped-coupon zero % (11.2s,
11/15/00), 2007 (Bermuda) (STP) 6,150,600
....................................................................................................
7,060,000 Echostar DBS Corp. 144A sr. notes
9 3/8s, 2009 7,201,200
....................................................................................................
2,710,000 Fox Family Worldwide, Inc. sr. notes
9 1/4s, 2007 2,493,200
....................................................................................................
1,590,000 Granite Broadcasting Corp. sr. sub.
notes 8 7/8s, 2008 1,542,300
....................................................................................................
1,325,000 Heritage Media Services Corp. sr. sub.
notes 8 3/4s, 2006 1,397,875
....................................................................................................
2,590,000 Interact Systems, Inc. 144A
stepped-coupon zero % (14s, 8/1/99),
2003 (STP) 466,200
....................................................................................................
930,000 Jacor Communications, Inc. company
guaranty Ser. B, 8 3/4s, 2007 988,125
....................................................................................................
1,000,000 Lenfest Communications, Inc. sr. sub.
notes 10 1/2s, 2006 1,150,000
....................................................................................................
1,369,000 Lenfest Communications, Inc. sr. notes
8 3/8s, 2005 1,429,825
....................................................................................................
610,000 Pegasus Communications Corp.
sr. notes Ser. B, 9 3/4s, 2006 597,800
....................................................................................................
4,932,000 PHI Holdings, Inc. sr. sub. notes
zero %, 2001 3,953,491
....................................................................................................
1,815,000 Radio One Inc. company guaranty
stepped-coupon Ser. B, 7s,
(12s, 5/15/00), 2004 (STP) 1,887,600
....................................................................................................
140,000 Rogers Cablesystems Ltd. company
guaranty 10s, 2007 (Canada) 150,500
....................................................................................................
938,000 Rogers Cablesystems Ltd. notes
9 5/8s, 2002 (Canada) 982,555
....................................................................................................
3,000,000 Sinclair Broadcast Group, Inc.
company guaranty 9s, 2007 2,970,000
....................................................................................................
2,375,000 Spanish Broadcasting Systems sr.
notes Ser. B, 11s, 2004 2,565,000
....................................................................................................
385,000 TV Azteca S.A. de C.V. sr. notes 11s,
2002 (Mexico) 325,325
....................................................................................................
2,560,000 TV Azteca S.A. de C.V. sr. notes
10 1/2s, 2007 (Mexico) 1,958,400
....................................................................................................
500,000 TV Azteca S.A. de C.V. sr. notes
Ser. A, 10 1/8s, 2004 (Mexico) 407,500
- ----------------------------------------------------------------------------------------------------
65,650,963
- ----------------------------------------------------------------------------------------------------
Building and Construction (1.3%)
....................................................................................................
740,000 Atrium Companies Inc. 144A sr. sub.
notes 10 1/2s, 2009 721,500
....................................................................................................
1,035,000 Cia Latino Americana 144A company
guaranty 11 5/8s, 2004 (Argentina) 538,200
....................................................................................................
3,790,000 D.R. Horton, Inc. company guaranty
8s, 2009 3,581,550
....................................................................................................
4,100,000 GS Superhighway Holdings sr. notes
9 7/8s, 2004 (China) 2,050,000
....................................................................................................
940,000 Jackson Products, Inc. company
guaranty Ser. B, 9 1/2s, 2005 928,250
....................................................................................................
1,410,000 NCI Building Systems 144A sr. sub.
notes 9 1/4s, 2009 1,357,125
....................................................................................................
2,462,312 Terex bank term loan B, 8.18s, 2005 2,456,156
....................................................................................................
1,770,000 Toll Corp. company guaranty
8 1/8s, 2009 1,677,075
- ----------------------------------------------------------------------------------------------------
13,309,856
- ----------------------------------------------------------------------------------------------------
Building Products (0.7%)
....................................................................................................
214,000 American Standard, Inc. company
guaranty 7 5/8s, 2010 201,160
....................................................................................................
2,882,000 American Standard, Inc. company
guaranty 7 3/8s, 2005 2,743,664
....................................................................................................
2,120,000 Building Materials Corp. company
guaranty 8s, 2008 1,976,900
....................................................................................................
2,170,000 Decora Industries, Inc. sr. sec.
notes Ser. B, 11s, 2005 2,083,200
- ----------------------------------------------------------------------------------------------------
7,004,924
- ----------------------------------------------------------------------------------------------------
Business Services (1.2%)
....................................................................................................
1,820,000 Cex Holdings, Inc. company guaranty
Ser. B, 9 5/8s, 2008 1,710,800
....................................................................................................
3,750,000 Outsourcing Solutions, Inc. sr. sub.
notes Ser. B, 11s, 2006 3,675,000
....................................................................................................
939,380 Outsourcing Solutions, Inc. bank
term loan 8 5/8s, 2000 911,198
....................................................................................................
2,640,000 U.S. Office Products Co. company
guaranty 9 3/4s, 2008 1,755,600
....................................................................................................
2,247,778 U.S. Office Products bank loan notes
7.53s, 2006 1,978,044
....................................................................................................
1,480,000 Unisys Corp. sr. notes Ser. B, 12s, 2003 1,616,900
....................................................................................................
1,098,000 United Stationer Supply, Inc. sr. sub. notes
12 3/4s, 2005 1,202,310
- ----------------------------------------------------------------------------------------------------
12,849,852
- ----------------------------------------------------------------------------------------------------
Cable Television (3.6%)
....................................................................................................
4,225,000 Acme Television sr. disc. notes
stepped-coupon zero %
(10 7/8s, 9/30/00), 2004 (STP) 3,506,750
....................................................................................................
2,985,000 Adelphia Communications Corp.
sr. notes Ser. B, 9 7/8s, 2007 3,119,325
....................................................................................................
2,900,000 Adelphia Communications Corp.
sr. notes Ser. B, 8 3/8s, 2008 2,784,000
....................................................................................................
780,000 Adelphia Communications Corp.
sr. notes 7 7/8s, 2009 729,300
....................................................................................................
1,788,000 Century Communications Corp.
sr. notes 8 7/8s, 2007 1,788,000
....................................................................................................
260,000 Century Communications Corp.
sr. notes 8 3/4s, 2007 257,400
....................................................................................................
670,000 CSC Holdings, Inc. sr. sub. deb.
9 7/8s, 2023 738,675
....................................................................................................
2,510,000 CSC Holdings, Inc. sr. sub. deb.
9 7/8s, 2013 2,710,800
....................................................................................................
710,000 CSC Holdings, Inc. deb. 7 7/8s, 2018 675,821
....................................................................................................
860,000 CSC Holdings, Inc. sr. notes 7 7/8s, 2007 853,670
....................................................................................................
3,520,000 Diamond Cable Communication Co. sr.
disc. notes stepped-coupon zero %
(10 3/4s, 2/15/02), 2007 (United
Kingdom) (STP) 2,732,400
....................................................................................................
3,360,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(11 3/4s, 12/15/00), 2005
(United Kingdom) (STP) 2,998,800
....................................................................................................
430,000 Globo Communicacoes 144A sr. notes
10 5/8s, 2008 (Brazil) 301,000
....................................................................................................
1,400,000 Globo Communicacoes 144A company
guaranty 10 1/2s, 2006 (Brazil) 1,008,000
....................................................................................................
3,425,000 Grupo Televisa S.A. de C.V. 144A
sr. notes 11 7/8s, 2006 (Mexico) 3,442,125
....................................................................................................
2,670,000 NTL Inc. sr. notes, stepped-coupon
Ser. B, zero % (9 3/4s, 4/1/03), 2008
(United Kingdom) (STP) 1,788,900
....................................................................................................
655,000 RCN Corp. sr. disc. notes stepped-coupon
zero %, (11 1/8s, 10/15/02), 2007 (STP) 437,213
....................................................................................................
330,000 Rogers Cablesystems Ltd. notes
11s, 2015 (Canada) 381,150
....................................................................................................
1,710,000 Rogers Cablesystems Ltd. sr. notes
Ser. B, 10s, 2005 (Canada) 1,829,700
....................................................................................................
1,930,000 Supercanal Holdings S.A. 144A
sr. notes 11 1/2s, 2005 (In default) (NON)
(Argentina) 984,300
....................................................................................................
430,000 TeleWest Communications PLC 144A
11 1/4s, 2008 485,900
....................................................................................................
2,330,000 TeleWest Communications PLC 144A
sr. disc. notes stepped-coupon zero %,
(9 1/4, 4/15/04), 2009 (United Kingdom) (STP) 1,561,100
....................................................................................................
2,650,000 United International Holdings
sr. disc. notes stepped-coupon Ser. B,
zero % (10 3/4s, 2/15/03), 2008 (STP) 1,749,000
- ----------------------------------------------------------------------------------------------------
36,863,329
- ----------------------------------------------------------------------------------------------------
Cellular Communications (3.7%)
....................................................................................................
8,177,000 CellNet Data Systems, Inc. sr. disc. notes
stepped-coupon zero % (14s, 10/1/02),
2007 (STP) 3,107,260
....................................................................................................
6,730,000 Cencall Communications Corp.
sr. disc. notes 10 1/8s, 2004 6,830,950
....................................................................................................
1,840,000 Conecel Holdings 144A notes Ser. A,
14s, 2000 (In default) (NON) 239,200
....................................................................................................
5,500,000 Dial Call Communications, Inc.
sr. disc. notes Ser. B, 10 1/4s, 2005 5,582,500
....................................................................................................
6,920,000 McCaw International Ltd sr. disc. notes
stepped coupon zero % (13s, 4/15/02),
2007 (STP) 4,082,800
....................................................................................................
10,360,000 Millicom International Cellular S.A.
sr. disc. notes stepped-coupon zero %
(13 1/2s, 6/1/01), 2006 (Luxembourg) (STP) 7,718,200
....................................................................................................
3,980,000 NEXTEL Communications, Inc. sr. notes
12s, 2008 4,477,500
....................................................................................................
1,290,000 NEXTEL Communicaitons, Inc. sr. disc.
notes stepped-coupon zero %
(12 1/8s, 4/15/03), 2008 (STP) 670,800
....................................................................................................
1,610,000 NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero %
(10.65s, 9/15/02), 2007 (STP) 1,167,250
....................................................................................................
2,770,000 Price Communications Wireless, Inc.
144A sr. notes 9 1/8s, 2006 2,811,550
....................................................................................................
3,000,000 Triton PCS Inc. company guaranty
11s, 2008 1,920,000
- ----------------------------------------------------------------------------------------------------
38,608,010
- ----------------------------------------------------------------------------------------------------
Chemicals (2.5%)
....................................................................................................
1,510,000 Geo Specialty Chemicals, Inc. sr.
sub. notes 10 1/8s, 2008 1,457,150
....................................................................................................
640,000 Huntsman Corp. 144A sr. sub. notes
9 1/2s, 2007 604,800
....................................................................................................
1,450,000 Huntsman Corp. 144A sr. sub. notes
FRN 8.875s, 2007 1,305,000
....................................................................................................
5,050,000 Huntsman ICI Chemicals Inc. 144A sr.
sub. notes 10 1/8s, 2009 5,100,500
....................................................................................................
6,350,000 Lyondell Petrochemical Co. 144A
sec. notes 9 7/8s, 2007 6,469,063
....................................................................................................
2,180,000 Lyondell Petrochemical Co. 144A
sr. sub. notes 10 7/8s, 2009 2,256,300
....................................................................................................
1,500,000 PCI Chemicals & Pharmaceuticals
company guaranty 9 1/4s, 2007 (India) 1,275,000
....................................................................................................
982,500 Pioneer Americas Acquisition 144A
bank loan notes FRN 8.428s, 2006 894,075
....................................................................................................
660,000 Pioneer Americas Acquisition 144A
sr. notes 9 1/4s, 2007 554,400
....................................................................................................
2,802,022 Polytama International notes 11 1/4s,
2007 (Indonesia) 504,364
....................................................................................................
1,750,000 Royster-Clark Inc. 144A 1st mtge.
10 1/4s, 2009 1,732,500
....................................................................................................
1,900,000 Sterling Chemicals Holdings sr. disc.
notes stepped-coupon zero %
(13 1/2s, 8/15/01), 2008 (STP) 570,000
....................................................................................................
2,360,000 Trikem S.A. 144A bonds 10 5/8s,
2007 (Brazil) 1,345,200
....................................................................................................
1,670,000 UCAR Global Enterprises sr. sub. notes
Ser. B, 12s, 2005 1,770,200
- ----------------------------------------------------------------------------------------------------
25,838,552
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (0.8%)
....................................................................................................
660,000 Concentric Network Corp. sr. notes
12 3/4s, 2007 689,700
....................................................................................................
4,460,000 IPC Information Systems sr. disc.
notes stepped-coupon zero %
(10 7/8s, 11/1/01), 2008 (STP) 3,322,700
....................................................................................................
2,470,000 PSINet, Inc. sr. notes 11 1/2s, 2008 2,593,500
....................................................................................................
1,200,000 Verio Inc. sr. notes 11 1/4s, 2008 1,254,000
....................................................................................................
880,000 Verio Inc. sr. notes 10 3/8s, 2005 888,800
- ----------------------------------------------------------------------------------------------------
8,748,700
- ----------------------------------------------------------------------------------------------------
Conglomerates (0.3%)
....................................................................................................
3,065,000 Axia, Inc. company guaranty
10 3/4s, 2008 3,019,025
- ----------------------------------------------------------------------------------------------------
Consumer Durable Goods (0.9%)
....................................................................................................
1,930,000 Albecca Inc. company guaranty
10 3/4s, 2008 1,601,900
....................................................................................................
330,000 Hedstrom Holdings, Inc. 144A
sr. disc. notes stepped-coupon zero %
(12s, 6/1/02), 2009 (STP) 145,200
....................................................................................................
2,363,000 Iron Age Corp. company guaranty
9 7/8s, 2008 1,772,250
....................................................................................................
5,570,000 Samsonite Corp. sr. sub. notes
10 3/4s, 2008 4,483,850
....................................................................................................
1,400,000 Sealy Mattress Co. company guaranty
stepped-coupon Ser. B, zero %
(10 7/8s, 12/15/02), 2007 (STP) 917,000
- ----------------------------------------------------------------------------------------------------
8,920,200
- ----------------------------------------------------------------------------------------------------
Consumer Services (0.1%)
....................................................................................................
950,000 Protection One, Inc. sr. disc. notes
stepped-coupon zero %,
(13 5/8s, 6/30/00), 2005 (STP) 1,064,000
- ----------------------------------------------------------------------------------------------------
Containers (--%)
....................................................................................................
520,000 Owens-Illinois, Inc. deb. 7.8s, 2018 489,050
- ----------------------------------------------------------------------------------------------------
Cosmetics (0.5%)
....................................................................................................
1,470,000 French Fragrances, Inc. company
guaranty Ser. D, 10 3/8s, 2007 1,484,700
....................................................................................................
1,200,000 Revlon Consumer Products sr. notes
9s, 2006 1,185,000
....................................................................................................
3,000,000 Revlon Consumer Products sr. sub.
notes 8 5/8s, 2008 2,835,000
- ----------------------------------------------------------------------------------------------------
5,504,700
- ----------------------------------------------------------------------------------------------------
Electric Utilities (3.2%)
....................................................................................................
3,865,000 AES China Generating Co. sr. notes
10 1/8s, 2006 (China) 2,396,300
....................................................................................................
2,610,000 Applied Power Inc. sr. sub. notes
8 3/4s, 2009 2,531,700
....................................................................................................
1,350,000 Calpine Corp. sr. notes 10 1/2s, 2006 1,431,000
....................................................................................................
1,520,000 Calpine Corp. sr. notes 9 1/4s, 2004 1,535,200
....................................................................................................
250,000 Calpine Corp. sr. notes 7 7/8s, 2008 236,250
....................................................................................................
1,800,000 CMS Energy Corp. pass-through
certificates 7s, 2005 1,720,080
....................................................................................................
2,260,000 CMS Energy Corp. sr. notes Ser. B,
6 3/4s, 2004 2,171,340
....................................................................................................
3,971,096 Midland Funding Corp. I deb.
Ser. C-94, 10.33s, 2002 4,163,456
....................................................................................................
2,480,000 Midland Funding II Corp. deb. Ser. B,
13 1/4s, 2006 2,964,518
....................................................................................................
7,775,000 Midland Funding II Corp. deb. Ser. A,
11 3/4s, 2005 8,912,638
....................................................................................................
325,000 North Atlantic Energy Corp. 1st mtge.
Ser. A, 9.05s, 2002 334,139
....................................................................................................
1,613,464 Northeast Utilities System notes
Ser. A, 8.58s, 2006 1,605,187
....................................................................................................
3,290,000 York Power Funding 144A notes 12s,
2007 (Cayman Islands) 3,290,000
- ----------------------------------------------------------------------------------------------------
33,291,808
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (2.1%)
....................................................................................................
670,000 Celestica International Ltd. 144A
sr. sub. notes 10 1/2s, 2006 (Canada) 725,275
....................................................................................................
640,461 Cirent Semiconductor sr. sub. notes
10.22s, 2002 643,664
....................................................................................................
734,856 Cirent Semiconductor 144A sr. sub.
notes 10.14s, 2004 742,205
....................................................................................................
1,340,000 DII Group, Inc. (The) sr. sub. notes
8 1/2s, 2007 1,319,900
....................................................................................................
4,290,000 Dobson Communications Corp. sr. notes
11 3/4s, 2007 4,504,500
....................................................................................................
375,000 HCC Industries, Inc. company guaranty
10 3/4s, 2007 341,250
....................................................................................................
3,880,000 Metromedia Fiber Network, Inc. sr.
notes Ser. B, 10s, 2008 3,986,700
....................................................................................................
770,000 Moog, Inc. sr. sub. notes Ser. B,
10s, 2006 800,800
....................................................................................................
3,225,000 Motors and Gears, Inc. sr. notes
Ser. D, 10 3/4s, 2006 3,273,375
....................................................................................................
2,690,000 Viasystems, Inc. sr. notes Ser. B,
9 3/4s, 2007 2,353,750
....................................................................................................
920,000 Viasystems, Inc. sr. sub notes 9 3/4s, 2007 805,000
....................................................................................................
2,315,000 Wavetek Corp. company guaranty
10 1/8s, 2007 2,037,200
- ----------------------------------------------------------------------------------------------------
21,533,619
- ----------------------------------------------------------------------------------------------------
Energy-Related (0.3%)
....................................................................................................
5,700,000 Panda Global Energy Co. company
guaranty 12 1/2s, 2004 (China) 3,078,000
- ----------------------------------------------------------------------------------------------------
Entertainment (1.1%)
....................................................................................................
1,410,000 Premier Parks, Inc. sr. notes 9 3/4s, 2007 1,424,100
....................................................................................................
2,150,000 Premier Parks, Inc.144A sr. disc.
notes stepped-coupon zero %,
(10s, 4/1/03), 2008 (STP) 1,397,500
....................................................................................................
1,690,000 SFX Entertainment Inc. company
guaranty 9 1/8s, 2008 1,639,300
....................................................................................................
1,630,000 SFX Entertainment, Inc. 144A company
guaranty Ser. B, 9 1/8s, 2008 1,589,250
....................................................................................................
2,450,000 Six Flags Corp. sr. notes 8 7/8s, 2006 2,437,750
....................................................................................................
3,510,000 United Artists Theatre sr. sub. notes
9 3/4s, 2008 2,702,700
- ----------------------------------------------------------------------------------------------------
11,190,600
- ----------------------------------------------------------------------------------------------------
Environmental Control (0.5%)
....................................................................................................
5,320,000 Allied Waste Industries, Inc. company
guaranty Ser. B, 7 7/8s, 2009 4,934,300
- ----------------------------------------------------------------------------------------------------
Financial Services (3.9%)
....................................................................................................
4,000,000 Aames Financial Corp. sr. notes
9 1/8s, 2003 2,800,000
....................................................................................................
1,550,000 Advanta Corp. company guaranty
Ser. B, 8.99s, 2026 1,038,500
....................................................................................................
1,090,000 Advanta Corp. med. term notes Ser. D,
6.92s, 2002 968,541
....................................................................................................
1,500,000 Advanta Corp. med. term notes Ser. C,
7.02s, 1999 1,500,615
....................................................................................................
1,250,000 Advanta Corp. med. term notes Ser. B,
7s, 2001 1,154,313
....................................................................................................
1,030,000 AMRESCO, Inc. sr. sub. notes
Ser. 98-A, 9 7/8s, 2005 793,100
....................................................................................................
1,490,000 Capital One Financial Corp. notes
7 1/8s, 2008 1,425,602
....................................................................................................
1,165,000 Colonial Capital II 144A company
guaranty 8.92s, 2027 1,089,560
....................................................................................................
2,680,000 Contifinancial Corp. sr. notes
8 3/8s, 2003 2,304,800
....................................................................................................
1,810,000 Contifinancial Corp. sr. notes
8 1/8s, 2008 1,556,600
....................................................................................................
2,180,000 Contifinancial Corp. sr. notes
7 1/2s, 2002 1,635,000
....................................................................................................
3,730,000 Delta Financial Corp. sr. notes
9 1/2s, 2004 3,207,800
....................................................................................................
10,180,000 DTI Holdings Inc. sr. disc. notes,
stepped-coupon Ser. B, zero %
(12 1/2s, 03/01/03), 2008 (STP) 3,715,700
....................................................................................................
2,485,000 Green Tree Acceptance Corp. sr. sub.
notes 10 1/4s, 2002 2,611,114
....................................................................................................
2,230,000 Imperial Credit Capital Trust I 144A
company guaranty 10 1/4s, 2002 1,806,300
....................................................................................................
1,655,000 Imperial Credit Industries, Inc. sr. notes
9 7/8s, 2007 1,307,450
....................................................................................................
1,880,000 Nationwide Credit Inc. sr. notes
Ser. A, 10 1/4s, 2008 1,278,400
....................................................................................................
2,960,000 RBF Finance 144A company guaranty
11 3/8s, 2009 3,063,600
....................................................................................................
360,000 RBF Finance 144A company guaranty
11s, 2006 370,800
....................................................................................................
3,590,000 Resource America Inc. 144A sr. notes
12s, 2004 3,284,850
....................................................................................................
2,250,000 SRI Receivables Purchase 144A notes
12 1/2s, 2000 2,103,750
....................................................................................................
1,350,000 Superior Financial 144A sr. notes
8.65s, 2003 1,275,750
- ----------------------------------------------------------------------------------------------------
40,292,145
- ----------------------------------------------------------------------------------------------------
Food and Beverages (1.9%)
....................................................................................................
2,165,000 Ameriserve Food Co. company guaranty
10 1/8s, 2007 1,818,600
....................................................................................................
3,725,000 Aurora Foods, Inc. 144A ser. sub.
notes Ser. D, 9 7/8s, 2007 3,864,688
....................................................................................................
1,500,000 Eagle Family Foods company guaranty
Ser. B, 8 3/4s, 2008 1,335,000
....................................................................................................
948,344 Imperial Holly bank term loan Ser. A,
7.656s, 2003 934,119
....................................................................................................
1,600,000 RAB Enterprises, Inc. company
guaranty 10 1/2s, 2005 1,008,000
....................................................................................................
1,940,000 RAB Holdings, Inc. sr. notes 13s, 2008 853,600
....................................................................................................
2,230,000 Doane Pet Care Corp. sr. sub. notes
9 3/4s, 2007 sr. sub. notes 9 3/4s, 2007 2,252,300
....................................................................................................
6,580,000 Trianc Consumer Products, Inc. 144A
sr. sub. notes 10 1/4s, 2009 6,382,600
....................................................................................................
1,730,000 Vlassic Foods Intl. Inc. 144A sr. sub. notes
10 1/4s, 2009 1,706,213
- ----------------------------------------------------------------------------------------------------
20,155,120
- ----------------------------------------------------------------------------------------------------
Gaming (3.9%)
....................................................................................................
2,190,000 Argosy Gaming Co. 144A sr. sub. notes
10 3/4s, 2009 2,233,800
....................................................................................................
2,650,000 Autotote Corp. company guaranty
Ser. B, 10 7/8s, 2004 2,756,000
....................................................................................................
2,260,000 Boyd Gaming Corp. sr. sub. notes
9 1/2s, 2007 2,237,400
....................................................................................................
2,736,000 Circus Circus Enterprises, Inc. sr. sub.
notes 9 1/4s, 2005 2,777,040
....................................................................................................
510,000 Circus Circus Enterprises, Inc. deb.
7s, 2036 464,692
....................................................................................................
1,110,000 Circus Circus Enterprises, Inc. sr. notes
6.45s, 2006 1,011,166
....................................................................................................
5,061,328 Colorado Gaming & Entertainment Co.
sr. notes 12s, 2003 (PIK) 4,858,875
....................................................................................................
3,700,000 Fitzgeralds Gaming Corp. company
guaranty Ser. B, 12 1/4s, 2004
(In default) (NON) 2,053,500
....................................................................................................
3,250,000 Hollywood Casino Corp. 144A
sec. notes 11 1/4s, 2007 3,250,000
....................................................................................................
1,380,000 Hollywood Park, Inc. company guaranty
Ser. B, 9 1/4s, 2007 1,355,850
....................................................................................................
330,000 Horseshoe Gaming Holdings 144A
sr. sub. notes 8 5/8s, 2009 319,275
....................................................................................................
2,500,000 Isle of Capri Black Hawk LLC 144A
1st mortgage Ser. B, 13s, 2004 2,775,000
....................................................................................................
4,730,000 Mohegan Tribal Gaming Auth. sr. sub.
notes 8 3/4s, 2009 4,659,050
....................................................................................................
1,650,000 Park Place Entertainment sr. sub.
notes 7 7/8s, 2005 1,567,500
....................................................................................................
2,275,000 PRT Funding Corp. sr. notes 11 5/8s,
2004 (In default) (NON) 1,023,750
....................................................................................................
1,170,000 Riviera Black Hawk 144A 1st mtge.
13s, 2005 1,193,400
....................................................................................................
4,230,000 Trump Castle Funding 144A sub. notes
10 1/4s, 2003 4,283,213
....................................................................................................
1,815,000 Trump Holdings & Funding Corp.
sr. notes 15 1/2s, 2005 1,851,300
- ----------------------------------------------------------------------------------------------------
40,670,811
- ----------------------------------------------------------------------------------------------------
Health Care (3.0%)
....................................................................................................
670,000 Columbia/HCA Healthcare Corp.
deb. 8.36s, 2024 630,309
....................................................................................................
1,800,000 Columbia/HCA Healthcare Corp.
notes 7s, 2007 1,612,980
....................................................................................................
2,140,600 Columbia/HCA Healthcare Corp.
notes 6.91s, 2005 1,952,184
....................................................................................................
370,000 Columbia/HCA Healthcare Corp.
med term notes 6.63s, 2045 346,357
....................................................................................................
560,000 Conmed Corp. company guaranty
9s, 2008 555,100
....................................................................................................
4,450,000 Extendicare Health Services, Inc.
company guaranty 9.35s, 2007 3,315,250
....................................................................................................
650,000 HEALTHSOUTH Corp. sr. notes 7s, 2008 591,565
....................................................................................................
1,980,000 Integrated Health Services, Inc. sr. sub.
notes Ser. A, 9 1/2s, 2007 1,435,500
....................................................................................................
2,320,000 Integrated Health Services, Inc. sr. sub.
notes Ser. A, 9 1/4s, 2008 1,664,600
....................................................................................................
924,021 Magellan Health bank loan notes,
8s, 2/12/05 859,340
....................................................................................................
6,090,000 Mariner Post-Acute Network, Inc.
sr. sub. notes stepped-coupon Ser. B,
zero % (10 1/2s, 11/1/02), 2007 (STP) 730,800
....................................................................................................
1,360,000 MedPartners, Inc. sr. sub. notes
6 7/8s, 2000 1,271,600
....................................................................................................
5,480,000 Multicare Cos., Inc. sr. sub. notes 9s, 2007 3,726,400
....................................................................................................
3,070,000 Paracelsus Healthcare sr. sub. notes
10s, 2006 2,394,600
....................................................................................................
1,130,000 Paragon Corp. Holdings, Inc. company
guaranty Ser. B, 9 5/8s, 2008 655,400
....................................................................................................
1,760,000 Quest Diagnostic 144A Inc. sr. sub.
notes 9 7/8s, 2009 1,777,600
....................................................................................................
4,335,000 Sun Healthcare Group, Inc. sr. sub.
notes Ser. B, 9 1/2s, 2007 (In default) (NON) 650,250
....................................................................................................
2,200,000 Sun Healthcare Group, Inc. 144A
sr. sub. notes 9 3/8s, 2008 (In default) (NON) 330,000
....................................................................................................
921,000 Tenet Healthcare Corp. sr. sub. notes
8 5/8s, 2007 897,975
....................................................................................................
1,250,000 Tenet Healthcare Corp. sr. notes
8 5/8s, 2003 1,250,000
....................................................................................................
2,681,000 Tenet Healthcare Corp. sr. notes
Ser. B, 8 1/8s, 2008 2,520,140
....................................................................................................
1,560,000 Tenet Healthcare Corp. sr. notes
8s, 2005 1,513,200
- ----------------------------------------------------------------------------------------------------
30,681,150
- ----------------------------------------------------------------------------------------------------
Hospital Management and Medical Services (0.3%)
....................................................................................................
870,000 Lifepoint Hospital Holdings 144A
sr. sub. notes 10 3/4s, 2009 885,225
....................................................................................................
2,330,000 Triad Hospitals Holdings 144A
sr. sub. notes 11s, 2009 2,364,950
- ----------------------------------------------------------------------------------------------------
3,250,175
- ----------------------------------------------------------------------------------------------------
Lodging (1.3%)
....................................................................................................
4,040,000 ITT Corp. notes 6 3/4s, 2005 3,698,054
....................................................................................................
1,560,000 Epic Resorts LLC company guaranty
Ser. B, 13s, 2005 1,435,200
....................................................................................................
4,860,000 HMH Properties, Inc. company guaranty
Ser. B, 7 7/8s, 2008 4,459,050
....................................................................................................
620,000 Host Marriott L.P. 144A sr. notes
8 3/8s, 2006 592,100
....................................................................................................
800,000 Patriot American Hospital term loan
Ser. B, 8 1/8s, 2003 800,000
....................................................................................................
2,000,000 Starwood Hotels Resorts Bank
Term Loan 7.861s, 2003 2,002,500
- ----------------------------------------------------------------------------------------------------
12,986,904
- ----------------------------------------------------------------------------------------------------
Manufacturing (0.1%)
....................................................................................................
1,880,000 Insilco Holding Co. sr. disc. notes
stepped-coupon zero % (14s, 8/15/03),
2008 (STP) 864,800
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (0.8%)
....................................................................................................
2,885,000 ALARIS Medical Systems, Inc. company
guaranty 9 3/4s, 2006 2,856,150
....................................................................................................
1,990,000 Dade International, Inc. sr. sub.
notes Ser. B, 11 1/8s, 2006 2,089,500
....................................................................................................
1,275,000 Kinetic Concepts, Inc. company
guaranty Ser. B, 9 5/8s, 2007 1,134,750
....................................................................................................
1,800,000 Mediq, Inc. company guaranty 11s, 2008 1,404,000
....................................................................................................
1,850,000 Mediq, Inc. deb. stepped-coupon
zero % (13s, 6/1/03), 2009 (STP) 703,000
- ----------------------------------------------------------------------------------------------------
8,187,400
- ----------------------------------------------------------------------------------------------------
Metals and Mining (0.9%)
....................................................................................................
160,000 Ameristeel Corp. company guaranty
Ser. B, 8 3/4s, 2008 160,400
....................................................................................................
3,020,000 Anker Coal Group, Inc. sr. notes
Ser. B, 9 3/4s, 2007 (In default) (NON) 1,570,400
....................................................................................................
1,000,000 Armco, Inc. sr. notes 9s, 2007 1,035,000
....................................................................................................
1,270,000 Continental Global Group sr. notes
Ser. B, 11s, 2007 1,060,450
....................................................................................................
1,850,000 Lodestar Holdings, Inc. company
guaranty 11 1/2s, 2005 1,406,000
....................................................................................................
2,560,000 Weirton Steel Co. sr. notes
11 3/8s, 2004 2,508,800
....................................................................................................
1,080,000 WHX Corp. sr. notes 10 1/2s, 2005 1,042,200
- ----------------------------------------------------------------------------------------------------
8,783,250
- ----------------------------------------------------------------------------------------------------
Motion Picture Distribution (0.6%)
....................................................................................................
370,000 AMC Entertainment, Inc. sr. sub. notes
9 1/2s, 2011 345,025
....................................................................................................
2,125,000 AMC Entertainment, Inc. sr. sub. notes
9 1/2s, 2009 2,040,000
....................................................................................................
1,695,000 Cinemark USA, Inc. sr. sub. notes
8 1/2s, 2008 (Mexico) 1,593,300
....................................................................................................
7,007,000 Diva Systems Corp. sr. disc. notes,
stepped-coupon Ser. B, zero %
(12 5/8s, 3/1/03), 2008 (STP) 2,032,030
- ----------------------------------------------------------------------------------------------------
6,010,355
- ----------------------------------------------------------------------------------------------------
Networking (0.1%)
....................................................................................................
530,000 Exodus Communications, Inc. 144A
sr. notes 11 1/4s, 2008 552,525
- ----------------------------------------------------------------------------------------------------
Oil and Gas (3.2%)
....................................................................................................
810,000 Belco Oil & Gas Corp. company
guaranty Ser. B, 10 1/2s, 2006 844,425
....................................................................................................
1,090,000 Belco Oil & Gas Corp. sr. sub. notes
Ser. B, 8 7/8s, 2007 1,070,925
....................................................................................................
1,590,000 Eagle Geophysical, Inc. company
guaranty Ser. B, 10 3/4s, 2008 874,500
....................................................................................................
830,000 Flores & Rucks, Inc. sr. sub. notes
9 3/4s, 2006 853,863
....................................................................................................
330,000 Gothic Energy Corp. sr. disc. notes,
stepped-coupon Ser. B, zero %
(14 1/8s, 5/1/03), 2006 (STP) 115,500
....................................................................................................
3,190,000 Gothic Production Corp. company
guaranty Ser. B, 11 1/8s, 2005 2,711,500
....................................................................................................
1,510,000 Gulf Canada Resources, Ltd. sr. notes
8 3/8s, 2005 (Canada) 1,489,298
....................................................................................................
650,000 Gulf Canada Resources, Ltd. sr. notes
8.35s, 2006 (Canada) 632,912
....................................................................................................
1,630,000 HS Resources, Inc. sr. sub. notes
Ser. B, 9 1/4s, 2006 1,613,700
....................................................................................................
870,000 Leviathan Gas Corp. 144A sr. sub. notes
10 3/8s, 2009 896,100
....................................................................................................
2,785,000 Ocean Energy, Inc. company guaranty
Ser. B, 8 7/8s, 2007 2,743,225
....................................................................................................
3,837,000 Ocean Energy, Inc. company guaranty
Ser. B, 8 3/8s, 2008 3,702,705
....................................................................................................
1,980,000 R & B Falcon Corp. 144A sr. notes
12 1/4s, 2006 2,049,300
....................................................................................................
1,270,000 RAM Energy Inc. sr. notes 11 1/2s, 2008 676,275
....................................................................................................
1,240,000 Seven Seas Petroleum sr. notes
Ser. B, 12 1/2s, 2005 632,400
....................................................................................................
2,280,000 Stone Energy Corp. company guaranty
8 3/4s, 2007 2,308,500
....................................................................................................
1,410,000 Triton Energy Ltd. sr. notes 9 1/4s, 2005 1,376,696
....................................................................................................
4,775,000 Triton Energy Ltd. sr. notes 8 3/4s, 2002 4,729,638
....................................................................................................
3,540,000 Vintage Petroleum sr. sub. notes
9 3/4s, 2009 3,628,500
- ----------------------------------------------------------------------------------------------------
32,949,962
- ----------------------------------------------------------------------------------------------------
Packaging and Containers (1.9%)
....................................................................................................
2,245,000 AEP Industries, Inc. sr. sub. notes
9 7/8s, 2007 2,245,000
....................................................................................................
1,000,000 Ball Corp. company guaranty
7 3/4s, 2006 980,000
....................................................................................................
1,600,000 Huntsman Packaging Corp. company
guaranty 9 1/8s, 2007 1,568,000
....................................................................................................
745,000 Innova S De R.L. sr. notes 12 7/8s,
2007 (Mexico) 596,000
....................................................................................................
2,985,000 Jefferson Smurfit Bank Term Loan
8.65s, 2006 2,988,731
....................................................................................................
4,660,000 Packaging Corp. 144A sr. sub. notes
9 5/8s, 2009 4,706,600
....................................................................................................
1,829,132 Packaging Corp. Bank Term Loan 6s, 2008 1,823,279
....................................................................................................
590,000 Radnor Holdings Inc. sr. notes 10s, 2003 619,500
....................................................................................................
1,095,000 Riverwood International Corp. company
guaranty 10 7/8s, 2008 1,062,150
....................................................................................................
3,360,000 Riverwood International Corp. company
guaranty 10 1/4s, 2006 3,393,600
- ----------------------------------------------------------------------------------------------------
19,982,860
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (1.7%)
....................................................................................................
2,114,538 Alabama River Newsprint bank loan
notes FRNs, 2002 1,733,921
....................................................................................................
3,315,000 APP Finance II Mauritius Ltd. bonds
stepped-coupon 12s, (16s, 2/15/04),
2049 (Indonesia) (STP) 2,187,900
....................................................................................................
190,000 Boise Cascade Co. med. term notes
Ser. A, 7.43s, 2005 178,938
....................................................................................................
1,920,000 Doman Industries 144A sec. notes 12s,
2004 (Canada) 1,843,200
....................................................................................................
2,460,000 Pacifica Papers, Inc. 144A sr. notes
10s, 2009 (Canada) 2,533,800
....................................................................................................
3,480,000 Pindo Deli Finance Mauritius Ltd.
company guaranty 10 3/4s, 2007
(Indonesia) 2,401,200
....................................................................................................
2,450,000 Repap New Brunswick sr. notes
10 5/8s, 2005 (Canada) 1,874,250
....................................................................................................
870,000 Republic Group, Inc. sr. sub. notes
9 1/2s, 2008 852,600
....................................................................................................
3,930,000 Tembec Industries, Inc. company
guaranty 8 5/8s, 2009 (Canada) 3,890,700
- ----------------------------------------------------------------------------------------------------
17,496,509
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (0.4%)
....................................................................................................
860,000 Biovail Corp. International sr. notes
10 7/8s, 2005 894,400
....................................................................................................
3,300,000 ICN Pharmaceuticals, Inc. 144A sr. notes
9 1/4s, 2005 3,328,875
- ----------------------------------------------------------------------------------------------------
4,223,275
- ----------------------------------------------------------------------------------------------------
Photography (--%)
....................................................................................................
650,000 PX Escrow Corp. sr. disc. notes
stepped-coupon zero % (9 5/8s,
2/1/02), 2006 (STP) 396,500
- ----------------------------------------------------------------------------------------------------
Publishing (0.8%)
....................................................................................................
2,295,000 Affinity Group Holdings sr. notes
11s, 2007 2,226,150
....................................................................................................
1,330,000 American Media Operation, Inc. 144A
sr. sub. notes 10 1/4s, 2009 1,343,300
....................................................................................................
2,775,000 Perry-Judd company guaranty
10 5/8s, 2007 2,775,000
....................................................................................................
525,277 Von Hoffman Press, Inc. 144A sr. sub.
notes 13 1/2s, 2009 501,640
....................................................................................................
1,505,000 Von Hoffman Press, Inc. 144A sr. sub.
notes 10 3/8s, 2007 1,505,000
- ----------------------------------------------------------------------------------------------------
8,351,090
- ----------------------------------------------------------------------------------------------------
Railroads (0.3%)
....................................................................................................
2,105,000 TFM S.A. de C.V. company guaranty
10 1/4s, 2007 (Mexico) 1,852,400
....................................................................................................
2,545,000 TFM S.A. de C.V. company guaranty
stepped-coupon zero %, (11 3/4s,
6/15/02), 2009 (Mexico) (STP) 1,501,550
- ----------------------------------------------------------------------------------------------------
3,353,950
- ----------------------------------------------------------------------------------------------------
Restaurants (0.1%)
....................................................................................................
1,000,000 FRD Acquisition Co. sr. notes Ser. B,
12 1/2s, 2004 965,000
- ----------------------------------------------------------------------------------------------------
Retail (1.1%)
....................................................................................................
1,400,000 Home Interiors & Gifts, Inc. company
guaranty 10 1/8s, 2008 1,386,000
....................................................................................................
4,000,000 K mart Corp. pass-through
certificates Ser. 95K4, 9.35s, 2020 4,330,000
....................................................................................................
303,000 Kasper A.S.L. Ltd. sr. notes 12 3/4s, 2004 296,940
....................................................................................................
2,035,000 Mothers Work, Inc. sr. notes 12 5/8s, 2005 2,106,225
....................................................................................................
3,365,000 NBTY Inc. 144A sr. sub. notes 8 5/8s, 2007 2,902,313
....................................................................................................
600,000 North Atlantic Trading Co. company
guaranty Ser. B, 11s, 2004 609,000
- ----------------------------------------------------------------------------------------------------
11,630,478
- ----------------------------------------------------------------------------------------------------
Satellite Services (0.3%)
....................................................................................................
2,410,000 Golden Sky Systems company guaranty
Ser. B, 12 3/8s, 2006 2,675,100
- ----------------------------------------------------------------------------------------------------
Semiconductors (1.2%)
....................................................................................................
3,200,000 Amkor Technologies, Inc. 144A sr. notes
9 1/4s, 2006 3,112,000
....................................................................................................
4,157,097 Fairchild Semiconductor Corp. 144A
sr. sub. notes 11.74s, 2008 (PIK) 4,053,170
....................................................................................................
3,040,000 Fairchild Semiconductor Corp. sr. sub.
notes 10 1/8s, 2007 2,948,800
....................................................................................................
2,230,000 Zilog, Inc. company guaranty Ser. B,
9 1/2s, 2005 1,967,975
- ----------------------------------------------------------------------------------------------------
12,081,945
- ----------------------------------------------------------------------------------------------------
Steel (1.0%)
....................................................................................................
3,120,000 AK Steel Corp. sr. notes 9 1/8s, 2006 3,198,000
....................................................................................................
1,940,000 AK Steel Corp. 144A sr. notes
7 7/8s, 2009 1,862,400
....................................................................................................
900,000 Armco, Inc. sr. notes 8 7/8s, 2008 913,500
....................................................................................................
1,650,000 National Steel Corp. 1st mtge.
Ser. D, 9 7/8s, 2009 1,683,000
....................................................................................................
2,400,000 WCI Steel, Inc. sr. notes Ser. B, 10s, 2004 2,442,000
- ----------------------------------------------------------------------------------------------------
10,098,900
- ----------------------------------------------------------------------------------------------------
Telecommunications (12.4%)
....................................................................................................
5,200,000 21st Century Telecom Group, Inc.
sr. disc. notes stepped-coupon zero %
(12 1/4s, 2/15/03), 2008 (STP) 2,288,000
....................................................................................................
3,260,000 Alaska Communications Systems 144A
sr. sub. notes 9 3/8s, 2009 3,137,750
....................................................................................................
3,855,000 Barak I.T.C. sr. disc. notes stepped-coupon
Ser. B, zero % (12 1/2s, 11/15/02),
2007 (Israel) (STP) 2,197,350
....................................................................................................
1,680,000 Bestel S.A.de C.V. sr. disc. notes
stepped-coupon zero % (12 3/4s,
5/15/03), 2005 (Mexico) (STP) 1,075,200
....................................................................................................
1,890,000 Birch Telecommunications, Inc. sr.
notes 14s, 2008 1,804,950
....................................................................................................
1,570,000 CapRock Communications Corp.
sr. notes Ser. B, 12s, 2008 1,617,100
....................................................................................................
2,010,000 CapRock Communications Corp. 144A
sr. notes 11 1/2s, 2009 2,030,100
....................................................................................................
9,760,000 Charter Communications Holdings LLC
144A sr. disc. notes stepped-coupon
zero % (9.92s, 4/1/04), 2011 (STP) 6,051,200
....................................................................................................
4,040,000 Charter Communications Holdings LLC
144A sr. notes 8 5/8s, 2009 3,868,300
....................................................................................................
3,080,000 Covad Communications Group Inc.
sr. notes 12 1/2s, 2009 2,964,500
....................................................................................................
4,690,000 Covad Communications Group, Inc.
sr. disc. notes stepped-coupon Ser. B,
zero % (13 1/2s, 03/15/03), 2008 (STP) 2,567,775
....................................................................................................
1,330,000 Econophone, Inc. company guaranty
13 1/2s, 2007 1,389,850
....................................................................................................
3,350,000 Econophone, Inc. 144A notes
stepped-coupon zero % (11s, 2/15/03),
2008 (STP) 1,742,000
....................................................................................................
1,190,000 Esprit Telecom Group PLC sr. notes
11 1/2s, 2007 (United Kingdom) 1,249,500
....................................................................................................
5,260,000 Firstworld Communication Corp.
sr. disc. notes stepped-coupon zero %
(13s, 4/15/03), 2008 (STP) 2,735,200
....................................................................................................
8,040,000 Focal Communications Corp. sr. disc.
notes, stepped-coupon Ser. B, zero %
(12 1/8s, 02/15/03), 2008 (STP) 4,422,000
....................................................................................................
6,876,000 GST Telecommunications, Inc. company
guaranty stepped-coupon zero %
(13 7/8s, 15/15/00), 2005 (STP) 5,603,940
....................................................................................................
3,560,000 GST Telecommunications, Inc. 144A
sr. disc. notes stepped-coupon zero %
(10 1/2s, 5/1/03), 2008 (STP) 2,011,400
....................................................................................................
2,895,000 Hyperion Telecommunications Corp.,
Inc. sr. notes Ser. B, 12 1/4s, 2004 3,039,750
....................................................................................................
2,260,000 Hyperion Telecommunications, Corp.
144A sr. sub. notes 12s, 2007 2,282,600
....................................................................................................
9,050,000 ICG Communications, Inc. sr. disc.
notes stepped-coupon zero %
(10s, 02/15/03), 2008 (STP) 4,887,000
....................................................................................................
1,905,000 ICG Holdings, Inc. sr. disc. notes
stepped-coupon zero % (13 1/2s,
9/15/00), 2005 (Canada) (STP) 1,676,400
....................................................................................................
5,000,000 ICG Services, Inc. sr. disc. notes
stepped-coupon zero % (9 7/8s,
5/1/03), 2008 (STP) 2,650,000
....................................................................................................
3,310,000 Intermedia Communications, Inc.
sr. disc. notes stepped-coupon Ser. B,
zero % (11 1/4s, 7/15/02), 2007 (STP) 2,350,100
....................................................................................................
2,990,000 Intermedia Communications, Inc.
sr. notes Ser. B, 8.6s, 2008 2,750,800
....................................................................................................
3,750,000 Intermedia Communications, Inc.
sr. notes Ser. B, 8 1/2s, 2008 3,440,625
....................................................................................................
7,234,000 KMC Telecom Holdings, Inc. sr. disc.
notes stepped-coupon zero %
(12 1/2s, 2/15/03), 2008 (STP) 3,797,850
....................................................................................................
5,440,000 Knology Holdings, Inc. sr. disc.
notes stepped-coupon zero %,
(11 7/8s, 10/15/02), 2007 (STP) 3,155,200
....................................................................................................
560,000 McLeodUSA, Inc. 144A sr. notes
8 1/8s, 2009 520,800
....................................................................................................
1,030,000 MetroNet Communications Corp.
sr. disc. notes stepped-coupon zero %
(10 3/4s, 11/1/02), 2007 (Canada) (STP) 803,400
....................................................................................................
2,410,000 MetroNet Communications Corp.
sr. disc. notes stepped-coupon zero %
(9.95s, 6/15/03), 2008 (Canada) (STP) 1,783,400
....................................................................................................
765,000 MetroNet Communications Corp.
sr. notes 12s, 2007 (Canada) 872,100
....................................................................................................
4,130,000 MetroNet Communications Corp. 144A
sr. notes 10 5/8s, 2008 (Canada) 4,697,875
....................................................................................................
4,290,000 Microcell Telecommunications sr. disc.
notes stepped-coupon Ser. B, zero %
(14s, 12/1/01), 2006 (Canada) (STP) 3,474,900
....................................................................................................
430,000 Netia Holdings B.V. 144A company
guaranty stepped-coupon zero %
(11 1/4s, 11/1/01), 2007 (Poland) (STP) 266,600
....................................................................................................
755,000 Netia Holdings B.V. 144A company
guaranty 10 1/4s, 2007 (Poland) 656,850
....................................................................................................
3,240,000 NorthEast Optic Network, Inc. sr. notes
12 3/4s, 2008 3,337,200
....................................................................................................
2,020,000 NTL Communications Corp. sr. notes
Ser. B, 11 1/2s, 2008 2,211,900
....................................................................................................
3,420,000 Pathnet, Inc. sr. notes 12 1/4s, 2008 1,915,200
....................................................................................................
1,610,000 Primus Telecommunications Group, Inc.
sr. notes Ser. B, 9 7/8s, 2008 1,553,650
....................................................................................................
3,760,000 Qwest Communications International,
Inc. sr. disc. notes stepped-coupon
zero % (9.47s, 10/15/02), 2007 (STP) 2,938,929
....................................................................................................
4,090,000 Rhythms Netconnections, Inc. sr. disc.
notes stepped-coupon Ser. B, zero %
(13 1/2s, 5/15/03), 2008 (STP) 2,177,925
....................................................................................................
810,000 Rogers Cantel, Inc. sr. sub. notes 8.8s,
2007 (Canada) 810,000
....................................................................................................
1,790,000 Startec Global Communications Corp.
sr. notes 12s, 2008 1,557,300
....................................................................................................
1,260,000 Telecommunications Techniques, Inc.
company guaranty 9 3/4s, 2008 1,241,100
....................................................................................................
1,330,000 Telehub Communications Corp. company
guaranty stepped-coupon zero %
(13 7/8s, 7/31/02), 2005 (STP) 877,800
....................................................................................................
4,500,000 Time Warner Telecom Inc. sr. notes
9 3/4s, 2008 4,612,500
....................................................................................................
4,950,000 WinStar Communications, Inc. sr. sub.
notes stepped-coupon zero %
(15s, 3/1/02), 2007 (STP) 5,742,000
....................................................................................................
7,800,000 WinStar Communications. Inc. sr. sub.
notes 11s, 2008 6,864,000
- ----------------------------------------------------------------------------------------------------
127,701,869
- ----------------------------------------------------------------------------------------------------
Telephone Services (5.0%)
....................................................................................................
3,190,000 Allegiance Telecom, Inc. sr. disc.
notes stepped-coupon Ser. B, zero %
(11 3/4s, 2/15/03), 2008 (STP) 1,969,825
....................................................................................................
440,000 Allegiance Telecom, Inc. sr. notes
12 7/8s, 2008 466,400
....................................................................................................
5,230,000 BTI Telecom Corp. sr. notes 10 1/2s, 2007 4,497,800
....................................................................................................
1,670,000 Call-Net Enterprises, Inc. sr. notes 8s,
2008 (Canada) 1,486,300
....................................................................................................
7,170,000 Call-Net Enterprises, Inc. sr. disc. notes
stepped-coupon zero % (10.8s, 5/15/04),
2009 (Canada) (STP) 3,943,500
....................................................................................................
4,030,000 Call-Net Enterprises, Inc. sr. disc. notes
stepped-coupon zero % (9.27s, 8/15/02),
2007 (Canada) (STP) 2,559,050
....................................................................................................
1,750,000 Call-Net Enterprises, Inc. sr. disc. notes
stepped-coupon zero % (8.94s, 8/15/03),
2008 (Canada) (STP) 975,625
....................................................................................................
3,730,000 Celcaribe S.A. sr. notes 13 1/2s, 2004
(Colombia) 3,245,100
....................................................................................................
8,805,000 Colt Telecommunications Group PLC
sr. disc. notes stepped-coupon zero %
(12s, 12/15/01), 2006 (United Kingdom) (STP) 7,264,125
....................................................................................................
1,370,000 Facilicom International sr. notes
Ser. B, 10 1/2s, 2008 1,068,600
....................................................................................................
3,625,000 Flag Ltd. 144A sr. notes 8 1/4s,
2008 (Bermuda) 3,380,304
....................................................................................................
510,000 Hermes Europe Railtel 144A sr. notes
11 1/2s, 2007 (Netherlands) 535,500
....................................................................................................
2,110,000 Logix Communications Enterprises
sr. notes 12 1/4s, 2008 1,899,000
....................................................................................................
310,000 Long Distance International, Inc.
sr. notes 12 1/4s, 2008 210,025
....................................................................................................
970,000 OnePoint Communications Corp. 144A
sr. notes 14 1/2s, 2008 523,800
....................................................................................................
4,045,000 RSL Communications, Ltd. company
guaranty 12 1/4s, 2006 4,227,025
....................................................................................................
570,000 RSL Communications, Ltd. company
guaranty 9 1/8s, 2008 520,125
....................................................................................................
1,480,000 RSL Communications, Ltd. 144A
10 1/2s, 2008 1,461,500
....................................................................................................
1,865,000 Transtel S.A. 144A pass-through
certificates 12 1/2s, 2007 (Colombia) 1,063,050
....................................................................................................
1,290,000 US Xchange LLC sr. notes 15s, 2008 1,328,700
....................................................................................................
1,770,000 Versatel Telecom B.V. sr. notes 13 1/4s,
2008 (Netherlands) 1,831,950
....................................................................................................
720,000 Versatel Telecom B.V. 144A sr. notes
13 1/4s, 2008 (Netherlands) 745,200
....................................................................................................
6,910,000 Viatel, Inc. sr. disc. notes stepped-coupon
zero % (12 1/2s, 4/15/03), 2008 (STP) 4,422,400
....................................................................................................
1,480,000 Viatel, Inc. sr. notes 11 1/4s, 2008 1,502,200
- ----------------------------------------------------------------------------------------------------
51,127,104
- ----------------------------------------------------------------------------------------------------
Textiles (0.4%)
....................................................................................................
1,260,000 Polymer Group, Inc. company guaranty
Ser. B, 9s, 2007 1,206,450
....................................................................................................
1,190,000 Polymer Group, Inc. company guaranty
Ser. B, 8 3/4s, 2008 1,127,525
....................................................................................................
320,000 Westpoint Stevens, Inc. sr. notes
7 7/8s, 2008 307,200
....................................................................................................
1,000,000 Westpoint Stevens, Inc. sr. notes
7 7/8s, 2005 977,500
- ----------------------------------------------------------------------------------------------------
3,618,675
- ----------------------------------------------------------------------------------------------------
Transportation (0.2%)
....................................................................................................
3,450,000 Cathay International Ltd. 144A sr. notes
13s, 2008 (China) 1,276,500
....................................................................................................
1,170,000 Kitty Hawk, Inc. company guaranty
9.95s, 2004 1,152,450
- ----------------------------------------------------------------------------------------------------
2,428,950
- ----------------------------------------------------------------------------------------------------
Trucking (0.1%)
....................................................................................................
750,000 Johnstown America Industries, Inc.
sr. sub. notes 11 3/4s, 2005 791,250
....................................................................................................
1,590,000 Johnstown America Industries, Inc.
company guaranty Ser. C, 11 3/4s, 2005 1,677,450
- ----------------------------------------------------------------------------------------------------
2,468,700
- ----------------------------------------------------------------------------------------------------
Wireless Communications (0.6%)
....................................................................................................
940,000 American Mobile Satellite Corp.
company guaranty 12 1/4s, 2008 719,100
....................................................................................................
170,000 Clearnet Communications, Inc. sr. disc.
notes stepped-coupon zero %
(14 3/4s, 12/15/00), 2005 (STP) 154,700
....................................................................................................
1,990,000 Orbital Imaging Corp. sr. notes
Ser. B, 11 5/8s, 2005 1,810,900
....................................................................................................
1,300,000 Paging Network Do Brasil sr. notes
13 1/2s, 2005 (Brazil) 533,000
....................................................................................................
5,210,000 Telecorp PCS Inc. 144A sr. disc.
notes stepped-coupon zero %,
(11 5/8s, 4/15/04), 2009 (STP) 2,917,600
....................................................................................................
1,000,000 Telesystem International Wireless
Inc. sr. disc. notes stepped-coupon
Ser. C, zero %, (10 1/2s, 11/1/02),
2007 (Canada) (STP) 440,000
- ----------------------------------------------------------------------------------------------------
6,575,300
- ----------------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $956,088,148) $878,013,626
- ----------------------------------------------------------------------------------------------------
PREFERRED STOCKS (7.7%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
Banks (1.0%)
....................................................................................................
230,000 California Federal Bancorp Inc.
Ser. A, $2.281 pfd. $5,980,000
....................................................................................................
56,820 Chevy Chase Capital Corp. Ser. A,
$5.188 pfd. (PIK) 3,011,460
....................................................................................................
20,000 Chevy Chase Savings Bank $3.25 pfd. 595,000
....................................................................................................
1,010 First Republic 144A 10.50% pfd. 1,060,500
- ----------------------------------------------------------------------------------------------------
10,646,960
- ----------------------------------------------------------------------------------------------------
Broadcasting (1.9%)
....................................................................................................
30,812 Capstar Broadcasting, Inc. 144A
$12.00 pfd. (PIK) 3,620,410
....................................................................................................
14,658 Capstar Communications, Inc. Ser. E,
$12.625 cum. pfd. (PIK) 1,817,592
....................................................................................................
23,075 Citadel Broadcasting Inc. 144A $13.25
cum. pfd. (PIK) 2,676,700
....................................................................................................
3,716 Granite Broadcasting 144A
$12.75 pfd. (PIK) 3,641,680
....................................................................................................
415 Paxson Communications Corp. 13.25%
cum. pfd. (PIK) 3,735,000
....................................................................................................
3,402 Spanish Broadcasting Systems 14.25%
cum. pfd. (PIK) 3,691,170
- ----------------------------------------------------------------------------------------------------
19,182,552
- ----------------------------------------------------------------------------------------------------
Building and Construction (0.8%)
....................................................................................................
21,620 Brand Scaffold Services, Inc. 144A
$3.625 pfd. 648,600
....................................................................................................
653 CSC Holdings, Inc. Ser. H, $11.75
cum. pfd. (PIK) 70,851
....................................................................................................
64,717 CSC Holdings, Inc. Ser. M, $11.125
cum. pfd. (PIK) 7,313,021
- ----------------------------------------------------------------------------------------------------
8,032,472
- ----------------------------------------------------------------------------------------------------
Cellular Communications (0.4%)
....................................................................................................
4,580 Dobson Communications 144A
$13.00 pfd. (PIK) 4,488,400
....................................................................................................
294 NEXTEL Communications, Inc. Ser. E,
11.125% pfd. (PIK) 295,470
- ----------------------------------------------------------------------------------------------------
4,783,870
- ----------------------------------------------------------------------------------------------------
Computer Services (0.1%)
....................................................................................................
1,331 Concentric Network Corp. Ser. B,
13.50% pfd. (PIK) 1,264,450
- ----------------------------------------------------------------------------------------------------
Electric Utilities (0.1%)
....................................................................................................
28,588 Public Service Co. of New Hampshire
$2.651 1st mtge. pfd. 714,700
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (0.5%)
....................................................................................................
122,819 CGA Group Ltd. 144A Ser. A,
$13.75 pfd. (PIK) 3,377,523
....................................................................................................
790,000 CSBI Capital Trust I 144A company
guaranty 11.75% pfd. 845,300
....................................................................................................
12,500 Sinclair Capital $11.625 cum. pfd. 1,306,250
- ----------------------------------------------------------------------------------------------------
5,529,073
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (0.5%)
....................................................................................................
2,405 Fresenius Medical Capital Trust I
company guaranty Ser. D, 9.00% pfd.
(Germany) 2,585,375
....................................................................................................
2,830 Fresenius Medical Capital Trust II
company guaranty, 7.875% pfd.
(Germany) 2,759,250
- ----------------------------------------------------------------------------------------------------
5,344,625
- ----------------------------------------------------------------------------------------------------
Motion Picture Distribution (0.1%)
....................................................................................................
91,670 Diva Systems Corp. Ser. C, $6.00 pfd. 550,020
- ----------------------------------------------------------------------------------------------------
Oil and Gas (0.2%)
....................................................................................................
1,810 R & B Falcon Corp. $1.387 cv. pfd. 1,846,200
- ----------------------------------------------------------------------------------------------------
Packaging and Containers (0.1%)
....................................................................................................
9,100 Packaging Corp. America 144A
$12.375 pfd. (PIK) 964,600
- ----------------------------------------------------------------------------------------------------
Restaurants (0.1%)
....................................................................................................
31,953 AmeriKing, Inc. $3.25 pfd. (PIK) 734,919
- ----------------------------------------------------------------------------------------------------
Telecommunications (1.5%)
....................................................................................................
235 21st Century Telecom Group 144A
$13.75 cum. pfd. (PIK) 117,500
....................................................................................................
1,451 ICG Holdings, Inc. $14.25 pfd. (Canada) 1,400,215
....................................................................................................
3,702 ICG Holdings, Inc., 144A $14.00 pfd.
(Canada) (PIK) 3,442,860
....................................................................................................
5,232 Intermedia Communication Ser. B,
13.50% pfd. (PIK) 5,127,360
....................................................................................................
1,337 IXC Communications, Inc. $12.50 pfd. (PIK) 1,283,520
....................................................................................................
41,972 Nextlink Communications, Inc. 144A
$7.00 cum. pfd. (PIK) 2,119,586
....................................................................................................
2,990 WinStar Communications, Inc. 144A
$14.25 cum. pfd. (PIK) 2,421,900
- ----------------------------------------------------------------------------------------------------
15,912,941
- ----------------------------------------------------------------------------------------------------
Telephone Services (0.4%)
....................................................................................................
3,950 Network Plus Corp. 144A $13.50 pfd. 4,147,500
- ----------------------------------------------------------------------------------------------------
Total Preferred Stocks
(cost $78,845,221) $79,654,882
- ----------------------------------------------------------------------------------------------------
WARRANTS (1.0%) (a) (NON)
- ----------------------------------------------------------------------------------------------------
Number of Warrants Expiration Date Value
....................................................................................................
200 21st Century Telecom
Group 144A 2/15/10 $4,000
....................................................................................................
950 American Mobile Satellite Corp. 4/1/08 38,000
....................................................................................................
1,680 Bestel S.A. (Mexico) 5/15/05 3,360
....................................................................................................
1,600 Birch Telecommunications,
Inc. 144A (PIK) 6/15/08 8,000
....................................................................................................
8,867 Cellnet Data Systems, Inc. 10/1/07 203,941
....................................................................................................
122,500 CGA Group Ltd. 144A 2/11/07 2,450
....................................................................................................
2,175 Club Regina, Inc. 144A 12/1/04 2,175
....................................................................................................
8,805 Colt Telecommunications
Group PLC 12/31/06 3,522,000
....................................................................................................
24,840 Consorcio Ecuatoriano
144A (Ecuador) 10/1/00 2,484
....................................................................................................
2,145 Diva Systems Corp. 5/15/06 519,090
....................................................................................................
21,021 Diva Systems Corp. 3/1/08 252,252
....................................................................................................
48,150 DTI Holdings Inc. 3/1/08 482
....................................................................................................
30 E. Spire Communications, Inc. 11/1/05 450
....................................................................................................
4,700 Econophone, Inc. 144A 7/1/07 282,000
....................................................................................................
1,560 Epic Resorts 6/15/05 16
....................................................................................................
1,345 Esat Holdings, Inc. (Ireland) 2/1/07 95,495
....................................................................................................
5,960 Firstworld Communication 4/15/08 298,000
....................................................................................................
1,890 Globalstar Telecommunications 2/15/04 103,950
....................................................................................................
4,735 Hyperion Telecommunications
144A 4/15/01 362,819
....................................................................................................
24,750 ICG Communications 10/15/05 476,438
....................................................................................................
1,880 Insilco Holding Co. 8/15/08 19
....................................................................................................
2,590 Interact Systems, Inc. 8/1/03 26
....................................................................................................
3,240 Intermedia Communications 6/1/00 210,600
....................................................................................................
1,360 International Wireless
Communications Holdings 144A 8/15/01 7
....................................................................................................
1,500 Iridium World Com 144A 7/15/05 750
....................................................................................................
6,794 KMC Telecom Holdings, Inc. 4/15/08 20,382
....................................................................................................
6,100 Knology Holdings, Inc. 144A 10/15/07 13,725
....................................................................................................
310 Long Distance
International, Inc. 144A 4/13/08 620
....................................................................................................
6,920 McCaw International Ltd. 4/15/07 27,680
....................................................................................................
1,850 Mediq Inc. 144A 6/1/09 19
....................................................................................................
765 Metronet Communications
144A 8/15/07 57,375
....................................................................................................
500 MGC Communications, Inc.
144A 10/1/04 58,000
....................................................................................................
30,613 Network Plus Corp. 12/31/00 592,352
....................................................................................................
970 Onepoint Communications, Inc. 6/1/08 970
....................................................................................................
1,990 Orbital Imaging Corp. 144A 3/1/05 59,700
....................................................................................................
3,895 Orion Network Systems 1/15/07 45,766
....................................................................................................
7,130 Pagemart, Inc. 144A 12/31/03 57,040
....................................................................................................
3,420 Pathnet, Inc. 144A 4/15/08 34,200
....................................................................................................
3,200 Paxson Communications
Corp. 144A 6/30/03 32
....................................................................................................
14,880 Powertel, Inc. 2/1/06 59,520
....................................................................................................
18,480 Rhythms Netcon 144A 5/15/08 3,107,227
....................................................................................................
1,790 Startec Global
Communications Corp. 5/15/08 1,790
....................................................................................................
960 Sterling Chemicals Holdings 8/15/08 14,400
....................................................................................................
1,330 Telehub Communications Corp. 7/31/05 39,900
....................................................................................................
6,950 UIH Australia/Pacific, Inc. 144A 5/15/06 13,900
....................................................................................................
19,720 USN Communications Inc. 8/15/04 197
....................................................................................................
2,490 Versatel Telecom B.V. 144A
(Netherlands) 5/15/08 124,500
....................................................................................................
1,950 WAM!NET, Inc. 3/1/05 44,363
....................................................................................................
1,650 Wireless One, Inc. 10/19/00 8
....................................................................................................
304,700 Wright Medical
Technology, Inc. 144A 6/30/03 3
- ----------------------------------------------------------------------------------------------------
Total Warrants
(cost $3,387,487) $10,762,473
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (0.9%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$665,000 Argosy Gaming cv. sub. notes 12s, 2001 $678,300
....................................................................................................
652,000 GST Telecommunications, Inc. cv.
sr. disc. notes stepped-coupon zero %
(13 7/8s, 12/15/00), 2005 (STP) 749,800
....................................................................................................
1,030,000 Integrated Device Technology, Inc.
cv. sub. notes 5 1/2s, 2002 834,300
....................................................................................................
1,000,000 LAM Research Corp. cv. sub. notes
5s, 2002 937,500
....................................................................................................
900,000 LAM Research Corp. 144A cv. sub.
notes 5s, 2002 843,750
....................................................................................................
3,000,000 Micron Technology, Inc cv. 6 1/2s, 2005 2,295,000
....................................................................................................
4,070,000 Total Renal Care Holdings, Inc. 144A
cv. 7s, 2009 3,337,400
- ----------------------------------------------------------------------------------------------------
Total Convertible Bonds and Notes
(cost $9,136,421) $9,676,050
- ----------------------------------------------------------------------------------------------------
UNITS (0.6%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Units Value
....................................................................................................
2,510 Network Plus Corp. units pfd.
13 1/4s, 2009 $2,566,475
....................................................................................................
1,470,000 Tele1 Europe BV 144A units 13s, 2009 1,528,800
....................................................................................................
2,695 XCL Ltd. units sr. sec. notes 13 1/2s, 2004 1,670,900
....................................................................................................
13,850 XCL Ltd. 144A units cum. pfd. zero % (PIK) 193,900
- ----------------------------------------------------------------------------------------------------
Total Units (cost $7,862,250) $5,960,075
- ----------------------------------------------------------------------------------------------------
COMMON STOCKS (0.6%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
6,769 Allegiance Telecom, Inc. (NON) $371,449
....................................................................................................
25,000 American Mobile Satellite Corp. (NON) 409,375
....................................................................................................
750 AmeriKing, Inc. (NON) 30,000
....................................................................................................
4,275 Axia Holding Inc. 144A (PIK) 59,850
....................................................................................................
209,363 Celcaribe (NON) 130,852
....................................................................................................
606,498 Celcaribe S.A. 144A (Colombia) (NON) 1,061,372
....................................................................................................
50,680 CellNet Data Systems, Inc. (NON) 456,120
....................................................................................................
16,000 French Fragrances Inc. (NON) 117,000
....................................................................................................
20,016 Hedstrom Holdings, Inc. 144A 20,016
....................................................................................................
592 Mothers Work, Inc. (NON) 7,696
....................................................................................................
1,500 Paging Do Brazil Holdings Co., LLC
144A Class B (Brazil) 15
....................................................................................................
665 Premium Holdings (L.P.) 144A (NON) 2,493
....................................................................................................
157,853 PSF Holdings LLC Class A (NON) 1,933,699
....................................................................................................
696 Spanish Broadcasting System, Inc. 417,300
....................................................................................................
15,000 Specialty Foods Acquisition Corp. (NON) 750
....................................................................................................
28,955 Viatel, Inc. (NON) 1,625,083
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $9,203,606) $6,643,070
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.6%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
12,800 Chancellor Media Corp. $3.00
cv. cum. pfd. $1,409,600
....................................................................................................
11,670 Chesapeake Energy Corp. $3.50
cum. cv. pfd. 284,456
....................................................................................................
54,170 Global Telesystems, Inc. 144A $3.625
cv. pfd. 3,548,135
....................................................................................................
107 Paxson Communications Corp. 144A
$9.75 cv. pfd. (PIK) 1,070,000
....................................................................................................
2,736 XCL Ltd 144A Ser. A, $9.50 cv. cum. pfd. 38,304
- ----------------------------------------------------------------------------------------------------
Total Convertible Preferred Stocks
(cost $6,042,284) $6,350,495
- ----------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (0.5%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$2,900,000 Criimi Mae Commercial Mortgage Trust
Ser. 1998-C1, Class C, 7s, 2012 $2,040,648
....................................................................................................
1,592,850 Freddie Mac Ser. 2076, Class PI, IO,
6 1/2s, 2022 $258,091
....................................................................................................
2,068,796 Freddie Mac Strip Ser. 201, Interest
Only (IO), 6s, 2029 651,024
....................................................................................................
900,000 GS Mortgage Securities Corp.
Ser. 1999-FL2A, Class G, 7.03s, 2013 836,719
....................................................................................................
2,125,786 Merrill Lynch Mortgage Investors,
Inc. Ser. 96-C2, IO, 1.5239s, 2028 153,042
....................................................................................................
18,023,197 Mortgage Capital Funding, Inc.
Ser. 98-MC1, Class X, IO 0.86s, 2009 709,663
- ----------------------------------------------------------------------------------------------------
Total Collateralized Mortgage Obligations
(cost $4,706,489) $4,649,187
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (1.1%) (a) (cost $10,997,000)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$10,997,000 Interest in $402,952,000 joint repurchase
agreement dated June 30, 1999 with
Merrill Lynch, Pierce, Fenner & Smith, Inc.
due July 1, 1999 with respect to various
U.S. Treasury obligations -- maturity
value of $10,998,436 for an effective
yield of 4.70% $10,997,000
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $1,086,268,906)(b) $1,012,706,858
- ----------------------------------------------------------------------------------------------------
See page 124 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT Income Fund
Portfolio of investments owned
June 30, 1999 (Unaudited)
<CAPTION>
CORPORATE BONDS AND NOTES (51.8%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
<S> <C> <C> <C> <C>
Advertising (0.3%)
....................................................................................................
$830,000 Adams Outdoor Advertising sr. notes
10 3/4s, 2006 $888,100
....................................................................................................
1,000,000 Lamar Advertising Co. company
guaranty 8 5/8s, 2007 1,015,000
....................................................................................................
1,000,000 Outdoor Systems, Inc. company
guaranty 8 7/8s, 2007 1,045,000
- ----------------------------------------------------------------------------------------------------
2,948,100
- ----------------------------------------------------------------------------------------------------
Aerospace and Defense (1.2%)
....................................................................................................
1,000,000 Argo-Tech Corp. company guaranty
8 5/8s, 2007 925,000
....................................................................................................
1,000,000 BE Aerospace, Inc. sr. sub. notes
Ser. B, 8s, 2008 935,000
....................................................................................................
5,025,000 Boeing Co. deb. 6 5/8s, 2038 4,510,189
....................................................................................................
5,175,000 Lockheed Martin Corp. company
guaranty 7.45s, 2004 5,306,963
....................................................................................................
1,000,000 Sequa Corp. sr. sub. notes 9 3/8s, 2003 1,015,000
- ----------------------------------------------------------------------------------------------------
12,692,152
- ----------------------------------------------------------------------------------------------------
Airlines (1.5%)
....................................................................................................
3,880,000 Atlas Air, Inc. pass-through
certificates Ser. 99-1A, 7.2s, 2019 3,684,060
....................................................................................................
5,580,000 Continental Airlines, Inc. pass-through
certificates Ser. 98-2, 6.32s, 2008 5,277,620
....................................................................................................
1,000,000 Continental Airlines, Inc. sr. notes
9 1/2s, 2001 1,034,400
....................................................................................................
6,135,000 Northwest Airlines Corp. pass-through
certificates Ser. 99-1A, 6.81s, 2020 5,750,458
- ----------------------------------------------------------------------------------------------------
15,746,538
- ----------------------------------------------------------------------------------------------------
Automotive (2.5%)
....................................................................................................
10,685,000 Chrysler Corp. deb. Ser. B, 7.45s, 2097 10,633,712
....................................................................................................
2,635,000 Dana Corp. notes 7s, 2029 2,421,539
....................................................................................................
2,870,000 Delphi Automotive Systems Corp. deb.
7 1/8s, 2029 2,651,507
....................................................................................................
680,000 Federal Mogul Corp. 144A notes
7 3/8s, 2006 639,982
....................................................................................................
1,920,000 Ford Motor Co. deb. 7.4s, 2046 1,869,466
....................................................................................................
4,150,000 Ford Motor Co. bonds 6 5/8s, 2028 3,735,747
....................................................................................................
1,000,000 Hayes Wheels International, Inc. 144A
sr. sub. notes 9 1/8s, 2007 1,005,000
....................................................................................................
1,000,000 Lear Corp. sub. notes 9 1/2s, 2006 1,092,500
....................................................................................................
1,000,000 Safety Components International, Inc.
sr. sub. notes Ser. B, 10 1/8s, 2007 890,000
- ----------------------------------------------------------------------------------------------------
24,939,453
- ----------------------------------------------------------------------------------------------------
Banks (3.4%)
....................................................................................................
11,500,000 Bank of America Corp. sr. notes
5 7/8s, 2009 10,574,020
....................................................................................................
3,250,000 Dresdner Funding Trust I 144A notes
8.151s, 2031 3,219,580
....................................................................................................
3,790,000 Firstar Capital Trust I company guaranty
Ser. B, 8.32s, 2026 3,847,722
....................................................................................................
4,200,000 Merita Bank Ltd. sub. notes 6 1/2s,
2006 (Finland) 4,050,060
....................................................................................................
1,000,000 Riggs Capital Trust 144A company
guaranty 8 7/8s, 2027 969,620
....................................................................................................
7,000,000 Scotland International Finance 144A
sub. notes 8.85s, 2006 (Netherlands) 7,610,750
....................................................................................................
3,915,000 Sovereign Bancorp, Inc. sr. notes
6 5/8s, 2001 3,899,223
- ----------------------------------------------------------------------------------------------------
34,170,975
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (0.3%)
....................................................................................................
1,855,000 American Standard Companies, Inc.
sr. notes 7 3/8s, 2008 1,743,700
....................................................................................................
500,000 Ball Corp. company guaranty
8 1/4s, 2008 487,500
....................................................................................................
1,000,000 Owens-Illinois, Inc. sr. notes 8.1s, 2007 993,790
- ----------------------------------------------------------------------------------------------------
3,224,990
- ----------------------------------------------------------------------------------------------------
Broadcasting (1.0%)
....................................................................................................
1,150,000 Capstar Broadcasting sr. sub. notes
9 1/4s, 2007 1,188,813
....................................................................................................
2,715,000 CBS Corp. sr. notes 7.15s, 2005 2,708,213
....................................................................................................
910,000 Chancellor Media Corp. company
guaranty 8s, 2008 896,350
....................................................................................................
1,000,000 Granite Broadcasting Corp. sr. sub.
notes 8 7/8s, 2008 970,000
....................................................................................................
1,000,000 Jacor Communications, Inc. company
guaranty Ser. B, 8 3/4s, 2007 1,062,500
....................................................................................................
1,000,000 Sinclair Broadcast Group, Inc. sr. sub.
notes 8 3/4s, 2007 980,000
....................................................................................................
1,000,000 Time Warner Telecom Inc. sr. notes
9 3/4s, 2008 1,025,000
....................................................................................................
1,000,000 Young Broadcasting Inc. company
guaranty Ser. B, 8 3/4s, 2007 970,000
- ----------------------------------------------------------------------------------------------------
9,800,876
- ----------------------------------------------------------------------------------------------------
Building and Construction (--%)
....................................................................................................
460,000 D.R. Horton, Inc. company guaranty
8s, 2009 434,700
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (0.7%)
....................................................................................................
4,188,760 Federal Express Corp. pass-through
certificates Ser. 98-1A, 6.72s, 2022 3,997,794
....................................................................................................
1,000,000 Iron Mountain, Inc. company guaranty
8 3/4s, 2009 987,500
....................................................................................................
1,000,000 Pierce Leahy Corp. sr. sub. notes
11 1/8s, 2006 1,110,000
....................................................................................................
90,000 United Stationer Supply, Inc. sr. sub.
notes 8 3/8s, 2008 85,725
....................................................................................................
1,000,000 U.S. Office Products Co. company
guaranty 9 3/4s, 2008 665,000
- ----------------------------------------------------------------------------------------------------
6,846,019
- ----------------------------------------------------------------------------------------------------
Cable Television (0.9%)
....................................................................................................
1,000,000 Adelphia Communications Corp. sr.
notes Ser. B, 9 7/8s, 2007 1,045,000
....................................................................................................
60,000 Century Communications Corp. sr.
notes 8 7/8s, 2007 60,000
....................................................................................................
180,000 Century Communications Corp. sr.
notes 8 3/4s, 2007 178,200
....................................................................................................
1,760,000 Charter Communications Holdings LLC
144A sr. notes 8 5/8s, 2009 1,685,200
....................................................................................................
1,000,000 CSC Holdings, Inc. sr. notes 7 7/8s, 2007 992,640
....................................................................................................
500,000 CSC Holdings, Inc. sr. notes 7 1/4s, 2008 476,350
....................................................................................................
1,000,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(10 3/4s, 2/15/02), 2007
(United Kingdom) (STP) 776,250
....................................................................................................
1,050,000 Lenfest Communications, Inc. sr. notes
8 3/8s, 2005 1,096,652
....................................................................................................
1,000,000 Lenfest Communications, Inc. sr. sub.
notes 10 1/2s, 2006 1,150,000
....................................................................................................
1,000,000 SFX Broadcasting, Inc. sr. sub. notes
Ser. B, 10 3/4s, 2006 1,087,500
....................................................................................................
1,000,000 Telewest Communications PLC deb.
9 5/8s, 2006 (United Kingdom) 1,030,000
- ----------------------------------------------------------------------------------------------------
9,577,792
- ----------------------------------------------------------------------------------------------------
Cellular Communications (0.1%)
....................................................................................................
570,000 NEXTEL Communications, Inc. sr. notes
12s, 2008 641,250
- ----------------------------------------------------------------------------------------------------
Chemicals (1.2%)
....................................................................................................
2,595,000 DSM NV 144A notes 6 1/4s, 2004
(Netherlands) 2,513,517
....................................................................................................
920,000 Lyondell Petrochemical Co. 144A
sec. notes 9 5/8s, 2007 941,850
....................................................................................................
2,210,000 Monsanto Co. 144A deb. 6.6s, 2028 1,990,326
....................................................................................................
3,100,000 Nova Chemicals Corp. deb. 7s, 2026
(Canada) 3,062,180
....................................................................................................
750,000 Pioneer Americas Acquisition 144A
sr. notes 9 1/4s, 2007 630,000
....................................................................................................
2,550,000 Rohm & Haas Co. 144A deb. 7.85s, 2029 2,591,642
- ----------------------------------------------------------------------------------------------------
11,729,515
- ----------------------------------------------------------------------------------------------------
Computer Services (0.1%)
....................................................................................................
1,000,000 Unisys Corp. sr. notes 7 7/8s, 2008 1,015,000
- ----------------------------------------------------------------------------------------------------
Computers (0.6%)
....................................................................................................
6,520,000 IBM Corp. deb. 7 1/8s, 2096 6,334,571
- ----------------------------------------------------------------------------------------------------
Conglomerates (1.8%)
....................................................................................................
3,411,000 Allied Corp. notes 6 1/8s, 2005 3,265,555
....................................................................................................
5,205,000 TRW, Inc. 144A notes 7 3/4s, 2029 5,084,608
....................................................................................................
10,100,000 Tyco International Ltd. company
guaranty 6 3/8s, 2005 9,879,113
- ----------------------------------------------------------------------------------------------------
18,229,276
- ----------------------------------------------------------------------------------------------------
Consumer Services (0.5%)
....................................................................................................
740,000 Hertz Corp. notes 6 1/4s, 2009 689,510
....................................................................................................
3,875,000 Hertz Corp. sr. notes 6 1/2s, 2006 3,760,261
....................................................................................................
850,000 Service Corp. International notes 6s, 2005 784,040
- ----------------------------------------------------------------------------------------------------
5,233,811
- ----------------------------------------------------------------------------------------------------
Cosmetics (0.2%)
....................................................................................................
1,000,000 French Fragrances, Inc. sr. notes
Ser. B, 10 3/8s, 2007 1,020,000
....................................................................................................
1,000,000 Revlon Consumer Products sr. sub.
notes 8 5/8s, 2008 945,000
- ----------------------------------------------------------------------------------------------------
1,965,000
- ----------------------------------------------------------------------------------------------------
Electric Utilities (2.1%)
....................................................................................................
3,895,000 Aes Eastern Energy 144A pass-through
certificates 9s, 2017 3,811,803
....................................................................................................
3,610,000 Arizona Public Service Co. sr. notes
6 3/4s, 2006 3,574,730
....................................................................................................
1,140,000 Cleveland Electric Illuminating Co.
1st mtge. 6.86s, 2008 1,096,463
....................................................................................................
1,073,274 Midland Funding Corp. I deb.
Ser. C-94, 10.33s, 2002 1,125,263
....................................................................................................
1,295,000 Niagara Mohawk Power Corp. sr. notes
Ser. G, 7 3/4s, 2008 1,337,502
....................................................................................................
828,264 Northeast Utilities System notes
Ser. A, 8.58s, 2006 824,015
....................................................................................................
4,000,000 Southwestern Public Service Co.
1st mtge. 8.2s, 2022 4,223,080
....................................................................................................
5,000,000 West Penn. Power Co. 1st mtge.
7 7/8s, 2022 5,051,650
- ----------------------------------------------------------------------------------------------------
21,044,506
- ----------------------------------------------------------------------------------------------------
Electronic Components (--%)
....................................................................................................
500,000 Flextronics International Ltd.
sr. sub. notes Ser. B, 8 3/4s, 2007 497,500
- ----------------------------------------------------------------------------------------------------
Energy-Related (0.5%)
....................................................................................................
5,000,000 KN Capital Trust III company guaranty
7.63s, 2028 4,240,500
....................................................................................................
350,000 York Power Funding 144A notes 12s,
2007 (Cayman Islands) 350,000
- ----------------------------------------------------------------------------------------------------
4,590,500
- ----------------------------------------------------------------------------------------------------
Entertainment (1.2%)
....................................................................................................
420,000 ITT Corp. notes 6 3/4s, 2005 384,451
....................................................................................................
7,000,000 News America Holdings, Inc. deb.
7 3/4s, 2045 6,596,310
....................................................................................................
1,000,000 Premier Parks, Inc. sr. notes 9 1/4s, 2006 990,000
....................................................................................................
4,055,000 Walt Disney Co. med. term notes
5.62s, 2008 3,742,157
- ----------------------------------------------------------------------------------------------------
11,712,918
- ----------------------------------------------------------------------------------------------------
Environmental Control (0.1%)
....................................................................................................
1,000,000 Allied Waste Industries, Inc. company
guaranty Ser. B, 7 7/8s, 2009 927,500
....................................................................................................
500,000 Allied Waste Industries, Inc. company
guaranty Ser. B, 7 5/8s, 2006 463,750
- ----------------------------------------------------------------------------------------------------
1,391,250
- ----------------------------------------------------------------------------------------------------
Financial Services (13.4%)
....................................................................................................
5,485,000 AFC Capital Trust company guaranty
Ser. B, 8.207s, 2027 5,698,750
....................................................................................................
5,145,000 American General Institute 144A
company guaranty 8 1/8s, 2046 5,395,613
....................................................................................................
3,940,000 Associates Corp. deb. 6.95s, 2018 3,796,190
....................................................................................................
3,880,000 Capital One Financial Corp. notes
7 1/4s, 2006 3,691,413
....................................................................................................
6,270,000 Citicorp sub. notes 6 3/8s, 2008 5,948,161
....................................................................................................
30,000 Contifinancial Corp. sr. notes 8 3/8s, 2003 25,800
....................................................................................................
290,000 Contifinancial Corp. sr. notes 8 1/8s, 2008 249,400
....................................................................................................
440,000 Contifinancial Corp. sr. notes 7 1/2s, 2002 330,000
....................................................................................................
1,195,000 Countrywide Home Loan Corp. company
guaranty 6.935s, 2007 1,177,326
....................................................................................................
10,450,000 Countrywide Home Loan Corp. company
guaranty med term notes 6 1/4s, 2009 9,704,915
....................................................................................................
1,250,000 Finova Capital Corp. notes 6 1/4s, 2002 1,238,263
....................................................................................................
3,840,000 Finova Capital Corp. med-term notes
6.11s, 2003 3,778,714
....................................................................................................
2,485,000 Ford Motor Credit Corp. sr. notes
5.8s, 2009 2,271,042
....................................................................................................
12,260,000 General Motors Acceptance Corp.
sr. unsub. 5.85s, 2009 11,248,918
....................................................................................................
5,000,000 Heller Financial Inc. notes 6s, 2004 4,840,050
....................................................................................................
4,140,000 Household Finance Corp. notes
6 1/2s, 2008 3,947,531
....................................................................................................
8,050,000 Household Finance Corp. sr. unsub.
5 7/8s, 2009 7,313,747
....................................................................................................
4,000,000 International Lease Finance Corp.
notes 6 1/2s, 1999 4,005,280
....................................................................................................
4,080,000 Lehman Brothers Holdings, Inc. notes
6 1/4s, 2003 3,975,470
....................................................................................................
7,000,000 Lehman Brothers Holdings, Inc. notes
6 5/8s, 2004 6,818,980
....................................................................................................
2,740,000 Merey Sweeney L.P. 144A sr. notes
8.85s, 2019 2,808,500
....................................................................................................
2,620,000 Newcourt Credit Group, Inc. 144A
company guaranty 7 1/8s, 2003 2,664,435
....................................................................................................
2,600,000 Newcourt Credit Group, Inc. 144A
notes 6 7/8s, 2005 2,544,386
....................................................................................................
2,105,000 Norwest Corp. med. term sr. notes
Ser. J, 6 3/4s, 2027 1,912,519
....................................................................................................
1,470,000 Orange Cogen Funding 144A company
guaranty 8.175s, 2022 1,477,350
....................................................................................................
1,000,000 RBF Finance 144A company guaranty
11 3/8s, 2009 1,035,000
....................................................................................................
560,000 RBF Finance 144A company guaranty
11s, 2006 576,800
....................................................................................................
2,660,000 Salomon, Inc. sr. notes 6 3/4s, 2003 2,671,199
....................................................................................................
6,780,000 Sears Roebuck Acceptance Corp. notes
6 1/2s, 2028 5,918,465
....................................................................................................
1,560,000 Sprint Capital Corp. company guaranty
6.9s, 2019 1,444,529
....................................................................................................
7,000,000 Sprint Capital Corp. company guaranty
6 1/8s, 2008 6,460,230
....................................................................................................
2,070,000 State Street Institution 144A company
guaranty 7.94s, 2026 2,084,035
....................................................................................................
9,875,000 Sun Life Canada Capital Trust 144A
8.526s, 2049 9,986,291
....................................................................................................
6,005,000 Tig Capital Trust I 144A bonds
8.597s, 2027 5,330,639
....................................................................................................
1,955,000 Transamerica Capital III bonds
7 5/8s, 2037 1,906,145
....................................................................................................
2,905,000 Zurich Capital Trust I 144A company
guaranty 8.376s, 2037 2,954,908
- ----------------------------------------------------------------------------------------------------
137,230,994
- ----------------------------------------------------------------------------------------------------
Food and Beverages (0.9%)
....................................................................................................
480,000 Aurora Foods, Inc. sr. sub. notes
Ser. B, 9 7/8s, 2007 498,000
....................................................................................................
1,000,000 Doane Pet Care sr. sub. notes
9 3/4s, 2007 1,010,000
....................................................................................................
4,100,000 McDonald's Corp. notes 6s, 2002 4,079,582
....................................................................................................
3,930,000 Pepsi Bottling Group Inc. 144A sr. notes
7s, 2029 3,690,820
....................................................................................................
180,000 Vlassic Foods Intl. Inc. 144A sr.
sub. notes 10 1/4s, 2009 177,525
- ----------------------------------------------------------------------------------------------------
9,455,927
- ----------------------------------------------------------------------------------------------------
Food Chains (0.1%)
....................................................................................................
1,500,000 Southland Corp. deb. Ser. A, 4 1/2s, 2004 1,275,000
- ----------------------------------------------------------------------------------------------------
Gaming (0.7%)
....................................................................................................
240,000 Argosy Gaming Co. 144A sr. sub. notes
10 3/4s, 2009 244,800
....................................................................................................
1,000,000 Circus Circus Enterprises, Inc. sr. notes
6.45s, 2006 910,960
....................................................................................................
350,000 Hollywood Casino Corp. 144A sec. notes
11 1/4s, 2007 350,000
....................................................................................................
1,000,000 Hollywood Park Inc. sr. sub. notes
Ser. B, 9 1/2s, 2007 995,000
....................................................................................................
260,000 Horseshoe Gaming Holdings 144A
sr. sub. notes 8 5/8s, 2009 251,550
....................................................................................................
3,575,000 Mashantucket Pequot Tribe 144A bonds
Ser. A, FSA, 6.57s, 2013 3,267,193
....................................................................................................
1,050,000 Mohegan Tribal Gaming, Auth. sr. sub.
notes 8 3/4s, 2009 1,034,250
....................................................................................................
170,000 Park Place Entertainment sr. sub. notes
7 7/8s, 2005 161,500
- ----------------------------------------------------------------------------------------------------
7,215,253
- ----------------------------------------------------------------------------------------------------
Health Care (0.6%)
....................................................................................................
1,000,000 Columbia/HCA Healthcare Corp. notes
7 1/4s, 2008 906,270
....................................................................................................
500,000 Integrated Health Services, Inc. sr. sub.
notes Ser. A, 9 1/4s, 2008 358,750
....................................................................................................
1,000,000 MedPartners, Inc. sr. sub. notes
6 7/8s, 2000 935,000
....................................................................................................
770,000 Multicare Cos., Inc. sr. sub. notes 9s, 2007 523,600
....................................................................................................
1,000,000 Quorum Health Group, Inc. sr. sub.
notes 8 3/4s, 2005 970,000
....................................................................................................
340,000 Sun Healthcare Group, Inc. sr. sub.
notes Ser. B, 9 1/2s, 2007 (In default) (NON) 51,000
....................................................................................................
1,050,000 Tenet Healthcare Corp. sr. sub. notes
8 5/8s, 2007 1,023,750
....................................................................................................
1,430,000 Tenet Healthcare Corp. sr. notes 8s, 2005 1,387,100
- ----------------------------------------------------------------------------------------------------
6,155,470
- ----------------------------------------------------------------------------------------------------
Insurance (4.0%)
....................................................................................................
3,355,000 AFLAC Inc. sr. notes 6 1/2s, 2009 3,196,443
....................................................................................................
8,000,000 AMBAC Indemnity Corp. deb.
9 3/8s, 2011 9,366,000
....................................................................................................
4,295,000 Conseco Financing Trust II company
guaranty 8.7s, 2026 3,870,740
....................................................................................................
2,585,000 Conseco Inc. sr. notes Ser. B, 7.6s, 2001 2,588,541
....................................................................................................
2,000,000 Fletcher Challenge Finance USA Ltd.
gtd. notes 9s, 1999 (New Zealand) 2,011,180
....................................................................................................
1,000,000 GS Escrow Corp. sr. notes 7 1/8s, 2005 961,050
....................................................................................................
250,000 GS Escrow Corp. sr. notes 6 3/4s, 2001 245,160
....................................................................................................
6,030,000 Hartford Life, Inc. deb. 7.65s, 2027 (ITT) 6,072,753
....................................................................................................
2,970,000 Hartford Life, Inc. notes 7.1s, 2007 (ITT) 2,968,396
....................................................................................................
2,325,000 Presidential Life Corp. sr. notes
7 7/8s, 2009 2,290,125
....................................................................................................
3,980,000 Provident Companies, Inc. bonds
7.405s, 2038 3,729,260
....................................................................................................
3,475,000 Prudential Insurance Co. 144A
6 7/8s, 2003 3,486,259
- ----------------------------------------------------------------------------------------------------
40,785,907
- ----------------------------------------------------------------------------------------------------
Lodging (0.2%)
....................................................................................................
1,000,000 HMH Properties, Inc. company guaranty
Ser. B, 7 7/8s, 2008 917,500
....................................................................................................
1,250,000 Host Marriott Travel Plaza sr. notes
Ser. B, 9 1/2s, 2005 1,250,000
- ----------------------------------------------------------------------------------------------------
2,167,500
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (0.1%)
....................................................................................................
1,000,000 ALARIS Medical Systems, Inc. company
guaranty 9 3/4s, 2006 990,000
- ----------------------------------------------------------------------------------------------------
Motion Picture Distribution (--%)
....................................................................................................
345,000 Cinemark USA, Inc. sr. sub. notes
8 1/2s, 2008 (Mexico) 324,300
- ----------------------------------------------------------------------------------------------------
Networking (--%)
....................................................................................................
60,000 Exodus Communications, Inc. 144A
sr. notes 11 1/4s, 2008 62,550
- ----------------------------------------------------------------------------------------------------
Office Equipment (0.5%)
....................................................................................................
5,555,000 Newell Co. notes 6.35s, 2008 5,350,798
- ----------------------------------------------------------------------------------------------------
Oil and Gas (3.2%)
....................................................................................................
2,220,000 Alliance Pipeline L.P. 144A sr. notes
7.77s, 2015 (Canada) 2,236,650
....................................................................................................
2,550,000 Conoco, Inc. sr. notes 6.95s, 2029 2,387,361
....................................................................................................
1,295,000 El Paso Energy Corp. sr. notes 6 3/4s, 2009 1,243,848
....................................................................................................
500,000 Gulf Canada Resources Ltd. sr. sub.
notes 9 5/8s, 2005 (Canada) 510,000
....................................................................................................
2,000,000 Imperial Oil Ltd. deb. 8 3/4s, 2019
(Canada) 2,090,180
....................................................................................................
2,395,000 Maritime & NE Pipeline 144A sec. notes
7.7s, 2019 2,388,773
....................................................................................................
10,000,000 Norsk Hydro AS deb. 7.15s, 2025
(Norway) 9,295,300
....................................................................................................
4,015,000 Norsk Hydro ASA notes 6.36s, 2009
(Norway) 3,776,188
....................................................................................................
3,040,000 Petro Geo-Services sr. notes 7 1/8s,
2028 (Norway) 2,722,472
....................................................................................................
1,000,000 Snyder Oil Corp. sr. sub. notes
8 3/4s, 2007 990,000
....................................................................................................
5,000,000 Trans-Canada PipeLines Ltd. deb.
8 5/8s, 2012 (Canada) 5,487,950
- ----------------------------------------------------------------------------------------------------
33,128,722
- ----------------------------------------------------------------------------------------------------
Packaging and Containers (0.1%)
....................................................................................................
600,000 Packaging Corp. 144A sr. sub. notes
9 5/8s, 2009 606,000
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (0.3%)
....................................................................................................
710,000 Boise Cascade Co. med. term notes
Ser. A, 7.43s, 2005 668,664
....................................................................................................
1,000,000 Consumers International 144A sr. notes
10 1/4s, 2005 1,020,000
....................................................................................................
260,000 Pacifica Papers, Inc. 144A sr. notes
10s, 2009 (Canada) 267,800
....................................................................................................
1,000,000 Republic Group, Inc. sr. sub. notes
9 1/2s, 2008 980,000
....................................................................................................
520,000 Tembec Industries, Inc. company
guaranty 8 5/8s, 2009 (Canada) 514,800
- ----------------------------------------------------------------------------------------------------
3,451,264
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (0.1%)
....................................................................................................
1,000,000 ICN Pharmaceuticals, Inc. 144A sr. notes
9 1/4s, 2005 1,008,750
- ----------------------------------------------------------------------------------------------------
Publishing (0.2%)
....................................................................................................
1,000,000 Garden State Newspapers, Inc. sr. sub.
notes Ser. B, 8 3/4s, 2009 950,000
....................................................................................................
850,000 Hollinger International Publishing, Inc.
company guaranty 9 1/4s, 2007 869,125
- ----------------------------------------------------------------------------------------------------
1,819,125
- ----------------------------------------------------------------------------------------------------
Railroads (0.5%)
....................................................................................................
5,000,000 CSX Corp. deb. 7.95s, 2027 5,167,450
- ----------------------------------------------------------------------------------------------------
Real Estate (1.1%)
....................................................................................................
3,000,000 Avalon Properties, Inc. notes
6 7/8s, 2007 (R) 2,860,320
....................................................................................................
5,000,000 EOP Operating L.P. notes 6.8s, 2009 4,709,150
....................................................................................................
2,280,000 Omega Healthcare Investors, Inc.
notes 6.95s, 2002 2,195,663
....................................................................................................
1,000,000 Tanger Properties Ltd. partnership gtd.
notes 8 3/4s, 2001 1,000,050
- ----------------------------------------------------------------------------------------------------
10,765,183
- ----------------------------------------------------------------------------------------------------
Restaurants (0.1%)
....................................................................................................
930,000 Tricon Global Restaurants, Inc. sr. notes
7.45s, 2005 928,187
- ----------------------------------------------------------------------------------------------------
Retail (0.9%)
....................................................................................................
7,000,000 Federated Department Stores, Inc.
notes 6.3s, 2009 6,531,000
....................................................................................................
600,000 K mart Corp. med. term notes
7.76s, 2002 587,052
....................................................................................................
400,000 K mart Corp. med. term notes
7.74s, 2002 391,276
....................................................................................................
1,000,000 NBTY Inc. 144A sr. sub. notes
8 5/8s, 2007 862,500
....................................................................................................
500,000 William Carter Holdings Co. sr. sub. notes
Ser. A, 10 3/8s, 2006 510,000
- ----------------------------------------------------------------------------------------------------
8,881,828
- ----------------------------------------------------------------------------------------------------
Semiconductors (0.2%)
....................................................................................................
340,000 Amkor Technologies, Inc. 144A sr. notes
9 1/4s, 2006 330,650
....................................................................................................
2,000,000 Fairchild Semiconductor Corp. sr. sub.
notes 10 1/8s, 2007 1,940,000
- ----------------------------------------------------------------------------------------------------
2,270,650
- ----------------------------------------------------------------------------------------------------
Shipping (--%)
....................................................................................................
30,000 Johnstown America Industries, Inc.
company guaranty Ser. C, 11 3/4s, 2005 31,650
- ----------------------------------------------------------------------------------------------------
Specialty Consumer Products (0.5%)
....................................................................................................
4,980,000 US West Capital Funding, Inc. company
guaranty 6 1/4s, 2005 4,826,965
- ----------------------------------------------------------------------------------------------------
Steel (0.1%)
....................................................................................................
530,000 AK Steel Corp. 144A sr. notes
7 7/8s, 2009 508,800
....................................................................................................
400,000 California Steel Industries 144A sr. notes
8 1/2s, 2009 392,000
- ----------------------------------------------------------------------------------------------------
900,800
- ----------------------------------------------------------------------------------------------------
Telecommunications (0.8%)
....................................................................................................
140,000 Birch Telecommunications, Inc. sr. notes
14s, 2008 133,700
....................................................................................................
400,000 CapRock Communications Corp. 144A
sr. notes 11 1/2s, 2009 404,000
....................................................................................................
245,000 Covad Communications Group, Inc.
sr. disc. notes stepped-coupon Ser. B,
zero % (13 1/2s, 03/15/03), 2008 (STP) 134,138
....................................................................................................
2,000,000 ICG Services, Inc. sr. disc. notes
stepped-coupon zero %
(9 7/8s, 5/1/03), 2008 (STP) 1,060,000
....................................................................................................
1,330,000 Intermedia Communications, Inc.
sr. disc. notes stepped-coupon Ser. B,
zero % (11 1/4s, 7/15/02), 2007 (STP) 944,300
....................................................................................................
1,210,000 Intermedia Communications, Inc.
sr. notes Ser. B, 8.6s, 2008 1,113,200
....................................................................................................
550,000 International Cabletel, Inc. sr. notes
stepped-coupon Ser. B, zero %
(11 1/2s, 2/01/01), 2006 (STP) 478,500
....................................................................................................
1,000,000 MetroNet Communications Corp.
sr. notes 12s, 2007 (Canada) 1,140,000
....................................................................................................
340,000 NorthEast Optic Network, Inc. sr. notes
12 3/4s, 2008 350,200
....................................................................................................
310,000 NTL Inc. sr. notes Ser. B, 10s, 2007
(United Kingdom) 319,300
....................................................................................................
1,000,000 Qwest Communications International,
Inc. sr. disc. notes stepped-coupon
zero % (8.29s, 2/1/03), 2008 (STP) 752,900
....................................................................................................
1,130,000 TCI Communications Inc deb. 8 3/4s, 2015 1,280,211
....................................................................................................
120,000 Telehub Communications Corp. company
guaranty stepped-coupon zero %
(13 7/8s, 7/31/02), 2005 (STP) 79,200
- ----------------------------------------------------------------------------------------------------
8,189,649
- ----------------------------------------------------------------------------------------------------
Telephone Services (0.4%)
....................................................................................................
730,000 Call-Net Enterprises, Inc. sr. disc.
notes stepped-coupon zero %
(10.8s, 5/15/04), 2009 (Canada) (STP) 401,500
....................................................................................................
60,000 Call-Net Enterprises, Inc. sr. disc.
notes stepped-coupon zero %
(9.27s, 8/15/02), 2007 (Canada) (STP) 38,100
....................................................................................................
660,000 Call-Net Enterprises, Inc. sr. disc.
notes stepped-coupon zero %
(8.94s, 8/15/03), 2008 (Canada) (STP) 367,950
....................................................................................................
370,000 Flag Ltd. 144A sr. notes 8 1/4s, 2008
(Bermuda) 345,025
....................................................................................................
1,000,000 McLeodUSA, Inc. 144A sr. notes
8 1/8s, 2009 930,000
....................................................................................................
1,935,000 U S West, Inc. notes 5 5/8s, 2008 1,754,426
- ----------------------------------------------------------------------------------------------------
3,837,001
- ----------------------------------------------------------------------------------------------------
Tobacco (1.3%)
....................................................................................................
5,000,000 Imperial Tobacco Global company
guaranty, 7 1/8s, 2009 4,769,950
....................................................................................................
3,865,000 Philip Morris Cos., Inc. notes 7 1/2s, 2004 3,979,752
....................................................................................................
2,705,000 Philip Morris Cos., Inc. notes 7 1/4s, 2003 2,756,422
....................................................................................................
1,750,000 Philip Morris Cos., Inc. notes 7 1/8s, 2004 1,771,350
- ----------------------------------------------------------------------------------------------------
13,277,474
- ----------------------------------------------------------------------------------------------------
Utilities (1.3%)
....................................................................................................
1,415,000 CMS Energy Corp. sr. notes 8 1/8s, 2002 1,441,064
....................................................................................................
3,000,000 Monongahela Power Co. 1st mtge.
8 5/8s, 2021 3,168,630
....................................................................................................
7,750,000 Ohio Edison Co. med. term notes
7 3/8s, 2023 8,074,338
....................................................................................................
1,000,000 Public Service Co. of New Mexico
sr. notes Ser. B, 7 1/2s, 2018 977,260
- ----------------------------------------------------------------------------------------------------
13,661,292
- ----------------------------------------------------------------------------------------------------
Wireless Communications (--%)
....................................................................................................
500,000 Allbritton Communications Co. sr. sub.
notes Ser. B, 8 7/8s, 2008 481,250
- ----------------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $550,548,174) $529,013,631
- ----------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (34.7%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
U.S. Government Agency Mortgage (16.5%)
....................................................................................................
$8,005,749 Federal Home Loan Mortgage Corp.
5 1/2s, with due dates from
March 1, 2011 to April 1, 2011 $7,582,885
....................................................................................................
Federal National Mortgage Association
Pass-through Certificates
....................................................................................................
3,579,904 7s, Dwarf, with due dates from
January 1, 2008 to February 1, 2013 3,592,183
....................................................................................................
3,639,768 6 1/2s, Dwarf, with due dates from
February 1, 2013 to August 1, 2013 3,586,296
....................................................................................................
24,372,115 6 1/2s, with due dates from
April 1, 2024 to February 15, 2029 23,517,876
....................................................................................................
48,232 6s, Dwarf, July 1, 2013 46,589
....................................................................................................
9,619,000 5 1/8s, February 13, 2004 9,222,216
....................................................................................................
Government National
Mortgage Association
....................................................................................................
30,500,000 7s, TBA, July 15, 2029 30,090,080
....................................................................................................
Government National Mortgage
Association Pass-through Certificates
....................................................................................................
39,168,658 8s, with due dates from July 15, 2024
to September 15, 2028 40,284,280
....................................................................................................
5,680,678 7s, with due dates from
March 15, 2023 to April 15, 2028 5,621,052
....................................................................................................
46,891,909 6 1/2s, with due dates from
July 15, 2023 to May 15, 2029 45,123,557
- ----------------------------------------------------------------------------------------------------
168,667,014
- ----------------------------------------------------------------------------------------------------
U.S. Treasury Obligations (18.2%)
....................................................................................................
U.S. Treasury Bonds
....................................................................................................
865,000 7 1/2s, November 15, 2024 1,005,563
....................................................................................................
14,380,000 6 1/8s, November 15, 2027 (SEG) 14,283,366
....................................................................................................
11,605,000 5 1/4s, August 15, 2003 11,407,367
....................................................................................................
U.S. Treasury Notes
....................................................................................................
5,890,000 5 5/8s, May 15, 2008 5,769,432
....................................................................................................
1,415,000 5 1/2s, May 15, 2009 1,382,271
....................................................................................................
4,595,000 5s, February 28, 2001 4,559,067
....................................................................................................
10,930,000 4 7/8s, March 31, 2001 10,818,951
....................................................................................................
56,413,000 4 3/4s, February 15, 2004 54,261,972
....................................................................................................
70,000,000 4 5/8s, December 31, 2000 69,179,600
....................................................................................................
14,165,000 4 1/4s, November 15, 2003 13,374,876
- ----------------------------------------------------------------------------------------------------
186,042,465
- ----------------------------------------------------------------------------------------------------
Total U.S. Government and
Agency Obligations
(cost $363,044,353) $354,709,479
- ----------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (5.0%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$25,000,000 American Express Credit Account
Master Trust Ser. 96-1, Class A,
6.8s, 2003 $25,281,250
....................................................................................................
15,900,000 First USA Credit Card Master Trust
Ser. 98-5, Class A, 5.735s, 2006 15,870,188
....................................................................................................
7,253,739 Green Tree Financial Corp. Ser. 93-3,
Class A5, 5 3/4s, 2018 7,249,169
....................................................................................................
2,174,008 Green Tree Recreational Equipment &
Cons. Ser. 98-A, Class A1C, 6.18s, 2019 2,160,335
- ----------------------------------------------------------------------------------------------------
Total Asset-Backed Securities
(cost $49,550,517) $50,560,942
- ----------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (5.1%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
Commercial Mortgage Acceptance Corp.
....................................................................................................
$6,025,000 Ser. 97-ML1, Class A3, 6.57s, 2007 $5,895,086
....................................................................................................
1,347,467 Ser. 98-C2, Class A1, 5.8s, 2006 1,305,359
....................................................................................................
873,568 First Union-Lehman Brothers -- Bank of
America Ser. 98-C2, Class A1, 6.28s, 2007 861,283
....................................................................................................
First Union-Lehman Brothers
Commercial Mortgage Co.
....................................................................................................
630,000 Ser. 98-C2, Class D, 6.778s, 2013 571,479
....................................................................................................
1,635,000 Ser. 98-C2, Class A2, 6.56s, 2008 1,598,468
....................................................................................................
39,833,964 Ser. 98-C2, Interest Only (IO),
0.816s, 2028 1,534,230
....................................................................................................
Freddie Mac Strip
....................................................................................................
5,685,578 Ser. 147, IO, 8s, 2023 1,462,260
....................................................................................................
15,088,418 Ser. 201, IO, 6s, 2029 4,748,137
....................................................................................................
2,400,000 GE Capital Mortgage Services, Inc.
Ser. 98-11, Class 2A4, 6 3/4s, 2028 2,277,000
....................................................................................................
GMAC Commercial Mortgage
Securities Inc.
....................................................................................................
2,932,000 Ser. 98-C1, Class E, 7.153s, 2011 2,801,205
....................................................................................................
2,195,000 Ser. 98-C2, Class A2, 6.42s, 2008 2,124,606
....................................................................................................
473,726 Ser. 98-C2, Class A1, 6.15s, 2007 464,644
....................................................................................................
1,310,000 GS Mortgage Securities Corp. II
Ser. 98-GLII, Class D, 7.191s, 2031 1,219,528
....................................................................................................
Merrill Lynch Mortgage Investors, Inc.
....................................................................................................
3,142,000 Ser. 98-C2, Class D, 7.116s, 2030 3,007,483
....................................................................................................
2,027,425 Ser. 98-C2, Class A1, 6.22s, 2030 1,999,548
....................................................................................................
27,068,313 Ser. 98-C2, IO, 1.579s, 2030 2,017,435
....................................................................................................
Morgan Stanley Capital I
....................................................................................................
1,450,000 Ser. 96-WF1, Class A2, 7.218s, 2006 1,472,656
....................................................................................................
10,000,000 Ser. WF2, Class B, 6.63s, 2008 9,762,500
....................................................................................................
Mortgage Capital Funding, Inc.
....................................................................................................
3,292,773 Ser. 98-MC1, Class A1, 6.417s, 2007 3,276,309
....................................................................................................
11,553,264 Ser. 97-MC2, Class X, IO, 1.571s, 2012 836,258
....................................................................................................
2,575,000 Residential Asset Securitization
Trust Ser. 98-A12, Class A14, 8s, 2028 2,658,688
- ----------------------------------------------------------------------------------------------------
Total Collateralized Mortgage Obligations
(cost $53,350,917) $51,894,162
- ----------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BONDS AND NOTES (0.6%) (a)
(cost $6,517,093)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$6,675,000 Quebec (Province of) sr. unsub.
5 3/4s, 2009 (Canada) $6,141,267
- ----------------------------------------------------------------------------------------------------
PREFERRED STOCKS (0.2%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
1,330 Centaur Funding Corp 144A 9.08% pfd.
(Cayman Islands) $1,397,651
....................................................................................................
1,000,000 Fresenius Medical Capital Trust II
company guaranty, 7.875% pfd.
(Germany) 975,000
- ----------------------------------------------------------------------------------------------------
Total Preferred Stocks
(cost $2,312,500) $2,372,651
- ----------------------------------------------------------------------------------------------------
WARRANTS (--%) (a) (NON)
- ----------------------------------------------------------------------------------------------------
Number of Warrants Expiration Date Value
....................................................................................................
140 Birch Telecommunications,
Inc. 144A 6/15/08 $700
....................................................................................................
120 Telehub Communications Corp. 7/31/05 3,600
- ----------------------------------------------------------------------------------------------------
Total Warrants (cost $6,700) $4,300
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (3.7%) (a) (cost $37,506,000)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$37,506,000 Interest in $487,755,000 joint repurchase
agreement dated June 30, 1999, with
S.B.C. Warburg Inc. due July 1, 1999,
with respect to various U.S. Treasury
obligations - maturity value of
$37,511,001 for an effective
yield of 4.80% $37,506,000
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $1,062,836,254) (b) $1,032,202,432
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Buy at June 30, 1999 (Unaudited)
- ----------------------------------------------------------------------------------------------------
Market Aggregate Delivery Unrealized
Value Face Value Date Appreciation
....................................................................................................
Euro dollar $1,620,241 $1,616,488 9/15/99 $3,753
- ----------------------------------------------------------------------------------------------------
Futures Contracts Outstanding at June 30, 1999 (Unaudited)
- ----------------------------------------------------------------------------------------------------
Total Aggregate Expiration Unrealized
Value Face Value Date Depreciation
....................................................................................................
U.S. Treasury Bond
(long) $6,606,656 $6,802,298 Sep-99 $(195,642)
- ----------------------------------------------------------------------------------------------------
See page 124 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT International Growth Fund
Portfolio of investments owned
June 30, 1999 (Unaudited)
<CAPTION>
COMMON STOCKS (94.9%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Australia (2.4%)
....................................................................................................
180,000 Cable & Wireless Optus Ltd. $412,078
....................................................................................................
381,546 Coles Myer Ltd. (NON) 2,231,947
....................................................................................................
196,537 News Corp. Ltd. ADR 6,940,213
- ----------------------------------------------------------------------------------------------------
9,584,238
- ----------------------------------------------------------------------------------------------------
Brazil (2.3%)
....................................................................................................
83,300 Companhia Energetica de
Minas Gerais ADR 1,707,650
....................................................................................................
37,167 Tele Centro Sul Participacoes S.A. 2,062,769
....................................................................................................
89,660 Telesp Celular Participacoes S.A. ADR 2,398,405
....................................................................................................
125,802 Telesp Participacoes S.A. ADR 2,877,721
- ----------------------------------------------------------------------------------------------------
9,046,545
- ----------------------------------------------------------------------------------------------------
Canada (4.5%)
....................................................................................................
85,451 Abitibi-Consolidated Inc. 985,816
....................................................................................................
90,233 Bank of Nova Scotia 1,971,094
....................................................................................................
59,947 BCE Mobile Communications, Inc. (NON) 1,841,501
....................................................................................................
1,900 BCE Mobile Communications, Inc. 144A (NON) 58,366
....................................................................................................
148,827 BCE, Inc. 7,289,465
....................................................................................................
78,568 Bombardier, Inc. 1,206,758
....................................................................................................
56,002 Laurasia Resources Ltd. 1,303,526
....................................................................................................
76,100 Toronto-Dominion Bank 3,467,592
- ----------------------------------------------------------------------------------------------------
18,124,118
- ----------------------------------------------------------------------------------------------------
Finland (1.6%)
....................................................................................................
7,528 Huhtamaki I Free (NON) 274,906
....................................................................................................
64,021 Oy Nokia AB Class A 5,629,527
....................................................................................................
14,700 Sampo Insurance Co., Ltd. Class A 427,321
- ----------------------------------------------------------------------------------------------------
6,331,754
- ----------------------------------------------------------------------------------------------------
France (11.4%)
....................................................................................................
28,570 Aerospatiale Matra 660,569
....................................................................................................
3,000 Aerospatiale Matra 144A 69,363
....................................................................................................
26,468 Axa S.A. 3,239,190
....................................................................................................
32,525 Banque Nationale de Paris 2,718,687
....................................................................................................
15,317 Bouygues S.A. 4,061,185
....................................................................................................
15,317 Bouygues S.A. rights 40,881
....................................................................................................
56,566 Elf Aquitaine S.A. 8,327,044
....................................................................................................
24,184 France Telecom S.A. 1,832,594
....................................................................................................
7,286 Groupe Danone 1,884,342
....................................................................................................
360 Havas Advertising SA 77,799
....................................................................................................
33,450 Lafarge Coppee 3,190,491
....................................................................................................
4,590 Publicis S.A. 973,413
....................................................................................................
71,624 Sanofi-Synthelabo SA 3,049,010
....................................................................................................
14,601 Societe Generale 2,581,399
....................................................................................................
82,000 STMicroelectronics N.V. ADR 5,688,750
....................................................................................................
17,384 Television Francaise I (TF1) 4,064,327
....................................................................................................
36,926 Vivendi 3,000,606
- ----------------------------------------------------------------------------------------------------
45,459,650
- ----------------------------------------------------------------------------------------------------
Germany (7.4%)
....................................................................................................
2,918 Bayerische Motoren Werke (BMW) AG 2,013,454
....................................................................................................
66,150 DaimlerChrysler AG 5,748,303
....................................................................................................
178,020 Hoechst AG 8,084,698
....................................................................................................
66,525 Mannesmann AG 9,958,270
....................................................................................................
55,740 Volkswagen AG 3,580,874
- ----------------------------------------------------------------------------------------------------
29,385,599
- ----------------------------------------------------------------------------------------------------
Greece (0.3%)
....................................................................................................
54,722 Hellenic Telecommunication
Organization S.A. 1,178,338
....................................................................................................
14,200 Hellenic Telecommunication
Organization SA ADR (NON) 157,088
- ----------------------------------------------------------------------------------------------------
1,335,426
- ----------------------------------------------------------------------------------------------------
Hong Kong (2.6%)
....................................................................................................
2,347,000 China Telecom Ltd. (NON) 6,519,276
....................................................................................................
1,810,000 First Pacific Co., Ltd. 1,539,790
....................................................................................................
213,000 Henderson Land Development
Co. Ltd. (R) 1,224,485
....................................................................................................
114,000 Hutchison Whampoa, Ltd. 1,032,263
- ----------------------------------------------------------------------------------------------------
10,315,814
- ----------------------------------------------------------------------------------------------------
Ireland (1.7%)
....................................................................................................
89,507 Allied Irish Banks PLC 1,180,586
....................................................................................................
54,743 Bank of Ireland 923,096
....................................................................................................
257,162 CRH PLC 4,575,786
- ----------------------------------------------------------------------------------------------------
6,679,468
- ----------------------------------------------------------------------------------------------------
Italy (2.1%)
....................................................................................................
1,230,576 Ente Nazionale Idrocarburi (ENI) SpA 7,370,849
....................................................................................................
34,900 Mediaset SPA 311,217
....................................................................................................
132,400 Monte Dei Paschi NY Branch 588,962
- ----------------------------------------------------------------------------------------------------
8,271,028
- ----------------------------------------------------------------------------------------------------
Japan (19.2%)
....................................................................................................
22,200 Advantest Corp. 2,441,174
....................................................................................................
13,900 Benesse Corp. 1,511,244
....................................................................................................
16,000 Canon, Inc. 460,356
....................................................................................................
70,400 Chubu Electric Power, Inc. 1,172,848
....................................................................................................
749 DDI Corp. 4,663,059
....................................................................................................
68,000 Eisai Co. Ltd. 1,340,885
....................................................................................................
429,200 Fujitsu Ltd. 8,640,777
....................................................................................................
48,000 Honda Motor Co., Ltd. 2,035,883
....................................................................................................
21,600 Mabuchi Motor 2,009,095
....................................................................................................
288,000 Matsushita Electric Industrial Co. 5,595,701
....................................................................................................
900 Mitsumi Electric Company, Ltd. (NON) 25,151
....................................................................................................
25,000 Murata Manufacturing Co. Ltd. 1,645,308
....................................................................................................
1,237,000 Nikko Securities Co. Ltd. (NON) 7,987,573
....................................................................................................
568 Nippon Telegraph and Telephone Corp. 6,621,579
....................................................................................................
5,810 Nippon Television Network Corp. 2,401,819
....................................................................................................
56,800 Promise Co., Ltd. 3,357,751
....................................................................................................
13,000 Rohm Co. Ltd. 2,036,792
....................................................................................................
14,000 Shin-Etsu Chemical Co. 468,789
....................................................................................................
262,000 Shiseido Co., Ltd. (NON) 3,929,458
....................................................................................................
45,500 Sony Corp. 4,909,260
....................................................................................................
10,900 Takefuji Corp. 1,127,400
....................................................................................................
13,000 TDK Corp. 1,189,831
....................................................................................................
110,300 Tokyo Electric Power Co. 2,330,025
....................................................................................................
467,000 Toshiba Corp. 3,332,129
....................................................................................................
143,000 Yamanouchi Pharmaceutical Co., Ltd. 5,474,080
- ----------------------------------------------------------------------------------------------------
76,707,967
- ----------------------------------------------------------------------------------------------------
Mexico (2.7%)
....................................................................................................
187,100 Carso Global Telecom 1,191,072
....................................................................................................
44,939 Coca-Cola Femsa S.A. ADR 870,693
....................................................................................................
500,741 Fomento Economico Mexicano, S.A.
de C.V. 2,013,002
....................................................................................................
60,147 Grupo Televisa S.A.GDR (NON) 2,695,337
....................................................................................................
48,484 Telefonos de Mexico S.A. ADR Class L 3,918,113
- ----------------------------------------------------------------------------------------------------
10,688,217
- ----------------------------------------------------------------------------------------------------
Netherlands (5.8%)
....................................................................................................
145,789 ABN AMRO Holding N.V. 3,167,193
....................................................................................................
137,617 Akzo-Nobel N.V. (NON) 5,808,483
....................................................................................................
38,593 Gucci Group N.V. 2,701,510
....................................................................................................
133,298 Internationale Nederlanden Groep N.V. 7,239,581
....................................................................................................
22,915 Koninklijke Ahold N.V. 791,766
....................................................................................................
57,400 Libertel NV 1,128,226
....................................................................................................
31,859 TNT Post Group N.V. 762,981
....................................................................................................
41,560 Vedior NV 709,398
....................................................................................................
24,580 Vendex International N.V. 658,585
- ----------------------------------------------------------------------------------------------------
22,967,723
- ----------------------------------------------------------------------------------------------------
Portugal (0.8%)
....................................................................................................
76,087 Portugal Telecom S.A. 3,105,188
- ----------------------------------------------------------------------------------------------------
Singapore (0.8%)
....................................................................................................
36,000 Development Bank of Singapore Ltd. 440,471
....................................................................................................
180,900 Oversea Chinese Banking Corp. 1,511,047
....................................................................................................
160,000 United Overseas Bank Ltd. 1,120,000
- ----------------------------------------------------------------------------------------------------
3,071,518
- ----------------------------------------------------------------------------------------------------
South Korea (1.5%)
....................................................................................................
60,344 Korea Electric Power Corp. 2,507,599
....................................................................................................
47,300 Korea Telecom Corp. 1,892,000
....................................................................................................
8,524 Samsung Electronics Co. 935,247
....................................................................................................
34,600 Shinhan Bank 144A GDR 761,200
- ----------------------------------------------------------------------------------------------------
6,096,046
- ----------------------------------------------------------------------------------------------------
Spain (0.9%)
....................................................................................................
78,696 Telfonica S.A. 3,802,684
- ----------------------------------------------------------------------------------------------------
Sweden (5.1%)
....................................................................................................
163,386 Investor AB 1,835,581
....................................................................................................
143,155 Pharmacia & Upjohn, Inc. 7,956,818
....................................................................................................
19,470 Sandvik AB Class A (NON) 427,115
....................................................................................................
15,910 Sandvik AB Class B (NON) 353,723
....................................................................................................
186,936 Svenska Handelsbanken 2,254,904
....................................................................................................
234,063 Telefonaktiebolaget LM Ericsson Class B 7,542,830
- ----------------------------------------------------------------------------------------------------
20,370,971
- ----------------------------------------------------------------------------------------------------
Switzerland (5.6%)
....................................................................................................
3,294 Cie Finance Richemont 6,366,555
....................................................................................................
1,238 Julius Baer Holdings AG 3,545,145
....................................................................................................
1,442 Novartis AG ADR 2,115,928
....................................................................................................
4,676 Publicitas Holding S.A. 2,569,231
....................................................................................................
13,606 Swisscom AG ADR 5,145,126
....................................................................................................
9,057 United Bank of Switzerland (UBS) AG 2,716,515
- ----------------------------------------------------------------------------------------------------
22,458,500
- ----------------------------------------------------------------------------------------------------
United Kingdom (16.2%)
....................................................................................................
93,102 Allied Zurich AG 1,171,053
....................................................................................................
134,775 Anglian Water PLC 1,491,158
....................................................................................................
72,044 Bass PLC 1,045,944
....................................................................................................
343,727 British Airways PLC 2,373,158
....................................................................................................
523,547 British Telecommunications PLC ADR 8,777,598
....................................................................................................
311,169 Cable & Wireless PLC 3,967,922
....................................................................................................
494,620 Diageo PLC 5,168,260
....................................................................................................
487,214 EMI Group PLC 3,911,329
....................................................................................................
266,346 Granada Group PLC 4,944,352
....................................................................................................
21,000 Hanson PLC 186,638
....................................................................................................
244,800 Invensys PLC 1,159,261
....................................................................................................
192,738 National Westminster Bancorp Inc. 4,088,617
....................................................................................................
128,300 Orange PLC ADR (NON) 1,881,899
....................................................................................................
124,325 Peninsular and Oriental Steam
Navigation Co. 1,867,713
....................................................................................................
295,200 Scottish Power PLC 2,551,430
....................................................................................................
300,468 Securicor Group PLC (NON) 2,637,243
....................................................................................................
627,726 Shell Transportation & Trading 4,710,160
....................................................................................................
118,446 Smithkline Beecham PLC ADR 1,540,273
....................................................................................................
175,394 Smiths Industries PLC 2,318,171
....................................................................................................
1,846,700 Tesco PLC 4,858,978
....................................................................................................
446,325 WPP Group PLC 3,776,658
- ----------------------------------------------------------------------------------------------------
64,427,815
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $324,405,985) $378,230,269
- ----------------------------------------------------------------------------------------------------
UNITS (1.9%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Units Value
....................................................................................................
33,000 Development Bank of Singapore
Structured Note (issued by
Merrill Lynch & Co., Inc.), 3.00%,
2000 (Singapore) $357,895
....................................................................................................
63,000 Development Bank of Singapore
Structured Note (issued by
Credit Suisse First Boston), zero %,
2000 (Singapore) 672,210
....................................................................................................
45,700 Overseas Chinese Banking Corp.
ser. D Structured Note (issued by
Credit Suisse First Boston), zero %,
2000 (Singapore) 348,234
....................................................................................................
33,900 Overseas Chinese Banking Corp.
Structured Note (issued by
Credit Suisse First Boston), zero %,
2000 (Singapore) 258,318
....................................................................................................
103,000 Overseas Chinese Banking Corp. pfd.
Structured Note (issued by
Merrill Lynch & Co., Inc.), 3.00%,
2000 (Singapore) 800,485
....................................................................................................
12,900 Pohang Iron & Steel Co. Ltd. Call Warrants
expiration 4/17/00 (issued by Lehman Brothers
Finance S.A.) (South Korea) 1,526,844
....................................................................................................
295,900 Singapore Airlines Ltd. Call Warrants
expiration 4/10/00 (issued by Lehman Brothers
Finance S.A.) (Singapore) 2,576,816
....................................................................................................
700 SK Telecom Co., LTD. Structured Note
(issued by Merrill Lynch & Co., Inc.),
3.00%, 2000 (South Korea) 1,030,828
- ----------------------------------------------------------------------------------------------------
Total Units (cost $4,945,926) $7,571,630
- ----------------------------------------------------------------------------------------------------
PREFERRED STOCKS (0.1%) (a) (cost $431,399)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
8,864 Volkswagen AG $328,738
- ----------------------------------------------------------------------------------------------------
INVESTMENTS (3.0%) (a) (cost $12,062,000)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$12,062,000 Interest in $402,952,000 joint repurchase
agreement dated June 30, 1999 with
Merrill Lynch, Pierce, Fenner & Smith, Inc.,
due July 1, 1999 with respect to various
U.S. Treasury obligations -- maturity
value of $12,063,575 for an effective
yield of 4.70% $12,062,000
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $341,845,310) (b) $398,192,637
- ----------------------------------------------------------------------------------------------------
The fund had the following industry concentrations
greater than 10% at June 30, 1999 (as a percentage of market value):
Telecommunications 18.1%
Insurance and Finance 15.7
- ----------------------------------------------------------------------------------------------------
See page 124 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT International Growth and Income Fund
Portfolio of investments owned
June 30, 1999 (Unaudited)
<CAPTION>
COMMON STOCKS (89.5%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Aerospace and Defense (0.2%)
....................................................................................................
26,210 Aerospatiale Matra (France) (NON) $606,003
....................................................................................................
2,700 Aerospatiale Matra 144A (France) (NON) 62,427
- ----------------------------------------------------------------------------------------------------
668,430
- ----------------------------------------------------------------------------------------------------
Airlines (0.5%)
....................................................................................................
280,636 British Airways PLC (United Kingdom) 1,937,565
- ----------------------------------------------------------------------------------------------------
Automobiles (1.4%)
....................................................................................................
116,000 Honda Motor Co., Ltd. (Japan) (NON) 4,920,050
- ----------------------------------------------------------------------------------------------------
Banks (10.6%)
....................................................................................................
491,667 Australia & New Zealand Banking
Group Ltd. (Australia) (NON) 3,634,914
....................................................................................................
278,631 Bank of Nova Scotia (Canada) 6,086,553
....................................................................................................
25,720 Barclays PLC (United Kingdom) 748,841
....................................................................................................
95,545 Deutsche Bank AG (Germany) 5,846,463
....................................................................................................
103,600 Development Bank of
Singapore Ltd. (Singapore) 1,267,576
....................................................................................................
110,875 ForeningsSparbanken AB (Sweden) 1,573,439
....................................................................................................
107,097 HSBC Holdings PLC (United Kingdom) 3,906,634
....................................................................................................
1,725 Julius Baer Holdings AG (Switzerland) 4,939,722
....................................................................................................
222,006 National Bank of Canada (Canada) (NON) 2,924,920
....................................................................................................
106,018 National Westminster Bancorp Inc.
(United Kingdom) 2,248,996
....................................................................................................
19,147 Societe Generale (France) 3,385,114
....................................................................................................
25,814 Unidanmark AS (Denmark) 1,717,475
- ----------------------------------------------------------------------------------------------------
38,280,647
- ----------------------------------------------------------------------------------------------------
Brewing (2.4%)
....................................................................................................
386,049 Bass PLC (United Kingdom) 5,604,708
....................................................................................................
264,000 Kirin Brewery Co. Ltd. (Netherlands) (NON) 3,164,944
- ----------------------------------------------------------------------------------------------------
8,769,652
- ----------------------------------------------------------------------------------------------------
Building Products (2.8%)
....................................................................................................
189,858 CRH PLC (Ireland) 3,378,219
....................................................................................................
1,534,300 Pioneer International Ltd. (Australia) 3,931,145
....................................................................................................
83,195 Pohang Iron & Steel Company, Ltd.
ADR (South Korea) 2,797,432
- ----------------------------------------------------------------------------------------------------
10,106,796
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (2.5%)
....................................................................................................
1,023,967 Fomento Economico Mexicano,
S.A. de C.V. (Mexico) 4,116,395
....................................................................................................
367,000 Ricoh Co., Ltd. (Japan) 5,055,164
- ----------------------------------------------------------------------------------------------------
9,171,559
- ----------------------------------------------------------------------------------------------------
Cellular Communications (0.7%)
....................................................................................................
97,301 Telesp Celular Participacoes S.A. ADR
(Brazil) 2,602,802
- ----------------------------------------------------------------------------------------------------
Chemicals (5.0%)
....................................................................................................
168,607 Akzo-Nobel N.V. (Netherlands) 7,116,497
....................................................................................................
80,153 Bayer AG (Germany) (NON) 3,349,898
....................................................................................................
164,577 Hoechst AG (Germany) (NON) 7,474,190
- ----------------------------------------------------------------------------------------------------
17,940,585
- ----------------------------------------------------------------------------------------------------
Conglomerates (1.9%)
....................................................................................................
111,008 Canadian Pacific, Ltd. (Canada) (NON) 2,652,249
....................................................................................................
979,629 Tomkins PLC (United Kingdom) 4,248,945
- ----------------------------------------------------------------------------------------------------
6,901,194
- ----------------------------------------------------------------------------------------------------
Electric Utilities (5.5%)
....................................................................................................
218,500 Chubu Electric Power, Inc. (Japan) 3,640,162
....................................................................................................
839,049 Hong Kong Electric Holdings Ltd.
(Hong Kong) 2,703,749
....................................................................................................
377,683 Scottish and Southern Energy PLC
(United Kingdom) 3,865,974
....................................................................................................
375,331 Scottish Power PLC (United Kingdom) 3,244,007
....................................................................................................
109,039 Veba (Vereinigte Elektrizitaets
Bergwerks) AG (Germany) 6,429,648
- ----------------------------------------------------------------------------------------------------
19,883,540
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (6.7%)
....................................................................................................
1,171,259 Cookson Group PLC (United Kingdom) 3,953,243
....................................................................................................
36,350 Philips Electronics N.V. (Netherlands) 3,596,830
....................................................................................................
61,250 Schneider SA (France) 3,450,122
....................................................................................................
1,461,828 Invensys PLC (United Kingdom) 6,922,549
....................................................................................................
36,100 Sony Corp. (Japan) 3,895,040
....................................................................................................
24,000 TDK Corp. (Japan) (NON) 2,196,610
- ----------------------------------------------------------------------------------------------------
24,014,394
- ----------------------------------------------------------------------------------------------------
Energy-Related (2.7%)
....................................................................................................
255,919 Iberdola S.A. (Spain) 3,910,331
....................................................................................................
101,900 Iberdrola II (Spain) 1,556,988
....................................................................................................
201,300 Kansai Electric Power Inc. (Japan) (NON) 3,827,946
....................................................................................................
2,736,000 Shandong International Power
Development Co. Ltd. (China) (NON) 617,153
- ----------------------------------------------------------------------------------------------------
9,912,418
- ----------------------------------------------------------------------------------------------------
Financial Services (5.2%)
....................................................................................................
1,134,000 Nikko Securities Co. Ltd. (Japan) (NON) 7,322,481
....................................................................................................
99,500 Promise Co., Ltd. (Japan) 5,881,976
....................................................................................................
700 Shohkoh Fund & Co., Ltd. (Japan) 502,356
....................................................................................................
17,061 United Bank of Switzerland (UBS)
AG (Switzerland) 5,117,197
- ----------------------------------------------------------------------------------------------------
18,824,010
- ----------------------------------------------------------------------------------------------------
Food and Beverages (4.6%)
....................................................................................................
588,095 Diageo PLC (United Kingdom) 6,144,975
....................................................................................................
20,629 Groupe Danone (France) 5,335,175
....................................................................................................
1,431 Nestle S.A. (Switzerland) 2,590,970
....................................................................................................
1,008,666 Tesco PLC (United Kingdom) (NON) 2,597,092
- ----------------------------------------------------------------------------------------------------
16,668,212
- ----------------------------------------------------------------------------------------------------
Insurance (7.7%)
....................................................................................................
72,528 AGF (Assurances Generales
de France) (France) 3,503,911
....................................................................................................
469,468 Allied Zurich AG (United Kingdom) 5,905,042
....................................................................................................
405,357 AMP Ltd. (Australia) 4,455,440
....................................................................................................
52,149 Axa S.A. (France) 6,382,065
....................................................................................................
110,801 Internationale Nederlanden Groep
(ING) (Netherlands) 6,017,741
....................................................................................................
30,599 Scor (France) 1,522,589
- ----------------------------------------------------------------------------------------------------
27,786,788
- ----------------------------------------------------------------------------------------------------
Oil and Gas (5.5%)
....................................................................................................
149,163 BP Amoco PLC (United Kingdom) 2,674,907
....................................................................................................
48,441 Elf Aquitaine S.A. (France) 7,130,968
....................................................................................................
1,130,999 Ente Nazionale Idrocarburi (ENI)
SpA (Italy) 6,774,407
....................................................................................................
57,300 Royal Dutch Petroleum Co. (Netherlands) 3,366,925
- ----------------------------------------------------------------------------------------------------
19,947,207
- ----------------------------------------------------------------------------------------------------
Paper (0.8%)
....................................................................................................
111,372 Svenska Cellulosa AB (SCA) Class B
(Sweden) 2,897,569
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (1.6%)
....................................................................................................
372,933 Abitibi-Consolidated Inc. (Canada) (NON) 4,302,388
....................................................................................................
618,000 Jefferson Smurfit Group PLC (Ireland) 1,462,064
- ----------------------------------------------------------------------------------------------------
5,764,452
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (2.5%)
....................................................................................................
1,245 Novartis AG ADR (Switzerland) 1,826,858
....................................................................................................
77,949 Pharmacia & Upjohn, Inc. (Sweden) 4,332,548
....................................................................................................
73,000 Yamanouchi Pharmaceutical Co., Ltd.
(Japan) 2,794,461
- ----------------------------------------------------------------------------------------------------
8,953,867
- ----------------------------------------------------------------------------------------------------
Photography (0.9%)
....................................................................................................
118,000 Canon, Inc. (Japan) 3,395,122
- ----------------------------------------------------------------------------------------------------
Railroads (0.3%)
....................................................................................................
14,900 Canadian National Railway Co. (Canada) (NON) 1,005,946
- ----------------------------------------------------------------------------------------------------
Real Estate (1.1%)
....................................................................................................
106,800 Canary Wharf Finance PLC
(United Kingdom) (NON) 674,016
....................................................................................................
179,000 Canary Wharf Finance 144A PLC
(United Kingdom) (NON) 1,129,670
....................................................................................................
358,000 Henderson Land Development Co. Ltd.
(Hong Kong) (R) 2,058,055
- ----------------------------------------------------------------------------------------------------
3,861,741
- ----------------------------------------------------------------------------------------------------
Retail (1.0%)
....................................................................................................
641,180 Coles Myer Ltd. (Australia) (NON) 3,750,740
- ----------------------------------------------------------------------------------------------------
Satellite Services (0.8%)
....................................................................................................
130,638 Hellenic Telecommunication
Organization S.A. (Greece) 2,813,051
- ----------------------------------------------------------------------------------------------------
Steel (1.1%)
....................................................................................................
334,500 British Steel PLC (United Kingdom) 866,539
....................................................................................................
174,753 SKF AB Class B (Sweden) 3,244,586
- ----------------------------------------------------------------------------------------------------
4,111,125
- ----------------------------------------------------------------------------------------------------
Telecommunications (5.8%)
....................................................................................................
141,529 BCE, Inc. (Canada) (NON) 6,932,013
....................................................................................................
387,300 Cable & Wireless Optus Ltd. (Australia) (NON) 886,654
....................................................................................................
472,119 Cable & Wireless PLC (United Kingdom) 6,020,302
....................................................................................................
125,100 Carso Global Telecom (Mexico) (NON) 796,382
....................................................................................................
38,650 Tele Danmark A/S (Denmark) 1,896,472
....................................................................................................
87,865 Telfonica S.A. (Spain) (NON) 4,245,750
- ----------------------------------------------------------------------------------------------------
20,777,573
- ----------------------------------------------------------------------------------------------------
Telephone Services (4.9%)
....................................................................................................
26,600 Korea Telecom Corp. (South Korea) (NON) 1,064,000
....................................................................................................
318,200 Mahanager Telephone GDR 144A (India) 3,229,730
....................................................................................................
151 Nippon Telegraph and Telephone Corp.
(Japan) 1,760,315
....................................................................................................
91,835 Portugal Telecom S.A. (Portugal) 3,747,880
....................................................................................................
14,066 Swisscom AG ADR (Switzerland) 5,319,076
....................................................................................................
627,174 Telecom Corp. of New Zealand Ltd.
(New Zealand) 2,706,174
- ----------------------------------------------------------------------------------------------------
17,827,175
- ----------------------------------------------------------------------------------------------------
Tobacco (0.5%)
....................................................................................................
184,100 BAT Industries PLC (United Kingdom) 1,732,004
- ----------------------------------------------------------------------------------------------------
Transportation (0.5%)
....................................................................................................
129,851 Peninsular and Oriental Steam
Navigation Co. (United Kingdom) 1,950,730
- ----------------------------------------------------------------------------------------------------
Utilities (1.8%)
....................................................................................................
293,043 Anglian Water PLC (United Kingdom) 3,242,245
....................................................................................................
435,645 National Power (United Kingdom) 3,174,400
- ----------------------------------------------------------------------------------------------------
6,416,645
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $294,680,001) $323,593,589
- ----------------------------------------------------------------------------------------------------
UNITS (0.9%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Units Value
....................................................................................................
179,400 Development Bank of Singapore Ser. C
structered note (issued by Credit
Suisse First Boston), zero %,
2000 (Singapore) $1,914,198
....................................................................................................
126,500 Development Bank of Singapore
structered note (issued by Merrill
Lynch & Co., Inc.) 3s, 2000 (Singapore) 1,371,930
- ----------------------------------------------------------------------------------------------------
Total Units
(cost $1,700,549) $3,286,128
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.5%) (a) (cost $1,715,050)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
34,700 St. George Bank Ltd. 144A $4.50
cv. pfd. (Australia) $1,743,675
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (5.3%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$10,000,000 Interest in $402,952,000 joint repurchase
agreement dated June 30, 1999 with
Merrill Lynch, Pierce, Fenner & Smith, Inc.
due July 1, 1999 with respect to various
U.S. Treasury obligations -- maturity
value of $10,001,306 for an effective
yield of 4.70% $10,000,000
....................................................................................................
9,091,000 Interest in $487,755,000 joint repurchase
agreement dated June 30, 1999 with
S.B.C. Warburg Inc. due July 1, 1999
with respect to various U.S. Treasury
obligations -- maturity value of
$9,092,212 for an effective yield
of 4.80% 9,091,000
- ----------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $19,091,000) $19,091,000
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $317,186,600) (b) $347,714,392
- ----------------------------------------------------------------------------------------------------
Diversification by Country (Unaudited)
- ----------------------------------------------------------------------------------------------------
Distribution of investments by country of issue at
June 30, 1999: (as percentage of Market Value)
- ----------------------------------------------------------------------------------------------------
Australia 5.3%
....................................................................................................
Brazil 6.9
....................................................................................................
Denmark 1.0
....................................................................................................
France 9.0
....................................................................................................
Germany 6.6
....................................................................................................
Hong Kong 1.4
....................................................................................................
Ireland 1.4
....................................................................................................
Italy 1.9
....................................................................................................
Japan 13.0
....................................................................................................
Mexico 1.4
....................................................................................................
Netherlands 6.7
....................................................................................................
Portugal 1.1
....................................................................................................
Singapore 1.3
....................................................................................................
South Korea 1.1
....................................................................................................
Spain 2.8
....................................................................................................
Sweden 3.5
....................................................................................................
Switzerland 5.7
....................................................................................................
United Kingdom 20.9
....................................................................................................
United States 5.5
....................................................................................................
Other 3.5
- ----------------------------------------------------------------------------------------------------
Total 100.0%
- ----------------------------------------------------------------------------------------------------
See page 124 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT International New Opportunities Fund
Portfolio of investments owned
June 30, 1999 (Unaudited)
<CAPTION>
COMMON STOCKS (91.2%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<C> <C> <C> <C> <C>
Advertising (0.9%)
....................................................................................................
1,001 Publicitas Holding S.A. (Switzerland) $550,000
....................................................................................................
114,900 WPP Group PLC (United Kingdom) 972,247
- ----------------------------------------------------------------------------------------------------
1,522,247
- ----------------------------------------------------------------------------------------------------
Airlines (2.4%)
....................................................................................................
223,000 Cathay Pacific Airways (Hong Kong) 342,051
....................................................................................................
991,359 Qantas Airways Ltd. (Australia) 3,292,150
....................................................................................................
5,500 Ryanair Holdings, PLC ADR (Ireland) (NON) 291,500
- ----------------------------------------------------------------------------------------------------
3,925,701
- ----------------------------------------------------------------------------------------------------
Apparel (2.0%)
....................................................................................................
275,000 Esprit Holdings Ltd. 186,093
....................................................................................................
13,000 Fast Retailing Co., Ltd. (Japan) 1,397,272
....................................................................................................
69,200 Hennes & Mauritz AB Class B, (Sweden) 1,718,543
- ----------------------------------------------------------------------------------------------------
3,301,908
- ----------------------------------------------------------------------------------------------------
Automobiles (0.5%)
....................................................................................................
478,000 China Motor Co. Ltd. (Taiwan) 754,971
- ----------------------------------------------------------------------------------------------------
Banks (5.4%)
....................................................................................................
25,600 ABSA Group Ltd. (South Africa) 145,404
....................................................................................................
28,280,000 Akbank T.A.S. (Turkey) 415,675
....................................................................................................
74,600 Banca Popolare di Brescia SpA (Italy) 3,206,567
....................................................................................................
8,000 Commercial Bank Of Greece, S.A.
(Greece) 574,856
....................................................................................................
51,300 Kookmin Bank 144A GDR (South Korea) 1,041,512
....................................................................................................
167,800 Overseas Chinese Banking Corp.
(Singapore) 1,401,624
....................................................................................................
250,000 Public Bank Berhad (Malaysia) 190,157
....................................................................................................
33,700 Standard Chartered Bank Australia Ltd.
(Australia) 550,651
....................................................................................................
378,900 Thai Farmers Bank Public Co. (Thailand) 1,172,174
....................................................................................................
24,745 Yapi ve Kredi Bankasi A.S. GDR (Turkey) (NON) 361,274
- ----------------------------------------------------------------------------------------------------
9,059,894
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (2.2%)
....................................................................................................
112,800 Alfa S.A. de C.V. Class A (Mexico) 470,902
....................................................................................................
9,120 JOT Automation Group Oyj (Finland) 370,781
....................................................................................................
18,807 Mannesmann AG (Germany) 2,815,260
- ----------------------------------------------------------------------------------------------------
3,656,943
- ----------------------------------------------------------------------------------------------------
Beverages (0.3%)
....................................................................................................
24,800 Coca-Cola Femsa S.A. ADR (Mexico) 480,500
- ----------------------------------------------------------------------------------------------------
Brewing (0.3%)
....................................................................................................
51,200 Cia Cervejaria Brahma ADR (Brazil) 579,200
- ----------------------------------------------------------------------------------------------------
Broadcasting (5.5%)
....................................................................................................
3,738 EM TV & Merchandising AG (Germany) 5,278,402
....................................................................................................
20,800 Grupo Televisa S.A.GDR (Mexico) (NON) 932,100
....................................................................................................
54,300 Mediaset SPA (Italy) 484,214
....................................................................................................
10,360 Television Francaise I (TF1) (France) 2,422,137
- ----------------------------------------------------------------------------------------------------
9,116,853
- ----------------------------------------------------------------------------------------------------
Building Products (1.1%)
....................................................................................................
125,900 Cemex S.A. de C.V. Class B, (Mexico) 626,949
....................................................................................................
65,469 CRH PLC (Ireland) 1,164,916
- ----------------------------------------------------------------------------------------------------
1,791,865
- ----------------------------------------------------------------------------------------------------
Business Services (1.7%)
....................................................................................................
4,113 Altran Technologies SA (France) 1,089,254
....................................................................................................
169,600 Fomento Economico Mexicano, S.A.
de C.V. (Mexico) 681,800
....................................................................................................
100,300 Rentokil Group PLC (United Kingdom) 391,528
....................................................................................................
27,500 Serco Group PLC (United Kingdom) 628,909
- ----------------------------------------------------------------------------------------------------
2,791,491
- ----------------------------------------------------------------------------------------------------
Cable Television (1.9%)
....................................................................................................
52,500 Modern Times Group MTG AB (Sweden) 1,145,488
....................................................................................................
52,600 Shaw Communications, Inc. Class B,
(Canada) 2,093,372
- ----------------------------------------------------------------------------------------------------
3,238,860
- ----------------------------------------------------------------------------------------------------
Cellular Communications (2.5%)
....................................................................................................
513,000 China Telecom Ltd. (Hong Kong) 1,424,963
....................................................................................................
13,000 PT Indosat ADR (Indonesia) 253,500
....................................................................................................
97,700 Rogers Communications, Inc. (Canada) 1,577,312
....................................................................................................
31,200 Telesp Celular Participacoes S.A.
ADR (Brazil) 834,600
- ----------------------------------------------------------------------------------------------------
4,090,375
- ----------------------------------------------------------------------------------------------------
Computer Services (3.6%)
....................................................................................................
4,000 Fujitsu Support and Services Inc.
144A (Japan) 605,870
....................................................................................................
14,000 Kabel New Media (Germany) 353,385
....................................................................................................
95,500 Misys PLC (United Kingdom) 817,881
....................................................................................................
7,200 Obic Co., Ltd. (Japan) 1,970,401
....................................................................................................
34,800 StarMedia Network, Inc. 2,231,550
- ----------------------------------------------------------------------------------------------------
5,979,087
- ----------------------------------------------------------------------------------------------------
Computer Software (3.4%)
....................................................................................................
17,830 Fuji Soft AB, Inc. (Japan) 1,061,397
....................................................................................................
16,000 Konami Co., Ltd. (Japan) 661,430
....................................................................................................
15,300 NIIT Ltd. (India) 718,192
....................................................................................................
19,700 Sage Group (The) PLC (United Kingdom) 705,308
....................................................................................................
4,518 SAP AG (Germany) 1,533,030
....................................................................................................
4,500 Softbank Corp. (Japan) 911,906
- ----------------------------------------------------------------------------------------------------
5,591,263
- ----------------------------------------------------------------------------------------------------
Computers (0.2%)
....................................................................................................
28,400 Psion PLC (United Kingdom) 367,298
- ----------------------------------------------------------------------------------------------------
Conglomerates (2.7%)
....................................................................................................
140,800 Gupo Carso S.A. de C.V. (Mexico) 656,106
....................................................................................................
37,353 Harvey Norman Holdings Ltd. (Australia) 331,313
....................................................................................................
6,157 LVMH (Louis Vuitton Moet Hennessy)
(France) 1,808,227
....................................................................................................
6,157 LVMH (Louis Vuitton Moet Hennessy)
Rights (expiration date 9/21/99) (France) (NON) 180,573
....................................................................................................
28,326 Preussag AG (Germany) 1,526,699
- ----------------------------------------------------------------------------------------------------
4,502,968
- ----------------------------------------------------------------------------------------------------
Consumer Durable Goods (0.5%)
....................................................................................................
16,300 Hindustan Lever Ltd. (India) 895,728
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (0.7%)
....................................................................................................
74,200 Gruppo Editoriale L'Espresso (Italy) 1,205,130
- ----------------------------------------------------------------------------------------------------
Consumer Services (0.7%)
....................................................................................................
3,050 Bellsystem 24, Inc. (Japan) 1,246,982
- ----------------------------------------------------------------------------------------------------
Cosmetics (0.7%)
....................................................................................................
6,510 Fancl Corp. (Japan) 1,184,126
- ----------------------------------------------------------------------------------------------------
Electric Utilities (1.4%)
....................................................................................................
32,248 Companhia Energetica de Minas Gerais
ADR (Brazil) 661,084
....................................................................................................
16,000 Korea Electric Power Corp. (South Korea) 664,881
....................................................................................................
12,100 Vestas Wind Systems A/S (Denmark) 1,065,008
- ----------------------------------------------------------------------------------------------------
2,390,973
- ----------------------------------------------------------------------------------------------------
Electronic Components (1.9%)
....................................................................................................
75,600 ARM Holdings PLC (United Kingdom) (NON) 858,502
....................................................................................................
26,930 ASM Lithography Holding N.V.
(Netherlands) (NON) 1,562,895
....................................................................................................
424,000 JIT Holdings Ltd. (Singapore) 773,176
- ----------------------------------------------------------------------------------------------------
3,194,573
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (4.7%)
....................................................................................................
257 Kudelski S.A. (Switzerland) 922,010
....................................................................................................
5,323 Medion AG (Germany) 1,514,327
....................................................................................................
12,000 Murata Manufacturing Co. Ltd. (Japan) 789,748
....................................................................................................
6,700 Samsung Electronics Co. (South Korea) 735,164
....................................................................................................
24,000 Samsung Display GDR 144A (South Korea) 306,000
....................................................................................................
27,124 STMicroelectronics N.V. ADR (France) 1,881,728
....................................................................................................
221,990 Taiwan Semiconductor Manufacturing Co.
(Taiwan) 849,048
....................................................................................................
106,000 Venture Manufacturing Ltd. (Singapore) 816,824
- ----------------------------------------------------------------------------------------------------
7,814,849
- ----------------------------------------------------------------------------------------------------
Entertainment (0.2%)
....................................................................................................
4,600 RTV Family Entertainment AG (Germany) 249,832
- ----------------------------------------------------------------------------------------------------
Financial Services (1.4%)
....................................................................................................
248,600 Grupo Financiero Bancomer, S.A. de C.V.
(Mexico) 636,212
....................................................................................................
7,422 Liberty International PLC
(United Kingdom) 49,314
....................................................................................................
2,270 Shohkoh Fund & Co., Ltd. (Japan) 1,629,070
- ----------------------------------------------------------------------------------------------------
2,314,596
- ----------------------------------------------------------------------------------------------------
Food and Beverages (2.2%)
....................................................................................................
8,000 C TWO-NETWORK Co., Ltd. (Japan) 1,256,718
....................................................................................................
13,174 Kamps AG (Germany) 538,326
....................................................................................................
629 Nestle S.A. (Switzerland) 1,138,868
....................................................................................................
192,900 San Miguel Corp. (Philippines) 421,889
....................................................................................................
41,100 South African Breweries, Ltd. (South
Africa) 358,194
- ----------------------------------------------------------------------------------------------------
3,713,995
- ----------------------------------------------------------------------------------------------------
Health Care Services (0.9%)
....................................................................................................
29,700 TLC The Laser Center Inc. 1,419,210
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (0.8%)
....................................................................................................
5,073 Axa S.A. (France) 620,841
....................................................................................................
2,300 Housing Development Finance
Corporation Ltd. (India) 118,000
....................................................................................................
31,400 Royal Bank Of Scotland Group 639,851
- ----------------------------------------------------------------------------------------------------
1,378,692
- ----------------------------------------------------------------------------------------------------
Media (0.6%)
....................................................................................................
198,200 Aegis Group PLC (United Kingdom) 437,641
....................................................................................................
246,500 Aegis Group PLC 144A (United Kingdom) 544,292
- ----------------------------------------------------------------------------------------------------
981,933
- ----------------------------------------------------------------------------------------------------
Metals and Mining (0.7%)
....................................................................................................
29,100 Companhia Vale do Rio Doce
ADR (Brazil) (NON) 571,088
....................................................................................................
18,300 Pohang Iron & Steel Company, Ltd. ADR
(South Korea) 615,338
- ----------------------------------------------------------------------------------------------------
1,186,426
- ----------------------------------------------------------------------------------------------------
Networking (1.3%)
....................................................................................................
23,900 Nortel Networks Corp. (Canada) 2,055,703
- ----------------------------------------------------------------------------------------------------
Oil and Gas (0.3%)
....................................................................................................
17,700 MOL Magyar Olaj-es Gazipari GDR
(Hungary) 420,375
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (1.2%)
....................................................................................................
16,588 Sanofi-Synthelabo SA (France) 706,146
....................................................................................................
27,000 Takeda Chemical Industries (Japan) 1,252,336
- ----------------------------------------------------------------------------------------------------
1,958,482
- ----------------------------------------------------------------------------------------------------
Publishing (4.3%)
....................................................................................................
99,700 Class Editori (Italy) 799,332
....................................................................................................
330,100 John Fairfax Holdings Ltd. (Australia) 988,567
....................................................................................................
9,800 Kadokawa Shoten Publishing Co., Ltd.
(Japan) 2,001,323
....................................................................................................
37,000 Singapore Press Holdings Ltd. (Singapore) 631,176
....................................................................................................
83,800 Trinity PLC (United Kingdom) 744,114
....................................................................................................
50,328 VNU N.V. (Netherlands) 2,017,492
- ----------------------------------------------------------------------------------------------------
7,182,004
- ----------------------------------------------------------------------------------------------------
Real Estate (0.2%)
....................................................................................................
1,268,400 SM Prime Holdings Inc. (Philippines) 287,437
- ----------------------------------------------------------------------------------------------------
Recreation (1.5%)
....................................................................................................
19,700 Aruze Corp. (Japan) 1,938,239
....................................................................................................
84 Round One Corp. (Japan) 589,632
- ----------------------------------------------------------------------------------------------------
2,527,871
- ----------------------------------------------------------------------------------------------------
Restaurants (1.6%)
....................................................................................................
202,700 Autogrill SPA (Italy) 2,094,835
....................................................................................................
23,100 TPI Paginas Amarillas 144A (Spain) 462,406
- ----------------------------------------------------------------------------------------------------
2,557,241
- ----------------------------------------------------------------------------------------------------
Retail (2.0%)
....................................................................................................
188 Dixons Group PLC (United Kingdom) 3,514
....................................................................................................
428,000 Migros Turk T.A.S. (Turkey) 532,704
....................................................................................................
110,000 President Chain Store Corp. (Taiwan) 373,026
....................................................................................................
10,000 Shimamura Co., Ltd. (Japan) 847,458
....................................................................................................
13,000 Tsuruha Co., Ltd. (Japan) 967,342
....................................................................................................
13,000 Yamada Denki (Japan) 712,609
- ----------------------------------------------------------------------------------------------------
3,436,653
- ----------------------------------------------------------------------------------------------------
Satellite Services (0.6%)
....................................................................................................
8,200 Gilat Satellite Networks Ltd. (Israel) 430,500
....................................................................................................
26,000 Hellenic Telecommunication
Organization S.A. (Greece) 559,862
- ----------------------------------------------------------------------------------------------------
990,362
- ----------------------------------------------------------------------------------------------------
Semiconductors (4.6%)
....................................................................................................
9,000 Advantest Corp. (Japan) 989,665
....................................................................................................
15,500 Ase Test Limited (Taiwan) 333,250
....................................................................................................
4,188 Consumer Electronic AG (Germany) 2,122,918
....................................................................................................
12,000 Rohm Co. Ltd. (Japan) 1,880,116
....................................................................................................
34,000 Tokyo Electron Ltd. (Japan) 2,307,896
- ----------------------------------------------------------------------------------------------------
7,633,845
- ----------------------------------------------------------------------------------------------------
Specialty Consumer Products (1.3%)
....................................................................................................
20,000 JDS Fitel Inc. 1,686,122
....................................................................................................
8,340 Tomy Co. Ltd. (Japan) 533,015
- ----------------------------------------------------------------------------------------------------
2,219,137
- ----------------------------------------------------------------------------------------------------
Supermarkets (0.8%)
....................................................................................................
8,543 Carrefour Supermarche SA (France) 1,259,377
- ----------------------------------------------------------------------------------------------------
Telecommunications (11.6%)
....................................................................................................
71,600 Cable & Wireless Communications
(United Kingdom) (NON) 688,858
....................................................................................................
630,300 Cable & Wireless Optus Ltd. (Australia) (NON) 1,442,958
....................................................................................................
70,000 Carso Global Telecom (Mexico) 445,617
....................................................................................................
174,100 Colt Telecom Group PLC
(United Kingdom) (NON) 3,654,800
....................................................................................................
22,597 Equant N.V. (Netherlands) 2,089,868
....................................................................................................
19,100 Global TeleSystems Group, Inc. (NON) 1,547,100
....................................................................................................
4,200 Hikari Tsushin, Inc. (Japan) 1,298,718
....................................................................................................
200 Mahanagar Telephone Nigam Ltd. (India) 859
....................................................................................................
12,000 Matsushita Communication Industrial
Co., Ltd. (Japan) 858,206
....................................................................................................
119,400 Orange PLC ADR (United Kingdom) (NON) 1,751,354
....................................................................................................
37,300 Oy Nokia AB Class A, (Finland) 3,279,882
....................................................................................................
48,900 Sonera Group OYJ (Finland) 1,072,445
....................................................................................................
24,600 Telfonica S.A. (Spain) 1,188,709
- ----------------------------------------------------------------------------------------------------
19,319,374
- ----------------------------------------------------------------------------------------------------
Telephone Services (5.6%)
....................................................................................................
72,800 British Telecommunications PLC ADR 1,220,538
....................................................................................................
3,995 Dacom Corp. (South Korea) 431,425
....................................................................................................
148,000 Hong Kong Telecommunications Ltd.
(Hong Kong) 384,393
....................................................................................................
4,500 Korea Telecom Corp. (South Korea) 298,575
....................................................................................................
9,800 Korea Telecom Corp. ADR (South Korea) 392,000
....................................................................................................
19,600 Magyar Tavkozlesi Rt ADR (Hungary) 539,000
....................................................................................................
8,500 Tele Centro Sul Participacoes S.A. (Brazil) 471,750
....................................................................................................
26,000 Telefonica de Argentina S.A. ADR
(Argentina) 815,750
....................................................................................................
11,100 Telefonos de Mexico S.A. ADR Class L,
(Mexico) 897,019
....................................................................................................
41,900 Telesp Participacoes S.A. ADR (Brazil) 958,463
....................................................................................................
148,802 Vodafone Group PLC (United Kingdom) 2,933,336
- ----------------------------------------------------------------------------------------------------
9,342,249
- ----------------------------------------------------------------------------------------------------
Textiles (0.3%)
....................................................................................................
349,000 Far Eastern Textile Ltd. (Taiwan) 518,798
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $114,837,529) $151,637,377
- ----------------------------------------------------------------------------------------------------
UNITS (1.3%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Units Value
....................................................................................................
84,900 Next Ord United Kingdom $1,031,732
....................................................................................................
21,800 United Pan-Europe NV 1,186,240
- ----------------------------------------------------------------------------------------------------
Total Units (cost $2,301,884) $2,217,972
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (0.9%) (a) (cost $1,518,000)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$1,518,000 Interest in $402,952,000 joint repurchase
agreement dated June 30, 1999 with
Merrill Lynch, Pierce, Fenner & Smith, Inc.
due July 1, 1998 with respect to various
U.S. Treasury obligations -- maturity
value of $1,518,198 for an effective yield
of 4.70% $1,518,000
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $118,657,413) (b) $155,373,349
- ----------------------------------------------------------------------------------------------------
SWAP Contracts Outstanding at June 30, 1999 (Unaudited)
- ----------------------------------------------------------------------------------------------------
Notional Termination Unrealized
Amount Date Appreciation
....................................................................................................
Agreement with Salomon Brothers
International Ltd. dated October 21,
1998 to receive pay quarterly the
notional amount multiplied by the
return of SK Telecom Co. Ltd. (South
Korea) and pay the notional amount
multiplied by three month LIBOR
adjusted by a specified spread $395,769 Oct. 21, 1999 $284,570
- ----------------------------------------------------------------------------------------------------
Diversification by Country (Unaudited)
- ----------------------------------------------------------------------------------------------------
Distribution of investments by country of issue at June 30, 1999:
(as percentage of Market Value)
- ----------------------------------------------------------------------------------------------------
Australia 4.0%
....................................................................................................
Brazil 2.5
....................................................................................................
Canada 3.4
....................................................................................................
Finland 2.8
....................................................................................................
France 6.0
....................................................................................................
Germany 9.6
....................................................................................................
Hong Kong 1.3
....................................................................................................
India 1.0
....................................................................................................
Italy 4.7
....................................................................................................
Japan 17.4
....................................................................................................
Mexico 3.5
....................................................................................................
Netherlands 3.4
....................................................................................................
Singapore 2.2
....................................................................................................
South Korea 2.5
....................................................................................................
Spain 1.0
....................................................................................................
Sweden 1.7
....................................................................................................
Switzerland 1.6
....................................................................................................
Taiwan 1.7
....................................................................................................
United Kingdom 9.3
....................................................................................................
United States 14.2
....................................................................................................
Other 6.2
- ----------------------------------------------------------------------------------------------------
Total 100.0%
- ----------------------------------------------------------------------------------------------------
See page 124 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT Investors Fund
Portfolio of investments owned
June 30, 1999 (Unaudited)
<CAPTION>
COMMON STOCKS (96.8%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Banks (3.5%)
....................................................................................................
56,900 Bank of America Corp. $4,171,481
....................................................................................................
61,800 Fifth Third Bancorp 4,113,563
....................................................................................................
245,900 Firstar Corp. 6,885,200
....................................................................................................
95,300 Wells Fargo Co. 4,074,075
....................................................................................................
8,800 Zions Bancorp 558,800
- ----------------------------------------------------------------------------------------------------
19,803,119
- ----------------------------------------------------------------------------------------------------
Broadcasting (2.5%)
....................................................................................................
253,700 AT&T-Liberty Media Group Class A (NON) 9,323,475
....................................................................................................
31,300 Clear Channel Communications, Inc. 2,157,744
....................................................................................................
72,400 Comcast Corp. Class A (NON) 2,782,875
- ----------------------------------------------------------------------------------------------------
14,264,094
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (1.8%)
....................................................................................................
54,700 Hewlett-Packard Co. 5,497,350
....................................................................................................
75,700 Pitney Bowes, Inc. 4,863,725
- ----------------------------------------------------------------------------------------------------
10,361,075
- ----------------------------------------------------------------------------------------------------
Cable Television (1.2%)
....................................................................................................
88,700 MediaOne Group Inc. (NON) 6,597,063
- ----------------------------------------------------------------------------------------------------
Chemicals (1.4%)
....................................................................................................
50,800 du Pont (E.I.) de Nemours & Co., Ltd. 3,470,275
....................................................................................................
90,000 Praxair, Inc. 4,404,375
- ----------------------------------------------------------------------------------------------------
7,874,650
- ----------------------------------------------------------------------------------------------------
Computer Equipment (4.6%)
....................................................................................................
53,200 Apple Computer, Inc. 2,463,825
....................................................................................................
68,300 EMC Corp. (NON) 3,756,500
....................................................................................................
92,500 IBM Corp. 11,955,625
....................................................................................................
23,900 Lexmark International Group, Inc.
Class A (NON) 1,578,894
....................................................................................................
95,000 Sun Microsystems, Inc. (NON) 6,543,125
- ----------------------------------------------------------------------------------------------------
26,297,969
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (5.4%)
....................................................................................................
17,500 CMGI, Inc. (NON) 1,996,094
....................................................................................................
39,650 Comverse Technology, Inc. (NON) 2,993,575
....................................................................................................
246,500 Microsoft Corp. (NON) 22,231,219
....................................................................................................
86,900 Unisys Corp. (NON) 3,383,669
- ----------------------------------------------------------------------------------------------------
30,604,557
- ----------------------------------------------------------------------------------------------------
Conglomerates (6.0%)
....................................................................................................
52,900 Allied-Signal, Inc. 3,332,700
....................................................................................................
212,300 Tyco International Ltd. 20,115,425
....................................................................................................
148,300 United Technologies Corp. 10,631,256
- ----------------------------------------------------------------------------------------------------
34,079,381
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (3.5%)
....................................................................................................
32,300 Clorox Co. 3,450,044
....................................................................................................
53,100 Colgate-Palmolive Co. 5,243,625
....................................................................................................
126,400 Estee Lauder Cos. Class A 6,335,800
....................................................................................................
57,000 Kimberly-Clark Corp. 3,249,000
....................................................................................................
22,700 Nike, Inc. 1,437,194
- ----------------------------------------------------------------------------------------------------
19,715,663
- ----------------------------------------------------------------------------------------------------
Consumer Services (2.4%)
....................................................................................................
18,300 Amazon.com, Inc. (NON) 2,289,788
....................................................................................................
35,800 America Online, Inc. (NON) 3,955,900
....................................................................................................
86,900 Interpublic Group Cos. Inc. 7,527,713
- ----------------------------------------------------------------------------------------------------
13,773,401
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (7.3%)
....................................................................................................
172,500 General Electric Co. 19,492,500
....................................................................................................
21,700 Honeywell, Inc. 2,514,488
....................................................................................................
125,400 Motorola, Inc. 11,881,650
....................................................................................................
71,200 Solectron Corp. (NON) 4,748,150
....................................................................................................
19,900 Texas Instruments, Inc. 2,885,500
- ----------------------------------------------------------------------------------------------------
41,522,288
- ----------------------------------------------------------------------------------------------------
Entertainment (4.4%)
....................................................................................................
94,200 Carnival Corp. Class A 4,568,700
....................................................................................................
164,700 Time Warner, Inc. 12,105,450
....................................................................................................
190,200 Viacom, Inc. Class B (NON) 8,368,800
- ----------------------------------------------------------------------------------------------------
25,042,950
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (10.3%)
....................................................................................................
51,300 AFLAC, Inc. 2,455,988
....................................................................................................
59,900 American Express Co. 7,794,488
....................................................................................................
45,200 American General Corp. 3,406,950
....................................................................................................
97,100 American International Group, Inc. 11,366,769
....................................................................................................
51,500 Capital One Financial Corp. 2,867,906
....................................................................................................
229,150 Citigroup, Inc. 10,884,625
....................................................................................................
43,500 Comerica, Inc. 2,585,531
....................................................................................................
59,300 First Security Corp. 1,615,925
....................................................................................................
25,200 Lincoln National Corp. 1,318,275
....................................................................................................
35,600 Morgan Stanley, Dean Witter,
Discover and Co. 3,649,000
....................................................................................................
16,200 Northern Trust Corp. 1,571,400
....................................................................................................
45,100 Providian Financial Corp. 4,216,850
....................................................................................................
42,700 Schwab (Charles) Corp. 4,691,663
- ----------------------------------------------------------------------------------------------------
58,425,370
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (0.5%)
....................................................................................................
34,900 Bausch & Lomb, Inc. 2,669,850
- ----------------------------------------------------------------------------------------------------
Networking Equipment (1.8%)
....................................................................................................
157,700 Cisco Systems, Inc. (NON) 10,161,794
- ----------------------------------------------------------------------------------------------------
Oil and Gas (3.2%)
....................................................................................................
77,400 Conoco, Inc. 2,157,525
....................................................................................................
84,900 Enron Corp. 6,940,575
....................................................................................................
114,500 Exxon Corp. 8,830,813
- ----------------------------------------------------------------------------------------------------
17,928,913
- ----------------------------------------------------------------------------------------------------
Packaging and Containers (0.4%)
....................................................................................................
33,800 Sealed Air Corp. (NON) 2,192,775
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (8.4%)
....................................................................................................
17,400 Allergan, Inc. 1,931,400
....................................................................................................
102,800 American Home Products Corp. 5,911,000
....................................................................................................
54,300 Amgen Inc. (NON) 3,305,513
....................................................................................................
59,600 Biogen, Inc. (NON) 3,833,025
....................................................................................................
8,500 Immunex Corp. (NON) 1,083,219
....................................................................................................
65,300 Johnson & Johnson 6,399,400
....................................................................................................
101,000 Pharmacia & Upjohn, Inc. 5,738,063
....................................................................................................
208,700 Schering-Plough Corp. 11,061,100
....................................................................................................
122,000 Warner-Lambert Co. 8,463,750
- ----------------------------------------------------------------------------------------------------
47,726,470
- ----------------------------------------------------------------------------------------------------
Retail (12.4%)
....................................................................................................
53,900 Best Buy Co., Inc. (NON) 3,638,250
....................................................................................................
113,000 Costco Companies, Inc. (NON) 9,047,063
....................................................................................................
152,600 CVS Corp. 7,744,450
....................................................................................................
50,100 Dayton Hudson Corp. 3,256,500
....................................................................................................
83,700 Gap, Inc. (The) (NON) 4,216,380
....................................................................................................
148,100 Home Depot, Inc. (The) 9,543,194
....................................................................................................
115,300 Safeway, Inc. (NON) 5,707,350
....................................................................................................
194,400 TJX Cos., Inc. (The) 6,475,950
....................................................................................................
298,600 Wal-Mart Stores, Inc. 14,407,450
....................................................................................................
209,600 Walgreen Co. 6,157,000
- ----------------------------------------------------------------------------------------------------
70,193,587
- ----------------------------------------------------------------------------------------------------
Telecommunications (9.1%)
....................................................................................................
35,200 ALLTEL Corp. 2,516,800
....................................................................................................
248,800 Lucent Technologies, Inc. 16,778,450
....................................................................................................
131,100 MCI WorldCom, Inc. (NON) 11,282,794
....................................................................................................
66,800 Nokia Oyj Corp. ADR (Finland) 6,116,375
....................................................................................................
35,200 QUALCOMM, Inc. 5,051,200
....................................................................................................
79,600 Tellabs, Inc. (NON) 5,377,975
....................................................................................................
23,900 Vodafone AirTouch PLC
(United Kingdom) 4,708,300
- ----------------------------------------------------------------------------------------------------
51,831,894
- ----------------------------------------------------------------------------------------------------
Transportation (1.2%)
....................................................................................................
74,400 FDX Corp. (NON) 4,036,200
....................................................................................................
42,900 Union Pacific Corp. 2,501,606
- ----------------------------------------------------------------------------------------------------
6,537,806
- ----------------------------------------------------------------------------------------------------
Telephone Services (5.5%)
....................................................................................................
112,200 BellSouth Corp. 5,259,375
....................................................................................................
203,600 SBC Communications, Inc. 11,808,800
....................................................................................................
214,400 Sprint Corp. 11,323,000
....................................................................................................
46,200 Sprint PCS 2,639,175
- ----------------------------------------------------------------------------------------------------
31,030,350
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $463,529,621) $548,635,019
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (3.5%) (a) (cost $19,809,000)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$19,809,000 Interest in $402,952,000 joint repurchase
agreement dated June 30, 1999 with
Merrill Lynch, Pierce, Fenner &
Smith, Inc. due July 1, 1999 with
respect to various U.S. Treasury
obligations - maturity value of
$19,811,586 for an effective
yield of 4.70% $19,809,000
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $483,338,621) (b) $568,444,019
- ----------------------------------------------------------------------------------------------------
See page 124 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT Money Market Fund
Portfolio of investments owned
June 30, 1999 (Unaudited)
<CAPTION>
COMMERCIAL PAPER (88.2%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Maturity Date Value
....................................................................................................
<S> <C> <C> <C> <C>
Domestic (58.7%) (a)
....................................................................................................
$4,000,000 American General
Finance Corp. 5.1s 8/6/99 $3,979,033
....................................................................................................
5,000,000 Asset Securitization
Cooperative Corp. 5.06s 8/9/99 4,971,889
....................................................................................................
10,000,000 Asset Securitization
Cooperative Corp. 5s 7/22/99 9,969,444
....................................................................................................
27,000,000 Associates First
Capital Corp. 5.55s 7/1/99 26,995,837
....................................................................................................
10,000,000 A T & T Corporation 4.83s 7/27/99 9,963,775
....................................................................................................
7,500,000 Bank Of America FSB 4.93s 7/19/99 7,480,485
....................................................................................................
3,000,000 BankAmerica Corp. 4.81s 11/3/99 2,949,495
....................................................................................................
4,000,000 Bellsouth
Telecommunications 5.3s 7/2/99 3,998,822
....................................................................................................
5,000,000 Chase Manhattan Corp. 4.83s 9/22/99 4,943,650
....................................................................................................
10,000,000 Citigroup 4.85s 7/13/99 9,982,486
....................................................................................................
20,000,000 Corporate Receivables
Corp. 4.84s 8/31/99 19,833,289
....................................................................................................
7,000,000 Corporate Receivables
Corp. 4.82s 7/29/99 6,972,144
....................................................................................................
5,000,000 CXC Inc. 4.95s 8/2/99 4,977,313
....................................................................................................
7,000,000 Delaware Funding Corp. 5.03s 7/21/99 6,979,461
....................................................................................................
6,133,000 Delaware Funding Corp. 5.03s 7/2/99 6,131,286
....................................................................................................
6,061,000 Delaware Funding Corp. 5.02s 9/9/99 6,000,993
....................................................................................................
4,000,000 Delaware Funding Corp. 5s 8/4/99 3,980,556
....................................................................................................
5,000,000 Delaware Funding Corp. 4.97s 9/7/99 4,952,371
....................................................................................................
4,000,000 Eureka Securitization Inc. 4.95s 8/12/99 3,976,350
....................................................................................................
2,300,000 Eureka Securitization Inc. 4.81s 7/9/99 2,297,234
....................................................................................................
6,000,000 Falcon Asset Securitization
Corp. 5.27s 7/15/99 5,986,825
....................................................................................................
1,600,000 Falcon Asset Securitization
Corp. 4.9s 7/19/99 1,595,862
....................................................................................................
3,680,000 Falcon Asset Securitization
Corp. 4.84s 8/3/99 3,663,178
....................................................................................................
10,000,000 Formosa Plastics Corp.
(Bank of America NT & SA
(LOC)) 4.84s 7/16/99 9,978,489
....................................................................................................
10,000,000 General Electric Capital
International Fund 5.1s 8/23/99 9,923,500
....................................................................................................
5,000,000 General Electric Capital
Corp. 5.02s 10/7/99 4,930,975
....................................................................................................
12,500,000 General Electric Capital
Corp. 4.87s 7/30/99 12,449,271
....................................................................................................
4,000,000 Goldman Sachs Group 4.85s 8/17/99 3,974,133
....................................................................................................
5,000,000 Goldman Sachs Group 4.85s 7/14/99 4,990,569
....................................................................................................
6,000,000 Goldman Sachs Group 4.82s 10/15/99 5,914,043
....................................................................................................
4,000,000 Lehman Brothers Holdings 5.03s 9/1/99 3,964,790
....................................................................................................
5,000,000 Lehman Brothers Holdings 4.95s 7/27/99 4,981,438
....................................................................................................
6,000,000 Lehman Brothers Holdings 4.92s 7/28/99 5,977,040
....................................................................................................
7,447,000 Metlife Funding 4.98s 7/20/99 7,426,314
....................................................................................................
6,000,000 Morgan (J.P.) & Co., Inc. 4.9s 9/15/99 5,937,117
....................................................................................................
5,000,000 Morgan (J.P.) & Co., Inc. 4.85s 7/12/99 4,991,917
....................................................................................................
11,000,000 Morgan (J.P.) & Co., Inc. 4.8s 7/15/99 10,977,908
....................................................................................................
10,000,000 Morgan Stanley Dean
Witter & Co. 4.85s 7/23/99 9,969,014
....................................................................................................
10,000,000 National Rural Utilities
Cooperative Finance Corp. 4.88s 9/9/99 9,903,756
....................................................................................................
4,000,000 ORIX America, Inc. (Bank of
America NT & SA (Letter of
Credit (LOC)) 4.94s 7/8/99 3,995,609
....................................................................................................
8,000,000 PNC Funding Corp. 5.1s 8/30/99 7,930,867
....................................................................................................
7,000,000 PNC Funding Corp. 5.08s 8/18/99 6,951,599
....................................................................................................
7,000,000 PNC Funding Corp. 4.97s 8/4/99 6,966,176
....................................................................................................
4,055,000 Preferred Receivables
Funding Corp. 4.97s 8/10/99 4,032,048
....................................................................................................
7,000,000 Preferred Receivables
Funding Corp. 4.86s 7/8/99 6,992,440
....................................................................................................
5,000,000 Sheffield Receivables Corp. 5.1s 7/22/99 4,984,417
....................................................................................................
7,000,000 Sheffield Receivables Corp. 5.05s 7/20/99 6,980,361
....................................................................................................
5,400,000 Sheffield Receivables Corp. 5.05s 7/19/99 5,385,608
....................................................................................................
6,000,000 Sheffield Receivables Corp. 4.95s 7/2/99 5,998,350
....................................................................................................
4,500,000 Sheffield Receivables Corp. 4.83s 7/15/99 4,490,850
....................................................................................................
2,267,000 Shell Finance (UK) PLC 4.87s 8/9/99 2,254,733
....................................................................................................
5,000,000 Sigma Finance Inc. 4.86s 10/7/99 4,933,175
....................................................................................................
7,000,000 Sigma Finance Inc. 4.85s 7/12/99 6,988,683
....................................................................................................
5,000,000 Sigma Finance Inc. 4.83s 8/20/99 4,965,788
....................................................................................................
5,000,000 Sigma Finance Inc. 4.83s 7/15/99 4,989,938
....................................................................................................
2,300,000 USAA Capital Corp. 5s 7/27/99 2,291,375
....................................................................................................
5,000,000 Walt Disney Company 5.12s 7/6/99 4,995,733
....................................................................................................
2,043,000 Windmill Funding Corp. 5.31s 7/7/99 2,040,891
....................................................................................................
6,500,000 Windmill Funding Corp. 5.08s 8/19/99 6,454,139
....................................................................................................
6,000,000 Windmill Funding Corp. 4.95s 8/26/99 5,952,975
....................................................................................................
5,000,000 Windmill Funding Corp. 4.86s 7/29/99 4,980,425
....................................................................................................
5,000,000 Windmill Funding Corp. 4 3/4s 9/27/99 4,941,285
- ----------------------------------------------------------------------------------------------------
399,369,517
- ----------------------------------------------------------------------------------------------------
Foreign (29.5%) (a)
....................................................................................................
6,000,000 Abbey National North America
Corp. 4.74s (United Kingdom) 10/29/99 5,904,410
....................................................................................................
5,000,000 Banco De Galicia Y Buenos Aires
(Bayerische Vereinsbank (LOC))
4.93s (Germany), 10/6/99 10/6/99 4,932,897
....................................................................................................
5,000,000 Banco Mercantil De Norte, S.A.
(Bayerische Vereinsbank (LOC))
4.86s (Germany) 7/7/99 4,995,275
....................................................................................................
6,669,000 Banco Nacional De Comerico
(Barclays (LOC) 4.84s
(United Kingdom) 7/12/99 6,658,241
....................................................................................................
7,500,000 Banco Nacional De Mexico, S.A.
(Barclays (LOC)) 4.83s
(United Kingdom) 8/24/99 7,444,656
....................................................................................................
5,000,000 Bancomer, S.A., Institution de
Banca Multiple (Bank Of
Montreal (LOC)) 4.83s
(Canada) 8/11/99 4,971,825
....................................................................................................
5,000,000 Bank Of Nova Scotia 4.97s
(Canada) 9/3/99 4,955,132
....................................................................................................
3,062,000 CBA Delaware Finance 5.2s
(Australia) 8/27/99 3,036,347
....................................................................................................
4,500,000 CBA Delaware Finance 4.82s
(Australia) 8/3/99 4,479,515
....................................................................................................
3,386,000 Contifinancial Corp. (Dresdner
Bank AG (LOC)) 5.05s
(Germany) 7/6/99 3,383,150
....................................................................................................
1,400,000 Contifinancial Corp. (Dresdner
Bank AG (LOC)) 4.86s
(Germany) 7/1/99 1,399,811
....................................................................................................
3,600,000 Contifinancial Corp. (Dresdner
Bank AG (LOC)) 4.82s
(Germany) 7/20/99 3,590,360
....................................................................................................
6,000,000 Credit Suisse First Boston 4.83s
(Switzerland) 9/15/99 5,938,015
....................................................................................................
8,000,000 Credit Suisse First Boston 4.82s
(Switzerland) 9/9/99 7,923,951
....................................................................................................
5,000,000 Credit Suisse First Boston 4.82s
(Switzerland) 8/18/99 4,967,197
....................................................................................................
7,000,000 Credit Suisse First Boston
International Guernsey 4.83s
(Switzerland) 9/7/99 6,935,198
....................................................................................................
4,000,000 DaimlerChrysler NA Holding
Corp. 4.95s (Germany) 8/16/99 3,974,150
....................................................................................................
10,000,000 DaimlerChrysler NA Holding
Corp. 4.87s (Germany) 8/5/99 9,951,300
....................................................................................................
5,000,000 DaimlerChrysler NA Holding
Corp. 4.87s (Germany) 7/28/99 4,981,061
....................................................................................................
8,000,000 Den Danske Corp. Inc. 4.83s
(Denmark) 11/30/99 7,835,780
....................................................................................................
12,803,000 Diageo Capital PLC 5 3/4s
(United Kingdom) 7/1/99 12,800,950
....................................................................................................
10,000,000 Formosa Plastics Corp,
(ABN AMRO (LOC)) 5.15s
(Netherlands) 10/13/99 9,849,792
....................................................................................................
5,000,000 Garanti Funding Corp.
(Bayerische Hypo-und Vereinsbank
(LOC)) 4.8s (Germany) 8/2/99 4,978,000
....................................................................................................
7,000,000 Girsa Funding Corp. (Societe
Generale (LOC)) 4.78s (France) 7/26/99 6,975,733
....................................................................................................
4,000,000 Louis Dreyfus Corp. (Dresdner
Bank (LOC)) 4.93s (Germany) 7/9/99 3,995,070
....................................................................................................
2,500,000 Nacional Financiera, S.N.C.
(Barclays Bank PLC (LOC)) 4.87s
(United Kingdom) 11/12/99 2,454,344
....................................................................................................
6,000,000 Northern Rock PLC 4.93s
(United Kingdom) 8/3/99 5,972,063
....................................................................................................
4,000,000 Northern Rock PLC 4.87s
(United Kingdom) 8/27/99 3,968,616
....................................................................................................
5,000,000 PEMEX Capital, Inc. (Societe
Generale (LOC)) 5.11s (France) 8/16/99 4,966,643
....................................................................................................
4,000,000 PEMEX Capital, Inc. (Societe
Generale (LOC)) 4.86s (France) 7/7/99 3,996,220
....................................................................................................
2,000,000 PEMEX Capital, Inc. (Societe
Generale (LOC)) 4.82 (France) 7/28/99 1,992,502
....................................................................................................
$2,000,000 Svenska Handelsbanken Inc.
5s (Sweden) 7/22/99 1,993,889
....................................................................................................
5,000,000 Toronto Dominion Holdings
4.77s (Canada) 11/5/99 4,915,200
....................................................................................................
5,500,000 Unibanco-Uniao De Bancos
Brasileiros, S.A. (Barclays (LOC))
4.84s (United Kingdom) 10/20/99 5,416,669
....................................................................................................
4,000,000 Unibanco-Uniao De Bancos
Brasileiros, S.A. (Barclays (LOC))
4.86s (United Kingdom) 10/20/99 3,939,520
....................................................................................................
7,000,000 UBS AG 4.84s (Switzerland) 12/13/99 6,843,776
....................................................................................................
8,000,000 Westpac Capital Corp. 4.82s
(Australia) 7/6/99 7,993,573
- ----------------------------------------------------------------------------------------------------
201,310,831
- ----------------------------------------------------------------------------------------------------
Total Commercial Paper
(cost $600,680,348) $600,680,348
- ----------------------------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT (11.1%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Maturity Date Value
....................................................................................................
$6,000,000 Bank Of Nova Scotia 5.57s
(Canada) 6/12/00 $5,998,341
....................................................................................................
5,000,000 Bayerische Hypo-und Verinsbank
AG 5.15s (Germany) 4/20/00 4,998,054
....................................................................................................
9,500,000 Bayerische Landesbank
Girozentrate 5.115s (Germany) 3/21/00 9,486,344
....................................................................................................
5,000,000 Canadian Imperial Bank Of
Commerce 5.12s (Canada) 2/23/00 4,998,430
....................................................................................................
5,000,000 Chase Manhattan Corp. 4.93s 10/6/99 5,000,000
....................................................................................................
5,000,000 Commerzbank AG 5.65s
(Germany) 6/26/00 4,998,078
....................................................................................................
5,000,000 Commerzbank AG 5.265s
(Germany) 5/18/00 4,997,872
....................................................................................................
6,000,000 Commerzbank AG 5.22s
(Germany) 5/12/00 5,997,493
....................................................................................................
5,000,000 Commerzbank AG 5.09s
(Germany) 2/16/00 4,999,085
....................................................................................................
4,000,000 Deutsche BankAG 5.36s
(Germany) 5/22/00 3,998,261
....................................................................................................
5,000,000 Deutsche Bank AG 5.07s
(Germany) 1/13/00 4,999,220
....................................................................................................
5,000,000 Deutsche Bank AG 5.06s
(Germany) 2/8/00 4,998,822
....................................................................................................
5,000,000 Rabobank Nederland 5.29s
(Netherlands) 5/19/00 4,997,653
....................................................................................................
5,000,000 UBS AG 5.48s (Switzerland) 6/2/00 4,998,222
- ----------------------------------------------------------------------------------------------------
Total Cetificates of Deposit
(cost $75,465,875) $75,465,875
- ----------------------------------------------------------------------------------------------------
BANK NOTES (2.2%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Maturity Date Value
....................................................................................................
$5,000,000 Morgan (J.P.) & Co., Inc.
sr. notes Ser. A, 5.546s, 7/7/99 $4,999,943
....................................................................................................
5,000,000 National Rural Utilities notes
Ser. C, 5.178s, 6/26/00 5,000,000
....................................................................................................
5,000,000 Wells Fargo & Co. notes
Ser. J, 5.31s, 3/31/00 4,998,080
- ----------------------------------------------------------------------------------------------------
Total Bank Notes
(cost $14,998,023) $14,998,023
- ----------------------------------------------------------------------------------------------------
U. S. GOVERNMENT & AGENCY OBLIGATIONS (1.3%) (a)
(cost $8,946,210)
- ----------------------------------------------------------------------------------------------------
Principal Amount Maturity Date Value
....................................................................................................
$9,000,000 Federal Home Loan
Mortgage Corp. 4.89s 8/13/99 $8,946,210
- ----------------------------------------------------------------------------------------------------
CORPORATE BONDS (0.9%) (a) (cost $5,996,100)
- ----------------------------------------------------------------------------------------------------
Principal Amount Maturity Date Value
....................................................................................................
$6,000,000 Abbey National Treasury
Service Bank guaranteed
5.261s, (United Kingdom) 5/1/00 $5,996,100
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $706,086,556) (b) $706,086,556
- ----------------------------------------------------------------------------------------------------
Diversification by Country (Unaudited)
- ----------------------------------------------------------------------------------------------------
Distribution of investments by country of issue at
June 30, 1999: (as percentage of Market Value)
- ----------------------------------------------------------------------------------------------------
Australia 2.2%
....................................................................................................
Canada 3.7
....................................................................................................
Denmark 1.1
....................................................................................................
France 2.5
....................................................................................................
Germany 13.6
....................................................................................................
Netherlands 2.1
....................................................................................................
Switzerland 5.3
....................................................................................................
United Kingdom 8.6
....................................................................................................
United States 60.7
....................................................................................................
Other 0.2
- ----------------------------------------------------------------------------------------------------
Total 100.0%
- ----------------------------------------------------------------------------------------------------
See page 124 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT New Opportunities Fund
Portfolio of investments owned
June 30, 1999 (Unaudited)
<CAPTION>
COMMON STOCKS (96.7%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Advertising (2.1%)
....................................................................................................
508,700 Lamar Advertising Co. (NON) $20,824,906
....................................................................................................
1,643,300 Outdoor Systems, Inc. (NON) 59,980,450
....................................................................................................
101,000 TMP Worldwide Inc. (NON) 6,413,500
- ----------------------------------------------------------------------------------------------------
87,218,856
- ----------------------------------------------------------------------------------------------------
Airlines (0.3%)
....................................................................................................
217,700 Ryanair Holdings, PLC ADR (Ireland) (NON) 11,538,100
- ----------------------------------------------------------------------------------------------------
Banks (0.9%)
....................................................................................................
795,100 Firstar Corp. 22,262,800
....................................................................................................
239,200 Zions Bancorp 15,189,200
- ----------------------------------------------------------------------------------------------------
37,452,000
- ----------------------------------------------------------------------------------------------------
Broadcasting (10.5%)
....................................................................................................
2,743,172 AT&T Corp. -- Liberty Media, Class A 100,811,571
....................................................................................................
1,385,800 CBS Corp. (NON) 60,195,688
....................................................................................................
950,200 Chancellor Media Corp. (NON) 52,379,775
....................................................................................................
133,500 Citadel Communications Corp. (NON) 4,831,031
....................................................................................................
1,802,500 Clear Channel Communications, Inc. (NON) 124,259,844
....................................................................................................
101,000 Entercom Communications Corp. (NON) 4,317,750
....................................................................................................
169,100 Hispanic Broadcasting Corp. (NON) 12,830,463
....................................................................................................
910,500 Infinity Broadcasting Corp. Class A (NON) 27,087,375
....................................................................................................
617,700 Sinclair Broadcast Group, Inc. Class A (NON) 10,114,838
....................................................................................................
464,200 Univision Communications Inc. Class A (NON) 30,637,200
....................................................................................................
253,000 WestWood One, Inc. (NON) 9,028,938
- ----------------------------------------------------------------------------------------------------
436,494,473
- ----------------------------------------------------------------------------------------------------
Business Services (2.0%)
....................................................................................................
434,000 Affiliated Computer Services Inc., Class A 21,971,250
....................................................................................................
309,000 Cendant Corp. (NON) 6,334,500
....................................................................................................
201,400 Exodus Communications, Inc. (NON) 24,155,413
....................................................................................................
887,800 Snyder Communications, Inc. (NON) 29,075,450
....................................................................................................
27,300 VerticalNet, Inc. (NON) 2,866,500
- ----------------------------------------------------------------------------------------------------
84,403,113
- ----------------------------------------------------------------------------------------------------
Cable Television (1.3%)
....................................................................................................
104,300 Adelphia Communications, Class A (NON) 6,636,088
....................................................................................................
222,300 Century Communications Corp. (NON) 10,225,800
....................................................................................................
766,200 Comcast Corp. Class A 29,450,813
....................................................................................................
106,600 MediaOne Group Inc. (NON) 7,928,375
- ----------------------------------------------------------------------------------------------------
54,241,076
- ----------------------------------------------------------------------------------------------------
Computer Equipment (2.7%)
....................................................................................................
487,900 Comdisco, Inc. 12,502,438
....................................................................................................
858,200 EMC Corp. 47,201,000
....................................................................................................
771,700 Sun Microsystems, Inc. (NON) 53,150,838
- ----------------------------------------------------------------------------------------------------
112,854,276
- ----------------------------------------------------------------------------------------------------
Computer Services (3.8%)
....................................................................................................
226,900 America Online, Inc. (NON) 25,072,450
....................................................................................................
124,100 CheckFree Holdings Corp. (NON) 3,420,506
....................................................................................................
268,000 Comverse Technology, Inc. (NON) 20,234,000
....................................................................................................
269,700 Covad Communications Group 144A (NON) 14,378,381
....................................................................................................
114,300 Critical Path, Inc. (NON) 6,322,219
....................................................................................................
385,700 Entrust Technologies Inc. (NON) 12,824,525
....................................................................................................
304,400 E(a)Trade Group, Inc. (NON) 12,156,975
....................................................................................................
43,700 RealNetworks, Inc. (NON) 3,009,838
....................................................................................................
647,200 USWeb Corp. (NON) 14,359,750
....................................................................................................
112,100 Verio Inc. (NON) 7,790,950
....................................................................................................
274,900 VeriSign, Inc. (NON) 23,710,125
....................................................................................................
482,000 Whittman-Hart, Inc. (NON) 15,303,500
- ----------------------------------------------------------------------------------------------------
158,583,219
- ----------------------------------------------------------------------------------------------------
Computer Software (6.6%)
....................................................................................................
268,300 Amdocs Ltd. (NON) 6,103,825
....................................................................................................
76,400 BroadVision, Inc. (NON) 5,634,500
....................................................................................................
85,800 Check Point Software Technologies Ltd.
(Israel) (NON) 4,601,025
....................................................................................................
414,300 Electronic Arts, Inc. (NON) 22,475,775
....................................................................................................
294,190 I2 Technologies, Inc. (NON) 12,650,170
....................................................................................................
241,900 Intuit, Inc. (NON) 21,801,238
....................................................................................................
108,400 ISS Group, Inc. (NON) 4,092,100
....................................................................................................
40,900 Lycos, Inc. (NON) 3,757,688
....................................................................................................
183,900 Macromedia, Inc. (NON) 6,482,475
....................................................................................................
985,100 Microsoft Corp. (NON) 88,843,706
....................................................................................................
1,592,200 Parametric Technology Corp. (NON) 22,091,775
....................................................................................................
22,000 Peregrine Systems, Inc. (NON) 565,125
....................................................................................................
175,900 Rational Software Corp. (NON) 5,793,706
....................................................................................................
189,500 Research in Motion Ltd. (Canada) (NON) 3,837,375
....................................................................................................
181,300 Sapient Corp. (NON) 10,266,113
....................................................................................................
162,600 Security First Technologies Corp. (NON) 7,337,325
....................................................................................................
540,600 Synopsys, Inc. (NON) 29,834,363
....................................................................................................
189,100 VERITAS Software Corp. (NON) 17,952,681
- ----------------------------------------------------------------------------------------------------
274,120,965
- ----------------------------------------------------------------------------------------------------
Conglomerates (2.1%)
....................................................................................................
669,800 Tyco International Ltd. 63,463,550
....................................................................................................
310,800 United Technologies Corp. 22,280,475
- ----------------------------------------------------------------------------------------------------
85,744,025
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (0.3%)
....................................................................................................
214,300 Kimberly-Clark Corp. 12,215,100
- ----------------------------------------------------------------------------------------------------
Consumer Products (0.7%)
....................................................................................................
179,300 Bausch & Lomb, Inc. 13,716,450
....................................................................................................
161,500 Colgate-Palmolive Co. 15,948,125
- ----------------------------------------------------------------------------------------------------
29,664,575
- ----------------------------------------------------------------------------------------------------
Consumer Services (0.2%)
....................................................................................................
11,200 MarketWatch.com, Inc. (NON) 659,400
....................................................................................................
30,400 SportsLine USA, Inc. (NON) 1,090,600
....................................................................................................
82,400 StarMedia Network, Inc. (NON) 5,283,900
....................................................................................................
103,900 Ziff-Davis, Inc. (NON) 2,701,400
- ----------------------------------------------------------------------------------------------------
9,735,300
- ----------------------------------------------------------------------------------------------------
Cosmetics (0.7%)
....................................................................................................
576,800 Estee Lauder Cos. Class A 28,912,100
- ----------------------------------------------------------------------------------------------------
Education (0.2%)
....................................................................................................
341,500 ITT Educational Services, Inc. (NON) 8,900,344
- ----------------------------------------------------------------------------------------------------
Electric Utilities (0.6%)
....................................................................................................
364,000 CalEnergy Co., Inc. (NON) 12,603,500
....................................................................................................
185,700 Montana Power Co. 13,091,850
- ----------------------------------------------------------------------------------------------------
25,695,350
- ----------------------------------------------------------------------------------------------------
Electronic Components (2.1%)
....................................................................................................
335,600 ASM Lithography Holding N.V.
(Netherlands) (NON) 19,926,250
....................................................................................................
558,000 Celestica Inc. (Canada) (NON) 24,168,375
....................................................................................................
198,600 Illinois Tool Works, Inc. 16,285,200
....................................................................................................
368,600 Sanmina Corp. (NON) 27,967,525
- ----------------------------------------------------------------------------------------------------
88,347,350
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (5.1%)
....................................................................................................
227,900 Applied Materials, Inc. (NON) 16,836,113
....................................................................................................
310,100 Flextronics International Ltd. (NON) 17,210,550
....................................................................................................
745,000 General Electric Co. 84,185,000
....................................................................................................
316,900 Jabil Circuit, Inc. (NON) 14,300,113
....................................................................................................
216,400 KLA Tencor Corp. (NON) 14,038,950
....................................................................................................
156,000 Lernout & Hauspie Speech Products N.V.
(Belgium) (NON) 5,528,250
....................................................................................................
111,900 Novellus Systems, Inc. (NON) 7,637,175
....................................................................................................
246,800 Solectron Corp. (NON) 16,458,475
....................................................................................................
208,900 Teradyne, Inc. (NON) 14,988,575
....................................................................................................
131,200 Uniphase Corp. (NON) 21,779,200
- ----------------------------------------------------------------------------------------------------
212,962,401
- ----------------------------------------------------------------------------------------------------
Energy-Related (0.1%)
....................................................................................................
47,700 Calpine Corp. (NON) 2,575,800
- ----------------------------------------------------------------------------------------------------
Entertainment (3.2%)
....................................................................................................
658,900 Harrah's Entertainment, Inc. (NON) 14,495,800
....................................................................................................
233,300 International Speedway Corp. Class A 11,081,750
....................................................................................................
308,900 SFX Entertainment, Inc. Class A (NON) 19,769,600
....................................................................................................
706,100 Time Warner, Inc. 51,898,350
....................................................................................................
831,000 Viacom, Inc. Class B (NON) 36,564,000
- ----------------------------------------------------------------------------------------------------
133,809,500
- ----------------------------------------------------------------------------------------------------
Financial Services (4.3%)
....................................................................................................
645,550 Citigroup, Inc. 30,663,625
....................................................................................................
607,100 Concord EFS, Inc. (NON) 25,687,919
....................................................................................................
116,900 Donaldson, Lufkin & Jenrette, Inc. 7,043,225
....................................................................................................
401,700 Finova Group, Inc. 21,139,463
....................................................................................................
37,300 Goldman Sachs Group, Inc. (The) (NON) 2,694,925
....................................................................................................
46,500 Investment Technology Group, Inc. 1,505,438
....................................................................................................
209,500 Morgan Stanley, Dean Witter,
Discover and Co. 21,473,750
....................................................................................................
639,300 National Commerce Bancorporation 13,984,688
....................................................................................................
105,800 Providian Financial Corp. 9,892,300
....................................................................................................
254,500 Schwab (Charles) Corp. 27,963,188
....................................................................................................
130,200 TD Waterhouse Group, Inc. (NON) 3,263,138
....................................................................................................
475,900 TCF Financial Corp. 13,265,713
- ----------------------------------------------------------------------------------------------------
178,577,372
- ----------------------------------------------------------------------------------------------------
Funeral/Cemetery Services (0.5%)
....................................................................................................
1,283,000 Stewart Enterprises, Inc. Class A 18,683,688
- ----------------------------------------------------------------------------------------------------
Health Care Information Services (0.1%)
....................................................................................................
189,300 Eclipsys Corp. (NON) 4,531,369
- ----------------------------------------------------------------------------------------------------
Health Care Services (0.7%)
....................................................................................................
141,700 CareMatrix Corp. (NON) 1,762,394
....................................................................................................
22,300 Healtheon Corp. (NON) 1,717,100
....................................................................................................
450,900 Lincare Holdings, Inc. (NON) 11,272,500
....................................................................................................
182,400 Sunrise Assisted Living, Inc. (NON) 6,361,200
....................................................................................................
130,190 TLC The Laser Center Inc. (Canada) (NON) 6,249,120
- ----------------------------------------------------------------------------------------------------
27,362,314
- ----------------------------------------------------------------------------------------------------
Hospital Management (0.4%)
....................................................................................................
1,415,700 Health Management Assoc., Inc. (NON) 15,926,625
- ----------------------------------------------------------------------------------------------------
Insurance (0.7%)
....................................................................................................
253,950 American International Group, Inc. 29,728,022
- ----------------------------------------------------------------------------------------------------
Lodging (0.5%)
....................................................................................................
951,600 Extended Stay America, Inc. (NON) 11,419,200
....................................................................................................
192,300 Four Seasons Hotels, Inc. (Canada) 8,473,219
- ----------------------------------------------------------------------------------------------------
19,892,419
- ----------------------------------------------------------------------------------------------------
Medical Management Services (0.1%)
....................................................................................................
169,800 Pediatrix Medical Group, Inc. (NON) 3,608,250
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (2.0%)
....................................................................................................
305,400 Biomet, Inc. 12,139,650
....................................................................................................
228,000 IDEXX Laboratories, Inc. (NON) 5,315,250
....................................................................................................
268,500 Henry Schein, Inc. (NON) 8,508,094
....................................................................................................
995,600 Sybron International Corp. (NON) 27,441,225
....................................................................................................
104,900 VISX, Inc. (NON) 8,306,769
....................................................................................................
405,500 Waters Corp. (NON) 21,542,188
- ----------------------------------------------------------------------------------------------------
83,253,176
- ----------------------------------------------------------------------------------------------------
Networking (0.6%)
....................................................................................................
234,700 CIENA Corp. (NON) 7,085,006
....................................................................................................
46,000 Copper Mountain Networks, Inc. (NON) 3,553,500
....................................................................................................
350,550 International Network Services (NON) 14,153,456
....................................................................................................
3,851 Juniper Networks, Inc. (NON) 573,799
- ----------------------------------------------------------------------------------------------------
25,365,761
- ----------------------------------------------------------------------------------------------------
Networking and Telecommunication Equipment (7.2%)
....................................................................................................
831,100 Cisco Systems, Inc. (NON) 53,554,006
....................................................................................................
408,000 General Instrument Corp. (NON) 17,340,000
....................................................................................................
948,600 Lucent Technologies, Inc. 63,971,200
....................................................................................................
426,100 Motorola, Inc. 40,372,975
....................................................................................................
237,600 Network Appliance, Inc. (NON) 13,275,900
....................................................................................................
466,400 Nokia Corp. ADR (Finland) (NON) 42,704,750
....................................................................................................
454,000 QUALCOMM, Inc. 65,149,000
- ----------------------------------------------------------------------------------------------------
296,367,831
- ----------------------------------------------------------------------------------------------------
Oil and Gas (1.2%)
....................................................................................................
257,100 Enron Corp. 21,017,925
....................................................................................................
643,200 Williams Cos., Inc. 27,376,200
- ----------------------------------------------------------------------------------------------------
48,394,125
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (6.2%)
....................................................................................................
596,300 American Home Products Corp. 34,287,250
....................................................................................................
428,900 Amgen Inc. (NON) 26,109,288
....................................................................................................
1,427,000 Elan Corp. PLC ADR (Ireland) (NON) 39,599,250
....................................................................................................
205,000 Forest Laboratories, Inc. (NON) 9,481,250
....................................................................................................
250,900 Johnson & Johnson 24,588,200
....................................................................................................
23,000 Jones Medical Industries, Inc. 905,625
....................................................................................................
313,400 Medicis Pharmaceutical Corp. Class A (NON) 7,952,525
....................................................................................................
53,700 QLT PhotoTherapeutics Inc. (Canada) (NON) 2,953,500
....................................................................................................
1,012,800 Schering-Plough Corp. 53,678,400
....................................................................................................
226,000 Sepracor, Inc. (NON) 18,362,500
....................................................................................................
195,300 Transkaryotic Therapies, Inc. (Malaysia) (NON) 6,444,900
....................................................................................................
348,700 Warner-Lambert Co. 24,191,063
....................................................................................................
212,700 Watson Pharmaceuticals, Inc. (NON) 7,457,794
- ----------------------------------------------------------------------------------------------------
256,011,545
- ----------------------------------------------------------------------------------------------------
Restaurants (0.2%)
....................................................................................................
1,917,700 J.D. Wetherspoon PLC (United Kingdom) (NON) 8,922,560
- ----------------------------------------------------------------------------------------------------
Retail (10.1%)
....................................................................................................
73,100 Amazon.com, Inc. (NON) 9,146,638
....................................................................................................
1,311,000 Bed Bath & Beyond, Inc. (NON) 50,477,350
....................................................................................................
123,900 Beyond.com Corp. (NON) 3,554,381
....................................................................................................
875,000 Costco Companies, Inc. (NON) 70,054,688
....................................................................................................
598,500 CVS Corp. 30,373,875
....................................................................................................
376,000 Dollar Tree Stores, Inc. (NON) 16,544,000
....................................................................................................
553,050 Gap, Inc. (The) 27,859,894
....................................................................................................
762,400 Home Depot, Inc. (The) 49,127,150
....................................................................................................
489,700 Kohls Corp. (NON) 37,798,719
....................................................................................................
495,000 Safeway, Inc. (NON) 24,502,500
....................................................................................................
1,156,300 TJX Cos., Inc. (The) 38,519,244
....................................................................................................
1,149,700 Wal-Mart Stores, Inc. 55,473,025
....................................................................................................
206,100 Williams-Sonoma, Inc. (NON) 7,174,856
- ----------------------------------------------------------------------------------------------------
420,606,320
- ----------------------------------------------------------------------------------------------------
Semiconductors (5.3%)
....................................................................................................
589,600 Analog Devices, Inc. (NON) 29,590,550
....................................................................................................
106,500 Applied Micro Circuits Corp. (NON) 8,759,625
....................................................................................................
222,700 E-Tek Dynamics, Inc. (NON) 10,592,169
....................................................................................................
682,500 Linear Technology Corp. 45,898,125
....................................................................................................
590,900 Maxim Integrated Products Inc. (NON) 39,294,850
....................................................................................................
112,800 Micrel, Inc. (NON) 8,347,200
....................................................................................................
305,400 PMC - Sierra, Inc. (NON) 17,999,513
....................................................................................................
10,800 RF Micro Devices, Inc. (NON) 805,950
....................................................................................................
93,100 SDL, Inc. (NON) 4,753,919
....................................................................................................
261,000 Texas Instruments, Inc. 37,845,000
....................................................................................................
284,700 Xilinx, Inc. (NON) 16,299,075
- ----------------------------------------------------------------------------------------------------
220,185,976
- ----------------------------------------------------------------------------------------------------
Telecommunications (11.1%)
....................................................................................................
447,800 ADC Telecommunications, Inc. (NON) 20,402,888
....................................................................................................
357,700 Allegiance Telecommunications, Inc. (NON) 19,628,788
....................................................................................................
652,600 American Tower Corp. Class A 15,662,400
....................................................................................................
165,000 Frontier Corp. 9,735,000
....................................................................................................
236,040 Global Crossing Ltd. (NON) 10,061,205
....................................................................................................
500,100 Global TeleSystems Group, Inc. (NON) 40,508,100
....................................................................................................
280,800 Intermedia Communications, Inc. (NON) 8,424,000
....................................................................................................
517,900 McLeod, Inc. Class A (NON) 28,484,500
....................................................................................................
523,900 MCI WorldCom, Inc. (NON) 45,088,144
....................................................................................................
1,436,400 Metromedia Fiber Network, Inc. Class A (NON) 51,620,625
....................................................................................................
572,100 NEXTLINK Communications, Inc. Class A (NON) 42,549,938
....................................................................................................
164,500 NTL Inc. (NON) 14,177,844
....................................................................................................
600,400 Qwest Communications
International, Inc. (NON) 19,850,725
....................................................................................................
318,700 RSL Communications, Ltd. Class A (NON) 6,154,894
....................................................................................................
639,600 Sprint Corp. 33,778,875
....................................................................................................
602,300 Sprint PCS (NON) 34,406,388
....................................................................................................
343,900 Tellabs, Inc. (NON) 23,234,744
....................................................................................................
123,450 Vodafone AirTouch PLC (United Kingdom) 24,319,650
....................................................................................................
217,700 WinStar Communications. Inc. (NON) 10,612,875
- ----------------------------------------------------------------------------------------------------
458,701,583
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $2,745,590,769) $4,011,586,859
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (3.0%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$19,000,000 Federal Home Loan Mortgage Corp.,
effective yield of 4.89%, August 13, 1999 $18,889,024
....................................................................................................
25,000,000 Federal National Mortgage Corp., effective
yield of 4.89%, September 8, 1999 24,765,675
....................................................................................................
25,000,000 Sigma Finance Inc., effective yield of
4.82%, July 7, 1999 24,979,917
....................................................................................................
56,507,000 Interest in $402,952,000 joint repurchase
agreement dated June 30, 1999 with
Merrill Lynch, Pierce, Fenner & Smith, Inc.
due July 1, 1999 with respect to various
U.S. Treasury obligations -- maturity
value of $56,514,377 for an effective
yield of 4.70% 56,507,000
- ----------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $125,141,616) $125,141,616
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $2,870,732,385) (b) $4,136,728,475
- ----------------------------------------------------------------------------------------------------
See page 124 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT New Value Fund
Portfolio of investments owned
June 30, 1999 (Unaudited)
<CAPTION>
COMMON STOCKS (95.1%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Aerospace and Defense (2.5%)
....................................................................................................
100,000 Boeing Co. $4,418,750
....................................................................................................
48,000 Raytheon Co. Class A 3,306,000
- ----------------------------------------------------------------------------------------------------
7,724,750
- ----------------------------------------------------------------------------------------------------
Automotive (4.4%)
....................................................................................................
72,000 Ford Motor Co. 4,063,500
....................................................................................................
78,800 General Motors Corp. 5,200,800
....................................................................................................
80,000 Lear Corp. (NON) 3,980,000
- ----------------------------------------------------------------------------------------------------
13,244,300
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (2.2%)
....................................................................................................
70,000 Cooper Industries, Inc. 3,640,000
....................................................................................................
93,000 Owens-Illinois, Inc. (NON) 3,039,938
- ----------------------------------------------------------------------------------------------------
6,679,938
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (0.9%)
....................................................................................................
45,000 Xerox Corp. 2,657,813
- ----------------------------------------------------------------------------------------------------
Chemicals (3.8%)
....................................................................................................
33,100 Avery Dennison Corp. 1,998,413
....................................................................................................
23,500 Dow Chemical Co. 2,981,563
....................................................................................................
50,000 du Pont (E.I.) de Nemours & Co., Ltd. 3,415,625
....................................................................................................
140,000 Engelhard Corp. 3,167,500
- ----------------------------------------------------------------------------------------------------
11,563,101
- ----------------------------------------------------------------------------------------------------
Computer Equipment (1.8%)
....................................................................................................
110,300 NCR Corp. 5,384,019
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (1.1%)
....................................................................................................
58,000 Computer Associates International, Inc. 3,190,000
- ----------------------------------------------------------------------------------------------------
Computers (1.5%)
....................................................................................................
31,500 IBM Corp. 4,071,375
....................................................................................................
18,700 Seagate Technology, Inc. (NON) 479,188
- ----------------------------------------------------------------------------------------------------
4,550,563
- ----------------------------------------------------------------------------------------------------
Conglomerates (2.2%)
....................................................................................................
55,000 Allied-Signal, Inc. 3,465,000
....................................................................................................
118,100 Ogden Corp. 3,181,319
- ----------------------------------------------------------------------------------------------------
6,646,319
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (1.0%)
....................................................................................................
52,000 Kimberly-Clark Corp. 2,964,000
- ----------------------------------------------------------------------------------------------------
Consumer Services (1.0%)
....................................................................................................
157,500 Service Corp. International 3,031,875
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (2.2%)
....................................................................................................
31,500 Motorola, Inc. 2,984,625
....................................................................................................
62,000 Rockwell International Corp. 3,766,500
- ----------------------------------------------------------------------------------------------------
6,751,125
- ----------------------------------------------------------------------------------------------------
Entertainment (0.9%)
....................................................................................................
62,500 Viacom, Inc. Class B (NON) 2,750,000
- ----------------------------------------------------------------------------------------------------
Environmental Control (1.1%)
....................................................................................................
132,000 Republic Services, Inc. (NON) 3,267,000
- ----------------------------------------------------------------------------------------------------
Food and Beverages (5.0%)
....................................................................................................
79,000 Nabisco Holdings Corp. Class A 3,416,750
....................................................................................................
135,000 Pepsi Bottling Group, Inc. (The) 3,113,438
....................................................................................................
143,000 Sara Lee Corp. 3,244,313
....................................................................................................
47,000 Seagram Co., Ltd. 2,367,625
....................................................................................................
44,000 The Quaker Oats Co. 2,920,500
- ----------------------------------------------------------------------------------------------------
15,062,626
- ----------------------------------------------------------------------------------------------------
Health Care (0.9%)
....................................................................................................
143,500 Tenet Healthcare Corp. (NON) 2,663,719
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (21.3%)
....................................................................................................
87,000 Ace Ltd. 2,457,750
....................................................................................................
55,000 American General Corp. 4,145,625
....................................................................................................
83,000 Bank of America Corp. 6,084,938
....................................................................................................
107,000 Banc One Corp. 6,373,188
....................................................................................................
134,000 Charter One Financial, Inc. 3,726,875
....................................................................................................
67,700 CIGNA Corp. 6,025,300
....................................................................................................
150,000 Citigroup, Inc. 7,125,000
....................................................................................................
14,100 First Union Corp. 662,700
....................................................................................................
102,000 Lehman Brothers Holding, Inc. 6,349,500
....................................................................................................
23,500 Morgan (J.P.) & Co., Inc. 3,301,750
....................................................................................................
105,500 PNC Bank Corp. 6,079,438
....................................................................................................
70,000 St. Paul Cos., Inc. 2,226,875
....................................................................................................
48,000 The Chubb Corp. 3,336,000
....................................................................................................
78,500 Travelers Property Casualty Corp. 3,071,313
....................................................................................................
102,000 Washington Mutual, Inc. 3,608,250
- ----------------------------------------------------------------------------------------------------
64,574,502
- ----------------------------------------------------------------------------------------------------
Lodging (1.1%)
....................................................................................................
110,300 Starwood Hotels & Resorts
Worldwide, Inc. 3,371,044
- ----------------------------------------------------------------------------------------------------
Metals and Mining (0.5%)
....................................................................................................
24,000 Alcoa Inc. 1,485,000
- ----------------------------------------------------------------------------------------------------
Oil and Gas (11.0%)
....................................................................................................
36,000 Atlantic Richfield Co. 3,008,250
....................................................................................................
25,300 BP Amoco PLC ADR (United Kingdom) 2,745,050
....................................................................................................
100,000 Conoco, Inc. 2,787,500
....................................................................................................
104,000 Halliburton Co. 4,706,000
....................................................................................................
66,200 Mobil Corp. 6,553,800
....................................................................................................
126,000 Occidental Petroleum Corp. 2,661,750
....................................................................................................
73,500 Royal Dutch Petroleum Co. PLC ADR
(Netherlands) 4,428,375
....................................................................................................
85,000 Sonat, Inc. 2,815,625
....................................................................................................
87,000 Williams Cos., Inc. 3,702,938
- ----------------------------------------------------------------------------------------------------
33,409,288
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (2.4%)
....................................................................................................
99,000 Boise Cascade Corp. 4,244,625
....................................................................................................
142,000 Smurfit-Stone Container Corp. (NON) 2,919,875
- ----------------------------------------------------------------------------------------------------
7,164,500
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (3.2%)
....................................................................................................
63,000 American Home Products Corp. 3,622,500
....................................................................................................
55,000 Monsanto Co. 2,169,063
....................................................................................................
66,000 Pharmacia & Upjohn, Inc. 3,749,625
- ----------------------------------------------------------------------------------------------------
9,541,188
- ----------------------------------------------------------------------------------------------------
Photography (0.9%)
....................................................................................................
40,000 Eastman Kodak Co. 2,710,000
- ----------------------------------------------------------------------------------------------------
Publishing (1.1%)
....................................................................................................
58,300 Times Mirror Co. Class A 3,454,275
- ----------------------------------------------------------------------------------------------------
REIT (Real Estate Investment Trust) (1.1%)
....................................................................................................
74,000 Equity Residential Properties Trust 3,334,625
- ----------------------------------------------------------------------------------------------------
Retail (4.5%)
....................................................................................................
63,000 Federated Department Stores, Inc. (NON) 3,335,063
....................................................................................................
253,500 K mart Corp. (NON) 4,166,906
....................................................................................................
125,000 Rite Aid Corp. 3,078,125
....................................................................................................
102,500 Saks, Inc. (NON) 2,959,680
- ----------------------------------------------------------------------------------------------------
13,539,774
- ----------------------------------------------------------------------------------------------------
Specialty Consumer Products (1.0%)
....................................................................................................
110,000 Mattel, Inc. 2,908,125
- ----------------------------------------------------------------------------------------------------
Telecommunications (6.1%)
....................................................................................................
47,300 ALLTEL Corp. 3,381,950
....................................................................................................
88,200 GTE Corp. 6,681,150
....................................................................................................
110,500 SBC Communications, Inc. 6,409,000
....................................................................................................
36,500 U S West, Inc. 2,144,375
- ----------------------------------------------------------------------------------------------------
18,616,475
- ----------------------------------------------------------------------------------------------------
Transportation (3.7%)
....................................................................................................
77,500 Burlington Northern Santa Fe Corp. 2,402,500
....................................................................................................
43,000 Delta Air Lines, Inc. 2,477,875
....................................................................................................
41,200 UAL Corp. (NON) 2,678,000
....................................................................................................
62,000 Union Pacific Corp. 3,615,375
- ----------------------------------------------------------------------------------------------------
11,173,750
- ----------------------------------------------------------------------------------------------------
Utilities (4.7%)
....................................................................................................
205,000 DPL, Inc. 3,766,875
....................................................................................................
110,300 Entergy Corp. 3,446,875
....................................................................................................
110,000 Potomac Electric Power Co. 3,238,125
....................................................................................................
164,000 Sempra Energy 3,710,500
- ----------------------------------------------------------------------------------------------------
14,162,375
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $253,331,189) $287,576,069
- ----------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (2.0%) (a)
(cost $5,877,345)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
U.S. Treasury Obligations (2.0%)
....................................................................................................
$4,700,000 U.S. Treasury Bonds 8 1/2s,
February 15, 2020 $5,894,082
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (2.9%) (a) (cost $8,823,000)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$8,823,000 Interest in $402,952,000 joint repurchase
agreement dated June 30, 1999, with
Merrill Lynch, Pierce, Fenner & Smith, Inc.
due July 1, 1999 with respect to
various U.S. Treasury obligations -
maturity value of $8,824,152 for an
effective yield of 4.70% $8,823,000
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $268,031,534) (b) $302,293,151
- ----------------------------------------------------------------------------------------------------
See page 124 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT OTC & Emerging Growth Fund
Portfolio of investments owned
June 30, 1999 (Unaudited)
<CAPTION>
COMMON STOCKS (95.1%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Advertising (2.4%)
....................................................................................................
5,900 AdForce, Inc. (NON) $138,650
....................................................................................................
17,800 Lamar Advertising Co. (NON) 728,688
....................................................................................................
5,900 TMP Worldwide Inc. (NON) 374,650
- ----------------------------------------------------------------------------------------------------
1,241,988
- ----------------------------------------------------------------------------------------------------
Airlines (0.3%)
....................................................................................................
5,600 SkyWest, Inc. 139,650
- ----------------------------------------------------------------------------------------------------
Apparel (0.5%)
....................................................................................................
3,400 American Eagle Outfitters, Inc. (NON) 154,700
....................................................................................................
3,100 Quicksilver, Inc. (NON) 80,794
- ----------------------------------------------------------------------------------------------------
235,494
- ----------------------------------------------------------------------------------------------------
Banks (0.4%)
....................................................................................................
5,100 Net.B@nk, Inc. (NON) 193,800
- ----------------------------------------------------------------------------------------------------
Biotechnology (--%)
....................................................................................................
900 Invitrogen Corp. (NON) 22,219
- ----------------------------------------------------------------------------------------------------
Broadcasting (4.7%)
....................................................................................................
14,014 Chancellor Media Corp. (NON) 772,522
....................................................................................................
10,100 Citadel Communications Corp. (NON) 365,494
....................................................................................................
10,000 Entercom Communications Corp. (NON) 427,500
....................................................................................................
3,668 Hispanic Broadcasting Corp. (NON) 278,310
....................................................................................................
3,700 Radio One, Inc. (NON) 172,050
....................................................................................................
6,830 Univision Communications Inc. Class A (NON) 450,780
- ----------------------------------------------------------------------------------------------------
2,466,656
- ----------------------------------------------------------------------------------------------------
Business Services (0.3%)
....................................................................................................
1,850 AnswerThink Consulting Group, Inc.(NON) 169,275
- ----------------------------------------------------------------------------------------------------
Cable Television (2.1%)
....................................................................................................
3,120 Adelphia Communications Corp. 198,510
....................................................................................................
11,200 Gemstar International Group Ltd. (NON) 730,800
....................................................................................................
3,700 Jones Intercable, Inc. (NON) 181,300
- ----------------------------------------------------------------------------------------------------
1,110,610
- ----------------------------------------------------------------------------------------------------
Computer Services (16.4%)
....................................................................................................
1,300 Ariba, Inc. (NON) 126,425
....................................................................................................
3,000 Aware, Inc (NON). 138,375
....................................................................................................
5,800 BackWeb Technologies Ltd. (Israel) (NON) 158,775
....................................................................................................
2,230 Brocade Communications Systems (NON) 215,056
....................................................................................................
3,937 CMG Information Services, Inc. (NON) 449,064
....................................................................................................
5,500 CNET, Inc. (NON) 316,938
....................................................................................................
10,500 Concur Technologies, Inc. (NON) 295,313
....................................................................................................
7,800 Comdisco, Inc. (NON) 199,875
....................................................................................................
1,585 Comverse Technology, Inc. (NON) 119,668
....................................................................................................
13,800 Covad Communications Group 144A (NON) 735,713
....................................................................................................
8,651 Critical Path, Inc. (NON) 478,508
....................................................................................................
1,465 DoubleClick, Inc. (NON) 134,414
....................................................................................................
8,498 E(a)Trade Group, Inc. (NON) 339,389
....................................................................................................
5,411 EarthLink Network, Inc. (NON) 332,438
....................................................................................................
3,300 EarthWeb Inc. (NON) 122,925
....................................................................................................
100 Flycast Communications Corp. (NON) 1,913
....................................................................................................
200 GoodNoise Corp. (NON) 4,125
....................................................................................................
8,600 InfoSpace.com, Inc. (NON) 404,200
....................................................................................................
4,600 InterVU Inc. (NON) 176,238
....................................................................................................
5,560 MindSpring Enterprises, Inc. (NON) 246,378
....................................................................................................
6,600 Multex.com Inc. (NON) 172,425
....................................................................................................
1,340 StarMedia Network, Inc. (NON) 85,928
....................................................................................................
18,870 USWeb Corp. (NON) 418,678
....................................................................................................
15,792 Verio Inc. (NON) 1,097,544
....................................................................................................
6,000 VeriSign, Inc. (NON) 517,500
....................................................................................................
7,030 VerticalNet, Inc. (NON) 738,150
....................................................................................................
400 Viant Corp. (NON) 14,000
....................................................................................................
11,900 Whittman-Hart, Inc. (NON) 377,825
....................................................................................................
5,700 Ziff-Davis, Inc. ZDNet (NON) 148,200
- ----------------------------------------------------------------------------------------------------
8,565,980
- ----------------------------------------------------------------------------------------------------
Computer Software (18.4%)
....................................................................................................
5,500 Allaire Corp. (NON) 375,375
....................................................................................................
19,200 Beyond.com Corp. (NON) 550,800
....................................................................................................
8,300 Brio Technology, Inc. (NON) 166,000
....................................................................................................
3,600 Business Objects S.A. (France) (NON) 131,400
....................................................................................................
11,300 CBT Group PLC ADR (Ireland) (NON) 186,450
....................................................................................................
1,400 Clarent Corp. (NON) 21,000
....................................................................................................
16,300 Concord Communications, Inc. (NON) 733,500
....................................................................................................
19,000 Electronic Arts, Inc. (NON) 1,030,750
....................................................................................................
1,500 I2 Technologies, Inc. (NON) 64,500
....................................................................................................
200 Informatica Corp. (NON) 7,125
....................................................................................................
480 Inktomi Corp. (NON) 63,120
....................................................................................................
4,000 Intraware, Inc. (NON) 96,000
....................................................................................................
1,600 Intuit, Inc. (NON) 144,200
....................................................................................................
21,500 ISS Group, Inc. (NON) 811,625
....................................................................................................
6,000 Lycos, Inc. (NON) 551,250
....................................................................................................
18,400 Macromedia, Inc. (NON) 648,600
....................................................................................................
700 Mpath Interactive, Inc. (NON) 15,400
....................................................................................................
4,100 Net Perceptions, Inc. (NON) 89,431
....................................................................................................
1,700 pcOrder.com, Inc. (NON) 70,656
....................................................................................................
1,600 Peregrine Systems, Inc. (NON) 41,100
....................................................................................................
1,335 Phone.com, Inc. (NON) 74,760
....................................................................................................
9,300 Pinnacle Systems, Inc. (NON) 312,713
....................................................................................................
1,020 Portal Software, Inc. (NON) 47,239
....................................................................................................
400 Proxicom, Inc. (NON) 10,275
....................................................................................................
9,400 Rational Software Corp. (NON) 309,613
....................................................................................................
8,100 RealNetworks, Inc. (NON) 557,888
....................................................................................................
7,641 Research in Motion Ltd. (Canada) (NON) 154,730
....................................................................................................
7,000 Security First Technologies Corp. (NON) 315,875
....................................................................................................
3,100 Silknet Software, Inc. (NON) 125,550
....................................................................................................
1,600 Software.com, Inc. (NON) 37,100
....................................................................................................
22,462 TSI Interntional Software, Ltd. (NON) 637,359
....................................................................................................
5,200 Usinternetworking, Inc. (NON) 218,400
....................................................................................................
6,500 Verity, Inc. (NON) 352,219
....................................................................................................
3,620 Vignette Corp. (NON) 271,500
....................................................................................................
11,400 Visual Networks, Inc. (NON) 364,800
- ----------------------------------------------------------------------------------------------------
9,588,303
- ----------------------------------------------------------------------------------------------------
Consumer Services (0.8%)
....................................................................................................
400 Ask Jeeves, Inc. (NON) 5,600
....................................................................................................
2,000 MarketWatch.com, Inc. (NON) 117,750
....................................................................................................
800 MemberWorks Inc. (NON) 23,200
....................................................................................................
7,200 SportsLine USA, Inc. (NON) 258,300
- ----------------------------------------------------------------------------------------------------
404,850
- ----------------------------------------------------------------------------------------------------
Education Services (0.5%)
....................................................................................................
11,125 Education Management Corp. (NON) 230,844
- ----------------------------------------------------------------------------------------------------
Electric Utilities (0.8%)
....................................................................................................
3,300 Calpine Corp. (NON) 178,200
....................................................................................................
20,400 Independent Energy Holdings PLC
(United Kingdom) (NON) 277,950
- ----------------------------------------------------------------------------------------------------
456,150
- ----------------------------------------------------------------------------------------------------
Electronic Components (13.0%)
....................................................................................................
3,300 Applied Micro Circuits Corp. (NON) 271,425
....................................................................................................
4,645 Broadcom Corp. (NON) 671,493
....................................................................................................
3,800 Celestica Inc. (Canada) (NON) 164,588
....................................................................................................
4,800 Flextronics International Ltd. (NON) 266,400
....................................................................................................
6,100 Genesis Microchip Inc. (NON) 144,113
....................................................................................................
8,660 Harmonic Lightwaves, Inc. (NON) 497,409
....................................................................................................
6,000 Jabil Circuit, Inc. (NON) 270,750
....................................................................................................
82,640 Metromedia Fiber Network, Inc. Class A (NON) 2,969,875
....................................................................................................
4,500 Optical Coating Laboratory, Inc. (NON) 376,313
....................................................................................................
9,400 Power Integrations, Inc. (NON) 687,375
....................................................................................................
2,634 Uniphase Corp. (NON) 437,244
- ----------------------------------------------------------------------------------------------------
6,756,985
- ----------------------------------------------------------------------------------------------------
Entertainment (1.0%)
....................................................................................................
8,200 SFX Entertainment, Inc. Class A (NON) 524,800
- ----------------------------------------------------------------------------------------------------
Financial Services (0.5%)
....................................................................................................
200 E-Loan, Inc. (NON) 7,713
....................................................................................................
4,300 Investment Technology Group, Inc. 139,213
....................................................................................................
3,760 NextCard, Inc. (NON) 127,605
- ----------------------------------------------------------------------------------------------------
274,531
- ----------------------------------------------------------------------------------------------------
Health Care Services (1.6%)
....................................................................................................
2,452 Healtheon Corp. (NON) 188,804
....................................................................................................
4,100 Laser Vision Centers, Inc. (NON) 258,300
....................................................................................................
2,000 Medquist, Inc. (NON) 87,500
....................................................................................................
6,000 TLC The Laser Center Inc. (Canada) (NON) 288,000
- ----------------------------------------------------------------------------------------------------
822,604
- ----------------------------------------------------------------------------------------------------
Hospital Management and Medical Services (0.5%)
....................................................................................................
4,000 Advance Paradigm, Inc. (NON) 244,000
- ----------------------------------------------------------------------------------------------------
Lodging (1.0%)
....................................................................................................
13,000 Extended Stay America, Inc. (NON) 156,000
....................................................................................................
8,800 Four Seasons Hotels, Inc. (Canada) 387,750
- ----------------------------------------------------------------------------------------------------
543,750
- ----------------------------------------------------------------------------------------------------
Medical Management Services (0.4%)
....................................................................................................
9,100 Pediatrix Medical Group, Inc. (NON) 193,375
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (1.2%)
....................................................................................................
6,100 Cytyc Corp. (NON) 118,950
....................................................................................................
3,000 Perclose, Inc. (NON) 144,188
....................................................................................................
4,800 VISX, Inc. (NON) 380,100
- ----------------------------------------------------------------------------------------------------
643,238
- ----------------------------------------------------------------------------------------------------
Motion Picture Distribution (0.3%)
....................................................................................................
6,500 Cinar Films, Inc. Class B, (Canada) (NON) 159,250
- ----------------------------------------------------------------------------------------------------
Networking (3.9%)
....................................................................................................
3,900 CIENA Corp. (NON) 117,731
....................................................................................................
10,200 Exodus Communications, Inc. (NON) 1,223,363
....................................................................................................
1,845 Extreme Networks, Inc. (NON) 107,125
....................................................................................................
8,702 International Network Services (NON) 351,303
....................................................................................................
202 Juniper Networks, Inc. (NON) 30,098
....................................................................................................
400 NorthPoint Communications Group, Inc. (NON) 14,600
....................................................................................................
1,660 Reback Networks Inc. (NON) 208,434
- ----------------------------------------------------------------------------------------------------
2,052,654
- ----------------------------------------------------------------------------------------------------
Networking Equipment (2.2%)
....................................................................................................
12,000 E-Tek Dynamics, Inc. (NON) 600,524
....................................................................................................
2,250 Emulex Corp. (NON) 250,172
....................................................................................................
5,050 Network Appliance, Inc. (NON) 282,169
- ----------------------------------------------------------------------------------------------------
1,132,865
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (0.4%)
....................................................................................................
9,500 Coulter Pharmaceutical, Inc. 214,344
- ----------------------------------------------------------------------------------------------------
Recreation (0.2%)
....................................................................................................
1,900 International Speedway Corp. Class A 90,250
- ----------------------------------------------------------------------------------------------------
Retail (3.0%)
....................................................................................................
7,124 Bed Bath & Beyond, Inc. (NON) 274,274
....................................................................................................
11,200 Linens 'N Things, Inc. (NON) 490,000
....................................................................................................
7,161 Tuesday Morning Corp. (NON) 182,606
....................................................................................................
17,600 Williams-Sonoma, Inc. (NON) 612,700
- ----------------------------------------------------------------------------------------------------
1,559,580
- ----------------------------------------------------------------------------------------------------
Semiconductors (3.4%)
....................................................................................................
3,730 American Xtal Technology, Inc. (NON) 88,821
....................................................................................................
4,400 Cree Research, Inc. (NON) 338,525
....................................................................................................
3,200 Hi/Fn, Inc. (NON) 243,600
....................................................................................................
2,900 Micrel, Inc. (NON) 214,600
....................................................................................................
4,400 QLogic Corp. (NON) 580,800
....................................................................................................
6,399 SDL, Inc. (NON) 326,749
- ----------------------------------------------------------------------------------------------------
1,793,095
- ----------------------------------------------------------------------------------------------------
Telecommunications (3.9%)
....................................................................................................
7,300 Allegiance Telecom, Inc. (NON) 400,588
....................................................................................................
7,135 Copper Mountain Networks, Inc. (NON) 551,179
....................................................................................................
7,343 Global TeleSystems Group, Inc. (NON) 594,783
....................................................................................................
2,500 GlobeSpan, Inc. (NON) 99,375
....................................................................................................
3,600 NTL Inc. (NON) 310,275
....................................................................................................
1,749 Terayon Communications Systems, Inc. (NON) 97,725
- ----------------------------------------------------------------------------------------------------
2,053,925
- ----------------------------------------------------------------------------------------------------
Telephone Services (8.4%)
....................................................................................................
3,054 CoreComm Ltd. (NON) 147,356
....................................................................................................
16,400 Intermedia Communications, Inc. (NON) 492,000
....................................................................................................
18,900 McLeod, Inc. Class A (NON) 1,039,500
....................................................................................................
1,000 Network Plus Corp. (NON) 20,875
....................................................................................................
28,000 NEXTLINK Communications, Inc. Class A (NON) 2,082,500
....................................................................................................
15,421 RSL Communications, Ltd. Class A (NON) 297,805
....................................................................................................
5,600 WinStar Communications. Inc. (NON) 273,000
- ----------------------------------------------------------------------------------------------------
4,353,036
- ----------------------------------------------------------------------------------------------------
Wireless Communications (2.6%)
....................................................................................................
13,200 American Tower Corp. Class A 316,800
....................................................................................................
17,100 Pinnacle Holdings Inc. (NON) 418,950
....................................................................................................
8,000 RF Micro Devices, Inc. (NON) 597,000
- ----------------------------------------------------------------------------------------------------
1,332,750
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $36,955,122) $49,570,851
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (8.3%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$2,348,000 Interest in $402,952,000 joint repurchase
agreement dated June 30, 1999 with
Merrill Lynch, Pierce Fenner & Smith, Inc.
due July 1, 1999 with respect to various
U.S. Treasury obligations -- maturity
value of $2,348,307 for an effective
yield of 4.70% $2,348,000
....................................................................................................
2,000,000 Interest in $487,755,000 joint repurchase
agreement dated June 30, 1999 with
S.B.C. Warburg Inc. due July 1, 1999
with respect to various U.S. Treasury
obligations -- maturity value of
$2,000,267 for an effective yield
of 4.80% 2,000,000
- ----------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $4,348,000) $4,348,000
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $41,303,122) (b) $53,918,851
- ----------------------------------------------------------------------------------------------------
See page 124 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT Research Fund
Portfolio of investments owned
June 30, 1999 (Unaudited)
<CAPTION>
COMMON STOCKS (98.7%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Advertising (1.0%)
....................................................................................................
17,200 Young & Rubicam, Inc. $781,525
- ----------------------------------------------------------------------------------------------------
Aerospace and Defense (1.4%)
....................................................................................................
24,500 Boeing Co. 1,082,594
- ----------------------------------------------------------------------------------------------------
Airlines (1.3%)
....................................................................................................
8,600 Delta Air Lines, Inc. 495,575
....................................................................................................
15,600 Northwest Airlines Corp. Class A (NON) 507,000
- ----------------------------------------------------------------------------------------------------
1,002,575
- ----------------------------------------------------------------------------------------------------
Banks (7.8%)
....................................................................................................
21,226 Bank of America Corp. 1,556,131
....................................................................................................
9,000 Bank One Corp. 536,063
....................................................................................................
28,600 Charter One Financial, Inc. 795,438
....................................................................................................
7,000 Fifth Third Bancorp 465,938
....................................................................................................
10,700 First Union Corp. 502,900
....................................................................................................
900 M & T Bank Corp. 495,000
....................................................................................................
8,800 Mercantile Bancorporation, Inc. 502,700
....................................................................................................
12,600 Washington Mutual, Inc. 445,725
....................................................................................................
11,500 Wells Fargo Co. 491,625
....................................................................................................
3,500 Zions Bancorp 222,250
- ----------------------------------------------------------------------------------------------------
6,013,770
- ----------------------------------------------------------------------------------------------------
Broadcasting (1.0%)
....................................................................................................
20,400 AT&T Corp. -- Liberty Media, Class A 749,700
- ----------------------------------------------------------------------------------------------------
Building Products (0.7%)
....................................................................................................
8,900 Armstrong World Industries, Inc. 514,531
- ----------------------------------------------------------------------------------------------------
Chemicals (1.1%)
....................................................................................................
20,200 Rohm & Haas Co. 866,075
- ----------------------------------------------------------------------------------------------------
Computer Equipment (0.9%)
....................................................................................................
10,300 Lexmark International Group, Inc. Class A (NON) 680,444
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (5.5%)
....................................................................................................
22,800 Computer Associates International, Inc. 1,254,000
....................................................................................................
16,400 Electronic Data Systems Corp. 927,625
....................................................................................................
10,300 Galileo International, Inc. 550,406
....................................................................................................
111,400 Parametric Technology Corp. (NON) 1,545,675
- ----------------------------------------------------------------------------------------------------
4,277,706
- ----------------------------------------------------------------------------------------------------
Conglomerates (5.8%)
....................................................................................................
23,700 General Electric Co. 2,678,100
....................................................................................................
18,900 Tyco International Ltd. 1,790,775
- ----------------------------------------------------------------------------------------------------
4,468,875
- ----------------------------------------------------------------------------------------------------
Consumer Non-Durables (1.8%)
....................................................................................................
5,700 Clorox Co. 608,831
....................................................................................................
8,200 Colgate-Palmolive Co. 809,750
- ----------------------------------------------------------------------------------------------------
1,418,581
- ----------------------------------------------------------------------------------------------------
Electric Utilities (2.6%)
....................................................................................................
25,500 DPL, Inc. 468,563
....................................................................................................
20,700 Entergy Corp. 646,875
....................................................................................................
30,000 FirstEnergy Corp. 930,000
- ----------------------------------------------------------------------------------------------------
2,045,438
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (4.6%)
....................................................................................................
15,000 Hewlett-Packard Co. 1,507,500
....................................................................................................
22,000 Motorola, Inc. 2,084,500
- ----------------------------------------------------------------------------------------------------
3,592,000
- ----------------------------------------------------------------------------------------------------
Entertainment (0.9%)
....................................................................................................
9,200 Time Warner, Inc. 676,200
- ----------------------------------------------------------------------------------------------------
Environmental Control (0.7%)
....................................................................................................
21,600 Republic Services, Inc. (NON) 534,600
- ----------------------------------------------------------------------------------------------------
Financial Services (6.6%)
....................................................................................................
4,800 American Express Co. 624,600
....................................................................................................
13,400 Associates First Capital Corp. 593,788
....................................................................................................
27,500 Citigroup, Inc. 1,306,250
....................................................................................................
9,400 Finova Group, Inc. 494,675
....................................................................................................
12,900 Lehman Brothers Holding, Inc. 803,025
....................................................................................................
15,200 Paine Webber Group Inc. 710,600
....................................................................................................
6,300 Providian Financial Corp. 589,050
- ----------------------------------------------------------------------------------------------------
5,121,988
- ----------------------------------------------------------------------------------------------------
Food and Beverages (2.8%)
....................................................................................................
22,700 Coca-Cola Enterprises, Inc. 675,325
....................................................................................................
19,500 Groupe Danone ADR (France) 1,020,094
....................................................................................................
22,800 Nabisco Group Holdings Corp. 446,025
- ----------------------------------------------------------------------------------------------------
2,141,444
- ----------------------------------------------------------------------------------------------------
Health Care (2.0%)
....................................................................................................
11,000 Cardinal Health, Inc. 705,375
....................................................................................................
55,900 HEALTHSOUTH Corp. (NON) 835,006
- ----------------------------------------------------------------------------------------------------
1,540,381
- ----------------------------------------------------------------------------------------------------
Insurance (1.3%)
....................................................................................................
6,800 American General Corp. 512,550
....................................................................................................
4,200 American International Group, Inc. 491,662
- ----------------------------------------------------------------------------------------------------
1,004,212
- ----------------------------------------------------------------------------------------------------
Lodging (1.3%)
....................................................................................................
33,200 Starwood Hotels & Resorts
Worldwide, Inc. 1,014,675
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (1.1%)
....................................................................................................
10,933 Medtronic, Inc. 851,407
- ----------------------------------------------------------------------------------------------------
Networking (1.0%)
....................................................................................................
5,102 Juniper Networks, Inc. (NON) 760,198
- ----------------------------------------------------------------------------------------------------
Oil and Gas (6.1%)
....................................................................................................
15,600 Burlington Resources Inc. 674,700
....................................................................................................
30,100 Conoco, Inc. 839,038
....................................................................................................
20,900 El Paso Energy Corp. 735,418
....................................................................................................
9,800 Ente Nazionale Idrocarburi S.P.A.
(ENI) ADR (Italy) 588,000
....................................................................................................
10,200 Mobil Corp. 1,009,800
....................................................................................................
21,100 Williams Cos., Inc. 898,069
- ----------------------------------------------------------------------------------------------------
4,745,025
- ----------------------------------------------------------------------------------------------------
Packaging and Containers (1.4%)
....................................................................................................
12,100 Sealed Air Corp. (NON) 784,988
....................................................................................................
16,000 Smurfit-Stone Container Corp. (NON) 329,000
- ----------------------------------------------------------------------------------------------------
1,113,988
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (9.5%)
....................................................................................................
23,600 American Home Products Corp. 1,357,000
....................................................................................................
21,100 Amgen Inc. (NON) 1,284,463
....................................................................................................
17,700 Bristol-Myers Squibb Co. 1,246,744
....................................................................................................
14,100 Medimmune, Inc. (NON) 955,275
....................................................................................................
19,600 Pharmacia & Upjohn, Inc. 1,113,525
....................................................................................................
20,200 Warner-Lambert Co. 1,401,375
- ----------------------------------------------------------------------------------------------------
7,358,382
- ----------------------------------------------------------------------------------------------------
Railroads (0.6%)
....................................................................................................
14,400 Burlington Northern Santa Fe Corp. 446,400
- ----------------------------------------------------------------------------------------------------
Recreation (0.7%)
....................................................................................................
11,700 Royal Caribbean Cruises Ltd. 511,875
- ----------------------------------------------------------------------------------------------------
Restaurants (0.9%)
....................................................................................................
12,900 Tricon Global Restaurants, Inc. (NON) 698,213
- ----------------------------------------------------------------------------------------------------
Retail (7.6%)
....................................................................................................
6,800 Amazon.com, Inc. (NON) 850,850
....................................................................................................
6,600 Costco Companies, Inc. (NON) 528,412
....................................................................................................
9,800 CVS Corp. 497,350
....................................................................................................
18,550 Gap, Inc. (The) (NON) 934,455
....................................................................................................
37,550 Office Depot, Inc. (NON) 828,447
....................................................................................................
9,800 Lowe's Cos., Inc. 555,538
....................................................................................................
35,600 Wal-Mart Stores, Inc. 1,717,700
- ----------------------------------------------------------------------------------------------------
5,912,752
- ----------------------------------------------------------------------------------------------------
Semiconductors (2.8%)
....................................................................................................
35,800 Intel Corp. 2,130,100
- ----------------------------------------------------------------------------------------------------
Telecommunications (6.8%)
....................................................................................................
3,800 ADC Telecommunications (NON) 173,135
....................................................................................................
18,900 Comcast Corp. Class A (NON) 726,469
....................................................................................................
6,100 Equant N.V. (Netherlands) (NON) 574,163
....................................................................................................
12,300 MediaOne Group Inc. (NON) 914,813
....................................................................................................
12,100 Nokia Corp. ADR (Finland) 1,107,906
....................................................................................................
3,000 Vodafone AirTouch PLC
(United Kingdom) 591,000
....................................................................................................
13,800 Nortel Networks Corp. (Canada) 1,198,012
- ----------------------------------------------------------------------------------------------------
5,285,498
- ----------------------------------------------------------------------------------------------------
Telephone Services (7.6%)
....................................................................................................
19,800 Ameritech Corp. 1,455,300
....................................................................................................
11,000 Bell Atlantic Corp. 719,125
....................................................................................................
27,300 Lucent Technologies, Inc. 1,841,044
....................................................................................................
19,600 SBC Communications, Inc. 1,136,800
....................................................................................................
14,400 Sprint Corp. 760,500
- ----------------------------------------------------------------------------------------------------
5,912,769
- ----------------------------------------------------------------------------------------------------
Tobacco (1.5%)
....................................................................................................
29,000 Philip Morris Cos., Inc. 1,165,438
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $71,956,249) $76,419,359
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (3.2%) (a) (cost $2,463,000)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$2,463,000 Interest in $402,952,000 joint repurchase
agreement dated June 30, 1999 with
Merrrill Lynch, Pierce, Fenner & Smith, Inc.
New York due July 1, 1999 with respect
to various U.S. Treasury obligations --
maturity value of $2,463,322 for an
effective yield of 4.70% $2,463,000
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $74,419,249) (b) $78,882,359
- ----------------------------------------------------------------------------------------------------
See page 124 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT Small Cap Fund
Portfolio of investments owned
June 30, 1999 (Unaudited)
<CAPTION>
COMMON STOCKS (90.3%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Aerospace and Defense (4.6%)
....................................................................................................
1,889 AAR Corp. $42,839
....................................................................................................
1,711 Air Express International Corp. 43,417
....................................................................................................
1,000 Aviall, Inc. (NON) 18,813
....................................................................................................
900 BE Aerospace, Inc. 16,819
....................................................................................................
813 Cordant Technologies Inc. 36,737
....................................................................................................
1,666 GenCorp. Inc. 42,067
....................................................................................................
1,000 Primex Technologies, Inc. 21,563
....................................................................................................
900 Triumph Group, Inc. (NON) 22,950
- ----------------------------------------------------------------------------------------------------
245,205
- ----------------------------------------------------------------------------------------------------
Airlines (0.3%)
....................................................................................................
500 Midwest Express Holdings, Inc. 17,000
- ----------------------------------------------------------------------------------------------------
Automotive (2.4%)
....................................................................................................
432 Borg-Warner Automotive, Inc. 23,760
....................................................................................................
750 Coachmen Industries, Inc. 17,438
....................................................................................................
900 Midas, Inc. 25,538
....................................................................................................
700 Tower Automotive, Inc. 17,806
....................................................................................................
1,196 Wabash National Corp. 23,173
....................................................................................................
1,050 Wynn's International, Inc. 19,359
- ----------------------------------------------------------------------------------------------------
127,074
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (7.4%)
....................................................................................................
600 Albany International Corp. 12,450
....................................................................................................
700 Asyst Technologies, Inc. (NON) 20,956
....................................................................................................
550 AptarGroup, Inc. 16,500
....................................................................................................
1,075 Barnes Group, Inc. 23,381
....................................................................................................
2,756 DT Industries, Inc. 25,321
....................................................................................................
1,150 Furon Co. 21,850
....................................................................................................
950 Gardner Denver Inc. (NON) 15,319
....................................................................................................
1,835 Gerber Scientific, Inc. 40,485
....................................................................................................
1,503 Gleason Corp. 25,269
....................................................................................................
1,450 JLK Direct Distribution, Inc. (NON) 13,503
....................................................................................................
1,300 Klockner Windsor India Ltd. (India) 26,650
....................................................................................................
700 Lincoln Electric Holdings, Inc. 14,350
....................................................................................................
1,500 Lydall, Inc. (NON) 17,250
....................................................................................................
1,500 Material Sciences Corp. (NON) 22,500
....................................................................................................
4,376 OmniQuip International, Inc. 34,461
....................................................................................................
523 Pentair, Inc. 23,927
....................................................................................................
550 Roper Industries, Inc. 17,600
....................................................................................................
750 Westinghouse Air Brake Co. 19,453
- ----------------------------------------------------------------------------------------------------
391,225
- ----------------------------------------------------------------------------------------------------
Biotechnology (0.4%)
....................................................................................................
1,214 Mentor Corp. 22,611
- ----------------------------------------------------------------------------------------------------
Building and Construction (2.6%)
....................................................................................................
527 Ameron International Corp. 23,254
....................................................................................................
2,859 Apogee Enterprises, Inc. 38,418
....................................................................................................
1,219 Lennar Corp. 29,256
....................................................................................................
750 Modine Manufacturing Co. 24,422
....................................................................................................
600 Texas Industries, Inc. 23,250
- ----------------------------------------------------------------------------------------------------
138,600
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (4.5%)
....................................................................................................
764 ABM Industries Inc. 23,445
....................................................................................................
1,250 Airgas, Inc. (NON) 15,313
....................................................................................................
1,808 Bowne & Co. 23,504
....................................................................................................
1,200 Cambridge Technology Partners, Inc. (NON) 21,075
....................................................................................................
1,250 Daisytek International Corp. (NON) 20,391
....................................................................................................
1,900 Falcon Products, Inc. 19,356
....................................................................................................
650 HON INDUSTRIES, Inc. 18,972
....................................................................................................
600 Imation Corp. (NON) 14,888
....................................................................................................
700 Nichols Research Corp. (NON) 15,313
....................................................................................................
855 Standard Register Co. (The) 26,291
....................................................................................................
800 United Stationers Inc. 17,600
....................................................................................................
3,707 X-Rite, Inc. 23,864
- ----------------------------------------------------------------------------------------------------
240,012
- ----------------------------------------------------------------------------------------------------
Chemicals (2.3%)
....................................................................................................
877 Cambrex Corp. 23,021
....................................................................................................
1,246 Crompton & Knowles Corp. 24,375
....................................................................................................
850 Ferro Corporation 23,375
....................................................................................................
2,414 Hanna (M.A.) Co. 39,680
....................................................................................................
1,400 Mississippi Chemical Corp. 13,738
- ----------------------------------------------------------------------------------------------------
124,189
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (4.2%)
....................................................................................................
1,724 Analysts International Corp. 24,783
....................................................................................................
1,398 Computer Task Group, Inc. 23,766
....................................................................................................
1,500 FileNET Corp. 17,156
....................................................................................................
437 Jack Henry & Associates, Inc. 17,152
....................................................................................................
1,800 JDA Software Group, Inc. 16,763
....................................................................................................
1,450 Mentor Graphics Corp. 18,578
....................................................................................................
2,051 MTS Systems Corp. 24,997
....................................................................................................
545 National Computer Systems Inc. 18,394
....................................................................................................
2,544 Telxon Corp. 20,193
....................................................................................................
1,732 Wallace Computer Services, Inc. 43,300
- ----------------------------------------------------------------------------------------------------
225,082
- ----------------------------------------------------------------------------------------------------
Conglomerates (1.3%)
....................................................................................................
850 Aaron Rents, Inc. 18,913
....................................................................................................
1,164 Banta Corp. 24,444
....................................................................................................
753 Lancaster Colony Corp. 25,979
- ----------------------------------------------------------------------------------------------------
69,336
- ----------------------------------------------------------------------------------------------------
Consumer Durable Goods (1.2%)
....................................................................................................
650 Bassett Furniture Industries, Inc. 14,869
....................................................................................................
1,303 CLARCOR, Inc. 25,001
....................................................................................................
3,200 Racing Champions Corp. (NON) 22,800
- ----------------------------------------------------------------------------------------------------
62,670
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (1.2%)
....................................................................................................
650 Chattem, Inc. (NON) 20,678
....................................................................................................
877 True North Communications Inc. 26,310
....................................................................................................
500 Wesley Jessen VisionCare, Inc. (NON) 16,188
- ----------------------------------------------------------------------------------------------------
63,176
- ----------------------------------------------------------------------------------------------------
Consumer Products (0.8%)
....................................................................................................
1,000 Helen of Troy Ltd. (NON) 17,938
....................................................................................................
1,350 Windmere-Durable Holdings, Inc. (NON) 22,781
- ----------------------------------------------------------------------------------------------------
40,719
- ----------------------------------------------------------------------------------------------------
Consumer Services (0.6%)
....................................................................................................
1,950 Marcus Corp. (The) 24,009
....................................................................................................
239 Applebee's International, Inc. 7,200
- ----------------------------------------------------------------------------------------------------
31,209
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (11.6%)
....................................................................................................
864 Analogic Corp. 26,865
....................................................................................................
545 Avnet, Inc. 25,343
....................................................................................................
992 Belden Inc. 23,746
....................................................................................................
2,261 BMC Industries, Inc. 23,317
....................................................................................................
445 Cohu, Inc. 15,742
....................................................................................................
500 Credence Systems Corp. (NON) 18,563
....................................................................................................
500 DII Group Inc., (The) (NON) 18,656
....................................................................................................
400 DuPont Photomasks, Inc. 19,150
....................................................................................................
650 Etec Systems, Inc. (NON) 21,613
....................................................................................................
1,100 GaSonics International Corp. (NON) 15,400
....................................................................................................
2,514 General Cable Corp. 40,224
....................................................................................................
930 Genrad, Inc. (NON) 19,356
....................................................................................................
550 Hadco Corp. (NON) 21,863
....................................................................................................
901 Helix Technology Corp. 21,568
....................................................................................................
5,244 IFR Systems, Inc. (NON) 24,909
....................................................................................................
1,550 International Rectifier Corp. (NON) 20,634
....................................................................................................
800 KEMET Corp. (NON) 18,350
....................................................................................................
1,300 Kent Electronics Corp. (NON) 25,756
....................................................................................................
850 Littlelfuse, Inc. 16,363
....................................................................................................
339 Methode Electronics, Inc. 7,755
....................................................................................................
677 Park Electrochemical Corp. (NON) 19,464
....................................................................................................
2,078 Pioneer-Standard Electronics, Inc. 24,936
....................................................................................................
764 Pittway Corp. Class A 26,119
....................................................................................................
1,900 Recoton Corp. (NON) 17,278
....................................................................................................
1,100 SpeedFam-IPEC, Inc. (NON) 17,669
....................................................................................................
648 Technitrol, Inc. 20,898
....................................................................................................
761 Tektronix, Inc. 22,973
....................................................................................................
700 Unitrode Corp. 20,081
....................................................................................................
1,000 Vishay Intertechnology, Inc. 21,000
- ----------------------------------------------------------------------------------------------------
615,591
- ----------------------------------------------------------------------------------------------------
Entertainment (0.3%)
....................................................................................................
900 Dover Downs Entertainment, Inc. 15,919
- ----------------------------------------------------------------------------------------------------
Environmental Control (0.4%)
....................................................................................................
1,150 Safety-Kleen Corp. 20,844
- ----------------------------------------------------------------------------------------------------
Food and Beverages (2.2%)
....................................................................................................
877 Earthgrains Co. (The) 22,638
....................................................................................................
700 International Multifoods Corp. 15,794
....................................................................................................
500 Robert Mandavi Corp. (The) (NON) 18,188
....................................................................................................
650 Smithfield Foods, Inc. (NON) 21,734
....................................................................................................
750 United Natural Foods Inc. 18,563
....................................................................................................
971 Universal Foods Corp. 20,512
- ----------------------------------------------------------------------------------------------------
117,429
- ----------------------------------------------------------------------------------------------------
Health Care (4.6%)
....................................................................................................
700 AmeriSource Health Corp. Class A 17,850
....................................................................................................
2,200 Beverly Enterprises, Inc. (NON) 17,738
....................................................................................................
2,050 Conventry Health Care Inc. (NON) 22,422
....................................................................................................
5,361 Integrated Health Services, Inc. 42,888
....................................................................................................
3,300 Matria Healthcare, Inc. (NON) 23,925
....................................................................................................
1,900 Orthodontic Centers of America, Inc. (NON) 26,838
....................................................................................................
1,700 Quorum Health Group, Inc. (NON) 21,356
....................................................................................................
2,893 United Wisconsin Services 23,144
....................................................................................................
1,833 US Oncology, Inc. (NON) 21,996
....................................................................................................
606 West Pharmaceutical Services, Inc. 23,786
- ----------------------------------------------------------------------------------------------------
241,943
- ----------------------------------------------------------------------------------------------------
Hospital Management and Medical Services (0.7%)
....................................................................................................
450 Trigon Healthcare, Inc. 16,369
....................................................................................................
400 Universal Health Services, Inc. 19,100
- ----------------------------------------------------------------------------------------------------
35,469
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (10.0%)
....................................................................................................
500 Allied Capital Corp. 12,000
....................................................................................................
1,090 AMCORE Financial, Inc. 25,138
....................................................................................................
990 American Heritage Life Investment Corp. 24,255
....................................................................................................
718 Amerus Life Holdings, Inc. 19,386
....................................................................................................
1,202 Bank United Corp. 48,305
....................................................................................................
1,527 Berkley (W.R.) Corp. 38,175
....................................................................................................
1,500 Centennial Bancorp 20,719
....................................................................................................
145 CNB Bancshares, Inc. 8,265
....................................................................................................
871 Commercial Federal Corp. 20,196
....................................................................................................
861 Community First Bankshares 20,556
....................................................................................................
226 Cullen/Frost Bankers, Inc. 6,229
....................................................................................................
1,203 Ehhance Financial Services Group, Inc. 23,759
....................................................................................................
950 FBL Financial Group, Inc. 18,525
....................................................................................................
400 First Midwest Bancorp, Inc. 15,900
....................................................................................................
685 Freedom Securities Corp. 11,731
....................................................................................................
1,340 Fremont General Corp. 25,293
....................................................................................................
869 Horace Mann Educators Corp. 23,626
....................................................................................................
239 Hudson United Bancorp 7,319
....................................................................................................
850 Imperial Bancorp. 16,841
....................................................................................................
600 JeffBanks, Inc. 17,063
....................................................................................................
1,306 Peoples Heritage Financial Group, Inc. 24,569
....................................................................................................
1,077 Provident Bankshares Corp. 25,040
....................................................................................................
1,000 Southwest Bancorporation of Texas, Inc. 18,000
....................................................................................................
1,946 Sovereign Bancorp, Inc. 23,595
....................................................................................................
1,500 Sterling Bancshares, Inc. 20,063
....................................................................................................
650 Webster Financial Corp. 17,631
- ----------------------------------------------------------------------------------------------------
532,179
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (3.7%)
....................................................................................................
869 Arrow International, Inc. 22,485
....................................................................................................
539 Beckman Coulter, Inc. 26,209
....................................................................................................
1,100 Haemonetics Corp. (NON) 22,069
....................................................................................................
864 Invacare Corp. 23,112
....................................................................................................
3,241 Meridian Diagnostics, Inc. 23,092
....................................................................................................
3,501 Owens & Minor, Inc. 38,511
....................................................................................................
800 Varian Medical Systems, Inc. 20,200
....................................................................................................
1,201 Vital Signs, Inc. 23,945
- ----------------------------------------------------------------------------------------------------
199,623
- ----------------------------------------------------------------------------------------------------
Metals and Mining (1.7%)
....................................................................................................
1,628 A. M. Castle & Co. 27,676
....................................................................................................
821 Carpenter Technology Corp. 23,450
....................................................................................................
650 Quanex Corp. 18,525
....................................................................................................
500 Reliance Steel & Aluminum Co. 19,500
- ----------------------------------------------------------------------------------------------------
89,151
- ----------------------------------------------------------------------------------------------------
Oil and Gas (6.1%)
....................................................................................................
1,000 Basin Exploration, Inc. (NON) 20,063
....................................................................................................
650 Devon Energy Corp. 23,238
....................................................................................................
800 ENSCO International Inc. 15,950
....................................................................................................
1,069 Helmerich & Payne, Inc. 25,456
....................................................................................................
1,100 National-Oilwell, Inc. (AFF) 15,400
....................................................................................................
800 Newfield Exploration Co. (NON) 22,750
....................................................................................................
2,300 Newpark Resources, Inc. (NON) 20,413
....................................................................................................
1,900 Pride International, Inc. (NON) 20,069
....................................................................................................
3,600 Range Resources Corp. 22,050
....................................................................................................
1,196 St. Mary Land & Exploration Co. 24,593
....................................................................................................
390 Stone Energy Corp. (NON) 16,526
....................................................................................................
1,411 Tidewater Inc. 43,036
....................................................................................................
1,300 Tuboscope Inc. (NON) 17,794
....................................................................................................
853 WD-40 Co. 21,325
....................................................................................................
1,100 World Fuel Services Corp. 16,225
- ----------------------------------------------------------------------------------------------------
324,888
- ----------------------------------------------------------------------------------------------------
Packaging and Containers (0.6%)
....................................................................................................
1,100 BWAY Corp. (NON) 15,675
....................................................................................................
800 Ivex Packaging Corp. (NON) 17,600
- ----------------------------------------------------------------------------------------------------
33,275
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (1.2%)
....................................................................................................
700 Caraustar Industries, Inc. 17,281
....................................................................................................
1,643 P.H. Glatfelter Co. 24,029
....................................................................................................
1,401 Wausau-Mosinee Paper Corp. 25,218
- ----------------------------------------------------------------------------------------------------
66,528
- ----------------------------------------------------------------------------------------------------
Publishing (0.9%)
....................................................................................................
750 McClatchy Co. (The) 24,844
....................................................................................................
933 Penton Media, Inc. 22,625
- ----------------------------------------------------------------------------------------------------
47,469
- ----------------------------------------------------------------------------------------------------
Real Estate (0.4%)
....................................................................................................
987 LNR Property Corp. 21,097
- ----------------------------------------------------------------------------------------------------
Recreation (0.2%)
....................................................................................................
1,444 K2 Inc. 12,906
- ----------------------------------------------------------------------------------------------------
Retail (6.6%)
....................................................................................................
677 Authentic Fitness Corp. 11,848
....................................................................................................
2,562 Baker (J.), Inc. 22,097
....................................................................................................
1,600 Casey's General Stores, Inc. 24,000
....................................................................................................
2,028 Cato Corp. (The) 23,576
....................................................................................................
1,357 CBRL Group, Inc. 23,493
....................................................................................................
1,050 Coldwater Creek Inc. (NON) 20,475
....................................................................................................
1,300 Gymboree Corp. (The) (NON) 13,650
....................................................................................................
3,594 Heilig-Meyers Co. 24,484
....................................................................................................
1,000 J. Jill Group Inc. 14,625
....................................................................................................
450 Lands' End, Inc. (NON) 21,825
....................................................................................................
1,500 Luby's, Inc. 22,500
....................................................................................................
2,000 Maxim Group, Inc. (The) (NON) 17,375
....................................................................................................
1,050 Micro Warehouse, Inc. (NON) 18,769
....................................................................................................
1,200 Petco Animal Supplies, Inc. (NON) 18,900
....................................................................................................
3,745 Pier 1 Imports, Inc. 42,131
....................................................................................................
500 Stride Rite Corp. (The) 5,156
....................................................................................................
1,833 Wolverine World Wide, Inc. 25,662
- ----------------------------------------------------------------------------------------------------
350,566
- ----------------------------------------------------------------------------------------------------
Specialty Consumer Products (0.4%)
....................................................................................................
755 Oneida Ltd. 21,234
- ----------------------------------------------------------------------------------------------------
Telecommunications (2.8%)
....................................................................................................
600 ADTRAN, Inc. (NON) 21,825
....................................................................................................
1,200 Andrew Corp. (Canada) (NON) 22,725
....................................................................................................
771 C&D Technologies, Inc. 23,612
....................................................................................................
1,938 Communications Systems, Inc. 23,983
....................................................................................................
600 CT Communications, Inc. 24,675
....................................................................................................
1,700 Davox Corp. (NON) 20,294
....................................................................................................
2,000 Premisys Communications, Inc. (NON) 14,625
- ----------------------------------------------------------------------------------------------------
151,739
- ----------------------------------------------------------------------------------------------------
Textiles (0.7%)
....................................................................................................
2,100 Culp, Inc. 22,050
....................................................................................................
1,000 Pillowtex Corp. 16,313
- ----------------------------------------------------------------------------------------------------
38,363
- ----------------------------------------------------------------------------------------------------
Transportation (0.8%)
....................................................................................................
1,187 Circle International Group, Inc. 25,966
....................................................................................................
400 USFreightways Corp. 18,525
- ----------------------------------------------------------------------------------------------------
44,491
- ----------------------------------------------------------------------------------------------------
Utilities (0.6%)
....................................................................................................
419 Applied Power Inc. 11,444
....................................................................................................
550 Eastern Enterprises 21,863
- ----------------------------------------------------------------------------------------------------
33,307
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $4,535,867) $4,812,119
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (5.0%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$100,000 Interest in $402,952,000 joint repurchase
agreement dated June 30, 1999 with
Merrill Lynch, Pierce Fenner & Smith, Inc.
due July 1, 1999 with respect to various
U.S. Treasury obligations - maturity
value of $100,013 for an effective yield
of 4.70% $100,000
....................................................................................................
164,000 Interest in $487,755,000 joint repurchase
agreement dated June 30, 1999 with
S.B.C. Warburg Inc. due July 1, 1999
with respect to various U.S. Treasury
obligations - maturity value of
$164,022 for an effective yield
of 4.80% 164,000
- ----------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $264,000) $264,000
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $4,799,867) (b) $5,076,119
- ----------------------------------------------------------------------------------------------------
See page 124 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT Utilities Growth and Income Fund
Portfolio of investments owned
June 30, 1999 (Unaudited)
<CAPTION>
COMMON STOCKS (91.5%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Building and Construction (0.1%)
....................................................................................................
32,300 Centrais Electricas Bras S. A. (Brazil) $613,663
- ----------------------------------------------------------------------------------------------------
Business Services (0.6%)
....................................................................................................
308,200 Convergys Corp. 5,932,850
- ----------------------------------------------------------------------------------------------------
Cellular Communications (0.5%)
....................................................................................................
197,700 PT Indosat ADR (Indonesia) 3,855,150
....................................................................................................
7,100 Tele Celular Sul Participacoes S.A. (Brazil) 153,981
....................................................................................................
1,340 Tele Leste Celular Participacoes
S.A. (Brazil) 39,865
....................................................................................................
3,550 Tele Nordeste Celular Participacoes
S.A. ADR (Brazil) 95,850
....................................................................................................
1,340 Tele Norte Celular Participacoes S.A.
ADR (Brazil) 36,264
....................................................................................................
14,300 Tele Sudeste Celular Participacoes
S.A. ADR (Brazil) 414,700
....................................................................................................
3,550 Telemig Celular Participacoes S.A.
ADR (Brazil) 87,419
....................................................................................................
28,500 Telesp Celular Participacoes S.A.
ADR (Brazil) 762,375
- ----------------------------------------------------------------------------------------------------
5,445,604
- ----------------------------------------------------------------------------------------------------
Conglomerates (0.2%)
....................................................................................................
64,500 Southwest Gas Corp. 1,846,313
- ----------------------------------------------------------------------------------------------------
Electric Utilities (34.8%)
....................................................................................................
87,300 Ameren Corp. 3,350,138
....................................................................................................
184,400 Calpine Corp. 9,957,600
....................................................................................................
173,700 Carolina Power & Light Co. 7,436,531
....................................................................................................
57,100 Centrais Geradoras do Sul do Brasil
SA (Brazil) 45,472
....................................................................................................
14,350 Chilectra S.A. 144A ADR (Chile) 306,731
....................................................................................................
247,400 CiNergy Corp. 7,916,800
....................................................................................................
138,200 CMS Energy Corp. Class G 3,247,700
....................................................................................................
71,088 Companhia Energetica de Minas Gerais
ADR (Brazil) 1,457,304
....................................................................................................
187,800 Companhia Paranaense de Energia-Copel
ADR (Brazil) 1,572,825
....................................................................................................
171,800 Conectiv, Inc. 4,198,363
....................................................................................................
175,200 Consolidated Edison, Inc. 7,927,800
....................................................................................................
264,700 Constellation Energy Group 7,841,738
....................................................................................................
388,500 Dominion Resources, Inc. 16,826,906
....................................................................................................
478,700 DPL, Inc. 8,796,113
....................................................................................................
674,702 Duke Energy Corp. 36,686,921
....................................................................................................
404,800 Edison International 10,828,400
....................................................................................................
34,800 EDP-Electricidade de Portugal, S.A.
ADR (Portugal) 1,248,450
....................................................................................................
11,221 Eletropaulo Metropolitana S.A. (Brazil) 504,256
....................................................................................................
9,910 Empresa Bandeirante de Energia
S.A. (Brazil) 55,243
....................................................................................................
9,910 Empresa Paulista de Transmissao
de Energia Electrica S.A. (Brazil) 46,111
....................................................................................................
498,600 Entergy Corp. 15,581,250
....................................................................................................
300,000 FirstEnergy Corp. 9,300,000
....................................................................................................
158,200 Florida Progress Corp. 6,535,638
....................................................................................................
216,300 FPL Group, Inc. 11,815,388
....................................................................................................
147,200 GPU, Inc. 6,210,000
....................................................................................................
58,200 Hawaiian Electric Industries, Inc. 2,066,100
....................................................................................................
360,300 Iberdola S.A. (Spain) 5,505,227
....................................................................................................
360,300 Korea Electric Power Corp.
(South Korea) 14,972,294
....................................................................................................
5,900 Light Participacoes, S.A. (Brazil) 12,115
....................................................................................................
288,200 New Century Energies, Inc. 11,185,763
....................................................................................................
76,000 New England Electric Systems Inc. 3,809,500
....................................................................................................
666,500 Northeast Utilities Co. (NON) 11,788,719
....................................................................................................
239,900 OGE Energy Corp. 5,697,625
....................................................................................................
358,200 P P & L Resources, Inc. 11,014,650
....................................................................................................
392,900 PacifiCorp 7,219,538
....................................................................................................
246,700 Peco Energy Co. 10,330,563
....................................................................................................
153,000 Pinnacle West Capital Corp. 6,158,250
....................................................................................................
253,400 Potomac Electric Power Co. 7,459,463
....................................................................................................
162,680 Puget Sound Energy, Inc. 3,904,320
....................................................................................................
227,200 Scana Corp. 5,310,800
....................................................................................................
336,698 Scottish Power PLC (United Kingdom) 2,910,100
....................................................................................................
334,500 Sierra Pacific Resources 12,167,438
....................................................................................................
81,700 Southern Co. 2,165,050
....................................................................................................
151,100 Teco Energy, Inc. 3,437,525
....................................................................................................
299,900 Texas Utilities Co. 12,370,875
....................................................................................................
214,600 TNP Enterprises, Inc. 7,779,250
....................................................................................................
309,000 Unicom Corp. 11,915,813
....................................................................................................
203,500 Union Electrica Fenosa S.A. (Spain) 2,669,403
....................................................................................................
58,200 UniSource Energy Corp. (NON) 694,763
....................................................................................................
116,500 United Illuminating Co. 4,943,969
....................................................................................................
142,100 Utilicorp United, Inc. 3,454,806
....................................................................................................
430,100 Wisconsin Energy Corp. 10,779,381
- ----------------------------------------------------------------------------------------------------
361,416,978
- ----------------------------------------------------------------------------------------------------
Energy-Related (1.0%)
....................................................................................................
9,910 Empresa Metropolitana de Aguas
Energia S.A. (Brazil) 23,112
....................................................................................................
375,600 Energy East Corp. 9,765,600
....................................................................................................
4,750,000 Shandong International Power
Development Co. Ltd. (China) 1,071,447
- ----------------------------------------------------------------------------------------------------
10,860,159
- ----------------------------------------------------------------------------------------------------
Environmental Control (0.8%)
....................................................................................................
414,700 Azurix Corp. 8,294,000
- ----------------------------------------------------------------------------------------------------
Gas Pipelines (4.8%)
....................................................................................................
294,300 Coastal Corp. 11,772,000
....................................................................................................
359,300 Dynegy, Inc. 7,320,738
....................................................................................................
249,800 Enron Corp. 20,421,150
....................................................................................................
139,500 Sonat, Inc. 4,620,938
....................................................................................................
137,300 Williams Cos., Inc. 5,843,831
- ----------------------------------------------------------------------------------------------------
49,978,657
- ----------------------------------------------------------------------------------------------------
Gas Utilities (13.0%)
....................................................................................................
246,000 AGL Resources Inc. 4,535,625
....................................................................................................
289,400 Atmos Energy Corp. 7,235,000
....................................................................................................
134,900 Cascade Natural Gas Corp. 2,563,100
....................................................................................................
144,000 Central Hudson Gas & Electric 6,048,000
....................................................................................................
187,700 Columbia Gas System, Inc. 11,766,444
....................................................................................................
96,100 Connecticut Energy Corp. 3,705,856
....................................................................................................
255,600 Eastern Enterprises 10,160,100
....................................................................................................
377,700 Energen Corp. 7,034,663
....................................................................................................
139,900 Equitable Resources, Inc. 5,281,225
....................................................................................................
58,666 Indiana Energy, Inc. 1,250,319
....................................................................................................
296,850 K N Energy, Inc. 3,970,369
....................................................................................................
246,400 KeySpan Corp. 6,498,800
....................................................................................................
84,900 Laclede Gas Co. 1,973,925
....................................................................................................
214,900 National Fuel Gas Co. 10,422,650
....................................................................................................
43,900 New Jersey Resources Corp. 1,643,506
....................................................................................................
195,600 NICOR Inc. 7,445,025
....................................................................................................
289,600 Northwest Natural Gas Co. 6,986,600
....................................................................................................
147,500 NUI Corp. 3,687,500
....................................................................................................
139,500 Peoples Energy Corp. 5,257,406
....................................................................................................
119,500 Piedmont Natural Gas Co., Inc. 3,719,438
....................................................................................................
40,700 Providence Energy Corp. 1,086,181
....................................................................................................
114,100 Public Service Co. of North Carolina, Inc. 3,337,425
....................................................................................................
151,100 Questar Corp. 2,889,788
....................................................................................................
47,900 South Jersey Industries, Inc. 1,356,169
....................................................................................................
180,300 Transportadora de Gas del Sur
ADR (Argentina) 1,690,313
....................................................................................................
120,200 Washington Gas Light Co. 3,125,200
....................................................................................................
162,600 Westcoast Energy, Inc. 3,211,350
....................................................................................................
184,700 WICOR, Inc. 5,160,056
....................................................................................................
61,350 Yankee Energy System, Inc. 2,434,828
- ----------------------------------------------------------------------------------------------------
135,476,861
- ----------------------------------------------------------------------------------------------------
Natural Gas (2.2%)
....................................................................................................
209,300 MCN Corp. 4,342,975
....................................................................................................
201,100 ONEOK, Inc. 6,384,925
....................................................................................................
521,455 Sempra Energy 11,797,919
- ----------------------------------------------------------------------------------------------------
22,525,819
- ----------------------------------------------------------------------------------------------------
Oil and Gas (1.1%)
....................................................................................................
329,000 El Paso Energy Corp. 11,576,688
- ----------------------------------------------------------------------------------------------------
REITs (Real Estate Investment Trust) (1.0%)
....................................................................................................
206,933 Equity Office Properties Trust 5,302,658
....................................................................................................
103,900 Equity Residential Properties Trust 4,681,994
- ----------------------------------------------------------------------------------------------------
9,984,652
- ----------------------------------------------------------------------------------------------------
Satellite Services (0.2%)
....................................................................................................
215,500 Hellenic Telecommunication
Organization SA GDR (Greece) 2,383,969
- ----------------------------------------------------------------------------------------------------
Telecommunications (0.8%)
....................................................................................................
51,590 ALLTEL Corp. 3,688,685
....................................................................................................
87,900 Royal PTT Nederland N.V. ADR
(Netherlands) 4,219,200
- ----------------------------------------------------------------------------------------------------
7,907,885
- ----------------------------------------------------------------------------------------------------
Telephone Services (2.7%)
....................................................................................................
65,900 British Telecommunications PLC ADR
(United Kingdom) 11,285,375
....................................................................................................
308,200 Cincinnati Bell, Inc. 7,685,738
....................................................................................................
58,200 Philippine Long Distance Telephone Co.
ADR (Philippines) 1,753,275
....................................................................................................
138,132 PT Telekomunikasi Indonesia ADR
(Indonesia) 1,718,017
....................................................................................................
10,000 Sonera Group GDR (Finland) 878,100
....................................................................................................
23,833 Tele Centro Oeste Celular Participacoes
ADR (Brazil) 93,842
....................................................................................................
14,300 Tele Centro Sul Participacoes S.A. (Brazil) 793,650
....................................................................................................
186,400 Telefonica del Peru S.A. ADR (Peru) 2,819,300
....................................................................................................
71,400 Telesp Participacoes S.A. ADR (Brazil) 1,633,275
- ----------------------------------------------------------------------------------------------------
28,660,572
- ----------------------------------------------------------------------------------------------------
Telephone Utilities (27.5%)
....................................................................................................
823,800 AT&T Corp. 45,978,338
....................................................................................................
408,200 Ameritech Corp. 30,002,700
....................................................................................................
600,656 Bell Atlantic Corp. 39,267,886
....................................................................................................
607,000 BellSouth Corp. 28,453,125
....................................................................................................
60,000 Cable & Wireless PLC ADR
(United Kingdom) 2,377,500
....................................................................................................
244,000 GTE Corp. 18,483,000
....................................................................................................
428,700 NiSource Inc. 11,065,819
....................................................................................................
52,300 Portugal Telecom S.A. ADR (Portugal) 2,154,106
....................................................................................................
377,500 Reliant Energy, Inc. 10,428,438
....................................................................................................
894,000 SBC Communications, Inc. 51,852,000
....................................................................................................
637,800 Sprint Corp. 33,683,813
....................................................................................................
71,400 Telebras Co. ADR (Brazil) 4,463
....................................................................................................
79,630 Telecom Corp. of New Zealand Ltd.
ADR (New Zealand) 2,782,073
....................................................................................................
58,200 Telecom Argentina S.A. ADR (Argentina) 1,556,850
....................................................................................................
11,900 Telefonica de Argentina S.A.
ADR (Argentina) 373,363
....................................................................................................
140,300 U S West, Inc. 8,242,625
- ----------------------------------------------------------------------------------------------------
286,706,099
- ----------------------------------------------------------------------------------------------------
Water Utilities (0.2%)
....................................................................................................
61,400 American Water Works, Inc. 1,888,050
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $687,300,194) $951,498,819
- ----------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES (8.3%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
Combined Utilities (0.3%)
....................................................................................................
$2,000,000 PG&E Gas Transmission Northwest
sr. notes 7.1s, 2005 $2,015,760
....................................................................................................
1,100,000 Public Service Electric & Gas Co.
1st mortgage 6 1/2s, 2000 1,104,081
- ----------------------------------------------------------------------------------------------------
3,119,841
- ----------------------------------------------------------------------------------------------------
Consumer Services (0.2%)
....................................................................................................
1,500,000 Pennsylvania American Water Co. 144A
mtge. 7.8s, 2026 1,538,790
- ----------------------------------------------------------------------------------------------------
Electric Utilities (4.0%)
....................................................................................................
2,000,000 Arizona Public Service Co. notes
6 1/4s, 2005 1,961,720
....................................................................................................
2,000,000 CiNergy Corp. 144A deb. 6 1/8s, 2004 1,958,640
....................................................................................................
1,200,000 CMS Energy Corp. pass-through
certificates 7s, 2005 1,146,720
....................................................................................................
2,493,000 Commonwealth Edison Co. 1st mtge.
Ser. 83, 8s, 2008 2,623,110
....................................................................................................
2,375,000 Connecticut Light & Power Co.
1st mtge. Ser. C, 7 3/4s, 2002 2,430,670
....................................................................................................
1,000,000 Connecticut Light & Power Co.
1st mtge. Ser. D, 7 7/8s, 2024 1,043,580
....................................................................................................
1,492,000 Duquesne Light Co. deb. 8.7s, 2016 1,588,085
....................................................................................................
3,000,000 Hydro Quebec local government
guaranty Ser. HY, 8.4s, 2022 (Canada) 3,352,080
....................................................................................................
1,000,000 Kansas Gas & Electric deb. 8.29s, 2016 1,000,180
....................................................................................................
305,000 Midland Funding II Corp. deb. Ser. A,
11 3/4s, 2005 349,628
....................................................................................................
3,000,000 Nevada Power Co. sr. notes Ser. B,
6.2s, 2004 2,914,560
....................................................................................................
3,000,000 Niagara Mohawk Power Corp. sr. notes
Ser. G, 7 3/4s, 2008 3,098,460
....................................................................................................
1,500,000 Ohio Edison Co. 1st mtge. 8 1/4s, 2002 1,558,335
....................................................................................................
1,133,000 Otter Tail Power Co. 1st mtge.
7 1/4s, 2002 1,158,583
....................................................................................................
2,000,000 Public Service Co. of Colorado
coll. trust 6 3/8s, 2005 1,958,940
....................................................................................................
1,500,000 Sierra Pacific Power Co. med. term
notes Ser. C, 6.82s, 2006 1,484,895
....................................................................................................
2,750,000 Southern California Edison Co. notes
6 1/2s, 2001 2,767,160
....................................................................................................
2,850,000 Teco Energy, Inc. notes 5.54s, 2001 2,793,000
....................................................................................................
1,000,000 Texas Utilities Co. secd. lease fac. bonds
7.46s, 2015 1,020,310
....................................................................................................
1,600,000 Texas Utilities Electric Capital Trust V
company guaranty 8.175s, 2037 1,585,040
....................................................................................................
2,000,000 Utilicorp United, Inc. sr. notes 8.2s, 2007 2,123,460
....................................................................................................
2,000,000 Western Resources, Inc. sr. notes
6 7/8s, 2004 2,002,120
- ----------------------------------------------------------------------------------------------------
41,919,276
- ----------------------------------------------------------------------------------------------------
Electronic and Electrical Equipment (0.2%)
....................................................................................................
2,000,000 Conectiv Inc. notes Ser. A, 6.73s, 2006 1,986,880
- ----------------------------------------------------------------------------------------------------
Energy-Related (0.7%)
....................................................................................................
1,000,000 CalEnergy, Inc. sr. notes 7.63s, 2007 1,011,090
....................................................................................................
800,000 Calpine Corp. sr. notes 7 3/4s, 2009 760,000
....................................................................................................
1,980,000 Edison Mission Energy 144A sr. notes
7.73s, 2009 2,005,799
....................................................................................................
1,980,000 Edison Mission Energy 144A sr. notes
Ser. AI, 7.73s, 2009 2,004,552
....................................................................................................
380,000 KN Capital Trust III company guaranty
7.63s, 2028 322,278
....................................................................................................
1,000,000 K N Energy, Inc. sr. notes 6.45s, 2003 974,350
- ----------------------------------------------------------------------------------------------------
7,078,069
- ----------------------------------------------------------------------------------------------------
Financial Services (0.3%)
....................................................................................................
748,351 Salton Sea Funding Corp. company
guaranty Ser. E, 8.3s, 2011 762,682
....................................................................................................
2,660,000 Southern Investments Service Co.
sr. notes 6.8s, 2006 (United Kingdom) 2,609,061
- ----------------------------------------------------------------------------------------------------
3,371,743
- ----------------------------------------------------------------------------------------------------
Oil and Gas (0.8%)
....................................................................................................
4,000,000 Coastal Corp. deb. 6 1/2s, 2008 3,826,640
....................................................................................................
1,500,000 Columbia Gas System, Inc. notes
Ser. E, 7.32s, 2010 1,471,260
....................................................................................................
200,000 Conoco, Inc. sr. notes 6.35s, 2009 191,962
....................................................................................................
1,250,000 Louis Dreyfus Natural Gas notes
6 7/8s, 2007 1,108,638
....................................................................................................
1,500,000 Southwest Gas Corp. deb. 7 1/2s, 2006 1,576,410
- ----------------------------------------------------------------------------------------------------
8,174,910
- ----------------------------------------------------------------------------------------------------
Telephone Services (0.4%)
....................................................................................................
2,000,000 Century Telephone Enterprises, Inc.
deb. Ser. G, 6 7/8s, 2028 1,840,540
....................................................................................................
3,200,000 U S West, Inc. notes 5 5/8s, 2008 2,901,376
- ----------------------------------------------------------------------------------------------------
4,741,916
- ----------------------------------------------------------------------------------------------------
Telephone Utilities (0.9%)
....................................................................................................
2,650,000 Bell Atlantic Corp. deb. 7 7/8s, 2029 2,841,224
....................................................................................................
3,000,000 Sprint Capital Corp. company guaranty
6.9s, 2019 2,777,940
....................................................................................................
3,750,000 WorldCom, Inc. notes 7 3/4s, 2007 3,927,188
- ----------------------------------------------------------------------------------------------------
9,546,352
- ----------------------------------------------------------------------------------------------------
Utilities (0.5%)
....................................................................................................
$1,000,000 Australian Gas & Light Co.144A sr.
notes 6 3/8s, 2003 (Australia) 975,330
....................................................................................................
2,000,000 Consolidated Edison, Inc. deb. 6.45s, 2007 1,962,780
....................................................................................................
2,000,000 Public Service Co. of New Mexico
sr. notes Ser. A, 7.1s, 2005 1,986,377
- ----------------------------------------------------------------------------------------------------
4,924,487
- ----------------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $88,288,370) $86,402,264
- ----------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (0.4%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
U.S. Treasury Obligations (0.4%)
....................................................................................................
U.S. Treasury Bonds
....................................................................................................
$965,000 6 1/8s, November 15, 2027 $958,515
....................................................................................................
350,000 5 1/4s, November 15, 2028 310,244
....................................................................................................
U.S. Treasury Notes
....................................................................................................
2,105,000 6 1/4s, June 30, 2002 2,139,543
....................................................................................................
1,067,000 5 1/2s, May 15, 2009 1,042,320
- ----------------------------------------------------------------------------------------------------
Total U.S. Government and
Agency Obligations
(cost $4,481,300) $4,450,622
- ----------------------------------------------------------------------------------------------------
PREFERRED STOCKS (0.4%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
110,000 Bankers Trust New York Corp. Ser. Q,
$1.269 Adjustable Rate Preferred (CUS) $2,681,250
....................................................................................................
1,500 Centaur Funding Corp 144A 9.08%
pfd. (Cayman Islands) 1,576,302
- ----------------------------------------------------------------------------------------------------
Total Preferred Stocks
(cost $4,250,000) $4,257,552
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (0.3%) (a) (cost $3,103,000)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$3,103,000 Interest in $487,755,000 joint repurchase
agreement dated June 30, 1999 with
S.B.C. Warburg Inc. due July 1, 1999
with respect to various U.S. Treasury
obligations -- maturity value of
$3,103,414 for an effective
yield of 4.80% $3,103,000
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $787,422,864) (b) $1,049,712,257
- ----------------------------------------------------------------------------------------------------
See page 124 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT Vista Fund
Portfolio of investments owned
June 30, 1999 (Unaudited)
<CAPTION>
COMMON STOCKS (99.2%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Advertising (3.2%)
....................................................................................................
80,400 Omnicom Group, Inc. $6,432,000
....................................................................................................
126,500 Young & Rubicam, Inc. 5,747,844
- ----------------------------------------------------------------------------------------------------
12,179,844
- ----------------------------------------------------------------------------------------------------
Airlines (1.1%)
....................................................................................................
109,100 Continental Airlines, Inc. (NON) 4,104,888
- ----------------------------------------------------------------------------------------------------
Automotive Parts (0.8%)
....................................................................................................
60,200 Lear Corp. (NON) 2,994,950
- ----------------------------------------------------------------------------------------------------
Banks (5.6%)
....................................................................................................
113,000 Greenpoint Financial Corp. 3,707,813
....................................................................................................
5,627 M & T Bank Corp. 3,094,850
....................................................................................................
91,100 North Fork Bancorporation, Inc. 1,941,569
....................................................................................................
47,700 Northern Trust Corp. 4,626,900
....................................................................................................
36,000 State Street Corp. 3,073,500
....................................................................................................
77,900 Zions Bancorp 4,946,650
- ----------------------------------------------------------------------------------------------------
21,391,282
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (1.4%)
....................................................................................................
91,700 Danaher Corp. 5,330,063
- ----------------------------------------------------------------------------------------------------
Business Services (1.0%)
....................................................................................................
59,010 Cintas Corp. 3,964,734
- ----------------------------------------------------------------------------------------------------
Cable Television (1.5%)
....................................................................................................
16,400 Adelphia Communications Corp. (NON) 1,043,450
....................................................................................................
54,500 Cablevision Systems Corp. Class A (NON) 3,815,000
....................................................................................................
19,500 Century Communications Corp. (NON) 897,000
- ----------------------------------------------------------------------------------------------------
5,755,450
- ----------------------------------------------------------------------------------------------------
Computer Equipment (1.8%)
....................................................................................................
102,900 Lexmark International Group, Inc.
Class A (NON) 6,797,831
- ----------------------------------------------------------------------------------------------------
Computer Services (6.8%)
....................................................................................................
86,760 Comverse Technology, Inc. (NON) 6,550,380
....................................................................................................
180,100 Convergys Corp. (NON) 3,466,925
....................................................................................................
136,300 Fiserv, Inc. (NON) 4,267,894
....................................................................................................
74,500 Galileo International, Inc. 3,981,094
....................................................................................................
85,600 VeriSign, Inc. (NON) 7,383,000
- ----------------------------------------------------------------------------------------------------
25,649,293
- ----------------------------------------------------------------------------------------------------
Computer Software (5.0%)
....................................................................................................
50,200 Intuit, Inc. (NON) 4,524,275
....................................................................................................
86,500 Macromedia, Inc. (NON) 3,049,125
....................................................................................................
32,400 Siebel Systems, Inc. (NON) 2,148,525
....................................................................................................
96,300 VERITAS Software Corp. (NON) 9,142,481
- ----------------------------------------------------------------------------------------------------
18,864,406
- ----------------------------------------------------------------------------------------------------
Computers (0.6%)
....................................................................................................
50,300 Apple Computer, Inc. (NON) 2,329,519
- ----------------------------------------------------------------------------------------------------
Consumer Durable Goods (2.3%)
....................................................................................................
177,100 Furniture Brands International, Inc. (NON) 4,936,663
....................................................................................................
56,500 Maytag Corp. 3,937,344
- ----------------------------------------------------------------------------------------------------
8,874,007
- ----------------------------------------------------------------------------------------------------
Consumer Products (1.2%)
....................................................................................................
120,100 Dial Corp. (The) 4,466,219
- ----------------------------------------------------------------------------------------------------
Cosmetics (2.2%)
....................................................................................................
164,400 Estee Lauder Cos. Class A 8,240,550
- ----------------------------------------------------------------------------------------------------
Electric Utilities (1.8%)
....................................................................................................
53,600 Calpine Corp. (NON) 2,894,400
....................................................................................................
51,000 Florida Progress Corp. 2,106,938
....................................................................................................
94,800 IPALCO Enterprises, Inc. 2,008,575
- ----------------------------------------------------------------------------------------------------
7,009,913
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (5.9%)
....................................................................................................
126,300 Jabil Circuit, Inc. (NON) 5,699,288
....................................................................................................
107,000 Solectron Corp. (NON) 7,135,563
....................................................................................................
146,500 Symbol Technologies, Inc. 5,402,188
....................................................................................................
78,700 Waters Corp. (NON) 4,180,938
- ----------------------------------------------------------------------------------------------------
22,417,977
- ----------------------------------------------------------------------------------------------------
Entertainment (1.1%)
....................................................................................................
184,800 Harrah's Entertainment, Inc. (NON) 4,065,600
- ----------------------------------------------------------------------------------------------------
Environmental Control (1.1%)
....................................................................................................
164,000 Republic Services, Inc. (NON) 4,059,000
- ----------------------------------------------------------------------------------------------------
Financial Services (5.7%)
....................................................................................................
30,700 Capital One Financial Corp. 1,709,606
....................................................................................................
110,500 Finova Group, Inc. 5,815,063
....................................................................................................
61,500 Investment Technology Group, Inc. 1,991,063
....................................................................................................
75,400 Paine Webber Group Inc. 3,524,950
....................................................................................................
60,900 Schwab (Charles) Corp. 6,691,388
....................................................................................................
78,200 TD Waterhouse Group, Inc. (NON) 1,959,888
- ----------------------------------------------------------------------------------------------------
21,691,958
- ----------------------------------------------------------------------------------------------------
Food and Beverages (2.1%)
....................................................................................................
176,200 Flowers Industries, Inc. 3,821,338
....................................................................................................
98,400 U.S. Foodservice (NON) 4,194,300
- ----------------------------------------------------------------------------------------------------
8,015,638
- ----------------------------------------------------------------------------------------------------
Gas Pipelines (0.7%)
....................................................................................................
63,900 Coastal Corp. 2,556,000
- ----------------------------------------------------------------------------------------------------
Health Care (2.3%)
....................................................................................................
191,000 AmeriSource Health Corp. Class A (NON) 4,870,500
....................................................................................................
250,300 HEALTHSOUTH Corp. (NON) 3,738,856
- ----------------------------------------------------------------------------------------------------
8,609,356
- ----------------------------------------------------------------------------------------------------
Lodging (1.2%)
....................................................................................................
144,800 Starwood Hotels & Resorts
Worldwide, Inc. 4,425,450
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (2.4%)
....................................................................................................
3,600 Bergen Brunswig Corp. Class A 62,100
....................................................................................................
88,100 Biomet, Inc. 3,501,975
....................................................................................................
68,800 VISX, Inc. (NON) 5,448,100
- ----------------------------------------------------------------------------------------------------
9,012,175
- ----------------------------------------------------------------------------------------------------
Networking (1.2%)
....................................................................................................
36,300 Exodus Communications, Inc. (NON) 4,353,731
....................................................................................................
608 Juniper Networks, Inc. (NON) 90,592
- ----------------------------------------------------------------------------------------------------
4,444,323
- ----------------------------------------------------------------------------------------------------
Networking Equipment (1.0%)
....................................................................................................
62,100 Network Appliance, Inc. (NON) 3,469,838
- ----------------------------------------------------------------------------------------------------
Oil and Gas (2.4%)
....................................................................................................
65,600 Baker Hughes, Inc. 2,197,600
....................................................................................................
63,100 Burlington Resources Inc. 2,729,075
....................................................................................................
55,400 Cooper Cameron Corp. (NON) 2,053,263
....................................................................................................
53,400 Smith International, Inc. (NON) 2,319,563
- ----------------------------------------------------------------------------------------------------
9,299,501
- ----------------------------------------------------------------------------------------------------
Packaging and Containers (0.9%)
....................................................................................................
51,800 Sealed Air Corp. (NON) 3,360,525
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (7.5%)
....................................................................................................
94,500 Alza Corp. (NON) 4,807,688
....................................................................................................
72,900 Biogen, Inc. (NON) 4,688,381
....................................................................................................
120,000 Elan Corp. PLC ADR (Ireland) (NON) 3,330,000
....................................................................................................
88,400 IDEXX Laboratories, Inc. (NON) 2,060,825
....................................................................................................
44,600 Immunex Corp. (NON) 5,683,713
....................................................................................................
30,100 PE Corp.-PE Biosystems Group 3,453,975
....................................................................................................
123,800 Watson Pharmaceuticals, Inc. (NON) 4,340,738
- ----------------------------------------------------------------------------------------------------
28,365,320
- ----------------------------------------------------------------------------------------------------
Recreation (1.0%)
....................................................................................................
87,300 Royal Caribbean Cruises Ltd. 3,819,375
- ----------------------------------------------------------------------------------------------------
Restaurants (2.0%)
....................................................................................................
146,300 Darden Restaurants, Inc. 3,191,169
....................................................................................................
80,900 Tricon Global Restaurants, Inc. (NON) 4,378,701
- ----------------------------------------------------------------------------------------------------
7,569,870
- ----------------------------------------------------------------------------------------------------
Retail (9.6%)
....................................................................................................
92,700 Abercrombie & Fitch Co. Class A (NON) 4,449,600
....................................................................................................
26,100 Amazon.com, Inc. (NON) 3,265,763
....................................................................................................
82,400 Ann Taylor Stores Corp. (NON) 3,708,000
....................................................................................................
73,100 Best Buy Co., Inc. (NON) 4,934,250
....................................................................................................
40,600 Circuit City Stores, Inc. 3,775,800
....................................................................................................
209,800 Family Dollar Stores, Inc. 5,035,200
....................................................................................................
122,700 Linens 'N Things, Inc. (NON) 5,368,125
....................................................................................................
172,100 TJX Cos., Inc. (The) 5,733,081
- ----------------------------------------------------------------------------------------------------
36,269,819
- ----------------------------------------------------------------------------------------------------
Semiconductors (5.0%)
....................................................................................................
115,800 Altera Corp. (NON) 4,262,888
....................................................................................................
59,800 Linear Technology Corp. 4,021,550
....................................................................................................
75,100 LSI Logic Corp. (NON) 3,463,988
....................................................................................................
51,400 Maxim Integrated Products Inc. (NON) 3,418,100
....................................................................................................
51,900 Teradyne, Inc. (NON) 3,723,825
- ----------------------------------------------------------------------------------------------------
18,890,351
- ----------------------------------------------------------------------------------------------------
Telecommunications (3.5%)
....................................................................................................
64,000 Allegiance Telecom, Inc. (NON) 3,512,000
....................................................................................................
55,400 Frontier Corp. 3,268,600
....................................................................................................
28,600 Global TeleSystems Group, Inc. (NON) 2,316,600
....................................................................................................
72,800 McLeod, Inc. Class A (NON) 4,004,000
- ----------------------------------------------------------------------------------------------------
13,101,200
- ----------------------------------------------------------------------------------------------------
Telecommunications Equipment (3.2%)
....................................................................................................
83,500 ADC Telecommunications Inc. (NON) 3,804,469
....................................................................................................
59,000 QUALCOMM, Inc. (NON) 8,466,500
- ----------------------------------------------------------------------------------------------------
12,270,969
- ----------------------------------------------------------------------------------------------------
Textiles (3.1%)
....................................................................................................
107,320 Mohawk Industries, Inc. (NON) 3,259,845
....................................................................................................
192,500 Shaw Industries, Inc. (NON) 3,176,250
....................................................................................................
180,400 Westpoint Stevens, Inc. 5,378,175
- ----------------------------------------------------------------------------------------------------
11,814,270
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $302,416,600) $375,481,464
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (3.8%) (a) (cost $14,491,000)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$14,491,000 Interest in $402,952,000 joint repurchase
agreement dated June 30, 1999 with
Merrill Lynch, Pierce, Fenner & Smith, Inc.
due July 1, 1999 with respect to various
U.S. Treasury obligations -- maturity
value of $14,492,892 for an effective
yield of 4.70% $14,491,000
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $316,907,600) (b) $389,972,464
- ----------------------------------------------------------------------------------------------------
See page 124 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT Voyager Fund
Portfolio of investments owned
June 30, 1999 (Unaudited)
<CAPTION>
COMMON STOCKS (96.6%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Advertising (2.1%)
....................................................................................................
424,303 Lamar Advertising Co. (NON) $17,369,904
....................................................................................................
604,468 Omnicom Group, Inc. 48,357,440
....................................................................................................
1,811,958 Outdoor Systems, Inc. (NON) 66,136,431
....................................................................................................
98,000 TMP Worldwide Inc. (NON) 6,223,000
- ----------------------------------------------------------------------------------------------------
138,086,775
- ----------------------------------------------------------------------------------------------------
Aerospace and Defense (0.2%)
....................................................................................................
360,400 Boeing Co. 15,925,175
- ----------------------------------------------------------------------------------------------------
Apparel (0.4%)
....................................................................................................
414,100 Nike, Inc. 26,217,706
- ----------------------------------------------------------------------------------------------------
Banks (3.9%)
....................................................................................................
280,100 Bank One Corp. 16,683,456
....................................................................................................
1,212,325 Fifth Third Bancorp 80,695,383
....................................................................................................
2,947,171 Firstar Corp. 82,520,788
....................................................................................................
479,900 Mercantile Bancorp., Inc. 27,414,288
....................................................................................................
79,800 Northern Trust Corp. 7,740,600
....................................................................................................
192,600 SunTrust Banks, Inc. 13,373,663
....................................................................................................
285,072 Washington Mutual, Inc. 10,084,422
....................................................................................................
263,200 Wells Fargo Co. 11,251,800
....................................................................................................
156,300 Zions Bancorp 9,925,050
- ----------------------------------------------------------------------------------------------------
259,689,450
- ----------------------------------------------------------------------------------------------------
Broadcasting (11.3%)
....................................................................................................
7,504,792 AT&T Corp. - Liberty Media, Class A 275,801,106
....................................................................................................
3,753,825 CBS Corp. 163,056,773
....................................................................................................
1,284,178 Chancellor Media Corp. (NON) 70,790,312
....................................................................................................
109,900 Citadel Communications Corp. (NON) 3,977,006
....................................................................................................
1,732,320 Clear Channel Communications, Inc. (NON) 119,421,810
....................................................................................................
210,200 Entercom Communications Corp. (NON) 8,986,050
....................................................................................................
258,505 Hispanic Broadcasting Corp. (NON) 19,614,067
....................................................................................................
1,433,400 Infinity Broadcasting Corp. Class A (NON) 42,643,650
....................................................................................................
593,170 Sinclair Broadcast Group, Inc. Class A (NON) 9,713,159
....................................................................................................
360,300 Univision Communications Inc. Class A (NON) 23,779,800
....................................................................................................
417,183 WestWood One, Inc. (NON) 14,888,218
- ----------------------------------------------------------------------------------------------------
752,671,951
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (2.1%)
....................................................................................................
115,855 Abacus Direct Corp. (NON) 10,600,733
....................................................................................................
157,201 Affiliated Computer Services, Inc. Class A (NON) 7,958,301
....................................................................................................
2,065,000 Cendant Corp. (NON) 42,332,500
....................................................................................................
579,190 Cintas Corp. 38,914,328
....................................................................................................
3,321,000 Rentokil Group PLC (United Kingdom) 12,963,756
....................................................................................................
739,200 Serco Group PLC (United Kingdom) (NON) 16,905,060
....................................................................................................
332,300 Snyder Communications, Inc. (NON) 10,882,825
- ----------------------------------------------------------------------------------------------------
140,557,503
- ----------------------------------------------------------------------------------------------------
Cable Television (2.8%)
....................................................................................................
205,300 Adelphia Communications Corp. 13,062,213
....................................................................................................
92,100 Century Communications Corp. 4,236,600
....................................................................................................
525,050 Comcast Corp. Class A 20,181,609
....................................................................................................
1,529,300 MediaOne Group Inc. 113,741,688
....................................................................................................
819,900 USA Networks, Inc. (NON) 32,898,488
- ----------------------------------------------------------------------------------------------------
184,120,598
- ----------------------------------------------------------------------------------------------------
Chemicals (1.0%)
....................................................................................................
286,100 Avery Dennison Corp. 17,273,288
....................................................................................................
302,600 du Pont (E.I.) de Nemours & Co., Ltd. 20,671,363
....................................................................................................
451,360 Hoechst AG (Germany) (NON) 20,498,311
....................................................................................................
101,045 Rohm & Haas Co. 4,332,288
....................................................................................................
108,900 Union Carbide Corp. 5,308,875
- ----------------------------------------------------------------------------------------------------
68,084,125
- ----------------------------------------------------------------------------------------------------
Computer Equipment (0.4%)
....................................................................................................
240,000 Comdisco, Inc. 6,150,000
....................................................................................................
336,200 EMC Corp. 18,491,000
- ----------------------------------------------------------------------------------------------------
24,641,000
- ----------------------------------------------------------------------------------------------------
Computer Services (3.5%)
....................................................................................................
646,891 Capita Group PLC (United Kingdom) 6,682,811
....................................................................................................
54,000 CMG Information Services, Inc. 6,159,375
....................................................................................................
257,400 Comverse Technology, Inc. (NON) 19,433,700
....................................................................................................
254,450 Covad Communications Group 144A (NON) 13,565,366
....................................................................................................
65,700 Critical Path, Inc. (NON) 3,634,031
....................................................................................................
260,000 E*Trade Group, Inc. (NON) 10,383,750
....................................................................................................
50,300 eBay Inc. (NON) 7,614,163
....................................................................................................
487,100 Electronic Data Systems Corp. 27,551,594
....................................................................................................
355,300 Galileo International, Inc. 18,986,344
....................................................................................................
543,800 IBM Corp. 70,286,150
....................................................................................................
99,960 IDT Corp. (NON) 2,224,110
....................................................................................................
525,965 Misys PLC (United Kingdom) (NON) 4,504,467
....................................................................................................
111,600 RealNetworks, Inc. (NON) 7,686,450
....................................................................................................
212,800 USWeb Corp. (NON) 4,721,500
....................................................................................................
83,478 Verio Inc. (NON) 5,801,721
....................................................................................................
161,600 VeriSign, Inc. (NON) 13,938,000
....................................................................................................
337,300 Whittman-Hart, Inc. (NON) 10,709,275
- ----------------------------------------------------------------------------------------------------
233,882,807
- ----------------------------------------------------------------------------------------------------
Computer Software (7.1%)
....................................................................................................
259,100 Beyond.com Corp. (NON) 7,432,931
....................................................................................................
145,300 BMC Software, Inc. (NON) 7,846,200
....................................................................................................
86,000 BroadVision, Inc. (NON) 6,342,500
....................................................................................................
1,108,600 Computer Associates International, Inc. 60,973,000
....................................................................................................
291,350 Dell Computer Corp. (NON) 10,779,950
....................................................................................................
739,277 Electronic Arts, Inc. (NON) 40,105,777
....................................................................................................
318,010 I2 Technologies, Inc. (NON) 13,674,430
....................................................................................................
142,200 Infoseek Corp. (NON) 6,816,713
....................................................................................................
292,818 Intuit, Inc. (NON) 26,390,222
....................................................................................................
121,400 ISS Group, Inc. (NON) 4,582,850
....................................................................................................
37,262 Lycos, Inc. (NON) 3,423,446
....................................................................................................
118,000 Macromedia, Inc. (NON) 4,159,500
....................................................................................................
1,087,900 Microsoft Corp. (NON) 98,114,981
....................................................................................................
1,221,325 Oracle Corp. (NON) 45,341,691
....................................................................................................
3,589,643 Parametric Technology Corp. (NON) 49,806,297
....................................................................................................
290,000 Rational Software Corp. (NON) 9,551,875
....................................................................................................
173,000 Research in Motion Ltd. (Canada) (NON) 3,503,250
....................................................................................................
47,400 SAP AG (Germany) 16,083,578
....................................................................................................
120,800 Security First Technologies Corp. (NON) 5,451,100
....................................................................................................
55,700 Softbank Corp. (Japan) 11,287,367
....................................................................................................
478,162 Synopsys, Inc. (NON) 26,388,565
....................................................................................................
162,400 VERITAS Software Corp. (NON) 15,417,850
- ----------------------------------------------------------------------------------------------------
473,474,073
- ----------------------------------------------------------------------------------------------------
Conglomerates (2.5%)
....................................................................................................
261,300 Corning Inc. 18,323,663
....................................................................................................
1,362,000 Tyco International Ltd. 129,049,500
....................................................................................................
221,900 United Technologies Corp. 15,907,456
- ----------------------------------------------------------------------------------------------------
163,280,619
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (0.4%)
....................................................................................................
150,000 Bausch & Lomb, Inc. 11,475,000
....................................................................................................
888,300 Luxottica Group S.P.A. ADR (Italy) 13,824,169
- ----------------------------------------------------------------------------------------------------
25,299,169
- ----------------------------------------------------------------------------------------------------
Consumer Services (0.6%)
....................................................................................................
132,900 At Home Corp. (NON) 7,168,294
....................................................................................................
392,150 Interpublic Group Cos. Inc. 33,969,994
- ----------------------------------------------------------------------------------------------------
41,138,288
- ----------------------------------------------------------------------------------------------------
Cosmetics (--%)
....................................................................................................
53,702 ThermoLase Corp. (NON) 70,484
- ----------------------------------------------------------------------------------------------------
Education (--%)
....................................................................................................
107,800 ITT Educational Services, Inc. (NON) 2,809,538
- ----------------------------------------------------------------------------------------------------
Electric Utilities (0.2%)
....................................................................................................
131,700 CalEnergy Co., Inc. (NON) 4,560,113
....................................................................................................
115,000 Montana Power Co. 8,107,500
- ----------------------------------------------------------------------------------------------------
12,667,613
- ----------------------------------------------------------------------------------------------------
Electronic Components (0.9%)
....................................................................................................
280,000 ASM Lithography Holding N.V.
(Netherlands) (NON) 16,625,000
....................................................................................................
78,000 Broadcom Corp. (NON) 11,275,875
....................................................................................................
220,000 Celestica Inc. (Canada) (NON) 9,528,750
....................................................................................................
128,300 Rockwell International Corp. 7,794,225
....................................................................................................
321,578 Waters Corp. (NON) 17,083,831
- ----------------------------------------------------------------------------------------------------
62,307,681
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (5.8%)
....................................................................................................
712,400 Applied Materials, Inc. (NON) 52,628,550
....................................................................................................
145,000 Flextronics International Ltd. (NON) 8,047,500
....................................................................................................
296,300 Hewlett-Packard Co. (NON) 29,778,150
....................................................................................................
94,500 Honeywell, Inc. (NON) 10,950,188
....................................................................................................
359,400 Jabil Circuit, Inc. (NON) 16,217,925
....................................................................................................
350,562 Lernout & Hauspie Speech Products
N.V. (Belgium) (NON) 12,423,041
....................................................................................................
1,204,850 Motorola, Inc. 114,159,538
....................................................................................................
285,566 Sanmina Corp. (NON) 21,667,320
....................................................................................................
215,398 Sipex Corp. (NON) 4,415,659
....................................................................................................
350,740 Solectron Corp. (NON) 23,389,974
....................................................................................................
351,000 Sony Corp. (Japan) (NON) 37,871,434
....................................................................................................
226,800 Tandy Corp. (NON) 11,084,850
....................................................................................................
245,240 Teradyne, Inc. (NON) 17,595,970
....................................................................................................
466,200 Thermo Instrument Systems, Inc. (NON) 7,867,125
....................................................................................................
89,035 Uniphase Corp. (NON) 14,779,810
- ----------------------------------------------------------------------------------------------------
382,877,034
- ----------------------------------------------------------------------------------------------------
Energy-Related (0.2%)
....................................................................................................
564,300 Thermo Electron Corp. (NON) 11,321,269
- ----------------------------------------------------------------------------------------------------
Entertainment (0.9%)
....................................................................................................
354,000 Harrah's Entertainment, Inc. (NON) 7,788,000
....................................................................................................
262,000 SFX Entertainment, Inc. Class A (NON) 16,768,000
....................................................................................................
233,600 Time Warner, Inc. 17,169,600
....................................................................................................
382,100 Viacom, Inc. Class B (NON) 16,812,400
- ----------------------------------------------------------------------------------------------------
58,538,000
- ----------------------------------------------------------------------------------------------------
Environmental Control (0.2%)
....................................................................................................
265,700 Waste Management, Inc. (NON) 14,281,375
- ----------------------------------------------------------------------------------------------------
Financial Services (5.7%)
....................................................................................................
316,206 American Express Co. 41,146,306
....................................................................................................
246,100 Charter One Financial, Inc. 6,844,656
....................................................................................................
1,274,250 Citigroup, Inc. 60,526,875
....................................................................................................
867,849 Concord EFS, Inc. (NON) 36,720,861
....................................................................................................
82,000 Donaldson, Lufkin & Jenrette, Inc. 4,940,500
....................................................................................................
563,050 Fannie Mae 38,498,544
....................................................................................................
461,036 Federal Home Loan Mortgage Corp. 26,740,088
....................................................................................................
208,300 Franklin Resources, Inc. 8,462,188
....................................................................................................
17,100 Goldman Sachs Group, Inc. (The) (NON) 1,235,475
....................................................................................................
40,800 Investment Technology Group, Inc. 1,320,900
....................................................................................................
538,100 MBNA Corp. 16,479,313
....................................................................................................
167,500 Morgan Stanley, Dean Witter,
Discover and Co. 17,168,750
....................................................................................................
179,800 National Commerce Bancorporation 3,933,125
....................................................................................................
247,200 Providian Financial Corp. 23,113,200
....................................................................................................
478,195 Schwab (Charles) Corp. 52,541,676
....................................................................................................
110,200 TD Waterhouse Group, Inc. (NON) 2,761,888
....................................................................................................
774,336 TCF Financial Corp. 21,584,616
....................................................................................................
240,500 The Equitable Cos., Inc. 16,113,500
- ----------------------------------------------------------------------------------------------------
380,132,461
- ----------------------------------------------------------------------------------------------------
Food and Beverages (0.4%)
....................................................................................................
271,100 Coca-Cola Co. 16,943,750
....................................................................................................
236,900 Coca-Cola Enterprises, Inc. 7,047,775
- ----------------------------------------------------------------------------------------------------
23,991,525
- ----------------------------------------------------------------------------------------------------
Health Care Information Services (0.1%)
....................................................................................................
80,000 Eclipsys Corp. (NON) 1,915,000
....................................................................................................
150,600 Medquist, Inc. (NON) 6,588,750
- ----------------------------------------------------------------------------------------------------
8,503,750
- ----------------------------------------------------------------------------------------------------
Health Care Services (0.9%)
....................................................................................................
137,471 CareMatrix Corp. (NON) 1,709,796
....................................................................................................
33,800 Healtheon Corp. (NON) 2,602,600
....................................................................................................
314,400 Lincare Holdings, Inc. (NON) 7,860,000
....................................................................................................
145,000 Sunrise Assisted Living, Inc. (NON) 5,056,875
....................................................................................................
29,300 TLC The Laser Center Inc. (Canada) (NON) 1,406,400
....................................................................................................
669,100 United Healthcare Corp. 41,902,388
- ----------------------------------------------------------------------------------------------------
60,538,059
- ----------------------------------------------------------------------------------------------------
Hospital Management (0.3%)
....................................................................................................
1,522,619 Health Management Assoc., Inc. (NON) 17,129,464
- ----------------------------------------------------------------------------------------------------
Insurance (2.2%)
....................................................................................................
901,550 AFLAC Inc. 43,161,706
....................................................................................................
404,900 American General Corp. 30,519,338
....................................................................................................
262,200 American International Group, Inc. 30,693,788
....................................................................................................
193,600 CIGNA Corp. 17,230,400
....................................................................................................
190,900 Progressive Corp. (The) 27,680,500
- ----------------------------------------------------------------------------------------------------
149,285,732
- ----------------------------------------------------------------------------------------------------
Lodging (0.2%)
....................................................................................................
769,438 Extended Stay America, Inc. (NON) 9,233,256
....................................................................................................
200,400 Starwood Hotels & Resorts
Worldwide, Inc. 6,124,725
- ----------------------------------------------------------------------------------------------------
15,357,981
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (1.8%)
....................................................................................................
199,700 Baxter International, Inc. 12,106,813
....................................................................................................
8,200 Bergen Brunswig Corp. Class A 141,450
....................................................................................................
255,000 Biomet, Inc. 10,136,250
....................................................................................................
162,835 LifeCore Biomedical, Inc. (NON) 1,872,603
....................................................................................................
690,380 Medtronic, Inc. 53,763,343
....................................................................................................
262,969 Stryker Corp. 15,811,011
....................................................................................................
771,988 Sybron International Corp. (NON) 21,277,919
....................................................................................................
501,032 Thermo Cardiosystems, Inc. (NON) 5,448,723
- ----------------------------------------------------------------------------------------------------
120,558,112
- ----------------------------------------------------------------------------------------------------
Networking (0.4%)
....................................................................................................
200,275 CIENA Corp. (NON) 6,045,802
....................................................................................................
287,840 Entrust Technologies Inc. (NON) 9,570,680
....................................................................................................
58,700 Exodus Communications, Inc. (NON) 7,040,331
....................................................................................................
30,700 International Network Services (NON) 1,239,513
....................................................................................................
3,243 Juniper Networks, Inc. (NON) 483,207
....................................................................................................
15,500 NorthPoint Communications
Group, Inc. (NON) 565,750
- ----------------------------------------------------------------------------------------------------
24,945,283
- ----------------------------------------------------------------------------------------------------
Networking Equipment (1.6%)
....................................................................................................
1,328,300 Cisco Systems, Inc. (NON) 85,592,331
....................................................................................................
179,776 E-Tek Dynamics, Inc. (NON) 8,550,596
....................................................................................................
204,300 Network Appliance, Inc. (NON) 11,415,263
- ----------------------------------------------------------------------------------------------------
105,558,190
- ----------------------------------------------------------------------------------------------------
Oil and Gas (2.7%)
....................................................................................................
343,600 Chevron, Inc. 32,706,425
....................................................................................................
956,300 Conoco, Inc. 26,656,863
....................................................................................................
451,400 Halliburton Co. 20,425,850
....................................................................................................
373,600 Mobil Corp. 36,986,400
....................................................................................................
178,600 Schlumberger Ltd. 11,374,588
....................................................................................................
323,200 Unocal Corp. 12,806,800
....................................................................................................
908,200 Williams Cos., Inc. 38,655,263
- ----------------------------------------------------------------------------------------------------
179,612,189
- ----------------------------------------------------------------------------------------------------
Packaging and Containers (0.3%)
....................................................................................................
354,500 Sealed Air Corp. (NON) 22,998,188
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (0.3%)
....................................................................................................
191,800 Westvaco Corp. 5,562,200
....................................................................................................
383,600 Willamette Industries, Inc. 17,669,575
- ----------------------------------------------------------------------------------------------------
23,231,775
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (3.3%)
....................................................................................................
765,700 American Home Products Corp. 44,027,750
....................................................................................................
1,162,778 Elan Corp. PLC ADR (Ireland) (NON) 32,267,090
....................................................................................................
176,400 Forest Laboratories, Inc. (NON) 8,158,500
....................................................................................................
556,600 Merck & Co., Inc. 41,188,400
....................................................................................................
861,659 Pharmacia & Upjohn, Inc. 48,953,002
....................................................................................................
112,500 QLT PhotoTherapeutics Inc. (Canada) (NON) 6,187,500
....................................................................................................
246,740 Sepracor, Inc. (NON) 20,047,625
....................................................................................................
70,000 Transkaryotic Therapies, Inc. (Malaysia) (NON) 2,310,000
....................................................................................................
314,208 Vertex Pharmaceuticals, Inc. (NON) 7,580,268
....................................................................................................
172,000 Warner-Lambert Co. 11,932,500
- ----------------------------------------------------------------------------------------------------
222,652,635
- ----------------------------------------------------------------------------------------------------
Publishing (0.5%)
....................................................................................................
58,300 McGraw-Hill, Inc. 3,144,556
....................................................................................................
752,531 Wolters Kluwer N.V. (Netherlands) 30,049,842
- ----------------------------------------------------------------------------------------------------
33,194,398
- ----------------------------------------------------------------------------------------------------
Railroads (--%)
....................................................................................................
22,000 Burlington Northern Santa Fe Corp. 682,000
- ----------------------------------------------------------------------------------------------------
Recreation (--%)
....................................................................................................
60,300 International Speedway Corp. Class A 2,864,250
- ----------------------------------------------------------------------------------------------------
Restaurants (1.2%)
....................................................................................................
2,449,756 J.D. Wetherspoon PLC
(United Kingdom) (NON) 11,398,078
....................................................................................................
253,524 PizzaExpress PLC (United Kingdom) 3,638,708
....................................................................................................
1,251,100 Starbucks Corp. (NON) 46,994,444
....................................................................................................
371,400 Tricon Global Restaurants, Inc. (NON) 20,102,025
- ----------------------------------------------------------------------------------------------------
82,133,255
- ----------------------------------------------------------------------------------------------------
Retail (9.8%)
....................................................................................................
70,600 Ames Department Stores, Inc. (NON) 3,221,125
....................................................................................................
658,124 Bed Bath & Beyond, Inc. (NON) 25,337,774
....................................................................................................
589,751 Consolidated Stores Corp. (NON) 15,923,277
....................................................................................................
1,558,200 Costco Companies, Inc. (NON) 124,753,388
....................................................................................................
680,656 CVS Corp. 34,543,292
....................................................................................................
978,457 Dollar Tree Stores, Inc. (NON) 43,052,108
....................................................................................................
205,200 Federated Department Stores, Inc. (NON) 10,862,775
....................................................................................................
1,155,400 Home Depot, Inc. (The) 74,451,088
....................................................................................................
1,538,084 Kohls Corp. (NON) 118,720,859
....................................................................................................
285,900 Lowe's Cos., Inc. 16,206,956
....................................................................................................
488,448 Michaels Stores, Inc. (NON) 14,958,720
....................................................................................................
1,246,600 Rite Aid Corp. 30,697,525
....................................................................................................
1,576,000 TJX Cos., Inc. (The) 52,500,500
....................................................................................................
490,500 Toys R Us (NON) 10,147,219
....................................................................................................
743,300 Wal-Mart Stores, Inc. 35,864,225
....................................................................................................
1,093,300 Walgreen Co. 32,115,688
....................................................................................................
367,338 Williams-Sonoma, Inc. (NON) 12,787,954
- ----------------------------------------------------------------------------------------------------
656,144,473
- ----------------------------------------------------------------------------------------------------
Semiconductors (5.2%)
....................................................................................................
280,001 Analog Devices, Inc. (NON) 14,052,550
....................................................................................................
196,400 Intel Corp. 11,685,800
....................................................................................................
253,800 KLA Tencor Corp. (NON) 16,465,275
....................................................................................................
1,821,676 Linear Technology Corp. 122,507,711
....................................................................................................
1,374,698 Maxim Integrated Products Inc. (NON) 91,417,417
....................................................................................................
91,645 Novellus Systems, Inc. (NON) 6,254,771
....................................................................................................
314,000 PMC - Sierra, Inc. (NON) 18,506,375
....................................................................................................
42,860 SDL, Inc. (NON) 2,188,539
....................................................................................................
263,100 Texas Instruments, Inc. 38,149,500
....................................................................................................
404,000 Xilinx, Inc. (NON) 23,129,000
- ----------------------------------------------------------------------------------------------------
344,356,938
- ----------------------------------------------------------------------------------------------------
Telecommunications (11.7%)
....................................................................................................
756,950 ADC Telecommunications, Inc. (NON) 34,488,534
....................................................................................................
252,300 Allegiance Telecom, Inc. (NON) 13,844,963
....................................................................................................
355,400 Amdocs Ltd. (NON) 8,085,350
....................................................................................................
39,000 Copper Mountain Networks, Inc. (NON) 3,012,750
....................................................................................................
190,000 Frontier Corp. 11,210,000
....................................................................................................
361,500 General Instrument Corp. (NON) 15,363,750
....................................................................................................
199,149 Global Crossing Ltd. (NON) 8,488,726
....................................................................................................
535,750 Global TeleSystems Group, Inc. (NON) 43,395,750
....................................................................................................
359,334 Intermedia Communications, Inc. (NON) 10,780,020
....................................................................................................
1,319,538 Lucent Technologies, Inc. 88,986,310
....................................................................................................
458,200 McLeod, Inc. Class A (NON) 25,201,000
....................................................................................................
633,600 MCI WorldCom, Inc. (NON) 54,529,200
....................................................................................................
1,527,024 Metromedia Fiber Network, Inc.
Class A (NON) 54,877,425
....................................................................................................
414,002 NEXTLINK Communications, Inc.
Class A (NON) 30,791,399
....................................................................................................
285,850 NTL Inc. (NON) 24,636,697
....................................................................................................
1,760,450 Orange PLC ADR (United Kingdom) 25,822,210
....................................................................................................
450,450 Oy Nokia AB Class A, (Finland) 39,609,195
....................................................................................................
385,200 QUALCOMM, Inc. 55,276,200
....................................................................................................
615,560 Qwest Communications
International, Inc. (NON) 20,351,953
....................................................................................................
132,900 RSL Communications, Ltd. Class A (NON) 2,566,631
....................................................................................................
592,000 SBC Communications, Inc. 34,336,000
....................................................................................................
1,736,200 Sprint Corp. 91,693,063
....................................................................................................
680,000 Sprint PCS (NON) 38,845,000
....................................................................................................
979,450 Telefonaktiebolaget LM Ericsson
Class B, (Sweden) 31,563,402
....................................................................................................
292,000 WinStar Communications. Inc. (NON) 14,235,000
- ----------------------------------------------------------------------------------------------------
781,990,528
- ----------------------------------------------------------------------------------------------------
Transportation (0.4%)
....................................................................................................
549,200 FDX Corp. (NON) 29,794,100
- ----------------------------------------------------------------------------------------------------
Wireless Communications (1.1%)
....................................................................................................
1,208,900 American Tower Corp. Class A 29,013,600
....................................................................................................
148,450 RF Micro Devices, Inc. (NON) 11,078,066
....................................................................................................
164,750 Vodafone AirTouch PLC
(United Kingdom) 32,455,750
- ----------------------------------------------------------------------------------------------------
72,547,416
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $4,475,740,759) $6,450,144,935
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (4.0%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$25,000,000 Federal Home Loan Mortgage Corp.,
effective yield of 4.905%,
September 10, 1999 $24,758,150
....................................................................................................
30,000,000 Federal Home Loan Mortgage Corp.,
effective yield of 4.77%, July 14, 1999 29,947,892
....................................................................................................
30,000,000 Federal National Mortgage Corp.,
effective yield of 4.79%, August 13, 1999 29,828,358
....................................................................................................
20,000,000 Metlife Funding Corp., effective
yield of 4.95%, July 14, 1999 19,964,250
....................................................................................................
25,000,000 Sheffield Receivable Corp., effective
yield of 5.05%, July 20, 1999 24,933,236
....................................................................................................
25,000,000 Sheffield Receivable Corp., effective
yield of 5.05%, July 16, 1999 24,947,396
....................................................................................................
23,000,000 Sigma Finance Inc., effective yield
of 4.82%, July 15, 1999 22,956,888
....................................................................................................
92,935,000 Interest in $402,952,000 joint repurchase
agreement dated June 30, 1999 with
Merrill Lynch, Pierce, Fenner & Smith, Inc.
due July 1, 1999 with respect to various
U.S. Treasury obligations -- maturity
value of $92,947,133 for an effective
yield of 4.70% 92,935,000
- ----------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $270,271,170) $270,271,170
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $4,746,011,929) (b) $6,720,416,105
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell at June 30, 1999 (Unaudited)
- ----------------------------------------------------------------------------------------------------
Market Aggregate Delivery Unrealized
Value Face Value Date Appreciation
....................................................................................................
Japanese Yen $3,745,714 $3,818,779 9/16/99 $73,065
- ----------------------------------------------------------------------------------------------------
See page 124 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST
Notes to the Portfolios
June 30, 1999 (Unaudited)
(a) Percentages indicated are based on net assets.
(NON) Non-income-producing security.
(STP) The interest or dividend rate and date shown parenthetically represent the new interest or dividend
rate to be paid and the date the fund will begin receiving interest or dividend income at this rate.
(POR) A portion of the income will be received in additional securities.
(RES) Restricted, excluding 144A securities, as to public resale. The total market value of restricted
securities by fund did not exceed 1% of eanch fund's net assets
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(SEG) A portion of these securities were pledged and segregated with the custodian to cover margin
requirements for futures contracts on Putnam VT Diversified Fund, Putnam VT Global Asset Allocation
Fund and Putnam VT Income Fund at June 30, 1999.
(CUS) This entity provides subcustodian services to the fund.
(ITT) ITT Hartford, through its subsidiaries, offers variable annuity products which invest in the funds.
(R) Real Estate Investment Trust.
144A after the name of a security represents those exempt from registration under Rule 144A of the
Securities Act of 1933. These securities may be resold in transactions exempt from registration,
normally to qualified institutional buyers.
ADR, ADS, or GDR after the name of a foreign holding stands for American Depositary Receipts, American
Depositary Shares, or Global Depositary Receipts, respectively, representing ownership of foreign
securities on deposit on with a domestic custodian bank.
TBA after the name of a security represents to be announced securities (Note 1).
The rates shown on Floating Rate Bonds (FRB) and Floating Rate Notes (FRN) are the current interest
rates shown at June 30, 1999, which are subject to change based on the terms of the security.
(b) On June 30, 1999, the composition of unrealized appreciation and (depreciation) of investment
securities based on the aggregate cost of investments on a tax basis was as follows:
<CAPTION>
Federal Tax
Appreciation Depreciation Net Cost
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund $28,537,940 $969,203 $27,568,737 $101,757,294
Putnam VT Diversified Income Fund 9,076,764 46,728,300 (37,651,536) 683,405,128
Putnam VT The George Putnam Fund 15,444,326 6,173,531 9,270,795 225,776,634
Putnam VT Global Asset Allocation Fund 153,599,795 27,416,700 126,183,095 865,686,837
Putnam VT Global Growth Fund 379,009,912 48,569,183 330,440,729 1,758,532,125
Putnam VT Growth & Income Fund 2,495,774,788 258,515,124 2,237,259,664 8,616,945,977
Putnam VT Health Sciences Fund 21,650,252 7,471,181 14,179,071 184,067,755
Putnam VT High Yield Fund 30,244,237 104,037,582 (73,793,345) 1,086,500,203
Putnam VT Income Fund 5,270,002 35,598,513 (30,328,511) 1,062,530,943
Putnam VT International Growth Fund 64,074,829 10,910,532 53,164,297 345,028,340
Putnam VT International Growth and Income Fund 40,796,368 12,208,368 28,588,000 319,126,392
Putnam VT International New Opportunities Fund 37,243,392 2,451,208 34,792,184 120,581,165
Putnam VT Investors Fund 90,467,083 6,631,062 83,836,021 484,607,998
Putnam VT Money Market Fund -- -- -- --
Putnam VT New Opportunities Fund 1,358,248,527 96,029,729 1,262,218,798 2,874,509,677
Putnam VT New Value Fund 41,861,614 8,730,249 33,131,365 269,161,786
Putnam VT OTC & Emerging Growth Fund 14,312,640 1,723,434 12,589,206 41,329,645
Putnam VT Research Fund 6,426,266 1,968,777 4,457,489 74,424,870
Putnam VT Small Cap Value Fund 388,766 112,514 276,252 4,799,867
Putnam VT Utilities Growth and Income Fund 288,925,094 26,738,817 262,186,277 787,525,980
Putnam VT Vista Fund 81,022,231 8,975,354 72,046,877 317,925,587
Putnam VT Voyager Fund 2,106,409,122 150,707,650 1,955,701,472 4,764,714,633
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of assets and liabilities
- ------------------------------------------------------------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
Putnam VT Putnam VT Putnam VT
Asia Pacific Diversified The George Putnam
Growth Fund Income Fund Fund of Boston
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Assets
Investments in securities, at value (Note 1)....................... $129,326,031 $637,128,592 $225,966,429
Repurchase agreements, at value.................................... -- 8,625,000 9,081,000
Cash............................................................... 266,961 2,806,149 1,194,073
Foreign currency, at value......................................... -- -- --
Dividends, interest, and other receivables......................... 223,732 10,645,561 1,226,793
Receivable for shares of the fund sold............................. 4,259,810 281,811 1,177,899
Receivable for securities sold..................................... 6,728,596 2,312,998 2,155,021
Receivable for variation margin.................................... -- -- --
Receivable for open forward currency contracts..................... -- 1,499,342 --
Receivable for closed forward currency contracts................... -- 139,910 --
Receivable for swap contracts (Note 1)............................. -- -- --
Foreign tax reclaim................................................ 1,896 -- --
...................................................................................................................................
Total assets....................................................... 140,807,026 663,439,363 240,801,215
...................................................................................................................................
Liabilities
Payable to subcustodian (Note 2)................................... 150,659 52,900 --
Payable for variation margin....................................... -- 7,000 --
Payable for securities purchased................................... 468,089 1,491,804 2,278,257
Payable for shares of the fund repurchased......................... 68 -- --
Payable for compensation of Manager (Note 2)....................... 235,837 1,120,637 332,558
Payable for investor servicing and custodian fees (Note 2)......... 49,486 61,715 38,311
Payable for compensation of Trustees (Note 2)...................... 11,629 -- 1,188
Payable for administrative services (Note 2)....................... 1,246 2,734 1,653
Payable for distribution fees (Note 2)............................. 72 655 931
Payable for open forward currency contracts........................ -- 972,358 --
Payable for closed forward currency contracts...................... 113,485 2,877 --
TBA sale commitments, at value..................................... -- -- --
Other accrued expenses............................................. 16,858 32,830 26,888
...................................................................................................................................
Total liabilities.................................................. 1,047,429 3,745,510 2,679,786
...................................................................................................................................
Net Assets......................................................... $139,759,597 $659,693,853 $238,121,429
...................................................................................................................................
Represented by:
Paid-in capital (Notes 1, 4 and 5)................................. $134,766,499 $706,302,113 $223,210,964
Undistributed net investment income (loss) (Note 1)................ 266,308 24,950,038 2,412,988
Accumulated net realized gain (loss) on investments
and foreign currency transactions (Note 1)....................... (23,893,130) (35,734,080) 2,937,879
Net unrealized appreciation (depreciation) of
investments and assets and liabilities in
foreign currencies............................................... 28,619,920 (35,824,218) 9,559,598
...................................................................................................................................
Total--Representing net assets applicable to
capital shares outstanding....................................... $139,759,597 $659,693,853 $238,121,429
...................................................................................................................................
Computation of net asset value Class IA
Net Assets......................................................... $137,959,109 $653,579,828 $228,484,773
Number of shares outstanding....................................... 12,654,435 66,860,630 20,996,641
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)........................................... $ 10.90 $ 9.78 $ 10.88
...................................................................................................................................
Computation of net asset value Class IB
Net Assets......................................................... $ 1,800,488 $ 6,114,025 $ 9,636,656
Number of shares outstanding....................................... 165,495 626,630 885,726
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)........................................... $10.88 $9.76 $10.88
...................................................................................................................................
Cost of investments, including repurchase agreement (Note 1)....... $100,665,935 $682,358,298 $225,487,831
TBA sale commitments proceeds receivable........................... -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of assets and liabilities (continued)
- ----------------------------------------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
Putnam VT Putnam VT
Global Asset Global Growth
Allocation Fund Fund
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Assets
Investments in securities, at value (Note 1)....................... $ 952,188,932 $2,063,080,854
Repurchase agreements, at value.................................... 39,681,000 25,892,000
Cash............................................................... 1,902,602 784,858
Foreign currency, at value......................................... 6,245,262 87,690
Dividends, interest, and other receivables......................... 5,809,579 1,608,188
Receivable for shares of the fund sold............................. 325 15,070,569
Receivable for securities sold..................................... 34,429,035 57,634,438
Receivable for variation margin.................................... -- --
Receivable for open forward currency contracts..................... 1,564,721 621,887
Receivable for closed forward currency contracts................... 351,134 --
Receivable for swap contracts (Note 1)............................. -- --
Foreign tax reclaim................................................ 86,135 1,961,437
...............................................................................................................
Total assets....................................................... 1,042,258,725 2,166,741,921
...............................................................................................................
Liabilities
Payable to subcustodian (Note 2)................................... -- --
Payable for variation margin....................................... 1,767,422 --
Payable for securities purchased................................... 34,937,655 53,894,226
Payable for shares of the fund repurchased......................... 542,749 13,699,842
Payable for compensation of Manager (Note 2)....................... 1,629,178 3,026,211
Payable for investor servicing and custodian fees (Note 2)......... 109,155 294,187
Payable for compensation of Trustees (Note 2)...................... 24,836 31,844
Payable for administrative services (Note 2)....................... 4,648 5,187
Payable for distribution fees (Note 2)............................. 278 473
Payable for open forward currency contracts........................ 1,957,616 --
Payable for closed forward currency contracts...................... -- --
TBA sale commitments, at value..................................... 945,378 --
Other accrued expenses............................................. 33,639 43,272
...............................................................................................................
Total liabilities.................................................. 41,952,554 70,995,242
...............................................................................................................
Net assets......................................................... $1,000,306,171 $2,095,746,679
...............................................................................................................
Represented by:
Paid-in capital (Notes 1, 4 and 5)................................. $ 804,091,516 $1,549,981,042
Undistributed net investment income (loss) (Note 1)................ 8,817,563 574,610
Accumulated net realized gain (loss) on investments
and foreign currency transactions (Note 1)....................... 66,146,033 205,971,504
Net unrealized appreciation (depreciation) of
investments and assets and liabilities in
foreign currencies............................................... 121,251,059 339,219,523
Total--Representing net assets applicable to
capital shares outstanding....................................... $1,000,306,171 $2,095,746,679
...............................................................................................................
Computation of net asset value Class IA
Net Assets......................................................... $ 997,866,840 $2,090,394,624
Number of shares outstanding....................................... 54,854,922 104,906,766
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)........................................... $ 18.19 $ 19.93
...............................................................................................................
Computation of net asset value Class IB
Net Assets......................................................... $ 2,439,331 $ 5,352,055
Number of shares outstanding....................................... 134,097 268,922
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)........................................... $18.19 $19.90
...............................................................................................................
Cost of investments, including repurchase agreement (Note 1)....... $ 863,035,207 $1,750,321,833
TBA sale commitments proceeds receivable........................... 945,369 --
- ----------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Assets and Liabilities (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
Putnam VT Putnam VT Putnam VT
Growth Health Sciences High Yield
and Income Fund Fund Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Assets
Investments in securities, at value (Note 1)....................... $10,815,553,641 $192,458,826 $1,001,709,858
Repurchase agreements, at value.................................... 38,652,000 5,788,000 10,997,000
Cash............................................................... -- 19,381 5,098,956
Foreign currency, at value......................................... -- -- --
Dividends, interest, and other receivables......................... 18,141,406 104,384 19,226,630
Receivable for shares of the fund sold............................. 930,858 1,095,098 6,202,600
Receivable for securities sold..................................... 73,237,356 1,335,820 1,631,225
Receivable for variation margin.................................... -- -- --
Receivable for open forward currency contracts..................... -- -- --
Receivable for closed forward currency contracts................... -- -- --
Receivable for swap contracts (Note 1)............................. -- -- --
Foreign tax reclaim................................................ -- 548 --
........................................................................................... ................... ...................
Total assets....................................................... 10,946,515,261 200,802,057 1,044,866,269
........................................................................................... ................... ...................
Liabilities
Payable to subcustodian (Note 2)................................... 887,499 -- --
Payable for variation margin....................................... -- -- --
Payable for securities purchased................................... 55,877,841 1,587,409 5,193,185
Payable for shares of the fund repurchased......................... 1,503,140 1,224,482 6,639,384
Payable for compensation of Manager (Note 2)....................... 12,211,860 319,296 1,698,101
Payable for investor servicing and custodian fees (Note 2)......... 333,733 28,442 48,038
Payable for compensation of Trustees (Note 2)...................... 73,324 -- 23,530
Payable for administrative services (Note 2)....................... 10,121 1,736 4,762
Payable for distribution fees (Note 2)............................. 3,303 531 691
Payable for open forward currency contracts........................ -- -- --
Payable for closed forward currency contracts...................... -- -- 7,958
TBA sale commitments, at value..................................... -- -- --
Other accrued expenses............................................. 70,332 15,843 38,787
........................................................................................... ................... ...................
Total liabilities.................................................. 70,971,153 3,177,739 13,654,436
........................................................................................... ................... ...................
Net assets......................................................... $10,875,544,108 $197,624,318 $1,031,211,833
........................................................................................... ................... ...................
Represented by:
Paid-in capital (Notes 1, 4 and 5)................................. $ 8,050,638,863 $195,677,215 $1,126,482,047
Undistributed net investment income (loss) (Note 1)................ 83,380,997 139,803 53,973,896
Accumulated net realized gain (loss) on investments
and foreign currency transactions (Note 1)....................... 452,299,507 (12,732,040) (75,548,448)
Net unrealized appreciation (depreciation) of
investments and assets and liabilities in
foreign currencies............................................... 2,289,224,741 14,539,340 (73,695,662)
........................................................................................... ................... ...................
Total--Representing net assets applicable to
capital shares outstanding....................................... $10,875,544,108 $197,624,318 $1,031,211,833
........................................................................................... ................... ...................
Computation of net asset value Class IA
Net Assets......................................................... $10,840,780,989 $192,456,912 $1,025,160,454
Number of shares outstanding....................................... 371,484,328 18,884,687 94,182,798
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)........................................... $ 29.18 $ 10.19 $ 10.88
........................................................................................... ................... ...................
Computation of net asset value Class IB
Net Assets......................................................... $ 34,763,119 $ 5,167,406 $ 6,051,379
Number of shares outstanding....................................... 1,193,045 507,349 556,229
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)........................................... $ 29.14 $ 10.19 $ 10.88
........................................................................................... ................... ...................
Cost of investments, including repurchase agreement (Note 1)....... $ 8,564,980,900 $183,711,848 $1,086,268,906
TBA sale commitments proceeds receivable........................... -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets and Liabilities (continued)
- ----------------------------------------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
Putnam VT
Putnam VT International
Income Fund Growth Fund
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Assets
Investments in securities, at value (Note 1)....................... $ 994,696,432 $386,130,637
Repurchase agreements, at value.................................... 37,506,000 12,062,000
Cash............................................................... 5,789,754 38,511
Foreign currency, at value......................................... -- 1,957,291
Dividends, interest, and other receivables......................... 12,709,993 666,480
Receivable for shares of the fund sold............................. 48,500 1,219,006
Receivable for securities sold..................................... 2,173,810 5,895,408
Receivable for variation margin.................................... 49,875 --
Receivable for open forward currency contracts..................... 3,753 --
Receivable for closed forward currency contracts................... -- --
Receivable for swap contracts (Note 1)............................. -- --
Foreign tax reclaim................................................ -- 499,661
........................................................................................... ...................
Total assets....................................................... 1,052,978,117 408,468,994
........................................................................................... ...................
Liabilities
Payable to subcustodian (Note 2)................................... -- --
Payable for variation margin....................................... -- --
Payable for securities purchased................................... 30,172,835 9,128,593
Payable for shares of the fund repurchased......................... 204,059 --
Payable for compensation of Manager (Note 2)....................... 1,535,800 745,543
Payable for investor servicing and custodian fees (Note 2)......... 57,415 102,228
Payable for compensation of Trustees (Note 2)...................... 16,848 5,911
Payable for administrative services (Note 2)....................... 4,575 1,881
Payable for distribution fees (Note 2)............................. 703 476
Payable for open forward currency contracts........................ -- --
Payable for closed forward currency contracts...................... -- 56,848
TBA sale commitments, at value..................................... -- --
Other accrued expenses............................................. 26,688 18,957
........................................................................................... ...................
Total liabilities.................................................. 32,018,923 10,060,437
........................................................................................... ...................
Net assets......................................................... $1,020,959,194 $398,408,557
........................................................................................... ...................
Represented by:
Paid-in capital (Notes 1, 4 and 5)................................. $1,023,759,100 $319,740,621
Undistributed net investment income (loss) (Note 1)................ 28,384,430 1,329,760
Accumulated net realized gain (loss) on investments
and foreign currency transactions (Note 1)....................... (588,424) 20,944,729
Net unrealized appreciation (depreciation) of
investments and assets and liabilities in
foreign currencies............................................... (30,595,912) 56,393,447
........................................................................................... ...................
Total--Representing net assets applicable to
capital shares outstanding....................................... $1,020,959,194 $398,408,557
........................................................................................... ...................
Computation of net asset value Class IA
Net Assets......................................................... $1,014,857,518 $393,639,752
Number of shares outstanding....................................... 81,066,496 25,921,902
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)........................................... $ 12.52 $ 15.19
........................................................................................... ...................
Computation of net asset value Class IB
Net Assets......................................................... $ 6,101,676 $ 4,768,805
Number of shares outstanding....................................... 487,549 314,327
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)........................................... $ 12.52 $ 15.17
........................................................................................... ...................
Cost of investments, including repurchase agreement (Note 1)....... $1,062,836,254 $341,845,310
TBA sale commitments proceeds receivable........................... -- --
- ----------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Assets and Liabilities (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
June 30, 1999 (Unaudited) Putnam VT
International Putnam VT Putnam VT
Growth and International New Investors
Income Fund Opportunities Fund Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Assets
Investments in securities, at value (Note 1)....................... $328,623,392 $153,855,349 $548,635,019
Repurchase agreements, at value.................................... 19,091,000 1,518,000 19,809,000
Cash............................................................... 6,000 108,590 122,493
Foreign currency, at value......................................... -- 342,706 --
Dividends, interest, and other receivables......................... 1,090,536 202,943 165,431
Receivable for shares of the fund sold............................. 8,647,135 8,037,020 2,727,765
Receivable for securities sold..................................... 10,278,135 5,622,604 3,131,794
Receivable for variation margin.................................... -- -- --
Receivable for open forward currency contracts..................... -- -- --
Receivable for closed forward currency contracts................... -- -- --
Receivable for swap contracts (Note 1)............................. -- 284,570 --
Foreign tax reclaim................................................ 305,077 26,312 --
........................................................................................... ................... ...................
Total assets....................................................... 368,041,275 169,998,094 574,591,502
........................................................................................... ................... ...................
Liabilities
Payable to subcustodian (Note 2)................................... -- -- --
Payable for variation margin....................................... -- -- --
Payable for securities purchased................................... 5,699,220 3,145,110 4,406,506
Payable for shares of the fund repurchased......................... -- -- 2,419,032
Payable for compensation of Manager (Note 2)....................... 668,328 435,101 795,407
Payable for investor servicing and custodian fees (Note 2)......... 77,259 67,747 46,211
Payable for compensation of Trustees (Note 2)...................... 6,190 -- 1,379
Payable for administrative services (Note 2)....................... 1,870 -- 1,736
Payable for distribution fees (Note 2)............................. 229 93 1,364
Payable for open forward currency contracts........................ -- -- --
Payable for closed forward currency contracts...................... 137,759 -- --
TBA sale commitments, at value..................................... -- -- --
Other accrued expenses............................................. 21,196 18,975 17,428
........................................................................................... ................... ...................
Total liabilities.................................................. 6,612,051 3,667,026 7,689,063
........................................................................................... ................... ...................
Net assets......................................................... $361,429,224 $166,331,068 $566,902,439
........................................................................................... ................... ...................
Represented by:
Paid-in capital (Notes 1, 4 and 5)................................. $301,679,257 $127,565,305 $496,649,334
Undistributed net investment income (loss) (Note 1)................ 2,831,051 (259,523) 11,692
Accumulated net realized gain (loss) on investments
and foreign currency transactions (Note 1)....................... 26,379,055 2,012,845 (14,863,985)
Net unrealized appreciation (depreciation) of
investments and assets and liabilities in
foreign currencies............................................... 30,539,861 37,012,441 85,105,398
........................................................................................... ................... ...................
Total--Representing net assets applicable to
capital shares outstanding....................................... $361,429,224 $166,331,068 $566,902,439
........................................................................................... ................... ...................
Computation of net asset value Class IA
Net Assets......................................................... $357,681,422 $163,788,163 $551,485,281
Number of shares outstanding....................................... 25,759,950 11,932,063 43,116,574
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)........................................... $ 13.89 $ 13.73 $ 12.79
........................................................................................... ................... ...................
Computation of net asset value Class IB
Net Assets......................................................... $ 3,747,802 $ 2,542,905 $ 15,417,158
Number of shares outstanding....................................... 269,832 185,330 1,206,795
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)........................................... $ 13.89 $ 13.72 $ 12.78
........................................................................................... ................... ...................
Cost of investments, including repurchase agreement (Note 1)....... $317,186,600 $118,657,413 $483,338,621
TBA sale commitments proceeds receivable........................... -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets and Liabilities (continued)
- ----------------------------------------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
Putnam VT Putnam VT
Money New Opportunities
Market Fund Fund
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Assets
Investments in securities, at value (Note 1)....................... $706,086,556 $4,080,221,475
Repurchase agreements, at value.................................... -- 56,507,000
Cash............................................................... 145,133 3,651,100
Foreign currency, at value......................................... -- --
Dividends, interest, and other receivables......................... 1,183,593 354,639
Receivable for shares of the fund sold............................. -- 24,919,104
Receivable for securities sold..................................... -- 40,821,186
Receivable for variation margin.................................... -- --
Receivable for open forward currency contracts..................... -- --
Receivable for closed forward currency contracts................... -- --
Receivable for swap contracts (Note 1)............................. -- --
Foreign tax reclaim................................................ -- --
........................................................................................... ...................
Total assets....................................................... 707,415,282 4,206,474,504
........................................................................................... ...................
Liabilities
Payable to subcustodian (Note 2)................................... -- --
Payable for variation margin....................................... -- --
Payable for securities purchased................................... -- 27,385,064
Payable for shares of the fund repurchased......................... 25,887,791 25,819,943
Payable for compensation of Manager (Note 2)....................... 727,163 5,324,510
Payable for investor servicing and custodian fees (Note 2)......... 46,355 144,623
Payable for compensation of Trustees (Note 2)...................... 8,565 62,527
Payable for administrative services (Note 2)....................... 2,433 8,337
Payable for distribution fees (Note 2)............................. 1,474 597
Payable for open forward currency contracts........................ -- --
Payable for closed forward currency contracts...................... -- --
TBA sale commitments, at value..................................... -- --
Other accrued expenses............................................. 16,439 39,102
........................................................................................... ...................
Total liabilities.................................................. 26,690,220 58,784,703
........................................................................................... ...................
Net assets......................................................... $680,725,062 $4,147,689,801
........................................................................................... ...................
Represented by:
Paid-in capital (Notes 1, 4 and 5)................................. $680,725,062 $2,536,069,167
Undistributed net investment income (loss) (Note 1)................ -- (4,649,390)
Accumulated net realized gain (loss) on investments
and foreign currency transactions (Note 1)....................... -- 350,274,095
Net unrealized appreciation (depreciation) of
investments and assets and liabilities in
foreign currencies............................................... -- 1,265,995,929
........................................................................................... ...................
Total--Representing net assets applicable to
capital shares outstanding....................................... $680,725,062 $4,147,689,801
........................................................................................... ...................
Computation of net asset value Class IA
Net Assets......................................................... $672,386,875 $4,141,247,465
Number of shares outstanding....................................... 672,386,875 143,313,984
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)........................................... $ 1.00 $ 28.90
........................................................................................... ...................
Computation of net asset value Class IB
Net Assets......................................................... $ 8,338,187 $ 6,442,336
Number of shares outstanding....................................... 8,338,187 223,311
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)........................................... $ 1.00 $ 28.85
........................................................................................... ...................
Cost of investments, including repurchase agreement (Note 1)....... $706,086,556 $2,870,732,385
TBA sale commitments proceeds receivable........................... -- --
- ----------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Assets and Liabilities (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
Putnam VT Putnam VT Putnam VT
New Value OTC & Emerging Research
Fund Growth Fund Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Assets
Investments in securities, at value (Note 1)....................... $293,470,151 $49,570,851 $76,419,359
Repurchase agreements, at value.................................... 8,823,000 4,348,000 2,463,000
Cash............................................................... 23,431 35,078 110,850
Foreign currency, at value......................................... -- -- --
Dividends, interest, and other receivables......................... 713,529 354 72,852
Receivable for shares of the fund sold............................. 1,105,454 2,683,326 232,960
Receivable for securities sold..................................... 6,430,332 616,866 171,062
Receivable for variation margin.................................... -- -- --
Receivable for open forward currency contracts..................... -- -- --
Receivable for closed forward currency contracts................... -- -- --
Receivable for swap contracts (Note 1)............................. -- -- --
Foreign tax reclaim................................................ -- -- --
........................................................................................... ................... ...................
Total assets....................................................... 310,565,897 57,254,475 79,470,083
........................................................................................... ................... ...................
Liabilities
Payable to subcustodian (Note 2)................................... -- -- --
Payable for variation margin....................................... -- -- --
Payable for securities purchased................................... 7,775,440 2,373,011 1,917,219
Payable for shares of the fund repurchased......................... -- 2,671,636 --
Payable for compensation of Manager (Note 2)....................... 497,992 40,748 51,979
Payable for investor servicing and custodian fees (Note 2)......... 26,759 17,577 36,546
Payable for compensation of Trustees (Note 2)...................... 4,107 1,406 272
Payable for administrative services (Note 2)....................... 1,695 1,133 1,071
Payable for distribution fees (Note 2)............................. 227 152 249
Payable for open forward currency contracts........................ -- -- --
Payable for closed forward currency contracts...................... -- -- --
TBA sale commitments, at value..................................... -- -- --
Other accrued expenses............................................. 12,725 17,594 11,747
........................................................................................... ................... ...................
Total liabilities.................................................. 8,318,945 5,123,257 2,019,083
........................................................................................... ................... ...................
Net assets......................................................... $302,246,952 $52,131,218 $77,451,000
........................................................................................... ................... ...................
Represented by:
Paid-in capital (Notes 1, 4 and 5)................................. $252,409,661 $42,589,948 $70,095,489
Undistributed net investment income (loss) (Note 1)................ 1,838,514 (120,652) 122,885
Accumulated net realized gain (loss) on investments
and foreign currency transactions (Note 1)....................... 13,737,160 (2,953,807) 2,769,516
Net unrealized appreciation (depreciation) of
investments and assets and liabilities in
foreign currencies............................................... 34,261,617 12,615,729 4,463,110
........................................................................................... ................... ...................
Total--Representing net assets applicable to
capital shares outstanding....................................... $302,246,952 $52,131,218 $77,451,000
........................................................................................... ................... ...................
Computation of net asset value Class IA
Net Assets......................................................... $299,805,757 $50,519,584 $74,661,898
Number of shares outstanding....................................... 22,154,744 4,236,952 5,627,891
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)........................................... $ 13.53 $ 11.92 $ 13.27
........................................................................................... ................... ...................
Computation of net asset value Class IB
Net Assets......................................................... $ 2,441,195 $ 1,611,634 $ 2,789,102
Number of shares outstanding....................................... 180,530 135,250 210,459
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)........................................... $ 13.52 $ 11.92 $ 13.25
........................................................................................... ................... ...................
Cost of investments, including repurchase agreement (Note 1)....... $268,031,534 $41,303,122 $74,419,249
TBA sale commitments proceeds receivable........................... -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets and Liabilities (continued)
- ----------------------------------------------------------------------------------------------------------------
June 30, 1999 (Unaudited) Putnam VT
Putnam VT Utilities
Small Cap Growth and
Value Fund Income Fund
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Assets
Investments in securities, at value (Note 1)....................... $4,812,119 $1,046,609,257
Repurchase agreements, at value.................................... 264,000 3,103,000
Cash............................................................... 51,954 62,533
Foreign currency, at value......................................... -- --
Dividends, interest, and other receivables......................... 1,828 4,196,883
Receivable for shares of the fund sold............................. 463,579 5,150,238
Receivable for securities sold..................................... 33,000 731,341
Receivable for variation margin.................................... -- --
Receivable for open forward currency contracts..................... -- --
Receivable for closed forward currency contracts................... -- --
Receivable for swap contracts (Note 1)............................. -- --
Foreign tax reclaim................................................ -- 12,899
........................................................................................... ...................
Total assets....................................................... 5,626,480 1,059,866,151
........................................................................................... ...................
Liabilities
Payable to subcustodian (Note 2)................................... -- --
Payable for variation margin....................................... -- --
Payable for securities purchased................................... 285,601 12,268,820
Payable for shares of the fund repurchased......................... -- 6,054,611
Payable for compensation of Manager (Note 2)....................... 4,100 1,641,229
Payable for investor servicing and custodian fees (Note 2)......... 399 59,216
Payable for compensation of Trustees (Note 2)...................... -- 22,666
Payable for administrative services (Note 2)....................... 10 2,827
Payable for distribution fees (Note 2)............................. 31 478
Payable for open forward currency contracts........................ -- --
Payable for closed forward currency contracts...................... -- --
TBA sale commitments, at value..................................... -- --
Other accrued expenses............................................. 7,296 92,182
........................................................................................... ...................
Total liabilities.................................................. 297,437 20,142,029
........................................................................................... ...................
Net assets......................................................... $5,329,043 $1,039,724,122
........................................................................................... ...................
Represented by:
Paid-in capital (Notes 1, 4 and 5)................................. $5,029,153 $ 748,529,438
Undistributed net investment income (loss) (Note 1)................ (4,349) 15,034,854
Accumulated net realized gain (loss) on investments
and foreign currency transactions (Note 1)....................... 27,987 13,802,778
Net unrealized appreciation (depreciation) of
investments and assets and liabilities in
foreign currencies............................................... 276,252 262,357,052
........................................................................................... ...................
Total--Representing net assets applicable to
capital shares outstanding....................................... $5,329,043 $1,039,724,122
........................................................................................... ...................
Computation of net asset value Class IA
Net Assets......................................................... $4,903,621 $1,035,400,840
Number of shares outstanding....................................... 446,244 58,681,571
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)........................................... $ 10.99 $ 17.64
........................................................................................... ...................
Computation of net asset value Class IB
Net Assets......................................................... $ 425,422 $ 4,323,282
Number of shares outstanding....................................... 38,725 245,144
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)........................................... $ 10.99 $ 17.64
........................................................................................... ...................
Cost of investments, including repurchase agreement (Note 1)....... $4,799,867 $ 787,422,864
TBA sale commitments proceeds receivable........................... -- --
- ----------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Assets and Liabilities (continued)
- ----------------------------------------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
Putnam VT Putnam VT
Vista Voyager
Fund Fund
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Assets
Investments in securities, at value (Note 1)....................... $375,481,464 $6,627,481,105
Repurchase agreements, at value.................................... 14,491,000 92,935,000
Cash............................................................... 36,273 --
Foreign currency, at value......................................... -- 235
Dividends, interest, and other receivables......................... 154,146 8,865,728
Receivable for shares of the fund sold............................. 216,636 1,725,608
Receivable for securities sold..................................... 4,252,523 116,939,478
Receivable for variation margin.................................... -- --
Receivable for open forward currency contracts..................... -- 73,065
Receivable for closed forward currency contracts................... -- --
Receivable for swap contracts (Note 1)............................. -- --
Foreign tax reclaim................................................ -- 69,802
........................................................................................... ...................
Total assets....................................................... 394,632,042 6,848,090,021
........................................................................................... ...................
Liabilities
Payable to subcustodian (Note 2)................................... -- 8,703,941
Payable for variation margin....................................... -- --
Payable for securities purchased................................... 15,668,748 154,159,345
Payable for shares of the fund repurchased......................... -- --
Payable for compensation of Manager (Note 2)....................... 579,621 8,366,672
Payable for investor servicing and custodian fees (Note 2)......... 39,601 268,923
Payable for compensation of Trustees (Note 2)...................... 4,063 52,398
Payable for administrative services (Note 2)....................... 1,725 9,104
Payable for distribution fees (Note 2)............................. 301 2,127
Payable for open forward currency contracts........................ -- --
Payable for closed forward currency contracts...................... -- --
TBA sale commitments, at value..................................... -- --
Other accrued expenses............................................. 15,967 49,167
........................................................................................... ...................
Total liabilities.................................................. 16,310,026 171,611,677
........................................................................................... ...................
Net assets......................................................... $378,322,016 $6,676,478,344
........................................................................................... ...................
Represented by:
Paid-in capital (Notes 1, 4 and 5)................................. $275,339,777 $4,037,710,549
Undistributed net investment income (loss) (Note 1)................ (394,503) 6,874,084
Accumulated net realized gain (loss) on investments
and foreign currency transactions (Note 1)....................... 30,311,878 657,424,631
Net unrealized appreciation (depreciation) of
investments and assets and liabilities in
foreign currencies............................................... 73,064,864 1,974,469,080
........................................................................................... ...................
Total--Representing net assets applicable to
capital shares outstanding....................................... $378,322,016 $6,676,478,344
........................................................................................... ...................
Computation of net asset value Class IA
Net Assets......................................................... $375,184,750 $6,653,667,996
Number of shares outstanding....................................... 22,603,195 138,735,112
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)........................................... $ 16.60 $ 47.96
........................................................................................... ...................
Computation of net asset value Class IB
Net Assets......................................................... $ 3,137,266 $ 22,810,348
Number of shares outstanding....................................... 189,097 476,294
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)........................................... $ 16.59 $ 47.89
........................................................................................... ...................
Cost of investments, including repurchase agreement (Note 1)....... $316,907,600 $4,746,011,929
TBA sale commitments proceeds receivable........................... -- --
- ----------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Operations
- ------------------------------------------------------------------------------------------------------------------------------------
Six months ended June 30, 1999 (Unaudited)
Putnam VT Putnam VT Putnam VT
Asia Pacific Diversified The George Putnam
Growth Fund Income Fund Fund of Boston
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment Income:
Dividends............................................................ $ 924,182 $ 936,224 $ 1,062,650
Interest............................................................. 45,247 26,873,651 2,105,947
Less: foreign taxes withheld......................................... (82,139) (37,998) --
....................................................................................................................................
Total investment income.............................................. 887,290 27,771,877 3,168,597
....................................................................................................................................
Expenses:
Compensation of Manager (Note 2)..................................... 413,060 2,229,018 560,880
Investor servicing and custodian fees (Note 2)....................... 165,138 250,387 117,750
Compensation of Trustees (Note 2).................................... 8,652 8,000 5,495
Administrative services (Note 2)..................................... 2,455 5,350 3,785
Distribution fees--Class IB.......................................... 188 2,734 3,528
Reports to Shareholders.............................................. 967 1,222 1,129
Auditing............................................................. 17,863 40,962 27,578
Legal................................................................ 2,510 3,640 2,393
Other................................................................ 196 1,351 286
Fees waived and reimbursed by Manager (Note 2) -- -- --
....................................................................................................................................
Total expenses....................................................... 611,029 2,542,664 722,824
....................................................................................................................................
Expense reduction (Note 2)........................................... (2,341) (17,817) (11,296)
Net expenses......................................................... 608,688 2,524,847 711,528
....................................................................................................................................
Net investment income (loss)......................................... 278,602 25,247,030 2,457,069
....................................................................................................................................
Net realized gain (loss) on investments (Notes 1 and 3).............. 13,200,452 (17,612,012) 3,211,844
Net realized gain (loss) on futures contracts (Note 1)............... -- (1,725,079) --
Net realized gain (loss) on written options (Notes 1 and 3).......... -- -- --
Net realized gain (loss) on foreign currency transactions (Note 1)... (272,112) 2,010,074 --
Net unrealized appreciation (depreciation) of assets and
liabilities in foreign currencies during the period................ (59,432) 966,845 --
Net unrealized appreciation (depreciation) of investments,
futures, written options and TBA sale commitments
during the period.................................................. 16,762,115 (7,263,648) 4,634,457
....................................................................................................................................
Net gain (loss) on investments....................................... 29,631,023 (23,623,820) 7,846,301
....................................................................................................................................
Net increase (decrease) in net assets resulting
from operations.................................................... $29,909,625 $ 1,623,210 $10,303,370
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (continued)
- ----------------------------------------------------------------------------------------------------------------
Six months ended June 30, 1999 (Unaudited)
Putnam VT Putnam VT
Global Asset Global Growth
Allocation Fund Fund
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Investment Income:
Dividends............................................................ $ 4,190,099 $ 8,978,525
Interest............................................................. 9,948,274 448,527
Less: foreign taxes withheld......................................... (126,972) (573,669)
................................................................................................................
Total investment income.............................................. 14,011,401 8,853,383
................................................................................................................
Expenses:
Compensation of Manager (Note 2)..................................... 3,247,512 5,995,119
Investor servicing and custodian fees (Note 2)....................... 502,328 1,156,372
Compensation of Trustees (Note 2).................................... 11,401 21,964
Administrative services (Note 2)..................................... 10,950 11,203
Distribution fees--Class IB.......................................... 1,402 1,685
Reports to Shareholders.............................................. 4,009 11,450
Auditing............................................................. 52,219 41,929
Legal................................................................ 5,356 9,445
Other................................................................ 2,037 4,023
Fees waived and reimbursed by Manager (Note 2) -- --
................................................................................................................
Total expenses....................................................... 3,837,214 7,253,190
................................................................................................................
Expense reduction (Note 2)........................................... (44,768) (35,967)
Net expenses......................................................... 3,792,446 7,217,223
................................................................................................................
Net investment income (loss)......................................... 10,218,955 1,636,160
................................................................................................................
Net realized gain (loss) on investments (Notes 1 and 3).............. 75,929,118 213,781,760
Net realized gain (loss) on futures contracts (Note 1)............... (6,978,465) --
Net realized gain (loss) on written options (Notes 1 and 3).......... -- --
Net realized gain (loss) on foreign currency transactions (Note 1)... (1,406,245) 206,344
Net unrealized appreciation (depreciation) of assets and
liabilities in foreign currencies during the period................ (1,318,586) 561,132
Net unrealized appreciation (depreciation) of investments,
futures, written options and TBA sale commitments
during the period.................................................. (38,546,567) (62,657,548)
................................................................................................................
Net gain (loss) on investments....................................... 27,679,255 151,891,688
................................................................................................................
Net increase (decrease) in net assets resulting
from operations.................................................... $37,898,210 $153,527,848
- ----------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Operations (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
Six months ended June 30, 1999 (Unaudited)
Putnam VT Putnam VT Putnam VT
Growth Health Sciences High Yield
and Income Fund Fund Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment Income:
Dividends............................................................ $ 104,396,745 $ 634,415 $ 3,865,056
Interest............................................................. 5,161,081 237,952 52,397,616
Less: foreign taxes withheld......................................... (112,117) (11,000) --
....................................................................................................................................
Total investment income.............................................. 109,445,709 861,367 56,262,672
....................................................................................................................................
Expenses:
Compensation of Manager (Note 2)..................................... 23,574,404 595,283 3,348,450
Investor servicing and custodian fees (Note 2)....................... 1,877,603 96,601 273,091
Compensation of Trustees (Note 2).................................... 117,863 5,579 15,195
Administrative services (Note 2)..................................... 19,946 3,954 9,302
Distribution fees--Class IB.......................................... 12,086 2,337 2,956
Reports to Shareholders.............................................. 22,640 1,094 4,903
Auditing............................................................. 19,294 15,732 46,898
Legal................................................................ 29,381 2,810 26,297
Other................................................................ 19,943 323 936
Fees waived and reimbursed by Manager (Note 2) -- -- --
....................................................................................................................................
Total expenses....................................................... 25,693,160 723,713 3,728,028
....................................................................................................................................
Expense reduction (Note 2)........................................... (534,038) (2,149) (20,722)
Net expenses......................................................... 25,159,122 721,564 3,707,306
....................................................................................................................................
Net investment income (loss)......................................... 84,286,587 139,803 52,555,366
....................................................................................................................................
Net realized gain (loss) on investments (Notes 1 and 3).............. 512,149,571 (7,910,147) (56,153,094)
Net realized gain (loss) on futures contracts (Note 1)............... -- -- --
Net realized gain (loss) on written options (Notes 1 and 3).......... -- -- --
Net realized gain (loss) on foreign currency transactions (Note 1)... (609,466) 1,864 105,810
Net unrealized appreciation (depreciation) of assets and
liabilities in foreign currencies during the period................ -- 637 (126,872)
Net unrealized appreciation (depreciation) of investments,
futures, written options and TBA sale commitments
during the period.................................................. 450,846,613 (3,413,112) 43,588,197
....................................................................................................................................
Net gain (loss) on investments....................................... 962,386,718 (11,320,758) (12,585,959)
....................................................................................................................................
Net increase (decrease) in net assets resulting
from operations.................................................... $1,046,673,305 $(11,180,955) $39,969,407
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (continued)
- ----------------------------------------------------------------------------------------------------------------
Six months ended June 30, 1999 (Unaudited)
Putnam VT
Putnam VT International
Income Fund Growth Fund
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Investment Income:
Dividends............................................................ $ 55,325 $ 3,686,405
Interest............................................................. 33,926,377 166,275
Less: foreign taxes withheld......................................... -- (431,138)
................................................................................................................
Total investment income.............................................. 33,981,702 3,421,542
................................................................................................................
Expenses:
Compensation of Manager (Note 2)..................................... 3,038,153 1,413,119
Investor servicing and custodian fees (Note 2)....................... 296,935 322,130
Compensation of Trustees (Note 2).................................... 9,277 10,267
Administrative services (Note 2)..................................... 10,801 3,704
Distribution fees--Class IB.......................................... 3,140 1,935
Reports to Shareholders.............................................. 3,927 1,902
Auditing............................................................. 30,929 19,209
Legal................................................................ 5,390 2,882
Other................................................................ 2,050 680
Fees waived and reimbursed by Manager (Note 2) -- --
................................................................................................................
Total expenses....................................................... 3,400,602 1,775,828
................................................................................................................
Expense reduction (Note 2)........................................... (71,953) (20,193)
Net expenses......................................................... 3,328,649 1,755,635
................................................................................................................
Net investment income (loss)......................................... 30,653,053 1,665,907
................................................................................................................
Net realized gain (loss) on investments (Notes 1 and 3).............. 1,024,342 26,802,471
Net realized gain (loss) on futures contracts (Note 1)............... (442,465) --
Net realized gain (loss) on written options (Notes 1 and 3).......... -- 346,607
Net realized gain (loss) on foreign currency transactions (Note 1)... (440,373) 8,132
Net unrealized appreciation (depreciation) of assets and
liabilities in foreign currencies during the period................ 323,156 (3,939)
Net unrealized appreciation (depreciation) of investments,
futures, written options and TBA sale commitments
during the period.................................................. (52,194,277) 13,209,073
................................................................................................................
Net gain (loss) on investments....................................... (51,729,617) 40,362,344
................................................................................................................
Net increase (decrease) in net assets resulting
from operations.................................................... $(21,076,564) $42,028,251
- ----------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Operations (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
Six months ended June 30, 1999 (Unaudited) Putnam VT Putnam VT
International International Putnam VT
Growth and New Opportunities Investors
Income Fund Fund Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment Income:
Dividends............................................................ $ 5,219,332 $ 1,163,807 $ 1,098,298
Interest............................................................. 314,705 102,253 437,086
Less: foreign taxes withheld......................................... (472,521) (119,313) --
....................................................................................................................................
Total investment income.............................................. 5,061,516 1,146,747 1,535,384
....................................................................................................................................
Expenses:
Compensation of Manager (Note 2)..................................... 1,276,232 850,598 1,314,947
Investor servicing and custodian fees (Note 2)....................... 262,244 238,924 171,758
Compensation of Trustees (Note 2).................................... 10,358 3,384 6,408
Administrative services (Note 2)..................................... 3,672 1,746 3,451
Distribution fees--Class IB.......................................... 1,083 274 4,960
Reports to Shareholders.............................................. 1,992 621 2,099
Auditing............................................................. 20,103 20,886 20,732
Legal................................................................ 3,223 2,357 3,548
Other................................................................ 644 274 661
Fees waived and reimbursed by Manager (Note 2) -- -- --
....................................................................................................................................
Total expenses....................................................... 1,579,551 1,119,064 1,528,564
....................................................................................................................................
Expense reduction (Note 2)........................................... (4,076) (3,998) (4,872)
Net expenses......................................................... 1,575,475 1,115,066 1,523,692
....................................................................................................................................
Net investment income (loss)......................................... 3,486,041 31,681 11,692
....................................................................................................................................
Net realized gain (loss) on investments (Notes 1 and 3).............. 28,553,613 15,732,369 (6,025,691)
Net realized gain (loss) on futures contracts (Note 1)............... -- -- --
Net realized gain (loss) on written options (Notes 1 and 3).......... -- -- --
Net realized gain (loss) on foreign currency transactions (Note 1)... (106,903) 118,248 --
Net unrealized appreciation (depreciation) of assets and
liabilities in foreign currencies during the period................ 66,540 285,098 --
Net unrealized appreciation (depreciation) of investments,
futures, written options and TBA sale commitments
during the period.................................................. 9,756,956 10,717,336 46,012,333
....................................................................................................................................
Net gain (loss) on investments....................................... 38,270,206 26,853,051 39,986,642
....................................................................................................................................
Net increase (decrease) in net assets resulting
from operations.................................................... $41,756,247 $26,884,732 $39,998,334
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (continued)
- ----------------------------------------------------------------------------------------------------------------
Six months ended June 30, 1999 (Unaudited)
Putnam VT Putnam VT
Money New Opportunities
Market Fund Fund
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Investment Income:
Dividends............................................................ $ -- $ 3,978,944
Interest............................................................. 16,557,876 2,484,690
Less: foreign taxes withheld......................................... -- (32,690)
................................................................................................................
Total investment income.............................................. 16,557,876 6,430,944
................................................................................................................
Expenses:
Compensation of Manager (Note 2)..................................... 1,361,264 10,276,718
Investor servicing and custodian fees (Note 2)....................... 191,814 797,871
Compensation of Trustees (Note 2).................................... 5,193 31,484
Administrative services (Note 2)..................................... 4,740 16,461
Distribution fees--Class IB.......................................... 5,720 2,277
Reports to Shareholders.............................................. 1,624 11,591
Auditing............................................................. 14,665 36,608
Legal................................................................ 16,725 6,855
Other................................................................ 46 8,652
Fees waived and reimbursed by Manager (Note 2) -- --
................................................................................................................
Total expenses....................................................... 1,601,791 11,188,517
................................................................................................................
Expense reduction (Note 2)........................................... -- (108,183)
Net expenses......................................................... 1,601,791 11,080,334
................................................................................................................
Net investment income (loss)......................................... 14,956,085 (4,649,390)
................................................................................................................
Net realized gain (loss) on investments (Notes 1 and 3).............. -- 354,758,890
Net realized gain (loss) on futures contracts (Note 1)............... -- --
Net realized gain (loss) on written options (Notes 1 and 3).......... -- --
Net realized gain (loss) on foreign currency transactions (Note 1)... -- 159
Net unrealized appreciation (depreciation) of assets and
liabilities in foreign currencies during the period................ -- (161)
Net unrealized appreciation (depreciation) of investments,
futures, written options and TBA sale commitments
during the period.................................................. -- 102,556,584
................................................................................................................
Net gain (loss) on investments....................................... -- 457,315,472
................................................................................................................
Net increase (decrease) in net assets resulting
from operations.................................................... $14,956,085 $452,666,082
- ----------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Operations (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
Six months ended June 30, 1999 (Unaudited)
Putnam VT Putnam VT Putnam VT
New Value OTC & Emerging Research
Fund Growth Fund Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment Income:
Dividends............................................................ $ 2,677,763 $ 1,165 $ 272,876
Interest............................................................. 178,285 48,507 46,217
Less: foreign taxes withheld......................................... -- -- --
....................................................................................................................................
Total investment income.............................................. 2,856,048 49,672 319,093
....................................................................................................................................
Expenses:
Compensation of Manager (Note 2)..................................... 942,782 132,490 150,741
Investor servicing and custodian fees (Note 2)....................... 104,866 83,126 110,019
Compensation of Trustees (Note 2).................................... 6,906 6,213 1,667
Administrative services (Note 2)..................................... 3,325 3,305 1,189
Distribution fees--Class IB.......................................... 764 695 712
Reports to Shareholders.............................................. 2,111 335 532
Auditing............................................................. 15,192 16,795 13,422
Legal................................................................ 2,618 2,347 2,363
Other................................................................ 1,822 79 3
Fees waived and reimbursed by Manager (Note 2) -- (74,337) (81,813)
....................................................................................................................................
Total expenses....................................................... 1,080,386 171,048 198,835
....................................................................................................................................
Expense reduction (Note 2)........................................... (25,438) (724) (2,627)
Net expenses......................................................... 1,054,948 170,324 196,208
....................................................................................................................................
Net investment income (loss)......................................... 1,801,100 (120,652) 122,885
....................................................................................................................................
Net realized gain (loss) on investments (Notes 1 and 3).............. 14,897,544 (221,263) 2,863,146
Net realized gain (loss) on futures contracts (Note 1)............... -- -- --
Net realized gain (loss) on written options (Notes 1 and 3).......... -- -- --
Net realized gain (loss) on foreign currency transactions (Note 1)... -- -- --
Net unrealized appreciation (depreciation) of assets and
liabilities in foreign currencies during the period................ -- -- --
Net unrealized appreciation (depreciation) of investments,
futures, written options and TBA sale commitments
during the period.................................................. 19,145,707 6,742,469 2,483,614
....................................................................................................................................
Net gain (loss) on investments....................................... 34,043,251 6,521,206 5,346,760
....................................................................................................................................
Net increase (decrease) in net assets resulting
from operations.................................................... $35,844,351 $6,400,554 $5,469,645
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (continued)
- ----------------------------------------------------------------------------------------------------------------
Six months ended June 30, 1999 (Unaudited) Putnam VT
Putnam VT Utilities
Small Cap Value Growth and
Fund*** Income Fund
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Investment Income:
Dividends............................................................ $ 4,824 $15,284,331
Interest............................................................. 2,968 3,532,102
Less: foreign taxes withheld......................................... -- (66,202)
................................................................................................................
Total investment income.............................................. 7,792 18,750,231
................................................................................................................
Expenses:
Compensation of Manager (Note 2)..................................... 4,100 3,223,591
Investor servicing and custodian fees (Note 2)....................... 639 280,523
Compensation of Trustees (Note 2).................................... 102 13,426
Administrative services (Note 2)..................................... 10 7,314
Distribution fees--Class IB.......................................... 38 2,063
Reports to Shareholders.............................................. 26 7,130
Auditing............................................................. 4,700 22,162
Legal................................................................ 900 5,212
Other................................................................ 1,798 2,304
Fees waived and reimbursed by Manager (Note 2) -- --
................................................................................................................
Total expenses....................................................... 12,313 3,563,725
................................................................................................................
Expense reduction (Note 2)........................................... (172) --
Net expenses......................................................... 12,141 3,563,725
................................................................................................................
Net investment income (loss)......................................... (4,349) 15,186,506
................................................................................................................
Net realized gain (loss) on investments (Notes 1 and 3).............. 27,987 14,364,369
Net realized gain (loss) on futures contracts (Note 1)............... -- --
Net realized gain (loss) on written options (Notes 1 and 3).......... -- --
Net realized gain (loss) on foreign currency transactions (Note 1)... -- (9,119)
Net unrealized appreciation (depreciation) of assets and
liabilities in foreign currencies during the period................ -- 47,759
Net unrealized appreciation (depreciation) of investments,
futures, written options and TBA sale commitments
during the period.................................................. 276,252 3,238,552
................................................................................................................
Net gain (loss) on investments....................................... 304,239 17,641,561
................................................................................................................
Net increase (decrease) in net assets resulting
from operations.................................................... $299,890 $32,828,067
- ----------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Operations (continued)
- ----------------------------------------------------------------------------------------------------------------
Six months ended June 30, 1999 (Unaudited)
Putnam VT Putnam VT
Vista Voyager
Fund Fund
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Investment Income:
Dividends............................................................ $ 652,623 $ 20,225,900
Interest............................................................. 241,783 4,498,783
Less: foreign taxes withheld......................................... -- (257,038)
................................................................................................................
Total investment income.............................................. 894,406 24,467,645
................................................................................................................
Expenses:
Compensation of Manager (Note 2)..................................... 1,102,029 16,110,535
Investor servicing and custodian fees (Note 2)....................... 151,557 1,320,837
Compensation of Trustees (Note 2).................................... 7,170 44,754
Administrative services (Note 2)..................................... 3,406 18,010
Distribution fees--Class IB.......................................... 1,205 7,371
Reports to Shareholders.............................................. 2,487 17,618
Auditing............................................................. 21,002 29,633
Legal................................................................ 2,860 18,928
Other................................................................ 662 11,913
Fees waived and reimbursed by Manager (Note 2) -- --
................................................................................................................
Total expenses....................................................... 1,292,378 17,579,599
................................................................................................................
Expense reduction (Note 2)........................................... (3,469) (169,990)
Net expenses......................................................... 1,288,909 17,409,609
................................................................................................................
Net investment income (loss)......................................... (394,503) 7,058,036
................................................................................................................
Net realized gain (loss) on investments (Notes 1 and 3).............. 44,452,158 682,547,435
Net realized gain (loss) on futures contracts (Note 1)............... -- --
Net realized gain (loss) on written options (Notes 1 and 3).......... -- --
Net realized gain (loss) on foreign currency transactions (Note 1)... -- (42,896)
Net unrealized appreciation (depreciation) of assets and
liabilities in foreign currencies during the period................ -- 66,302
Net unrealized appreciation (depreciation) of investments,
futures, written options and TBA sale commitments
during the period.................................................. (2,671,292) 154,105,691
................................................................................................................
Net gain (loss) on investments....................................... 41,780,866 836,676,532
................................................................................................................
Net increase (decrease) in net assets resulting
from operations.................................................... $41,386,363 $843,734,568
- ----------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
Asia Pacific Growth Fund Diversified Income Fund
Six months ended Year ended Six months ended Year ended
June 30 December 31 June 30 December 31
1999+ 1998 1999+ 1998
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income........................... $ 278,602 $ 970,840 $ 25,247,030 $ 51,460,647
Net realized gain (loss) on investments and
foreign currency transactions................. 12,928,340 (22,230,884) (17,327,017) (22,036,826)
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies............. 16,702,683 14,919,582 (6,296,803) (39,661,327)
....................................................................................................................................
Net increase (decrease) in net assets
resulting from operations..................... 29,909,625 (6,340,462) 1,623,210 (10,237,506)
....................................................................................................................................
Distributions to shareholders:
From net investment income
Class IA.................................... -- (4,516,269) (46,355,564) (26,682,103)
Class IB.................................... -- -- (248,525) --
From net realized gain on investments
Class IA.................................... -- -- -- (11,333,017)
Class IB.................................... -- -- -- --
From return of capital
Class IA.................................... -- (127,308) -- --
Class IB.................................... -- -- -- --
Increase (decrease) from capital share
transactions (Note 4)......................... 19,071,955 (11,140,017) 33,658,271 111,121,414
....................................................................................................................................
Total increase (decrease) in net assets......... 48,981,580 (22,124,056) (11,322,608) 62,868,788
....................................................................................................................................
Net assets:
Beginning of period (Note 5).................... 90,778,017 112,902,073 671,016,461 608,147,673
....................................................................................................................................
End of period................................... $139,759,597 $90,778,017 $659,693,853 $671,016,461
....................................................................................................................................
Undistributed net investment income (loss),
end of period................................. $ 266,308 $ (12,294) $ 24,950,038 $ 46,307,097
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
The George Putnam Fund of Boston Global Asset Allocation Fund
Six months ended Period ended Six months ended Year ended
June 30 December 31 June 30 December 31
1999+ 1998* 1999+ 1998
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income........................... $ 2,457,069 $ 874,769 $ 10,218,955 $ 25,355,658
Net realized gain (loss) on investments and
foreign currency transactions................. 3,211,844 (15,776) 67,544,408 48,568,169
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies............. 4,634,457 4,925,141 (39,865,153) 43,294,979
....................................................................................................................................
Net increase in net assets
resulting from operations..................... 10,303,370 5,784,134 37,898,210 117,218,806
....................................................................................................................................
Distributions to shareholders:
From net investment income
Class IA.................................... -- (909,452) (19,732,501) (21,801,279)
Class IB.................................... -- (15,315) (37,116) --
From net realized gain on investments
Class IA.................................... (251,289) -- (55,324,281) (93,644,097)
Class IB.................................... (6,847) -- (105,178) --
Increase from capital share
transactions (Note 4)......................... 112,949,839 108,265,989 15,934,405 63,367,043
....................................................................................................................................
Total increase (decrease) in net assets......... 122,995,073 113,125,356 (21,366,461) 65,140,473
....................................................................................................................................
Net assets:
Beginning of period (Note 5).................... 115,126,356 2,001,000 1,021,672,632 956,532,159
....................................................................................................................................
End of period................................... $238,121,429 $115,126,356 $1,000,306,171 $1,021,672,632
....................................................................................................................................
Undistributed net investment income (loss),
end of period................................. $ 2,412,988 $ (44,081) $ 8,817,563 $ 18,368,225
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
Global Growth Fund Growth and Income Fund
Six months ended Year ended Six months ended Year ended
June 30 December 31 June 30 December 31
1999+ 1998 1999+ 1998
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase in net assets
Operations:
Net investment income........................... $ 1,636,160 $ 4,613,368 $ 84,286,587 $ 145,687,310
Net realized gain on investments and
foreign currency transactions................. 213,988,104 196,526,598 511,540,105 655,020,567
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies............. (62,096,416) 258,892,378 450,846,613 495,099,517
....................................................................................................................................
Net increase in net assets
resulting from operations..................... 153,527,848 460,032,344 1,046,673,305 1,295,807,394
....................................................................................................................................
Distributions to shareholders:
From net investment income
Class IA.................................... (8,217,030) (45,115,988) (140,251,765) (149,956,847)
Class IB.................................... (8,486) -- (202,648) --
From net realized gain on investments
Class IA.................................... (171,107,572) (225,579,941) (699,887,168) (978,918,294)
Class IB.................................... (180,962) -- (1,021,247) --
Increase from capital share
transactions (Note 4)......................... 133,815,429 187,077,579 714,264,310 1,451,702,995
....................................................................................................................................
Total increase in net assets.................... 107,829,227 376,413,994 919,574,787 1,618,635,248
....................................................................................................................................
Net assets:
Beginning of period (Note 5).................... 1,987,917,452 1,611,503,458 9,955,969,321 8,337,334,073
....................................................................................................................................
End of period................................... $2,095,746,679 $1,987,917,452 $10,875,544,108 $9,955,969,321
....................................................................................................................................
Undistributed net investment income,
end of period................................. $ 574,610 $ 7,163,966 $ 83,380,997 $ 139,548,823
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
Health Sciences Fund High Yield Fund
Six months ended Period ended Six months ended Year ended
June 30 December 31 June 30 December 31
1999+ 1998* 1999+ 1998
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income........................... $ 139,803 $ 84,355 $ 52,555,366 $ 111,348,978
Net realized loss on investments and
foreign currency transactions................. (7,908,283) (4,823,757) (56,047,284) (19,658,042)
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies............. (3,412,475) 17,951,815 43,461,325 (155,030,509)
....................................................................................................................................
Net increase (decrease) in net assets
resulting from operations..................... (11,180,955) 13,212,413 39,969,407 (63,339,573)
....................................................................................................................................
Distributions to shareholders:
From net investment income
Class IA.................................... -- (83,480) (109,086,026) (84,098,235)
Class IB.................................... -- (1,104) (431,138) --
From net realized gain on investments
Class IA.................................... -- -- -- (13,196,473)
Class IB.................................... -- -- -- --
From return of capital
Class IA.................................... -- (32,926) -- --
Class IB.................................... -- (435) -- --
Increase from capital share
transactions (Note 4)......................... 72,240,599 121,469,206 66,028,337 170,067,410
....................................................................................................................................
Total increase (decrease) in net assets......... 61,059,644 134,563,674 (3,519,420) 9,433,129
....................................................................................................................................
Net assets:
Beginning of period (Note 5).................... 136,564,674 2,001,000 1,034,731,253 1,025,298,124
....................................................................................................................................
End of period................................... $197,624,318 $136,564,674 $1,031,211,833 $1,034,731,253
....................................................................................................................................
Undistributed net investment income,
end of period................................. $ 139,803 $ -- $ 53,973,896 $ 110,935,694
- ------------------------------------------------------------------------------------------------------------------------------------
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
Income Fund International Growth Fund
Six months ended Year ended Six months ended Year ended
June 30 December 31 June 30 December 31
1999+ 1998 1999+ 1998
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase in net assets
Operations:
Net investment income........................... $ 30,653,053 $ 53,300,076 $ 1,665,907 $ 2,009,754
Net realized gain (loss) on investments and
foreign currency transactions................. 141,504 17,116,323 27,157,210 (6,419,294)
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies............. (51,871,121) (3,093,378) 13,205,134 38,588,932
....................................................................................................................................
Net increase (decrease) in net assets
resulting from operations..................... (21,076,564) 67,323,021 42,028,251 34,179,392
....................................................................................................................................
Distributions to shareholders:
From net investment income
Class IA.................................... (54,771,797) (42,868,771) -- (843,870)
Class IB.................................... (241,038) -- -- (20,511)
From net realized gain on investments
Class IA.................................... (16,340,757) (1,115,763) -- --
Class IB.................................... (72,111) -- -- --
From return of capital
Class IA.................................... -- -- -- (191,218)
Class IB.................................... -- -- -- ($4,648)
Increase from capital share
transactions (Note 4)......................... 111,012,521 189,570,369 37,544,112 134,832,557
....................................................................................................................................
Total increase in net assets.................... 18,510,254 212,908,856 79,572,363 167,951,702
....................................................................................................................................
Net assets:
Beginning of period (Note 5).................... 1,002,448,940 789,540,084 318,836,194 150,884,492
....................................................................................................................................
End of period................................... $1,020,959,194 $1,002,448,940 $398,408,557 $318,836,194
....................................................................................................................................
Undistributed net investment income (loss),
end of period................................. $ 28,384,430 $ 52,744,212 $ 1,329,760 $ (336,147)
- ------------------------------------------------------------------------------------------------------------------------------------
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
International Growth and Income Fund New Opportunities Fund
Six months ended Year ended Six months ended Year ended
June 30 December 31 June 30 December 31
1999+ 1998 1999+ 1998
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase in net assets
Operations:
Net investment income (loss).................... $ 3,486,041 $ 5,088,773 $ 31,681 $ (441,590)
Net realized gain (loss) on investments and
foreign currency transactions................. 28,446,710 4,694,683 15,850,617 (8,286,399)
Net unrealized appreciation
of investments and assets and
liabilities in foreign currencies............. 9,823,496 14,381,219 11,002,434 26,474,514
....................................................................................................................................
Net increase in net assets
resulting from operations..................... 41,756,247 24,164,675 26,884,732 17,746,525
....................................................................................................................................
Distributions to shareholders:
From net investment income
Class IA.................................... -- (2,590,484) (57,846) (235,886)
Class IB.................................... -- (9,677) (9) --
From net realized gain on investments
Class IA.................................... -- (5,311,565) -- --
Class IB.................................... -- (18,886) -- --
In excess of net realized gain on investments
Class IA.................................... -- (4,427,665) -- --
Class IB.................................... -- (15,743) -- --
From return of capital
Class IA.................................... -- (1,529,177) -- --
Class IB.................................... -- (5,628) -- --
Increase from capital share
transactions (Note 4)......................... 13,700,175 89,118,942 3,968,067 11,025,001
....................................................................................................................................
Total increase in net assets.................... 55,456,422 99,374,792 30,794,944 28,535,640
....................................................................................................................................
Net assets:
Beginning of period (Note 5).................... 305,972,802 206,598,010 135,536,124 107,000,484
....................................................................................................................................
End of period................................... $361,429,224 $305,972,802 $166,331,068 $135,536,124
....................................................................................................................................
Undistributed net investment income (loss),
end of period................................. $ 2,831,051 $ (654,990) $ (259,523) $ (233,349)
- ------------------------------------------------------------------------------------------------------------------------------------
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
Investors Fund Money Market Fund
Six months ended Period ended Six months ended Year ended
June 30 December 31 June 30 December 31
1999+ 1998* 1999+ 1998
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase in net assets
Operations:
Net investment income........................... $ 11,692 $ 183,347 $ 14,956,085 $ 25,582,369
Net realized loss on investments and
foreign currency transactions................. (6,025,691) (8,838,294) -- --
Net unrealized appreciation
of investments and assets and
liabilities in foreign currencies............. 46,012,333 39,093,065 -- --
....................................................................................................................................
Net increase in net assets
resulting from operations..................... 39,998,334 30,438,118 14,956,085 25,582,369
....................................................................................................................................
Distributions to shareholders:
From net investment income
Class IA.................................... -- (181,901) (14,788,406) (25,507,476)
Class IB.................................... -- (1,605) (167,679) (74,893)
From return of capital
Class IA.................................... -- (110,129) -- --
Class IB.................................... -- (972) -- --
Increase from capital share
transactions (Note 4)......................... 280,989,051 213,770,543 72,379,029 202,768,885
....................................................................................................................................
Total increase in net assets.................... 320,987,385 243,914,054 72,379,029 202,768,885
....................................................................................................................................
Net assets:
Beginning of period (Note 5).................... 245,915,054 2,001,000 608,346,033 405,577,148
....................................................................................................................................
End of period................................... $566,902,439 $245,915,054 $680,725,062 $608,346,033
....................................................................................................................................
Undistributed net investment income,
end of period................................. $ 11,692 $ -- $ -- $ --
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
New Opportunities Fund New Value Fund
Six months ended Year ended Six months ended Year ended
June 30 December 31 June 30 December 31
1999+ 1998 1999+ 1998
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase in net assets
Operations:
Net investment income (loss).................... $ (4,649,390) $ (4,679,495) $ 1,801,100 $ 3,116,783
Net realized gain on investments and
foreign currency transactions................. 354,759,049 52,243,397 14,897,544 3,733,085
Net unrealized appreciation
of investments and assets and
liabilities in foreign currencies............. 102,556,423 621,550,838 19,145,707 7,492,278
....................................................................................................................................
Net increase in net assets
resulting from operations..................... 452,666,082 669,114,740 35,844,351 14,342,146
....................................................................................................................................
Distributions to shareholders:
From net investment income
Class IA.................................... -- -- (20,345) (4,522,395)
Class IB.................................... -- -- -- (3,988)
From net realized gain on investments
Class IA.................................... (51,876,522) (40,377,073) (4,292,862) (4,472,218)
Class IB.................................... (41,740) -- (14,678) (755)
Increase from capital share
transactions (Note 4)......................... 159,358,557 368,601,899 14,562,702 55,434,143
....................................................................................................................................
Total increase in net assets.................... 560,106,377 997,339,566 46,079,168 60,776,933
....................................................................................................................................
Net assets:
Beginning of period (Note 5).................... 3,587,583,424 2,590,243,858 256,167,784 195,390,851
....................................................................................................................................
End of period................................... $4,147,689,801 $3,587,583,424 $302,246,952 $256,167,784
....................................................................................................................................
Undistributed net investment income (loss),
end of period................................. $ (4,649,390) $ -- $ 1,838,514 $ 57,759
- ------------------------------------------------------------------------------------------------------------------------------------
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
OTC & Emerging Growth Fund Research Fund
Six months ended Period ended Six months ended Period ended
June 30 Decmeber 31 June 30 December 31
1999+ 1998* 1999+ 1998**
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase in net assets
Operations:
Net investment income (loss).................... $ (120,652) $ (21,409) $ 122,885 $ 21,881
Net realized gain (loss) on investments and
foreign currency transactions................. (221,263) (2,732,544) 2,863,146 273,279
Net unrealized appreciation
of investments and assets and
liabilities in foreign currencies............. 6,742,469 5,873,260 2,483,614 1,979,496
....................................................................................................................................
Net increase in net assets
resulting from operations..................... 6,400,554 3,119,307 5,469,645 2,274,656
....................................................................................................................................
Distributions to shareholders:
From net investment income
Class IA.................................... -- -- -- (21,723)
Class IB.................................... -- -- -- (158)
From net realized gain on investments
Class IA.................................... -- -- (347,942) (11,993)
Class IB.................................... -- -- (6,869) (105)
From return of capital
Class IA.................................... -- (10,506) -- --
Class IB.................................... -- (91) -- --
Increase from capital share
transactions (Note 4)......................... 17,130,685 23,490,269 49,454,923 18,640,566
....................................................................................................................................
Total increase in net assets.................... 23,531,239 26,598,979 54,569,757 20,881,243
....................................................................................................................................
Net assets:
Beginning of period (Note 5).................... 28,599,979 2,001,000 22,881,243 2,000,000
....................................................................................................................................
End of period................................... $52,131,218 $28,599,979 $77,451,000 $22,881,243
....................................................................................................................................
Undistributed net investment income (loss),
end of period................................. $ (120,652) $ -- $ 122,885 $ --
- ------------------------------------------------------------------------------------------------------------------------------------
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
Small Cap Fund Utilities Growth and Income Fund
Period ended Six months ended Year ended
June 30 June 30 December 31
1999*** 1999+ 1998
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Increase in net assets
Operations:
Net investment income (loss).................... $ (4,349) $ 15,186,506 $ 28,359,479
Net realized gain on investments and
foreign currency transactions................. 27,987 14,355,250 29,497,527
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies............. 276,252 3,286,311 70,693,208
....................................................................................................................................
Net increase in net assets
resulting from operations..................... 299,890 32,828,067 128,550,214
....................................................................................................................................
Distributions to shareholders:
From net investment income
Class IA.................................... -- (28,075,188) (25,052,399)
Class IB.................................... -- (76,882) --
From net realized gain on investments
Class IA.................................... -- (29,484,585) (43,178,545)
Class IB.................................... -- (81,067) --
Increase from capital share
transactions (Note 4)......................... 4,029,153 47,487,736 134,550,230
....................................................................................................................................
Total increase in net assets.................... 4,329,043 22,598,081 194,869,500
....................................................................................................................................
Net assets:
Beginning of period (Note 5).................... 1,000,000 1,017,126,041 822,256,541
....................................................................................................................................
End of period................................... $5,329,043 $1,039,724,122 $1,017,126,041
....................................................................................................................................
Undistributed net investment income (loss),
end of period................................. $ (4,349) $ 15,034,854 $ 28,000,418
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
Vista Fund Voyager Fund
Six months ended Year ended Six months ended Year ended
June 30 December 31 June 30 December 31
1999+ 1998 1999+ 1998
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase in net assets
Operations:
Net investment income (loss).................... $ (394,503) $ (275,761) $ 7,058,036 $ 6,782,667
Net realized gain (loss) on investments and
foreign currency transactions................. 44,452,158 (10,989,282) 682,504,539 508,086,665
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies............. (2,671,292) 53,652,396 154,171,993 594,982,328
....................................................................................................................................
Net increase in net assets
resulting from operations..................... 41,386,363 42,387,353 843,734,568 1,109,851,660
....................................................................................................................................
Distributions to shareholders:
From net investment income
Class IA.................................... -- -- (6,563,907) (11,793,024)
Class IB.................................... -- -- (8,482) --
From net realized gain on investments
Class IA.................................... -- -- (526,374,820) (287,749,794)
Class IB.................................... -- -- (786,010) --
Increase from capital share
transactions (Note 4)......................... 24,471,914 99,415,966 559,071,589 458,561,422
....................................................................................................................................
Total increase in net assets.................... 65,858,277 141,803,319 869,072,938 1,268,870,264
....................................................................................................................................
Net assets:
Beginning of period (Note 5).................... 312,463,739 170,660,420 5,807,405,406 4,538,535,142
....................................................................................................................................
End of period................................... $378,322,016 $312,463,739 $6,676,478,344 $5,807,405,406
....................................................................................................................................
Undistributed net investment income (loss),
end of period................................. $ (394,503) $ -- $ 6,874,084 $ 6,388,437
- ------------------------------------------------------------------------------------------------------------------------------------
+ Unaudited.
* From April 30, 1998 (commencement of operations) to December 31, 1998.
** From September 30, 1998 (commencement of operations) to December 31, 1998.
*** From April 30, 1999 (commencement of operations) to June 30,1999.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
Financial Highlights
<CAPTION>
CLASS IA
- --------------------------------------------------------------------------------------------------------
Investment Operations
Net
Net Realized and
Asset Unrealized
Value, Net Gain (Loss) Total from
Beginning Investment on Investment
Period ended of Period Income (Loss) Investments Operations
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
June 30, 1999+ $ 8.33 $ .02(a) $ 2.55 $ 2.57
December 31, 1998 9.20 .08(a) (.56) (.48)
December 31, 1997 11.01 .07 (1.66) (1.59)
December 31, 1996 10.23 .05 .88 .93
December 31, 1995*** 10.00 .06(a)(b) .17 .23
........................................................................................................
Putnam VT Diversified Income Fund
June 30, 1999+ $10.49 $ .38(a) $ (.35) $ .03
December 31, 1998 11.31 .86(a) (.99) (.13)
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)
........................................................................................................
Putnam VT The George Putnam Fund of Boston
June 30, 1999+ $10.28 $ .15(a) $ .47 $ .62
December 31, 1998****** 10.00 .18(a)(b) .19 .37
........................................................................................................
Putnam VT Global Asset Allocation Fund
June 30, 1999+ $18.94 $ .19(a) $ .50 $ .69
December 31, 1998 18.76 .46(a) 2.00 2.46
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)
........................................................................................................
Putnam VT Global Growth Fund
June 30, 1999+ $20.28 $ .02(a) $ 1.49 $ 1.51
December 31, 1998 18.34 .05(a) 5.01 5.06
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)
........................................................................................................
Putnam VT Growth and Income Fund
June 30, 1999+ $28.77 $ .23(a) $ 2.63 $ 2.86
December 31, 1998 28.32 .44(a) 3.77 4.21
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
........................................................................................................
Putnam VT Health Sciences Fund
June 30, 1999+ $10.94 $ .01(a) $ (.76) $ (.75)
December 31, 1998****** 10.00 .01(a)(b) .94 .95
........................................................................................................
Putnam VT High Yield Fund
June 30, 1999+ $11.70 $ .57(a) $ (.13) $ .44
December 31, 1998 13.62 1.31(a) (1.98) (.67)
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)
- --------------------------------------------------------------------------------------------------------
<CAPTION>
Financial Highlights (continued)
CLASS IA
- --------------------------------------------------------------------------------------------------------
Less Distributions:
From In Excess
From In Excess Net of Net
Net of Net Realized Realized From
Investment Investment Gain on Gain on Return
Period ended Income Income Investments Investments of Capital
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
June 30, 1999+ $ -- $ -- $ -- $ -- $ --
December 31, 1998 (.38) -- -- -- (.01)
December 31, 1997 (.22) -- -- -- --
December 31, 1996 (.15) -- -- -- --
December 31, 1995*** -- -- -- -- --
........................................................................................................
Putnam VT Diversified Income Fund
June 30, 1999+ $ (.74) $ -- $ -- $ -- $ --
December 31, 1998 (.48) -- (.21) -- --
December 31, 1997 (.63) -- (.10) -- --
December 31, 1996 (.67) -- -- -- --
December 31, 1995 (.51) -- -- -- --
December 31, 1994 (.06) -- -- -- --
........................................................................................................
Putnam VT The George Putnam Fund of Boston
June 30, 1999+ $ -- $ -- $ (.02) $ -- $ --
December 31, 1998****** (.09) -- -- -- --
........................................................................................................
Putnam VT Global Asset Allocation Fund
June 30, 1999+ $ (.38) $ -- $ (1.06) $ -- $ --
December 31, 1998 (.43) -- (1.85) -- --
December 31, 1997 (.60) -- 1.02) -- --
December 31, 1996 (.44) -- (.83) -- --
December 31, 1995 (.25) -- -- -- --
December 31, 1994 (.29) -- (.43) (.02) --
........................................................................................................
Putnam VT Global Growth Fund
June 30, 1999+ $ (.09) $ -- $ (1.77) $ -- $ --
December 31, 1998 (.52) -- (2.60) -- --
December 31, 1997 (.41) -- (.44) -- --
December 31, 1996 (.25) -- (.57) -- --
December 31, 1995 (.11) -- (.24) -- --
December 31, 1994 (.05) -- (.02) -- --
........................................................................................................
Putnam VT Growth and Income Fund
June 30, 1999+ $ (.41) $ -- $ (2.04) $ -- $ --
December 31, 1998 (.50) -- (3.26) -- --
December 31, 1997 (.52) -- (1.27) -- --
December 31, 1996 (.51) -- (.89) -- --
December 31, 1995 (.51) -- (.30) -- --
December 31, 1994 (.38) -- (.58) -- --
........................................................................................................
Putnam VT Health Sciences Fund
June 30, 1999+ $ -- $ -- $ -- $ -- $ --
December 31, 1998****** (.01) -- -- -- --(e)
........................................................................................................
Putnam VT High Yield Fund
June 30, 1999+ $ (1.26) $ -- $ -- $ -- $ --
December 31, 1998 (1.08) -- (.17) -- --
December 31, 1997 (.94) -- (.11) -- --
December 31, 1996 (.91) -- -- -- --
December 31, 1995 (1.05) -- -- -- --
December 31, 1994 (.79) -- (.14) (.02) --
- --------------------------------------------------------------------------------------------------------
<CAPTION>
Financial Highlights (continued)
CLASS IA
- --------------------------------------------------------------------------------------------------------
Total
Investment
Return at Net Assets,
Total Net Asset Value, Net Asset End of Period
Period ended Distributions End of Period Value (%)(c) (in thousands)
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
June 30, 1999+ $ -- $10.90 30.85* $ 137,959
December 31, 1998 (.39) 8.33 (5.48) 90,667
December 31, 1997 (.22) 9.20 (14.66) 112,902
December 31, 1996 (.15) 11.01 9.10 130,548
December 31, 1995*** -- 10.23 2.30* 25,045
........................................................................................................
Putnam VT Diversified Income Fund
June 30, 1999+ $ (.74) $ 9.78 .23* $ 653,580
December 31, 1998 (.69) 10.49 (1.37) 669,053
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
........................................................................................................
Putnam VT The George Putnam Fund of Boston
June 30, 1999+ $ (.02) $10.88 6.00* $ 228,485
December 31, 1998****** (.09) 10.28 3.69* 113,202
........................................................................................................
Putnam VT Global Asset Allocation Fund
June 30, 1999+ $(1.44) $18.19 3.79* $ 997,867
December 31, 1998 (2.28) 18.94 13.47 1,020,354
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
........................................................................................................
Putnam VT Global Growth Fund
June 30, 1999+ $(1.86) $19.93 7.86* $ 2,090,395
December 31, 1998 (3.12) 20.28 29.71 1,987,094
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
........................................................................................................
Putnam VT Growth and Income Fund
June 30, 1999+ $(2.45) $29.18 10.61* $10,840,781
December 31, 1998 (3.76) 28.77 15.42 9,948,386
December 31, 1997 (1.79) 28.32 24.15 8,337,334
December 31, 1996 (1.40) 24.56 21.92 5,679,100
December 31, 1995 (.81) 21.47 36.71 3,312,306
December 31, 1994 (.96) 16.44 .35 1,907,380
........................................................................................................
Putnam VT Health Sciences Fund
June 30, 1999+ $ -- $10.19 (6.86)* $ 192,457
December 31, 1998****** (.01) 10.94 9.51* 134,436
........................................................................................................
Putnam VT High Yield Fund
June 30, 1999+ $(1.26) $10.88 3.92* $ 1,025,160
December 31, 1998 (1.25) 11.70 (5.86) 1,032,892
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
- --------------------------------------------------------------------------------------------------------
<CAPTION>
Financial Highlights (continued)
CLASS IA
- --------------------------------------------------------------------------------------------------------
Ratio of Net
Ratio of Investment
Expenses Income to
to Average Net Average Net Portfolio
Period ended Assets (%)(d) Assets (%) Turnover (%)
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
June 30, 1999+ .59* .27* 88.44*
December 31, 1998 1.12 1.01 136.49
December 31, 1997 1.07 .70 102.92
December 31, 1996 1.23 .84 66.10
December 31, 1995*** .81(b)* .72(b)* 67.72*
........................................................................................................
Putnam VT Diversified Income Fund
June 30, 1999+ .38* 3.79* 58.45*
December 31, 1998 .78 7.94 186.80
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
........................................................................................................
Putnam VT The George Putnam Fund of Boston
June 30, 1999+ .41* 1.41* 106.85*
December 31, 1998****** .57(b)* 1.84(b)* 99.85*
........................................................................................................
Putnam VT Global Asset Allocation Fund
June 30, 1999+ .38* 1.01* 79.53*
December 31, 1998 .78 2.54 133.80
December 31, 1997 .77 3.01 181.05
December 31, 1996 .83 3.08 165.03
December 31, 1995 .84 3.31 150.88
December 31, 1994 .76 3.19 150.21
........................................................................................................
Putnam VT Global Growth Fund
June 30, 1999+ .36* .08* 81.81*
December 31, 1998 .72 .26 164.56
December 31, 1997 .75 .77 158.37
December 31, 1996 .76 1.25 79.18
December 31, 1995 .75 1.49 82.53
December 31, 1994 .77 1.21 41.55
........................................................................................................
Putnam VT Growth and Income Fund
June 30, 1999+ .25* .81* 30.20*
December 31, 1998 .50 1.59 63.62
December 31, 1997 .51 2.08 64.96
December 31, 1996 .54 2.90 39.57
December 31, 1995 .57 3.34 50.87
December 31, 1994 .62 3.64 46.43
........................................................................................................
Putnam VT Health Sciences Fund
June 30, 1999+ .42* .08* 54.05*
December 31, 1998****** .61(b)* .14(b)* 39.68*
........................................................................................................
Putnam VT High Yield Fund
June 30, 1999+ .36* 5.03* 30.00*
December 31, 1998 .71 10.31 52.00
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
- --------------------------------------------------------------------------------------------------------
See page 156 for Notes to Financial Highlights.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
Financial Highlights
<CAPTION>
CLASS IA
- --------------------------------------------------------------------------------------------------------
Investment Operations
Net
Net Realized and
Asset Unrealized
Value, Net Gain (Loss) Total from
Beginning Investment on Investment
Period ended of Period Income (Loss) Investments Operations
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Income Fund
June 30, 1999+ $13.73 $ .39(a) $ (.66) $ (.27)
December 31, 1998 13.42 .82(a) .24 1.06
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)
........................................................................................................
Putnam VT International Growth Fund
June 30, 1999+ $13.52 $ .07(a) $ 1.60 $ 1.67
December 31, 1998 11.43 .11(a) 2.03 2.14
December 31, 1997**** 10.00 .05(b) 1.56 1.61
........................................................................................................
Putnam VT International Growth and Income Fund
June 30, 1999+ $12.24 $ .14(a) $ 1.51 $ 1.65
December 31, 1998 11.53 .23(a) 1.06 1.29
December 31, 1997**** 10.00 .07 1.87 1.94
........................................................................................................
Putnam VT International New Opportunities Fund
June 30, 1999+ $11.49 $ --(a)(e) $ 2.25 $ 2.25
December 31, 1998 9.96 (.04)(a)(b) 1.59 1.55
December 31, 1997**** 10.00 .01(b) (.02) (.01)
........................................................................................................
Putnam VT Investors Fund
June 30, 1999+ $11.65 $ --(a) $ 1.14 $ 1.14
December 31, 1998****** 10.00 .02(a)(b) 1.65 1.67
........................................................................................................
Putnam VT Money Market Fund
June 30, 1999+ $ 1.00 $.0227 $ -- $.0227
December 31, 1998 1.00 .0510 -- .0510
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
........................................................................................................
Putnam VT New Opportunities Fund
June 30, 1999+ $26.06 $ (.03)(a) $ 3.24 $ 3.21
December 31, 1998 21.23 (.04) 5.19 5.15
December 31, 1997 17.22 --(e) 4.01 4.01
December 31, 1996 15.63 (.01) 1.60 1.59
December 31, 1995 10.82 -- 4.84 4.84
December 31, 1994** 10.00 --(b) .82 .82
........................................................................................................
Putnam VT New Value Fund
June 30, 1999+ $12.03 $ .08(a) $ 1.63 $ 1.71
December 31, 1998 11.76 .16(a) .57 .73
December 31, 1997**** 10.00 .18(a) 1.58 1.76
........................................................................................................
Putnam VT OTC & Emerging Growth Fund
June 30, 1999+ $10.09 $ (.03)(a)(b) $ 1.86 $ 1.83
December 31, 1998****** 10.00 (.01)(a)(b) .10 .09
........................................................................................................
Putnam VT Research Fund
June 30, 1999+ $11.93 $ .03(a)(b) $ 1.42 $ 1.45
December 31, 1998******* 10.00 .02(a)(b) 1.93 1.95
........................................................................................................
Putnam VT Small Cap Value Fund
June 30, 1999+******** $10.00 $ (.02)(a) $ 1.01 $ .99
- --------------------------------------------------------------------------------------------------------
<CAPTION>
Financial Highlights (continued)
CLASS IA
- --------------------------------------------------------------------------------------------------------
Less Distributions:
From In Excess
From In Excess Net of Net
Net of Net Realized Realized From
Investment Investment Gain on Gain on Return
Period ended Income Income Investments Investments of Capital
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Putnam VT Income Fund
June 30, 1999+ $ (.72) $ -- $ (.22) $ -- $ --
December 31, 1998 (.73) (.02) -- -- --
December 31, 1997 (.85) -- -- -- --
December 31, 1996 (.82) -- -- -- --
December 31, 1995 (.85) -- -- -- --
December 31, 1994 (.66) (.22) -- -- --
........................................................................................................
Putnam VT International Growth Fund
June 30, 1999+ $ -- $ -- $ -- $ -- $ --
December 31, 1998 (.04) -- -- -- (.01)
December 31, 1997**** (.05) (.02) (.04) (.06) (.01)
........................................................................................................
Putnam VT International Growth and Income Fund
June 30, 1999+ $ -- $ -- $ -- $ -- $ --
December 31, 1998 (.11) -- (.22) (.19) (.06)
December 31, 1997**** (.08) (.05) (.28) -- --
........................................................................................................
Putnam VT International New Opportunities Fund
June 30, 1999+ $ (.01) $ -- $ -- $ -- $ --
December 31, 1998 (.02) -- -- -- --
December 31, 1997**** (.01) (.02) -- -- --
........................................................................................................
Putnam VT Investors Fund
June 30, 1999+ $ -- $ -- $ -- $ -- $ --
December 31, 1998****** (.01) -- -- -- (.01)
........................................................................................................
Putnam VT Money Market Fund
June 30, 1999+ $(.0227) $ -- $ -- $ -- $ --
December 31, 1998 (.0510) -- -- -- --
December 31, 1997 (.0509) -- -- -- --
December 31, 1996 (.0497) -- -- -- --
December 31, 1995 (.0533) -- -- -- --
December 31, 1994 (.0377) -- -- -- --
........................................................................................................
Putnam VT New Opportunities Fund
June 30, 1999+ $ -- $ -- $ (.37) $ -- $ --
December 31, 1998 -- -- (.32) -- --
December 31, 1997 -- -- -- -- --
December 31, 1996 -- -- -- -- --
December 31, 1995 -- -- (.02) -- (.01)
December 31, 1994** -- -- -- -- --
........................................................................................................
Putnam VT New Value Fund
June 30, 1999+ $ --(e) $ -- $ (.21) $ -- $ --
December 31, 1998 (.23) -- (.23) -- --
December 31, 1997**** -- -- -- -- --
........................................................................................................
Putnam VT OTC & Emerging Growth Fund
June 30, 1999+ $ -- $ -- $ -- $ -- $ --
December 31, 1998****** -- -- -- -- --(e)
........................................................................................................
Putnam VT Research Fund
June 30, 1999+ $ -- $ -- $ (.11) $ -- $ --
December 31, 1998******* (.01) -- (.01) -- --
........................................................................................................
Putnam VT Small Cap Value Fund
June 30, 1999+******** $ -- $ -- $ -- $ -- $ --
- --------------------------------------------------------------------------------------------------------
<CAPTION>
Financial Highlights (continued)
CLASS IA
- --------------------------------------------------------------------------------------------------------
Total
Investment
Return at Net Assets,
Total Net Asset Value, Net Asset End of Period
Period ended Distributions End of Period Value (%)(c) (in thousands)
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Income Fund
June 30, 1999+ $ (.94) $12.52 (2.07)* $1,014,858
December 31, 1998 (.75) 13.73 8.25 1,000,161
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
........................................................................................................
Putnam VT International Growth Fund
June 30, 1999+ $ -- $15.19 12.35* $ 393,640
December 31, 1998 (.05) 13.52 18.69 317,602
December 31, 1997**** (.18) 11.43 16.13 150,884
........................................................................................................
Putnam VT International Growth and Income Fund
June 30, 1999+ $ -- $13.89 13.48* $ 357,681
December 31, 1998 (.58) 12.24 11.28 305,047
December 31, 1997**** (.41) 11.53 19.43 206,598
........................................................................................................
Putnam VT International New Opportunities Fund
June 30, 1999+ $ (.01) $13.73 19.54* $ 163,788
December 31, 1998 (.02) 11.49 15.58 135,451
December 31, 1997**** (.03) 9.96 (.10) 107,000
........................................................................................................
Putnam VT Investors Fund
June 30, 1999+ $ -- $12.79 9.79* $ 551,485
December 31, 1998****** (.02) 11.65 16.66* 243,296
........................................................................................................
Putnam VT Money Market Fund
June 30, 1999+ $(.0227) $ 1.00 2.29* $ 672,387
December 31, 1998 (.0510) 1.00 5.19 595,158
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
........................................................................................................
Putnam VT New Opportunities Fund
June 30, 1999+ $ (.37) $28.90 12.41* $4,141,247
December 31, 1998 (.32) 26.06 24.38 3,586,225
December 31, 1997 -- 21.23 23.29 2,590,244
December 31, 1996 -- 17.22 10.17 1,674,197
December 31, 1995 (.03) 15.63 44.87 515,109
December 31, 1994** -- 10.82 8.20* 68,592
........................................................................................................
Putnam VT New Value Fund
June 30, 1999+ $ (.21) $13.53 14.39* $ 299,806
December 31, 1998 (.46) 12.03 6.26 255,754
December 31, 1997**** -- 11.76 17.60 195,391
........................................................................................................
Putnam VT OTC & Emerging Growth Fund
June 30, 1999+ $ -- $11.92 18.14* $ 50,520
December 31, 1998****** -- 10.09 .94* 28,059
........................................................................................................
Putnam VT Research Fund
June 30, 1999+ $ (.11) $13.27 12.20* $ 74,662
December 31, 1998******* (.02) 11.93 19.51* 22,626
........................................................................................................
Putnam VT Small Cap Value Fund
June 30, 1999+******** $ -- $10.99 9.90* $ 4,904
- --------------------------------------------------------------------------------------------------------
<CAPTION>
Financial Highlights (continued)
CLASS IA
- --------------------------------------------------------------------------------------------------------
Ratio of Net
Ratio of Investment
Expenses Income to
to Average Net Average Net Portfolio
Period ended Assets (%)(d) Assets (%) Turnover (%)
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT Income Fund
June 30, 1999+ .33* 2.99* 125.69*
December 31, 1998 .67 6.13 233.04
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
........................................................................................................
Putnam VT International Growth Fund
June 30, 1999+ .50* .47* 102.40*
December 31, 1998 1.07 .84 98.31
December 31, 1997**** 1.20(b) .79(b) 75.18
........................................................................................................
Putnam VT International Growth and Income Fund
June 30, 1999+ .49* 1.08* 52.04*
December 31, 1998 .99 1.86 62.61
December 31, 1997**** 1.12 1.11 53.20
........................................................................................................
Putnam VT International New Opportunities Fund
June 30, 1999+ .78* .02* 141.56*
December 31, 1998 1.60(b) (.36)(b) 157.72
December 31, 1997**** 1.60(b) .09(b) 131.89
........................................................................................................
Putnam VT Investors Fund
June 30, 1999+ .37* --* 40.18*
December 31, 1998****** .57(b)* .19(b)* 42.97*
........................................................................................................
Putnam VT Money Market Fund
June 30, 1999+ .24* 2.26* --
December 31, 1998 .53 5.04 --
December 31, 1997 .54 5.10 --
December 31, 1996 .53 4.93 --
December 31, 1995 .57 5.43 --
December 31, 1994 .55 3.90 --
........................................................................................................
Putnam VT New Opportunities Fund
June 30, 1999+ .29* (.12)* 45.34*
December 31, 1998 .61 (.16) 59.75
December 31, 1997 .63 (.01) 71.78
December 31, 1996 .72 (.13) 57.94
December 31, 1995 .84 (.03) 30.87
December 31, 1994** .47(b)* .03 (b)* 32.77 *
........................................................................................................
Putnam VT New Value Fund
June 30, 1999+ .40* .66* 49.77*
December 31, 1998 .81 1.34 130.96
December 31, 1997**** .85 1.59 64.15
........................................................................................................
Putnam VT OTC & Emerging Growth Fund
June 30, 1999+ .45(b)* (.31)(b)* 90.06*
December 31, 1998****** .60(b)* (.16)(b)* 59.93*
........................................................................................................
Putnam VT Research Fund
June 30, 1999+ .42(b)* .26(b)* 83.99*
December 31, 1998******* .22(b)* .19(b)* 19.76*
........................................................................................................
Putnam VT Small Cap Value Fund
June 30, 1999+******** .40* (.14)* 25.22*
- --------------------------------------------------------------------------------------------------------
See page 156 for Notes to Financial Highlights.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
Financial Highlights
<CAPTION>
CLASS IA
- --------------------------------------------------------------------------------------------------------
Investment Operations
Net
Net Realized and
Asset Unrealized
Value, Net Gain (Loss) Total from
Beginning Investment on Investment
Period ended of Period Income (Loss) Investments Operations
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Utilities Growth and
Income Fund
June 30, 1999+ $18.19 $ .26(a) $ .21 $ .47
December 31, 1998 17.14 .54(a) 1.90 2.44
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)
........................................................................................................
Putnam VT Vista Fund
June 30, 1999+ $14.72 $ (.02)(a) $ 1.90 $ 1.88
December 31, 1998 12.32 (.02)(a) 2.42 2.40
December 31, 1997**** 10.00 --(e) 2.32 2.32
........................................................................................................
Putnam VT Voyager Fund
June 30, 1999+ $45.85 $ .05(a) $ 6.28 $ 6.33
December 31, 1998 39.08 .05(a) 9.26 9.31
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
- --------------------------------------------------------------------------------------------------------
<CAPTION>
Financial Highlights (continued)
CLASS IA
- --------------------------------------------------------------------------------------------------------
Less Distributions:
From In Excess
From In Excess Net of Net
Net of Net Realized Realized From
Investment Investment Gain on Gain on Return
Period ended Income Income Investments Investments of Capital
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Putnam VT Utilities Growth and
Income Fund
June 30, 1999+ $ (.50) $ -- $ (.52) $ -- $ --
December 31, 1998 (.51) -- (.88) -- --
December 31, 1997 (.55) -- (.75) -- --
December 31, 1996 (.51) -- -- -- --
December 31, 1995 (.58) -- -- -- --
December 31, 1994 (.35) -- (.12) (.01) --
........................................................................................................
Putnam VT Vista Fund
June 30, 1999+ $ -- $ -- $ -- $ -- $ --
December 31, 1998 -- -- -- -- --
December 31, 1997**** --(e) -- -- -- --(e)
........................................................................................................
Putnam VT Voyager Fund
June 30, 1999+ $ (.05) $ -- $ (4.17) $ -- $ --
December 31, 1998 (.10) -- (2.44) -- --
December 31, 1997 (.07) -- (1.49) -- --
December 31, 1996 (.13) -- (1.68) -- --
December 31, 1995 (.07) -- (.49) -- --
December 31, 1994 (.05) -- (.37) -- --
- --------------------------------------------------------------------------------------------------------
<CAPTION>
Financial Highlights (continued)
CLASS IA
- --------------------------------------------------------------------------------------------------------
Total
Investment
Return at Net Assets,
Total Net Asset Value, Net Asset End of Period
Period ended Distributions End of Period Value (%)(c) (in thousands)
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Utilities Growth and
Income Fund
June 30, 1999+ $ (1.02) $17.64 3.26* $1,035,401
December 31, 1998 (1.39) 18.19 14.92 1,015,327
December 31, 1997 (1.30) 17.14 27.10 822,25
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
........................................................................................................
Putnam VT Vista Fund
June 30, 1999+ $ -- $16.60 12.77* $ 375,185
December 31, 1998 -- 14.72 19.48 311,612
December 31, 1997**** -- 12.32 23.21 170,660
........................................................................................................
Putnam VT Voyager Fund
June 30, 1999+ $ (4.22) $47.96 14.54* $6,653,668
December 31, 1998 (2.54) 45.85 24.36 5,803,073
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
- --------------------------------------------------------------------------------------------------------
<CAPTION>
Financial Highlights (continued)
CLASS IA
- --------------------------------------------------------------------------------------------------------
Ratio of Net
Ratio of Investment
Expenses Income to
to Average Net Average Net Portfolio
Period ended Assets (%)(d) Assets (%) Turnover (%)
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT Utilities Growth and
Income Fund
June 30, 1999+ .36* 1.52* 10.26*
December 31, 1998 .72 3.19 24.77
December 31, 1997 .74 3.63 42.46
December 31, 1996 .73 4.22 61.94
December 31, 1995 .68 4.72 60.33
December 31, 1994 .68 5.23 84.88
........................................................................................................
Putnam VT Vista Fund
June 30, 1999+ .38* (.12)* 78.58*
December 31, 1998 .77 (.12) 116.48
December 31, 1997**** .87 -- 75.43
........................................................................................................
Putnam VT Voyager Fund
June 30, 1999+ .29* .11* 45.89*
December 31, 1998 .58 .14 62.99
December 31, 1997 .59 .30 82.00
December 31, 1996 .63 .36 63.87
December 31, 1995 .68 .49 57.51
December 31, 1994 .71 .40 62.44
- --------------------------------------------------------------------------------------------------------
See page 156 for Notes to Financial Highlights.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
Financial Highlights
<CAPTION>
CLASS IB
- --------------------------------------------------------------------------------------------------------
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
June 30, 1999+ $ 8.33 $ .01(a) $ 2.54 $ 2.55
December 31, 1998****** 8.57 (.01)(a) (.23) (.24)
........................................................................................................
Putnam VT Diversified Income Fund
June 30, 1999+ $10.47 $ .37(a) $ (.35) $ .02
December 31, 1998***** 10.95 .62(a) (1.10) (.48)
........................................................................................................
Putnam VT The George Putnam Fund of Boston
June 30, 1999+ $10.28 $ .14(a) $ .48 $ .62
December 31, 1998****** 10.00 .17(a)(b) .20 .37
........................................................................................................
Putnam VT Global Asset Allocation Fund
June 30, 1999+ $18.95 $ .18(a) $ .49 $ .67
December 31, 1998****** 18.16 .33(a) .46 .79
........................................................................................................
Putnam VT Global Growth Fund
June 30, 1999+ $20.28 $ .01(a) $ 1.46 $ 1.47
December 31, 1998****** 18.03 (.05)(a) 2.30 2.25
........................................................................................................
Putnam VT Growth and Income Fund
June 30, 1999+ $28.75 $ .21(a) $ 2.63 $ 2.84
December 31, 1998***** 28.02 .26(a) .47 .73
........................................................................................................
Putnam VT Health Sciences Fund
June 30, 1999+ $10.93 $ --(a) $ (.74) $ (.74)
December 31, 1998****** 10.00 (.01)(a)(b) .95 .94
........................................................................................................
Putnam VT High Yield Fund
June 30, 1999+ $11.70 $ .56(a) $ (.12) $ .44
December 31, 1998****** 12.99 .79(a) (2.08) (1.29)
........................................................................................................
Putnam VT Income Fund
June 30, 1999+ $13.73 $ .39(a) $ (.66) $ (.27)
December 31, 1998****** 12.88 .50(a) .35 .85
........................................................................................................
Putnam VT International Growth Fund
June 30, 1999+ $13.51 $ .07(a) $ 1.59 $ 1.66
December 31, 1998****** 13.44 (.04)(a) .15 .11
........................................................................................................
Putnam VT International Growth and Income Fund
June 30, 1999+ $12.24 $ .14(a) $ 1.51 $ 1.65
December 31, 1998***** 13.36 (.01)(a) (.57) (.58)
........................................................................................................
Putnam VT International New Opportunities Fund
June 30, 1999+ $11.48 $ (.02)(a) $ 2.26 $ 2.24
December 31, 1998****** 11.39 (.05)(a)(b) .14 .09
........................................................................................................
Putnam VT Investors Fund
June 30, 1999+ $11.64 $ (.01)(a) $ 1.15 $ 1.14
December 31, 1998****** 10.00 .01(a)(b) 1.64 1.65
........................................................................................................
Putnam VT Money Market Fund
June 30, 1999+ $ 1.00 $.0218(a) $ -- $.0218
December 31, 1998****** 1.00 .0338(a) -- .0338
........................................................................................................
Putnam VT New Opportunities Fund
June 30, 1999+ $26.04 $ (.05)(a) $ 3.23 $ 3.18
December 31, 1998****** 23.94 (.05)(a) 2.15 2.10
........................................................................................................
Putnam VT New Value Fund
June 30, 1999+ $12.02 $ .08(a) $ 1.63 $ 1.71
December 31, 1998****** 11.91 .13(a) .13 .26
- --------------------------------------------------------------------------------------------------------
<CAPTION>
Financial Highlights (continued)
CLASS IB
- --------------------------------------------------------------------------------------------------------
Less Distributions:
From In Excess
From Net of Net
Net Realized Realized From
Investment Gain on Gain on Return
Period ended Income Investments Investments of Capital
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
June 30, 1999+ $ -- $ -- $ -- $ --
December 31, 1998****** -- -- -- --
........................................................................................................
Putnam VT Diversified Income Fund
June 30, 1999+ $ (.73) $ -- $ -- $ --
December 31, 1998***** -- -- -- --
........................................................................................................
Putnam VT The George Putnam Fund of Boston
June 30, 1999+ $ -- $ (.02) $ -- $ --
December 31, 1998****** (.09) -- -- --
........................................................................................................
Putnam VT Global Asset Allocation Fund
June 30, 1999+ $ (.37) $(1.06) $ -- $ --
December 31, 1998****** -- -- -- --
........................................................................................................
Putnam VT Global Growth Fund
June 30, 1999+ $ (.08) $(1.77) $ -- $ --
December 31, 1998****** -- -- -- --
........................................................................................................
Putnam VT Growth and Income Fund
June 30, 1999+ $ (.41) $(2.04) $ -- $ --
December 31, 1998***** -- -- -- --
........................................................................................................
Putnam VT Health Sciences Fund
June 30, 1999+ $ -- $ -- $ -- $ --
December 31, 1998****** (.01) -- -- --(e)
........................................................................................................
Putnam VT High Yield Fund
June 30, 1999+ $ (1.26) $ -- $ -- $ --
December 31, 1998****** -- -- -- --
........................................................................................................
Putnam VT Income Fund
June 30, 1999+ $ (.72) $ (.22) $ -- $ --
December 31, 1998****** -- -- -- --
........................................................................................................
Putnam VT International Growth Fund
June 30, 1999+ $ -- $ -- $ -- $ --
December 31, 1998****** (.03) -- -- (.01)
........................................................................................................
Putnam VT International Growth and Income Fund
June 30, 1999+ $ -- $ -- $ -- $ --
December 31, 1998***** (.11) (.19) (.18) (.06)
........................................................................................................
Putnam VT International New Opportunities Fund
June 30, 1999+ $ --(e) $ -- $ -- $ --
December 31, 1998****** -- -- -- --
........................................................................................................
Putnam VT Investors Fund
June 30, 1999+ $ -- $ -- $ -- $ --
December 31, 1998****** (.01) -- -- --(e)
........................................................................................................
Putnam VT Money Market Fund
June 30, 1999+ $(.0218) $ -- $ -- $ --
December 31, 1998****** (.0338) -- -- --
........................................................................................................
Putnam VT New Opportunities Fund
June 30, 1999+ $ -- $ (.37) $ -- $ --
December 31, 1998****** -- -- -- --
........................................................................................................
Putnam VT New Value Fund
June 30, 1999+ $ -- $ (.21) $ -- $ --
December 31, 1998****** (.13) (.02) -- --
- --------------------------------------------------------------------------------------------------------
<CAPTION>
Financial Highlights (continued)
CLASS IB
- --------------------------------------------------------------------------------------------------------
Total
Investment
Return at Net Assets,
Total Net Asset Value, Net Asset End of Period
Period ended Distributions End of Period Value (%)(c) (in thousands)
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
June 30, 1999+ $ -- $10.88 30.61* $ 1,800
December 31, 1998****** -- 8.33 (2.80)* 111
........................................................................................................
Putnam VT Diversified Income Fund
June 30, 1999+ $ (.73) $ 9.76 .21* $ 6,114
December 31, 1998***** -- 10.47 (4.38)* 1,963
........................................................................................................
Putnam VT The George Putnam Fund of Boston
June 30, 1999+ $ (.02) $10.88 6.00* $ 9,637
December 31, 1998****** (.09) 10.28 3.69* 1,924
........................................................................................................
Putnam VT Global Asset Allocation Fund
June 30, 1999+ $ (1.43) $18.19 3.71* $ 2,439
December 31, 1998****** -- 18.95 4.35* 1,319
........................................................................................................
Putnam VT Global Growth Fund
June 30, 1999+ $ (1.85) $19.90 7.69* $ 5,352
December 31, 1998****** -- 20.28 12.48* 823
........................................................................................................
Putnam VT Growth and Income Fund
June 30, 1999+ $ (2.45) $29.14 10.53* $34,763
December 31, 1998***** -- 28.75 2.61* 7,583
........................................................................................................
Putnam VT Health Sciences Fund
June 30, 1999+ $ -- $10.19 (6.77)* $ 5,167
December 31, 1998****** (.01) 10.93 9.40* 2,129
........................................................................................................
Putnam VT High Yield Fund
June 30, 1999+ $ (1.26) $10.88 3.90* $ 6,051
December 31, 1998****** -- 11.70 (9.93)* 1,840
........................................................................................................
Putnam VT Income Fund
June 30, 1999+ $ (.94) $12.52 (2.08)* $ 6,102
December 31, 1998****** -- 13.73 6.60* 2,288
........................................................................................................
Putnam VT International Growth Fund
June 30, 1999+ $ -- $15.17 12.29* $ 4,769
December 31, 1998****** (.04) 13.51 .81* 1,234
........................................................................................................
Putnam VT International Growth and Income Fund
June 30, 1999+ $ -- $13.89 13.48* $ 3,748
December 31, 1998***** (.54) 12.24 (4.24)* 926
........................................................................................................
Putnam VT International New Opportunities Fund
June 30, 1999+ $ -- $13.72 19.52* $ 2,543
December 31, 1998****** -- 11.48 .79* 85
........................................................................................................
Putnam VT Investors Fund
June 30, 1999+ $ -- $12.78 9.79* $15,417
December 31, 1998****** (.01) 11.64 16.54* 2,619
........................................................................................................
Putnam VT Money Market Fund
June 30, 1999+ $(.0218) $ 1.00 2.20* $ 8,338
December 31, 1998****** (.0338) 1.00 3.42* 13,188
........................................................................................................
Putnam VT New Opportunities Fund
June 30, 1999+ $ (.37) $28.85 12.30* $ 6,442
December 31, 1998****** -- 26.04 8.77* 1,359
........................................................................................................
Putnam VT New Value Fund
June 30, 1999+ $ (.21) $13.52 14.39* $ 2,441
December 31, 1998****** (.15) 12.02 2.28* 414
- --------------------------------------------------------------------------------------------------------
<CAPTION>
Financial Highlights (continued)
CLASS IB
- --------------------------------------------------------------------------------------------------------
Ratio of Net
Ratio of Investment
Expenses Income to
to Average Net Average Net Portfolio
Period ended Assets (%)(d) Assets (%) Turnover (%)
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
June 30, 1999+ .66* .11* 88.44*
December 31, 1998****** .85* (.10)* 136.49
........................................................................................................
Putnam VT Diversified Income Fund
June 30, 1999+ .45* 3.69* 58.45*
December 31, 1998***** .69* 5.74* 186.80
........................................................................................................
Putnam VT The George Putnam Fund of Boston
June 30, 1999+ .49* 1.35* 106.85*
December 31, 1998****** .67(b)* 1.74(b)* 99.85*
........................................................................................................
Putnam VT Global Asset Allocation Fund
June 30, 1999+ .46* .94* 79.53*
December 31, 1998****** .63* 1.82* 133.80
........................................................................................................
Putnam VT Global Growth Fund
June 30, 1999+ .43* .04* 81.81*
December 31, 1998****** .59* (.34)* 164.56
........................................................................................................
Putnam VT Growth and Income Fund
June 30, 1999+ .32* .74* 30.20*
December 31, 1998***** .49* 1.20* 63.62
........................................................................................................
Putnam VT Health Sciences Fund
June 30, 1999+ .50* --* 54.05*
December 31, 1998****** .71(b)* (.11)(b)* 39.68*
........................................................................................................
Putnam VT High Yield Fund
June 30, 1999+ .43* 4.95* 30.00*
December 31, 1998****** .58* 7.63* 52.00
........................................................................................................
Putnam VT Income Fund
June 30, 1999+ .41* 2.93* 125.69*
December 31, 1998****** .56* 4.03* 233.04
........................................................................................................
Putnam VT International Growth Fund
June 30, 1999+ .57* .45* 102.40*
December 31, 1998****** .83* (.29)* 98.31
........................................................................................................
Putnam VT International Growth and Income Fund
June 30, 1999+ .57* 1.12* 52.04*
December 31, 1998***** .84(b)* (.07)(b)* 62.61
........................................................................................................
Putnam VT International New Opportunities Fund
June 30, 1999+ .86* (.15)* 141.56*
December 31, 1998****** 1.18* (.44)(b)* 157.72
........................................................................................................
Putnam VT Investors Fund
June 30, 1999+ .45* (.08)* 40.18*
December 31, 1998****** .67(b)* .03(b)* 42.97*
........................................................................................................
Putnam VT Money Market Fund
June 30, 1999+ .32* 2.16* --
December 31, 1998****** .46* 3.18* --
........................................................................................................
Putnam VT New Opportunities Fund
June 30, 1999+ .37* (.20)* 45.34*
December 31, 1998****** .51* (.25)* 59.75
........................................................................................................
Putnam VT New Value Fund
June 30, 1999+ .47* .65* 49.77*
December 31, 1998****** .65* 1.26* 130.96
- --------------------------------------------------------------------------------------------------------
See page 156 for Notes to Financial Highlights.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
Financial Highlights
<CAPTION>
CLASS IB
- --------------------------------------------------------------------------------------------------------
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 OTC & Emerging Growth Fund
June 30, 1999+ $10.08 $ (.04)(a)(b) $ 1.88 $ 1.84
December 31, 1998****** 10.00 (.03)(a)(b) .11 .08
........................................................................................................
Putnam VT Research Fund
June 30, 1999+ $11.90 $ .02(a)(b) $ 1.44 $ 1.46
December 31, 1998******* 10.00 .02(a)(b) 1.90 1.92
........................................................................................................
Putnam VT Small Cap Value Fund
June 30, 1999+******** $10.00 $ (.02)(a) $ 1.01 $ .99
........................................................................................................
Putnam VT Utilities Growth and
Income Fund
June 30, 1999+ $18.19 $ .25(a) $ .22 $ .47
December 31, 1998****** 16.19 .29(a) 1.71 2.00
........................................................................................................
Putnam VT Vista Fund
June 30, 1999+ $14.73 $ (.03)(a) $ 1.89 $ 1.86
December 31, 1998****** 13.76 (.02)(a) .99 .97
........................................................................................................
Putnam VT Voyager Fund
June 30, 1999+ $45.81 $ .05(a) $ 6.25 $ 6.30
December 31, 1998****** 41.55 (.01)(a) 4.27 4.26
- --------------------------------------------------------------------------------------------------------
<CAPTION>
Financial Highlights (continued)
CLASS IB
- --------------------------------------------------------------------------------------------------------
Less Distributions:
From In Excess
From Net of Net
Net Realized Realized From
Investment Gain on Gain on Return
Period ended Income Investments Investments of Capital
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT OTC & Emerging Growth Fund
June 30, 1999+ $ -- $ -- $ -- $ --
December 31, 1998****** -- -- -- --(e)
........................................................................................................
Putnam VT Research Fund
June 30, 1999+ $ -- $ (.11) $ -- $ --
December 31, 1998******* (.01) (.01) -- --
........................................................................................................
Putnam VT Small Cap Value Fund
June 30, 1999+******** $ -- $ -- $ -- $ --
........................................................................................................
Putnam VT Utilities Growth and
Income Fund
June 30, 1999+ $ (.50) $ (.52) $ -- $ --
December 31, 1998****** -- -- -- --
........................................................................................................
Putnam VT Vista Fund
June 30, 1999+ $ -- $ -- $ -- $ --
December 31, 1998****** -- -- -- --
........................................................................................................
Putnam VT Voyager Fund
June 30, 1999 $ (.05) $(4.17) $ -- $ --
December 31, 1998****** -- -- -- --
- --------------------------------------------------------------------------------------------------------
<CAPTION>
Financial Highlights (continued)
CLASS IB
- --------------------------------------------------------------------------------------------------------
Total
Investment
Return at Net Assets,
Total Net Asset Value, Net Asset End of Period
Period ended Distributions End of Period Value (%)(c) (in thousands)
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT OTC & Emerging Growth Fund
June 30, 1999 $ -- $11.92 18.25* $ 1,612
December 31, 1998****** -- 10.08 .82* 541
........................................................................................................
Putnam VT Research Fund
June 30, 1999+ $ (.11) $13.25 12.31* $ 2,789
December 31, 1998******* (.02) 11.90 19.19* 255
........................................................................................................
Putnam VT Small Cap Value Fund
June 30, 1999+******** $ -- $10.99 9.90* 425
........................................................................................................
Putnam VT Utilities Growth and
Income Fund
June 30, 1999+ $(1.02) $17.64 3.25* $ 4,323
December 31, 1998****** -- 18.19 12.35* 1,799
........................................................................................................
Putnam VT Vista Fund
June 30, 1999+ $ -- $16.59 12.63* $ 3,137
December 31, 1998****** -- 14.73 7.05* 851
........................................................................................................
Putnam VT Voyager Fund
June 30, 1999+ $(4.22) $47.89 14.46* $22,810
December 31, 1998****** -- 45.81 10.25* 4,332
- --------------------------------------------------------------------------------------------------------
<CAPTION>
Financial Highlights (continued)
CLASS IB
- --------------------------------------------------------------------------------------------------------
Ratio of Net
Ratio of Investment
Expenses Income to
to Average Net Average Net Portfolio
Period ended Assets (%)(d) Assets (%) Turnover (%)
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT OTC & Emerging Growth Fund
June 30, 1999+ .52(b)* (.39)(b)* 90.06*
December 31, 1998****** .71(b)* (.42)(b)* 59.93*
........................................................................................................
Putnam VT Research Fund
June 30, 1999+ .50(b)* .19(b)* 83.99*
December 31, 1998******* .25(b)* .15(b)* 19.76*
........................................................................................................
Putnam VT Small Cap Value Fund
June 30, 1999+******** .43* (.19)* 25.22*
........................................................................................................
Putnam VT Utilities Growth and
Income Fund
June 30, 1999+ .43* 1.42* 10.26*
December 31, 1998****** .59* 1.98* 24.77
........................................................................................................
Putnam VT Vista Fund
June 30, 1999+ .45* (.17)* 78.58 *
December 31, 1998****** .62* (.18)* 116.48
........................................................................................................
Putnam VT Voyager Fund
June 30, 1999+ .36* .12 * 45.89*
December 31, 1998****** .49* (.04)* 62.99
- --------------------------------------------------------------------------------------------------------
See page 156 for Notes to Financial Highlights.
<CAPTION>
PUTNAM VARIABLE TRUST
Notes to Financial Highlights
+ Unaudited.
* Not annualized.
** For the period May 2, 1994 (commencement of operations) to December 31, 1994.
*** For the period May 1, 1995 (commencement of operations) to December 31, 1995.
**** For the period January 2, 1997 (commencement of operations) to December 31, 1997.
***** For the period April 6, 1998 (commencement of operations) to December 31, 1998.
****** For the period April 30, 1998 (commencement of operations) to December 31, 1998.
******* For the period September 30, 1998 (commencement of operations) to December 31, 1998.
******** For the period April 30, 1999 (commencement of operations) to June 30, 1999.
(a) Per share net investment income (loss) has been determined on the basis of the weighted average number of shares
outstanding during the period.
(b) Reflects an expense limitation in effect during the period. As a result of such limitation, expenses of the following
funds reflect a reduction of approximately the amounts per share noted for the following periods:
<S> <C> <C> <C> <C> <C>
6/30/99 12/31/98 12/31/97 12/31/95 12/31/94
--------- ---------- ---------- ---------- ----------
Putnam VT Asia Pacific Growth Fund Class IA 0.03
Putnam VT George Putnam of Boston Fund Class IA 0.03
Putnam VT George Putnam of Boston Fund Class IB 0.03
Putnam VT Health Sciences Fund Class IA 0.01
Putnam VT Health Sciences Fund Class IB 0.01
Putnam VT International Growth Fund Class IA 0.01
Putnam VT International New Opportunities Fund Class IA less than .01 0.02
Putnam VT International New Opportunities Fund Class IB less than .01
Putnam VT Investors Fund Class IA less than .01
Putnam VT Investors Fund Class IB less than .01
Putnam VT New Opportunities Fund Class IA 0.02
Putnam VT OTC and Emerging Markets Fund Class IA 0.02 0.06
Putnam VT OTC and Emerging Markets Fund Class IB 0.02 0.05
Putnam VT Research Fund Class IA 0.02 0.03
Putnam VT Research Fund Class IB 0.02 0.03
(c) Total 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) 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
June 30, 1999 (Unaudited)
NOTE 1
SIGNIFICANT
ACCOUNTING
POLICIES
Putnam Variable Trust (the "Trust") is registered under the Investment
Company Act of 1940, as amended, as a diversified, open-end management
investment company (except for Putnam VT Health Sciences Fund and Putnam
VT Utilities Growth and Income Fund, which are non-diversified) which
consists of a series of investment portfolios (the "funds"), each of
which is represented by a separate series of class IA shares and class
IB shares of beneficial interest. The Trust currently offers the
following twenty-two funds: Putnam VT Asia Pacific Growth Fund, Putnam
VT Diversified Income Fund, Putnam VT The George Putnam Fund of Boston,
Putnam VT Global Asset Allocation Fund, Putnam VT Global Growth Fund,
Putnam VT Growth and Income Fund, Putnam VT Health Sciences Fund, Putnam
VT High Yield Fund, Putnam VT Income Fund (formerly Putnam VT U.S.
Government and High Quality Bond Fund), Putnam VT International Growth
Fund, Putnam VT International Growth and Income Fund, Putnam VT
International New Opportunities Fund, Putnam VT Investors Fund, Putnam
VT Money Market Fund, Putnam VT New Opportunities Fund, Putnam VT New
Value Fund, Putnam VT OTC & Emerging Growth Fund, Putnam VT Research
Fund, Putnam VT Small Cap Value Fund, Putnam VT Utilities Growth and
Income Fund, Putnam VT Vista Fund and Putnam VT Voyager Fund.
The Trust offers class IA and class IB shares. On April 30, 1999, the
Trust began offering class IA and class IB shares for Putnam VT Small
Cap Value Fund. Class IA shares are offered at net asset value and are
not subject to a distribution fee. Class IB shares are offered at net
asset value and pay an ongoing distribution fee.
Expenses of each fund are borne pro-rata by the holders of each class of
shares, except that each class bears expenses unique to that class
(including the distribution fees applicable to such class). Each class
votes as a class only with respect to its own distribution plan or other
matters on which a class vote is required by law or determined by the
Trustees. Shares of each class would receive their pro-rata share of the
net assets of the fund, if the fund were liquidated. In addition, the
Trustees declare separate dividends on each class of shares.
The following is a summary of significant accounting policies
consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements is in conformity
with generally accepted accounting principles and requires management to
make estimates and assumptions that affect the reported amounts of
assets and liabilities. Actual results could differ from those
estimates.
A) Security valuation For all funds other than Putnam VT Money Market
Fund, investments for which market quotations are readily available are
stated at market value, which is determined using the last reported sale
price on the principal market on which such securities are traded, or,
if no sales are reported-as in the case of some securities traded over-
the-counter-the last reported bid price. Securities quoted in foreign
currencies are translated into U.S. dollars at the current exchange
rate. Short-term investments having remaining maturities of 60 days or
less are stated at amortized cost, which approximates market value.
Other investments, including restricted securities, are stated at fair
value following procedures approved by the Trustees. Market quotations
are not considered to be readily available for certain debt obligations
bonds and notes; such investments are stated at fair value on the basis
of valuations furnished by a pricing service, approved by the Trustees,
or dealers which determine valuations for normal, institutional-size
trading units of such securities using methods based on market
transactions for comparable securities and variable relationships
between securities that are generally recognized by institutional
traders. (See Sections F and G with respect to the valuation of forward
currency contracts, futures and options).
The valuation of Putnam VT Money Market Fund's portfolio is determined
by means of the amortized cost method, which approximates market value,
as set forth in Rule 2a-7 under the Investment Company Act of 1940. The
amortized cost of an instrument is determined by valuing it at cost
originally and thereafter amortizing any discount or premium from its
face value at a constant rate until maturity.
B) Joint trading account Pursuant to an exemptive order issued by the
Securities and Exchange Commission, each fund may transfer uninvested
cash balances into a joint trading account along with the cash of other
registered investment companies and certain other accounts managed by
Putnam Investment Management, Inc. ("Putnam Management"), the fund's
Manager, a wholly-owned subsidiary of Putnam Investments, Inc. These
balances may be invested in one or more repurchase agreements and/or
short-term money market instruments.
C) Repurchase agreements The funds, or any joint trading account,
through its custodian, receives delivery of the underlying securities,
the market value of which at the time of purchase is required to be in
an amount at least equal to the resale price, including accrued
interest. Collateral for certain tri-party repurchase 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 bonds, stepped-coupon bonds and payment in kind bonds are
accreted according to the yield-to-maturity basis. Any premium resulting
from the purchase of stepped-coupon bonds is amortized on a yield-to-
maturity basis.
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 realized
exchange gains or losses on closed forward currency contracts,
disposition of foreign currencies and the difference between the amount
of investment income and foreign withholding taxes recorded on the
Trust's books and the U.S. dollar equivalent amounts actually received
or paid. Net unrealized appreciation and depreciation of assets and
liabilities in foreign currencies arise from changes in the value of
open forward currency contracts and assets and liabilities other than
investments at the period end, resulting from changes in the exchange
rate.
F) Forward currency contracts Each fund (except Putnam VT Money Market
Fund) may engage in forward currency contracts, which are agreements
between two parties to buy and sell currencies at a set price on a
future date, to protect against a decline in value relative to the U.S.
dollar of the currencies in which its portfolio securities are
denominated or quoted (or an increase in the value of a currency in
which securities a fund intends to buy are denominated, when a fund
holds cash reserves and short-term investments). The U.S. dollar value
of forward currency contracts is determined using current forward
currency exchange rates supplied by a quotation service. The market
value of the contract will fluctuate with changes in currency exchange
rates. The contract is "marked to market" daily and the change in market
value is recorded as an unrealized gain or loss. When the contract is
closed, the fund records a realized gain or loss equal to the difference
between the value of the contract at the time it was opened and the
value at the time it was closed. The fund could be exposed to risk if
the value of the currency changes unfavorably, if the counterparties to
the contracts are unable to meet the terms of their contracts or if the
fund is unable to enter into a closing position.
G) Futures and options contracts Each fund (other than Putnam VT High
Yield Fund and Putnam VT Money Market Fund) may use futures and options
contracts to hedge against changes in the values of securities the fund
owns or expects to purchase. Each fund may also write options on
securities it owns or in which it may invest to increase its current
returns.
The potential risk to each fund is that the change in value of futures
and options contracts may not correspond to the change in value of the
hedged instruments. In addition, losses may arise from changes in the
value of the underlying instruments, if there is an illiquid secondary
market for the contracts, or if the counterparty to the contract is
unable to perform. When the contract is closed, the fund records a
realized gain or loss equal to the difference between the value of the
contract at the time it was opened and the value at the time it was
closed. Realized gains and losses on purchased options are included in
realized gains and losses on investment securities.
Futures contracts are valued at the quoted daily settlement prices
established by the exchange on which they trade. Exchange traded options
are valued at the last sale price, or if no sales are reported, the last
bid price for purchased options and the last ask price for written
options. Options traded over-the-counter are valued using prices
supplied by dealers.
H) Swap contracts Putnam VT Global Growth Fund and Putnam VT
International New Opportunities Fund may engage in swap agreements,
which are an agreement to exchange the return generated by one
instrument for the return generated by another instrument. The fund may
enter into equity swap agreements, to manage its exposure to equity
markets, which involve a commitment by one party to pay interest in
exchange for a market linked return based on a notional amount. To the
extent that the total return of the security or index underlying the
transaction exceeds or falls short of the offsetting interest rate
obligation, the fund will receive a payment from or make a payment to
the counterparty, respectively. Equity swaps are marked to market daily
based upon quotations from market makers and the change, if any, is
recorded as unrealized gain or loss. Payments received or made at the
end of the measurement period are recorded as realized gains or losses.
The fund could be exposed to credit or market risk due to unfavorable
changes in the fluctuation of interest rates or in the price of the
underlying security or index, the possibility that there is no liquid
market for these agreements or that the counterparty may default on its
obligation to perform.
I) TBA purchase commitments Each fund, (except for Putnam VT Money
Market Fund), may enter into "TBA" (to be announced) purchase
commitments to purchase securities for a fixed unit price at a future
date beyond customary settlement time. Although the unit price has been
established, the principal value has not been finalized. However, the
amount of the commitments will not fluctuate more than 1.0% from the
principal amount. The fund holds, and maintains until settlement date,
cash or high-grade debt obligations in an amount sufficient to meet the
purchase price, or the fund may enter into offsetting contracts for the
forward sale of other securities it owns. Income on the securities will
not be earned until settlement date. TBA purchase commitments may be
considered securities in themselves, and involve a risk of loss if the
value of the security to be purchased declines prior to the settlement
date, which risk is in addition to the risk of decline in the value of
the fund's other assets. Unsettled TBA purchase commitments are valued
at the current market value of the underlying securities, according to
the procedures described under "Security valuation" above.
Although a fund will generally enter into TBA purchase commitments with
the intention of acquiring securities for their portfolio or for
delivery pursuant to options contracts it has entered into, the fund may
dispose of a commitment prior to settlement if Putnam Management deems
it appropriate to do so.
J) TBA sale commitments Each fund, (except for Putnam VT Money Market
Fund), may enter into TBA sale commitments to hedge its portfolio
positions or to sell mortgage-backed securities it owns under delayed
delivery arrangements. Proceeds of TBA sale commitments are not received
until the contractual settlement date. During the time a TBA sale
commitment is outstanding, equivalent deliverable securities, or an
offsetting TBA purchase commitment deliverable on or before the sale
commitment date, are held as "cover" for the transaction.
Unsettled TBA sale commitments are valued at the current market value of
the underlying securities, generally according to the procedures
described under "Security valuation" above. The contract is "marked-to-
market" daily and the change in market value is recorded by the fund as
an unrealized gain or loss. If the TBA sale commitment is closed through
the acquisition of an offsetting purchase commitment, the fund realizes
a gain or loss. If the fund delivers securities under the commitment,
the fund realizes a gain or a loss from the sale of the securities based
upon the unit price established at the date the commitment was entered
into.
K) Line of credit All funds, (except Putnam VT Money Market Fund, Putnam
VT Research Fund and Putnam VT Small Cap Value Fund), have entered into
a committed line of credit with certain banks. This line of credit
agreement includes restrictions that the fund maintain an asset coverage
ratio of at least 300% and borrowings must not exceed prospectus
limitations. For the six months ended June 30, 1999, the funds had no
borrowings against the line of credit.
L) Federal income taxes Each fund of the Trust is created as a separate
entity for federal income tax purposes. It is the policy of each fund to
distribute all of its taxable income within the prescribed time and
otherwise comply with the provisions of the Internal Revenue Code
applicable to regulated investment companies. Therefore, no provision
has been made for federal taxes on income, capital gains or unrealized
appreciation on securities held and for excise tax on income and capital
gains.
At December 31, 1998 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
9,139,000 December 31, 2005
24,738,000 December 31, 2006
Putnam VT Diversified
Income Fund 17,454,000 December 31, 2004
Putnam VT Health
Sciences Fund 3,580,000 December 31, 2006
Putnam VT High
Yield Fund 19,270,000 December 31, 2006
Putnam VT International
Growth Fund 3,461,653 December 31, 2006
Putnam VT International
New Opportunities
Fund 1,359,000 December 31, 2005
10,838,000 December 31, 2006
Putnam VT Investors
Fund 7,569,000 December 31, 2006
Putnam VT OTC &
Emerging Growth Fund 1,801,000 December 31, 2006
Putnam VT Vista Fund 817,000 December 31, 2005
12,305,000 December 31, 2006
- ------------------------------------------------------------------------
These capital loss carryovers may be used to offset realized gains, if any.
M) Distributions to shareholders Distributions to shareholders from net
investment income are recorded by each fund on the ex-dividend date.
Capital gain distributions, if any, are recorded on the ex-dividend date
and paid at least annually. The amount and character of income and gains
to be distributed are determined in accordance with income tax
regulations which may differ from generally accepted accounting
principles. Reclassifications are made to the fund's capital accounts to
reflect income and gains available for distribution (or available
capital loss carryovers) under income tax regulations.
N) Expenses of the Trust Expenses directly charged or attributable to
any fund will be paid from the assets of that fund. Generally, expenses
of the Trust will be allocated among and charged to the assets of each
fund on a basis that the Trustees deem fair and equitable, which may be
based on the relative assets of each fund or the nature of the services
performed and relative applicability to each fund.
O) Beneficial Interest At June 30, 1999, insurance companies or their
separate accounts were record owners of all but a de minimis number of
the shares of each fund. From 76.7% to almost 100% of each fund is owned
by accounts of one group of insurance companies.
<TABLE>
<CAPTION>
NOTE 2
MANAGEMENT FEE, ADMINISTRATIVE SERVICES,
AND OTHER TRANSACTIONS
Compensation of Putnam Management, for management and investment advisory services is paid quarterly based on
the average net assets of the funds. The following summarizes the management fee rates in effect at June 30, 1999:
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,
Putnam VT Small Cap Value Fund 0.60% of the next $5 billion,
0.575% of the next $5 billion,
0.555% of the next $5 billion,
0.54% of the next $5 billion,
and 0.53% thereafter.
.......................................................................................................................
Putnam VT Global Growth Fund 0.60% of average net assets.
.......................................................................................................................
Putnam VT Money Market Fund 0.45% of first $500 million of average net assets,
0.35% of the next $500 million,
0.30% of the next $500 million,
0.25% of the next $5 billion,
0.225% of the next $5 billion,
0.205% of the next $5 billion,
0.19% of the next $5 billion,
and 0.18% thereafter.
.......................................................................................................................
Putnam VT The George Putnam Fund of Boston 0.65% of first $500 million of average net assets,
Putnam VT Growth and Income Fund 0.55% of the next $500 million,
Putnam VT Income Fund 0.50% of the next $500 million,
Putnam VT Investors Fund 0.45% of the next $5 billion,
Putnam VT Research Fund 0.425% of the next $5 billion,
Putnam VT Vista Fund 0.405% of the next $5 billion,
0.39% of the next $5 billion,
and 0.38% thereafter.
.......................................................................................................................
Putnam VT Diversified Income Fund 0.70% of first $500 million of average net assets,
Putnam VT Global Asset Allocation Fund 0.60% of the next $500 million,
Putnam VT Health Sciences Fund 0.55% of the next $500 million,
Putnam VT High Yield Fund 0.50% of the next $5 billion,
Putnam VT New Opportunities Fund 0.475% of the next $5 billion,
Putnam VT New Value Fund 0.455% of the next $5 billion,
Putnam VT OTC & Emerging Growth Fund 0.44% of the next $5 billion,
Putnam VT Utilities Growth and Income Fund and 0.43% thereafter.
Putnam VT Voyager Fund
.......................................................................................................................
Putnam VT International New Opportunities Fund* 1.20% of the first $500 million of average net assets,
1.10% of the next $500 million,
1.05% of the next $500 million,
1.00% of the next $5 billion.
0.975% of the next $5 billion,
0.955% of the next $5 billion,
0.94% of the next $5 billion,
and 0.93% thereafter.
- -----------------------------------------------------------------------------------------------------------------------
*On June 4, 1999, the Trustees approved the following management fee rates to be effective July 1, 1999: 1.00% of the
first $500 million of average net assets, 0.90% of the next $500 million, 0.85% of the next $500 million, 0.80% of the
next $5 billion, 0.775% of the next $5 billion, 0.755% of the next $5 billion, 0.74% of the next $5 billion, and 0.73%
thereafter.
</TABLE>
Putnam Management has voluntarily agreed to limit expenses of Putnam VT
The George Putnam Fund of Boston, Putnam VT OTC & Emerging Growth Fund
and Putnam VT Research Fund to an annual rate of 0.85%, 0.90% and 0.85%,
respectively of the fund's average daily net assets. The fund's expenses
subject to this limitation are exclusive of brokerage, interest, taxes,
insurance, amortization of deferred organization expenses, extraordinary
expenses, payments under the funds' distribution plan with respect to
class IB shares and credits from Putnam Fiduciary Trust Company
("PFTC"), a subsidiary of Putnam Investments, Inc., if any. The
limitations for Putnam VT The George Putnam Fund of Boston, Putnam VT
OTC & Emerging Growth Fund and Putnam VT Research Fund will expire on
July 31, 1999, December 31, 1999 and December 31, 1999 respectively.
As part of the custodian contract between the subcustodian bank and
PFTC, the subcustodian bank has a lien on the securities of Putnam VT
Asia Pacific Growth Fund, Putnam VT Diversified Income Fund, Putnam VT
Growth and Income Fund, and Putnam VT Voyager Fund to the extent
permitted by the fund's investment restrictions to cover any advances
made by the subcustodian bank for the settlement of securities purchased
by the funds. At June 30, 1999, 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 fund and
their staff who provide administrative services to the fund. The
aggregate amount of all such reimbursements is determined annually by
the Trustees.
Custodial functions for the fund's assets are provided by PFTC. Investor
servicing agent functions are provided by Putnam Investor Services, a
division of PFTC.
For the six months ended June 30, 1999, each fund's expenses were
reduced by the following amounts under expense offset arrangements with
PFTC and brokerage service arrangements.
Putnam VT Asia Pacific Growth Fund $ 2,341
Putnam VT Diversified Income Fund 17,817
Putnam VT The George Putnam Fund of Boston 11,296
Putnam VT Global Asset Allocation Fund 44,768
Putnam VT Global Growth Fund 35,967
Putnam VT Growth and Income Fund 534,038
Putnam VT Health Sciences Fund 2,149
Putnam VT High Yield Fund 20,722
Putnam VT Income Fund 71,953
Putnam VT International Growth Fund 20,193
Putnam VT International Growth and Income Fund 4,076
Putnam VT International New Opportunities Fund 3,998
Putnam VT Investors Fund 4,872
Putnam VT Money Market Fund --
Putnam VT New Opportunities Fund 108,183
Putnam VT New Value Fund 25,438
Putnam VT OTC & Emerging Growth Fund 724
Putnam VT Research Fund 2,627
Putnam VT Small Cap Value Fund 172
Putnam VT Utilities Growth and Income Fund --
Putnam VT Vista Fund 3,469
Putnam VT Voyager Fund 169,990
Investor servicing and custodian fees reported in the Statement of
operations exclude these credits. Each fund could have invested a
portion of these assets utilized in connection with the expense offset
arrangements in an income producing asset if it had not entered into
such arrangements.
Each Trustee of the fund receives an annual Trustee fee, of which
$25,290 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
invested in certain Putnam funds until distribution in accordance with
the Deferral Plan.
Each fund has adopted an unfunded noncontributory defined benefit
pension plan (the "Pension Plan") covering all Trustees of the fund who
have served as Trustee for at least five years. Benefits under the
Pension Plan are equal to 50% of the Trustee's average total retainer
and meeting fees for the three years preceding retirement. Pension
expense for the fund is included in Compensation of trustees in the
Statement of operations. Accrued pension liability is included in
Payable for compensation of Trustees in the Statement of assets and
liabilities.
Each fund has adopted a distribution plan (the "Plan") with respect to
its class IB shares, pursuant to Rule 12b-1 under the Investment Company
Act of 1940. The purpose of the Plan is to compensate Putnam Mutual
Funds Corp., a wholly-owned subsidiary of Putnam Investments, Inc., for
services provided and expenses incurred by it in distributing shares of
the fund. The Plan provides for payment by the fund to Putnam Mutual
Funds Corp. at an annual rate of up to 0.35% of the fund's average net
assets. The Trustees currently limit payment by the fund to an annual
rate of 0.15% of the average net assets.
<TABLE>
<CAPTION>
NOTE 3
PURCHASES AND SALES OF SECURITIES
During the six months ended June 30, 1999, purchases and sales of investment securities (other than short-term
investments) were as follows:
U.S. Government
Obligations Other Securities
- --------------------------------------------------------------------------------------------------------------------------
Purchases Sales Purchases Sales
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund $ -- $ -- $ 103,885,346 $ 91,213,988
Putnam VT Diversified Income Fund 175,741,942 135,182,606 220,858,641 240,540,279
Putnam VT The George Putnam Fund of Boston 119,516,589 108,976,039 157,838,003 61,456,924
Putnam VT Global Asset Allocation Fund 52,757,892 80,016,821 686,967,868 700,566,878
Putnam VT Global Growth Fund -- -- 1,630,418,560 1,692,647,500
Putnam VT Growth and Income Fund -- -- 3,113,301,572 3,063,235,563
Putnam VT Health Sciences Fund -- -- 156,523,771 87,298,765
Putnam VT High Yield Fund -- -- 318,797,683 301,129,442
Putnam VT Income Fund 844,977,508 831,297,616 454,342,654 378,909,714
Putnam VT International Growth Fund -- -- 397,919,056 355,400,668
Putnam VT International Growth and Income Fund -- -- 158,437,244 166,007,797
Putnam VT International New Opportunities Fund -- -- 197,532,185 202,386,851
Putnam VT Investors Fund -- -- 429,333,516 156,252,525
Putnam VT New Opportunities Fund -- -- 1,761,602,081 1,681,774,084
Putnam VT New Value Fund -- -- 140,413,015 131,907,623
Putnam VT OTC & Emerging Growth Fund -- -- 48,552,645 31,501,902
Putnam VT Research Fund -- -- 87,622,521 39,070,788
Putnam VT Small Cap Value Fund -- -- 5,191,185 683,305
Putnam VT Utilities Growth and Income Fund -- -- 141,408,951 100,681,348
Putnam VT Vista Fund -- -- 292,040,099 263,084,460
Putnam VT Voyager Fund -- -- 2,741,381,754 2,848,713,216
Putnam VT Money Market Fund: Purchases and sales (including maturities) of investment securities
(all short-term obligations) aggregated $5,933,638,473 and $5,853,661,196, respectively.
In determining net gain or loss on securities sold, the cost of securities has been determined on the identified
cost basis.
</TABLE>
<TABLE>
<CAPTION>
NOTE 4
CAPITAL SHARES
At June 30, 1999, there was an unlimited number of shares of beneficial interest authorized. Transactions in capital shares
were as follows:
Six months ended June 30 Year ended December 31
- --------------------------------------------------------------------------------------------------------------------------------
Class IA 1999 1998
- --------------------------------------------------------------------------------------------------------------------------------
Shares Amount Shares Amount
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
Shares sold 11,644,640 $110,354,237 14,515,839 $121,743,149
Shares issued in connection with reinvestment of distributions -- -- 522,362 4,643,577
................................................................................................................................
11,644,640 110,354,237 15,038,201 126,386,726
Shares repurchased (9,873,443) (92,791,760) (16,420,839) (137,629,809)
................................................................................................................................
Net increase (decrease) 1,771,197 $17,562,477 (1,382,638) $(11,243,083)
................................................................................................................................
Putnam VT Diversified Income Fund
Shares sold 1,181,092 $12,023,605 8,709,460 $94,044,101
Shares issued in connection with reinvestment of distributions 4,725,338 46,355,564 3,487,558 38,015,120
................................................................................................................................
5,906,430 58,379,169 12,197,018 132,059,221
Shares repurchased (2,855,194) (29,120,749) (2,147,661) (22,878,046)
................................................................................................................................
Net increase 3,051,236 $29,258,420 10,049,357 $109,181,175
................................................................................................................................
Putnam VT Global Asset Allocation Fund
Shares sold 123,608 $2,103,552 1,663,813 $30,691,597
Shares issued in connection with reinvestment of distributions 4,223,539 75,056,782 6,281,033 115,445,376
................................................................................................................................
4,347,147 77,160,334 7,944,846 146,136,973
Shares repurchased (3,373,632) (62,415,944) (5,049,801) (83,976,270)
................................................................................................................................
Net increase 973,515 $14,744,390 2,895,045 $62,160,703
................................................................................................................................
Putnam VT Global Growth Fund
Shares sold 2,840,620 $56,849,495 5,476,202 $101,077,420
Shares issued in connection with reinvestment of distributions 9,423,258 179,324,602 15,013,640 270,695,929
................................................................................................................................
12,263,878 236,174,097 20,489,842 371,773,349
Shares repurchased (5,362,624) (106,841,885) (10,353,865) (185,434,709)
................................................................................................................................
Net increase 6,901,254 $129,332,212 10,135,977 $186,338,640
................................................................................................................................
Putnam VT Growth and Income Fund
Shares sold 3,653,378 $105,464,541 20,985,496 $581,667,698
Shares issued in connection with reinvestment of distributions 31,047,267 840,138,933 40,815,316 1,128,875,141
................................................................................................................................
34,700,645 945,603,474 61,800,812 1,710,542,839
Shares repurchased (8,948,032) (257,998,177) (10,426,008) (265,941,519)
................................................................................................................................
Net increase 25,752,613 $687,605,297 51,374,804 $1,444,601,320
................................................................................................................................
Putnam VT High Yield Fund
Shares sold 5,669,190 $65,031,911 18,556,404 $235,392,170
Shares issued in connection with reinvestment of distributions 10,147,537 109,086,026 7,489,969 97,294,708
................................................................................................................................
15,816,727 174,117,937 26,046,373 332,686,878
Shares repurchased (9,894,604) (112,608,710) (13,073,429) (164,448,561)
................................................................................................................................
Net increase 5,922,123 $61,509,227 12,972,944 $168,238,317
................................................................................................................................
Putnam VT Income Fund
Shares sold 5,124,909 $68,515,895 17,955,653 $240,755,061
Shares issued in connection with reinvestment of distributions 5,595,010 71,112,554 3,409,652 43,984,534
................................................................................................................................
10,719,919 139,628,449 21,365,305 284,739,595
Shares repurchased (2,523,242) (32,841,632) (7,327,772) (97,430,466)
................................................................................................................................
Net increase 8,196,677 $106,786,817 14,037,533 $187,309,129
................................................................................................................................
Putnam VT International Growth Fund
Shares sold 9,522,993 $136,690,539 21,731,822 $278,376,472
Shares issued in connection with reinvestment of distributions -- -- 77,443 1,035,088
................................................................................................................................
9,522,993 136,690,539 21,809,265 279,411,560
Shares repurchased (7,089,923) (101,487,495) (11,524,363) (145,094,826)
................................................................................................................................
Net increase 2,433,070 $35,203,044 10,284,902 $134,316,734
................................................................................................................................
Putnam VT International Growth and Income Fund
Shares sold 14,188,743 $183,575,854 21,724,405 $270,979,799
Shares issued in connection with reinvestment of distributions -- -- 1,155,897 13,858,891
................................................................................................................................
14,188,743 183,575,854 22,880,302 284,838,690
Shares repurchased (13,341,042) (172,427,808) (15,879,232) (196,633,807)
................................................................................................................................
Net increase 847,701 $11,148,046 7,001,070 $88,204,883
................................................................................................................................
Putnam VT International New Opportunities Fund
Shares sold 10,421,618 $129,253,850 12,231,470 $132,101,452
Shares issued in connection with reinvestment of distributions 4,699 57,846 20,301 235,886
................................................................................................................................
10,426,317 129,311,696 12,251,771 132,337,338
Shares repurchased (10,282,498) (127,563,552) (11,210,273) (121,386,304)
................................................................................................................................
Net increase 143,819 $1,748,144 1,041,498 $10,951,034
................................................................................................................................
Putnam VT Money Market Fund*
Shares sold -- $858,171,597 -- $1,326,313,560
Shares issued in connection with reinvestment of distributions -- 14,788,406 -- 25,507,476
................................................................................................................................
-- 872,960,003 -- 1,351,821,036
Shares repurchased -- (795,731,214) -- (1,162,240,098)
................................................................................................................................
Net increase -- $77,228,789 -- $189,580,938
................................................................................................................................
Putnam VT New Opportunities Fund
Shares sold 11,899,153 $320,948,050 27,436,458 $623,952,044
Shares issued in connection with reinvestment of distributions 1,894,687 51,876,522 1,675,396 40,377,073
................................................................................................................................
13,793,840 372,824,572 29,111,854 664,329,117
Shares repurchased (8,108,158) (218,101,983) (13,491,638) (296,850,106)
................................................................................................................................
Net increase 5,685,682 $154,722,589 15,620,216 $367,479,011
................................................................................................................................
Putnam VT New Value Fund
Shares sold 2,132,360 $28,300,128 4,966,193 $58,040,751
Shares issued in connection with reinvestment of distributions 346,721 4,313,207 749,867 8,994,613
................................................................................................................................
2,479,081 32,613,335 5,716,060 67,035,364
Shares repurchased (1,591,821) (19,957,103) (1,068,232) (11,996,883)
................................................................................................................................
Net increase 887,260 $12,656,232 4,647,828 $55,038,481
................................................................................................................................
Putnam VT Utilities Growth and Income Fund
Shares sold 1,635,165 $27,489,600 7,091,793 $119,907,018
Shares issued in connection with reinvestment of distributions 3,590,592 57,559,773 4,068,620 68,230,944
................................................................................................................................
5,225,757 85,049,373 11,160,413 188,137,962
Shares repurchased (2,356,993) (40,072,402) (3,313,634) (55,299,872)
................................................................................................................................
Net increase 2,868,764 $44,976,971 7,846,779 $132,838,090
................................................................................................................................
Putnam VT Vista Fund
Shares sold 2,239,426 $34,588,794 8,782,307 $117,572,026
Shares issued in connection with reinvestment of distributions -- -- -- --
................................................................................................................................
2,239,426 34,588,794 8,782,307 117,572,026
Shares repurchased (798,735) (12,161,747) (1,468,312) (18,868,164)
................................................................................................................................
Net increase 1,440,691 $22,427,047 7,313,995 $98,703,862
................................................................................................................................
Putnam VT Voyager Fund
Shares sold 3,850,712 $177,914,031 11,171,124 $472,514,985
Shares issued in connection with reinvestment of distributions 11,992,310 532,938,727 7,074,700 299,542,818
................................................................................................................................
15,843,022 710,852,758 18,245,824 772,057,803
Shares repurchased (3,681,448) (169,366,651) (7,792,260) (317,254,923)
................................................................................................................................
Net increase 12,161,574 $541,486,107 10,453,564 $454,802,880
................................................................................................................................
<CAPTION>
For the period
For the April 30, 1998
six months ended (commencement of operations)
June 30 to December 31
- --------------------------------------------------------------------------------------------------------------------------------
Class IA 1999 1998
- --------------------------------------------------------------------------------------------------------------------------------
Shares Amount Shares Amount
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT The George Putnam Fund of Boston
Shares sold 10,893,879 $114,977,377 10,809,311 $106,347,285
Shares issued in connection with reinvestment of distributions 24,232 251,289 88,215 909,452
................................................................................................................................
10,918,111 115,228,666 10,897,526 107,256,737
Shares repurchased (935,012) (9,676,796) (83,984) (839,455)
................................................................................................................................
Net increase 9,983,099 $105,551,870 10,813,542 $106,417,282
................................................................................................................................
Putnam VT Health Sciences Fund
Shares sold 6,985,059 $73,010,452 12,220,083 $120,760,740
Shares issued in connection with reinvestment of distributions -- -- 11,140 116,406
................................................................................................................................
6,985,059 73,010,452 12,231,223 120,877,146
Shares repurchased (384,249) (3,947,511) (147,346) (1,374,766)
................................................................................................................................
Net increase 6,600,810 $69,062,941 12,083,877 $119,502,380
................................................................................................................................
Putnam VT Investors Fund
Shares sold 22,552,209 $272,964,112 21,117,159 $215,592,502
Shares issued in connection with reinvestment of distributions -- -- 26,323 292,030
................................................................................................................................
22,552,209 272,964,112 21,143,482 215,884,532
Shares repurchased (327,101) (3,912,089) (452,016) (4,380,042)
................................................................................................................................
Net increase 22,225,108 $269,052,023 20,691,466 $211,504,490
................................................................................................................................
Putnam VT OTC & Emerging Growth Fund
Shares sold 3,121,750 $33,957,959 3,246,140 $28,933,251
Shares issued in connection with reinvestment of distributions -- -- 1,071 10,506
................................................................................................................................
3,121,750 33,957,959 3,247,211 28,943,757
Shares repurchased (1,666,045) (17,704,234) (665,964) (5,915,549)
................................................................................................................................
Net increase 1,455,705 $16,253,725 2,581,247 $23,028,208
................................................................................................................................
<CAPTION>
For the period
For the September 30, 1998
six months ended (commencement of operations)
June 30 to December 31
- --------------------------------------------------------------------------------------------------------------------------------
Class IA 1999 1998
- --------------------------------------------------------------------------------------------------------------------------------
Shares Amount Shares Amount
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Research Fund
Shares sold 4,357,624 $54,735,269 1,730,005 $18,765,825
Shares issued in connection with reinvestment of distributions 28,015 347,942 2,596 33,716
................................................................................................................................
4,385,639 55,083,211 1,732,601 18,799,541
Shares repurchased (654,752) (8,025,073) (35,497) (388,854)
................................................................................................................................
Net increase 3,730,887 $47,058,138 1,697,104 $18,410,687
................................................................................................................................
<CAPTION>
For the period
April 30, 1999
(commencement of operations)
to June 30
- --------------------------------------------------------------------------------------------------------------------------------
Class IA 1999
- --------------------------------------------------------------------------------------------------------------------------------
Shares Amount
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT Small Cap Value Fund
Shares sold 380,659 $3,980,347
Shares issued in connection with reinvestment of distributions -- --
................................................................................................................................
380,659 3,980,347
Shares repurchased (34,315) (358,287)
................................................................................................................................
Net increase 346,344 $3,622,060
................................................................................................................................
<CAPTION>
For the period
For the April 6, 1998
six months ended (commencement of operations)
June 30 to December 31
- --------------------------------------------------------------------------------------------------------------------------------
Class IB 1999 1998
- --------------------------------------------------------------------------------------------------------------------------------
Shares Amount Shares Amount
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Diversified Income Fund
Shares sold 441,280 $4,438,234 195,858 $2,027,314
Shares issued in connection with reinvestment of distributions 25,386 248,525 -- --
................................................................................................................................
466,666 4,686,759 195,858 2,027,314
Shares repurchased (27,520) (286,908) (8,374) (87,075)
................................................................................................................................
Net increase 439,146 $4,399,851 187,484 $1,940,239
................................................................................................................................
Putnam VT Growth and Income Fund
Shares sold 914,602 $26,341,694 276,080 $7,428,789
Shares issued in connection with reinvestment of distributions 45,279 1,223,895 -- --
................................................................................................................................
959,881 27,565,589 276,080 7,428,789
Shares repurchased (30,580) (906,576) (12,336) (327,114)
................................................................................................................................
Net increase 929,301 $26,659,013 263,744 $7,101,675
................................................................................................................................
Putnam VT International Growth and Income Fund
Shares sold 1,175,028 $15,369,778 608,066 $7,391,930
Shares issued in connection with reinvestment of distributions -- -- 3,639 49,934
................................................................................................................................
1,175,028 15,369,778 611,705 7,441,864
Shares repurchased (980,821) (12,817,649) (536,080) (6,527,805)
................................................................................................................................
Net increase 194,207 $2,552,129 75,625 $914,059
................................................................................................................................
<CAPTION>
For the period
For the April 30, 1998
six months ended (commencement of operations)
June 30 to December 31
- --------------------------------------------------------------------------------------------------------------------------------
Class IB 1999 1998
- --------------------------------------------------------------------------------------------------------------------------------
Shares Amount Shares Amount
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
Shares sold 927,985 $9,031,241 53,802 $429,706
Shares issued in connection with reinvestment of distributions -- -- -- --
................................................................................................................................
927,985 9,031,241 53,802 429,706
Shares repurchased (775,843) (7,521,763) (40,449) (326,640)
................................................................................................................................
Net increase 152,142 $1,509,478 13,353 $103,066
................................................................................................................................
Putnam VT The George Putnam Fund of Boston
Shares sold 727,309 $7,702,185 199,620 $1,968,137
Shares issued in connection with reinvestment of distributions 660 6,847 1,515 15,315
................................................................................................................................
727,969 7,709,032 201,135 1,983,452
Shares repurchased (29,384) (311,063) (14,094) (134,745)
................................................................................................................................
Net increase 698,585 $7,397,969 187,041 $1,848,707
................................................................................................................................
Putnam VT Global Asset Allocation Fund
Shares sold 65,303 $1,201,136 96,750 $1,660,404
Shares issued in connection with reinvestment of distributions 7,463 142,294 -- --
................................................................................................................................
72,766 1,343,430 96,750 1,660,404
Shares repurchased (8,273) (153,415) (27,146) (454,064)
................................................................................................................................
Net increase 64,493 $1,190,015 69,604 $1,206,340
................................................................................................................................
Putnam VT Global Growth Fund
Shares sold 358,280 $7,039,442 42,380 $770,977
Shares issued in connection with reinvestment of distributions 9,961 189,448 -- --
................................................................................................................................
368,241 7,228,890 42,380 770,977
Shares repurchased (139,925) (2,745,673) (1,774) (32,038)
................................................................................................................................
Net increase 228,316 $4,483,217 40,606 $738,939
................................................................................................................................
Putnam VT Health Sciences
Shares sold 329,266 $3,347,914 212,762 $2,141,302
Shares issued in connection with reinvestment of distributions -- -- 150 1,539
................................................................................................................................
329,266 3,347,914 212,912 2,142,841
Shares repurchased (16,597) (170,256) (18,332) (176,015)
................................................................................................................................
Net increase 312,669 $3,177,658 194,580 $1,966,826
................................................................................................................................
Putnam VT High Yield Fund
Shares sold 425,741 $4,856,219 171,952 $2,001,433
Shares issued in connection with reinvestment of distributions 40,106 431,138 -- --
................................................................................................................................
465,847 5,287,357 171,952 2,001,433
Shares repurchased (66,804) (768,247) (14,766) (172,340)
................................................................................................................................
Net increase 399,043 $4,519,110 157,186 $1,829,093
................................................................................................................................
Putnam VT Income Fund
Shares sold 337,394 $4,444,853 179,630 $2,436,861
Shares issued in connection with reinvestment of distributions 24,638 313,149 -- --
................................................................................................................................
362,032 4,758,002 179,630 2,436,861
Shares repurchased (41,176) (532,298) (12,937) (175,621)
................................................................................................................................
Net increase 320,856 $4,225,704 166,693 $2,261,240
................................................................................................................................
Putnam VT International Growth Fund
Shares sold 866,618 $11,565,886 5,852,161 $73,651,911
Shares issued in connection with reinvestment of distributions -- -- 1,921 25,159
................................................................................................................................
866,618 11,565,886 5,854,082 73,677,070
Shares repurchased (643,648) (9,224,818) (5,762,725) (73,161,247)
................................................................................................................................
Net increase 222,970 $2,341,068 91,357 $515,823
................................................................................................................................
Putnam VT International New Opportunities Fund
Shares sold 1,298,173 $16,280,188 108,166 $1,152,171
Shares issued in connection with reinvestment of distributions 1 9 -- --
................................................................................................................................
1,298,174 16,280,197 108,166 1,152,171
Shares repurchased (1,120,249) (14,060,274) (100,761) (1,078,204)
................................................................................................................................
Net increase 177,925 $2,219,923 7,405 $73,967
................................................................................................................................
Putnam VT Investors Fund
Shares sold 989,353 $12,029,582 247,380 $2,485,702
Shares issued in connection with reinvestment of distributions -- -- 235 2,577
................................................................................................................................
989,353 12,029,582 247,615 2,488,279
Shares repurchased (7,582) (92,554) (22,691) (222,226)
................................................................................................................................
Net increase 981,771 $11,937,028 224,924 $2,266,053
................................................................................................................................
Putnam VT Money Market Fund*
Shares sold -- $53,653,529 -- $90,825,384
Shares issued in connection with reinvestment of distributions -- 167,679 -- 74,893
................................................................................................................................
53,821,208 90,900,277
Shares repurchased -- (58,670,968) -- (77,712,330)
................................................................................................................................
Net increase (decrease) -- $(4,849,760) -- $13,187,947
................................................................................................................................
Putnam VT New Opportunities Fund
Shares sold 174,004 $4,713,940 52,748 $1,135,739
Shares issued in connection with reinvestment of distributions 1,526 41,740 -- --
................................................................................................................................
175,530 4,755,680 52,748 1,135,739
Shares repurchased (4,397) (119,712) (570) (12,851)
................................................................................................................................
Net increase 171,133 $4,635,968 52,178 $1,122,888
................................................................................................................................
Putnam VT New Value Fund
Shares sold 154,352 $2,012,833 36,641 $419,909
Shares issued in connection with reinvestment of distributions 1,181 14,678 235 4,743
................................................................................................................................
155,533 2,027,511 36,876 424,652
Shares repurchased (9,461) (121,041) (2,418) (28,990)
................................................................................................................................
Net increase 146,072 $1,906,470 34,458 $395,662
................................................................................................................................
Putnam VT OTC & Emerging Growth Fund
Shares sold 97,815 $1,052,314 60,996 $517,701
Shares issued in connection with reinvestment of distributions -- -- 10 91
................................................................................................................................
97,815 1,052,314 61,006 517,792
Shares repurchased (16,203) (175,354) (7,468) (55,731)
................................................................................................................................
Net increase 81,612 $876,960 53,538 $462,061
................................................................................................................................
Putnam VT Utilities Growth and Income Fund
Shares sold 148,313 $2,543,203 104,468 $1,806,219
Shares issued in connection with reinvestment of distributions 10,029 157,949 -- --
................................................................................................................................
158,342 2,701,152 104,468 1,806,219
Shares repurchased (12,099) (190,387) (5,567) (94,079)
................................................................................................................................
Net increase 146,243 $2,510,765 98,901 $1,712,140
................................................................................................................................
Putnam VT Vista Fund
Shares sold 140,320 $2,186,093 61,163 $755,629
Shares issued in connection with reinvestment of distributions -- -- -- --
................................................................................................................................
140,320 2,186,093 61,163 755,629
Shares repurchased (9,033) (141,226) (3,353) (43,525)
................................................................................................................................
Net increase 131,287 $2,044,867 57,810 $712,104
................................................................................................................................
Putnam VT Voyager Fund
Shares sold 372,256 $17,186,419 98,970 $3,926,028
Shares issued in connection with reinvestment of distributions 17,893 794,492 -- --
................................................................................................................................
390,149 17,980,911 98,970 3,926,028
Shares repurchased (8,414) (395,429) (4,411) (167,486)
................................................................................................................................
Net increase 381,735 $17,585,482 94,559 $3,758,542
................................................................................................................................
<CAPTION>
For the period
For the September 30, 1998
six months ended (commencement of operations)
June 30 to December 31
- --------------------------------------------------------------------------------------------------------------------------------
Class IB 1999 1998
- --------------------------------------------------------------------------------------------------------------------------------
Shares Amount Shares Amount
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Research Fund
Shares sold 203,008 $2,572,310 21,319 $229,977
Shares issued in connection with reinvestment of distributions 553 6,869 23 263
................................................................................................................................
203,561 2,579,179 21,342 230,240
Shares repurchased (14,512) (182,394) (32) (361)
................................................................................................................................
Net increase 189,049 $2,396,785 21,310 $229,879
................................................................................................................................
<CAPTION>
For the period
April 30, 1998
(commencement of operations)
to December 31
- --------------------------------------------------------------------------------------------------------------------------------
Class IB 1999
- --------------------------------------------------------------------------------------------------------------------------------
Shares Amount
- --------------------------------------------------------------------------------------------------------------------------------
Putnam VT Small Cap Value Fund
Shares sold 38,640 $407,252
Shares issued in connection with reinvestment of distributions -- --
................................................................................................................................
38,640 407,252
Shares repurchased (15) (159)
................................................................................................................................
Net increase 38,625 $407,093
................................................................................................................................
*Putnam VT Money Market Fund transactions were at a constant net asset value of $1.00 per share.
</TABLE>
<TABLE>
<CAPTION>
NOTE 5
INITIAL CAPITALIZATION AND OFFERING OF SHARES
The following was established as a series of Putnam Variable Trust, Massachusetts business trusts on April 29, 1999. During the
period April 29, 1999 to April 30, 1999, the following fund had no operations other than those related to organizational matters
including as noted below the initial capital contributions and the issuance of shares for the fund.
Fund name Capital contribution Shares issued
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Class IA
Putnam VT Small Cap Value Fund $999,000 99,900
Class IB
Putnam VT Small Cap Value Fund $1,000 100
The following were established as a series of Putnam Variable Trust, Massachusetts business trusts on April 29, 1998. During the
period April 29, 1998 to April 30, 1998, the following funds had no operations other than those related to organizational matters
including as noted below the initial capital contributions and the issuance of shares for each fund.
Fund name Capital contribution Shares issued
- --------------------------------------------------------------------------------------------------------------------------------
Class IA
Putnam VT The George Putnam Fund of Boston $2,000,000 200,000
Putnam VT Health Sciences Fund 2,000,000 200,000
Putnam VT Investors Fund 2,000,000 200,000
Putnam VT OTC & Emerging Growth Fund 2,000,000 200,000
Class IB
Putnam VT The George Putnam Fund of Boston $1,000 100
Putnam VT Health Sciences Fund 1,000 100
Putnam VT Investors Fund 1,000 100
Putnam VT OTC & Emerging Growth Fund 1,000 100
The following was established as a series of Putnam Variable Trust, Massachusetts business trusts on September 29, 1998. During the
period September 29, 1998 to September 30, 1998, the following fund had no operations other than those related to organizational
matters including as noted below the initial capital contributions and the issuance of shares for the fund.
Fund name Capital contribution Shares issued
- --------------------------------------------------------------------------------------------------------------------------------
Class IA
Putnam VT Research Fund $1,999,000 199,900
Class IB
Putnam VT Research Fund $1,000 100
</TABLE>
[THIS PAGE INTENTIONALLY LEFT BLANK]
Putnam
Variable
Trust
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
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,
George Putnam, III, A.J.C. Smith,
W. Thomas Stephens, W. Nicholas Thorndike
53979 8/99
PUTNAM INVESTMENTS
This report has been prepared for the shareholders of Putnam Variable
Trust. It is not authorized for other distribution unless preceded or
accompanied by an effective prospectus that describes the trust's
policies, charges, and other matters of interest for the prospective
investor.
