Putnam
Hartford
Capital
Manager
variable
annuity
Putnam
Hartford
Capital
Manager
Trust
variable
life
Putnam
Hartford
Capital
Access
variable
annuity
[HARTFORD LOGO OMITTED]
annual
report
DECEMBER 31, 1998
[SCALE LOGO OMITTED]
To the contract-holders and policy-owners of
Putnam Capital Manager Trust Separate Accounts
The year just ended was one of unusual contrasts. As resurgent financial and
political instability swept through many of the world's developing nations,
global capital markets experienced an unusual level of volatility. As is
often the case, this volatility brought opportunity, which Putnam portfolio
managers and analysts sought to exploit in an effort to maximize the
performance of each portfolio. Among both the world's equity and fixed-
income markets, the U.S. markets once again commanded the lead during 1998.
EQUITIES
* United States Low inflation, moderate economic growth, three Federal
Reserve Board rate cuts, an apparent absence of repercussions from the
presidential crisis and Middle East military action, and nascent signs of an
Asian economic comeback propelled U.S. equities to another stellar year.
Although plagued by substantial volatility, particularly over the summer,
the stock market finished with a rally. Large-cap stocks continued to lead,
with growth outpacing value. Technology and retail stocks were the big
winners, with energy and basic materials lagging behind.
* Europe The core markets of Western Europe gained nearly 50% during the
first six months of the year only to see those gains entirely whittled away
by the first weeks of October. While the markets rebounded somewhat during
the fourth quarter, European equities have not fully recovered and thus
continue to offer attractive valuations. Although the transition to Europe's
new Economic and Monetary Union may bring along some volatility, we believe
European stock markets are poised for solid performance in the coming year.
* Pacific Rim After hobbling along toward recovery in the early months of
1998, Asian stock markets plunged once again over the summer as financial
instability spread to Russia and Latin America. Also at that time, investors
renewed their focus on the inability of the Japanese government to resolve
that nation's economic recession and banking crisis. Asian markets,
including Japan's, began to rebound in the fourth quarter of 1998. By then
Japan had begun the process of recovery and central banks in a number of
countries including the United States put forth accommodative interest-rate
cuts in response to signs of economic slowdown.
FIXED INCOME
* United States After weathering quite a bit of volatility, the U.S. fixed-
income market finished the year on solid footing. The most action came
during the third quarter, when international investors fairly galloped
toward the perceived safety of U.S. Treasury bonds in the wake of renewed
instability in Asia, Russia, and other emerging markets. The global flight
to safety drove Treasury yields to their lowest levels in modern history,
while prices on mortgage-backed, corporate, high-yield, and other fixed-
income investments dropped precipitously. By year's end, the U.S. bond
market was fairly valued and, with world economies slowing, we believe U.S.
bonds remain an attractive investment for 1999.
* Global Most of the world's bond markets enjoyed relatively favorable
conditions of low inflation and low interest rates over the period. Many
governments exhibited signs of fiscal responsibility, and when global
economic growth threatened to slow unacceptably, central banks attempted to
stimulate growth through interest-rate cuts. The effect was positive and
bond markets in the United States, Europe, the United Kingdom, Japan,
Australia, and North America posted positive returns for the year. In the
final quarter of 1998, European markets were the star performers, with
peripheral markets doing especially well. Japan's market declined sharply,
and the U.S. market was stagnant as investors sold positions taken during
the prior quarter's flight to quality.
* High Yield Despite a favorable backdrop of ongoing U.S. economic strength
and low inflation, the high-yield market took a significant hit during the
summer. Signs of recession overseas, an unexpectedly weak U.S. employment
report, lower-than-expected corporate earnings forecasts, Russia's financial
collapse, and broad-based selling of high-yield debt by distressed hedge
funds to meet margin calls created a sky-is-falling atmosphere. In response,
investors stampeded out of just about any fixed-income security that
involved credit risk. During the fourth quarter, however, the high-yield
bond market began to recover as investors began to increase their appetite
for risk. Top-performing industries included forest products/containers,
telecommunications and media, and food/tobacco.
The views expressed here are exclusively those of Putnam Management. They
are not meant as investment advice.
<TABLE>
SUB-ACCOUNT PERFORMANCE SUMMARY
- ------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Total return at unit value
(as of 12/31/98) Five years 10 years
Putnam Capital Manager 1 year Cumulative Annualized Cumulative Annualized
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Asia Pacific Growth -6.80% --% --% --% --%
........................................................................................................................
Diversified Income -2.74 22.58 4.16 -- --
........................................................................................................................
The George Putnam Fund of Boston -- -- -- -- --
........................................................................................................................
Global Asset Allocation 11.95 78.10 12.24 186.92 11.12
........................................................................................................................
Global Growth 27.91 85.67 13.17 -- --
........................................................................................................................
Growth and Income 13.81 123.47 17.45 284.59 14.42
........................................................................................................................
Health Sciences -- -- -- -- --
........................................................................................................................
High Yield -7.17 32.71 5.82 123.48 8.37
........................................................................................................................
International Growth 17.05 -- -- -- --
........................................................................................................................
International Growth and Income 9.73 -- -- -- --
........................................................................................................................
International New Opportunities 13.97 -- -- -- --
........................................................................................................................
Investors -- -- -- -- --
........................................................................................................................
Money Market 3.74 18.85 3.51 47.14 3.94
........................................................................................................................
New Opportunities 22.65 -- -- -- --
........................................................................................................................
New Value 4.78 -- -- -- --
........................................................................................................................
OTC & Emerging Growth -- -- -- -- --
........................................................................................................................
Research -- -- -- -- --
........................................................................................................................
U.S. Government and High Quality Bond 6.75 30.89 5.53 109.91 7.70
........................................................................................................................
Utilities Growth and Income 13.32 92.20 13.96 -- --
........................................................................................................................
Vista 17.82 -- -- -- --
........................................................................................................................
Voyager 22.64 135.56 18.69 445.02 18.48
- ------------------------------------------------------------------------------------------------------------------------
<CAPTION>
SUB-ACCOUNT PERFORMANCE SUMMARY (continued)
- ------------------------------------------------------------------------------------
Total return at unit value
(as of 12/31/98) Life
Putnam Capital Manager Cumulative Annualized
- ------------------------------------------------------------------------------------
<S> <C> <C>
Asia Pacific Growth -14.48%++++ -4.17%
....................................................................................
Diversified Income 24.89+++ 4.29
....................................................................................
The George Putnam Fund of Boston 2.42++++++ --
....................................................................................
Global Asset Allocation 202.56* 10.68
....................................................................................
Global Growth 149.40+ 11.12
....................................................................................
Growth and Income 355.67* 14.91
....................................................................................
Health Sciences 8.49++++++ --
....................................................................................
High Yield 137.42* 8.25
....................................................................................
International Growth 34.03+++++ 15.86
....................................................................................
International Growth and Income 29.22+++++ 13.75
....................................................................................
International New Opportunities 12.26+++++ 5.98
....................................................................................
Investors 14.32++++++ --
....................................................................................
Money Market 53.81* 4.03
....................................................................................
New Opportunities 148.05** 21.47
....................................................................................
New Value 21.51+++++ 10.29
....................................................................................
OTC & Emerging Growth -0.20++++++ --
....................................................................................
Research 24.97*** --
....................................................................................
U.S. Government and High Quality Bond 113.05* 7.18
....................................................................................
Utilities Growth and Income 128.26++ 13.17
....................................................................................
Vista 43.17+++++ 19.76
....................................................................................
Voyager 454.26* 17.00
- ------------------------------------------------------------------------------------
<CAPTION>
SUB-ACCOUNT PERFORMANCE SUMMARY (continued)
Total return at CDSC
(as of 12/31/98) Five years 10 years
Putnam Capital Manager 1 year Cumulative Annualized Cumulative Annualized
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Asia Pacific Growth -11.79% --% --% --% --%
........................................................................................................................
Diversified Income -7.98 18.98 3.54 -- --
........................................................................................................................
The George Putnam Fund of Boston -- -- -- -- --
........................................................................................................................
Global Asset Allocation 6.55 74.50 11.78 186.92 11.12
........................................................................................................................
Global Growth 22.51 82.07 12.73 -- --
........................................................................................................................
Growth and Income 8.41 119.87 17.07 284.59 14.42
........................................................................................................................
Health Sciences -- -- -- -- --
........................................................................................................................
High Yield -12.14 29.11 5.24 123.48 8.37
........................................................................................................................
International Growth 11.65 -- -- -- --
........................................................................................................................
International Growth and Income 4.33 -- -- -- --
........................................................................................................................
International New Opportunities 8.57 -- -- -- --
........................................................................................................................
Investors -- -- -- -- --
........................................................................................................................
Money Market -1.66 15.25 2.88 47.14 3.94
........................................................................................................................
New Opportunities 17.25 -- -- -- --
........................................................................................................................
New Value -0.62 -- -- -- --
........................................................................................................................
OTC & Emerging Growth -- -- -- -- --
........................................................................................................................
Research -- -- -- -- --
........................................................................................................................
U.S. Government and High Quality Bond 1.35 27.29 4.94 109.91 7.70
........................................................................................................................
Utilities Growth and Income 7.92 88.60 13.53 -- --
........................................................................................................................
Vista 12.42 -- -- -- --
........................................................................................................................
Voyager 17.24 131.96 18.33 445.02 18.48
- ------------------------------------------------------------------------------------------------------------------------
<CAPTION>
SUB-ACCOUNT PERFORMANCE SUMMARY (continued)
Total return at CDSC
(as of 12/31/98) Life
Putnam Capital Manager Cumulative Annualized
- ------------------------------------------------------------------------------------
<S> <C> <C>
Asia Pacific Growth -18.26%++++ -5.35%
....................................................................................
Diversified Income 22.19+++ 3.86
....................................................................................
The George Putnam Fund of Boston -2.98++++++ --
....................................................................................
Global Asset Allocation 202.56* 10.68
....................................................................................
Global Growth 149.40+ 11.12
....................................................................................
Growth and Income 355.67* 14.91
....................................................................................
Health Sciences 3.09++++++ --
....................................................................................
High Yield 137.42* 8.25
....................................................................................
International Growth 28.63+++++ 13.49
....................................................................................
International Growth and Income 23.82+++++ 11.33
....................................................................................
International New Opportunities 6.86+++++ 3.39
....................................................................................
Investors 8.92++++++ --
....................................................................................
Money Market 53.81* 4.03
....................................................................................
New Opportunities 144.45** 21.09
....................................................................................
New Value 16.11+++++ 7.79
....................................................................................
OTC & Emerging Growth -5.59++++++ --
....................................................................................
Research 19.57*** --
....................................................................................
U.S. Government and High Quality Bond 113.05* 7.18
....................................................................................
Utilities Growth and Income 126.46++ 13.04
....................................................................................
Vista 37.77+++++ 17.47
....................................................................................
Voyager 454.26* 17.00
- ------------------------------------------------------------------------------------
Past performance is not indicative of future results. This performance summary and the unit value and performance
data included in the following subaccount discussions apply only to Putnam Capital Manager variable annuity
contracts. Performance data for variable life insurance policies are not included.
All total return figures at CDSC are for subaccounts of the Hartford Life Insurance Company Separate Account and
are based on the change in unit value, which reflects expenses, such as account charges and fees applied at the
contract level; figures at CDSC reflect deductions for the applicable contingent deferred sales charge. The CDSC
starts at 6% and declines over 8 years. The underlying mutual funds were active before the effective dates for
other separate accounts. Performance data represent past results, with no adjustments made for taxes on
reinvested distributions payable upon withdrawal. Future unit values and investment returns may vary so an
investor's units, when redeemed, may be worth more or less than their original cost. Performance for other
separate accounts will differ.
* Commencement of operations: 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. The short-term results of a relatively new fund/class, such as these
funds/classes, are not necessarily indicative of their long-term prospects. Expense limitations were in effect
for The George Putnam Fund of Boston, Health Sciences Fund, Investors Fund, and OTC & 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/class, such as
these funds/classes, 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.
</TABLE>
<TABLE>
<CAPTION>
Total return at unit value
(as of 12/31/98) Five years 10 years
Putnam Capital Access 1 year Cumulative Annualized Cumulative Annualized
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Asia Pacific Growth -6.94% --% --% --% --%
........................................................................................................................
Diversified Income -3.06 20.95 3.88 -- --
........................................................................................................................
The George Putnam Fund of Boston -- -- -- -- --
........................................................................................................................
Global Asset Allocation 12.46 77.11 12.11 181.81 10.92
........................................................................................................................
Global Growth 27.72 83.53 12.91 -- --
........................................................................................................................
Growth and Income 13.42 120.47 17.13 274.87 14.13
........................................................................................................................
Health Sciences -- -- -- -- --
........................................................................................................................
High Yield -7.30 31.20 5.58 118.12 8.11
........................................................................................................................
International Growth 16.42 -- -- -- --
........................................................................................................................
International Growth and Income 9.81 -- -- -- --
........................................................................................................................
International New Opportunities 13.70 -- -- -- --
........................................................................................................................
Investors -- -- -- -- --
........................................................................................................................
Money Market 3.61 17.55 3.29 43.77 3.70
........................................................................................................................
New Opportunities 22.35 -- -- -- --
........................................................................................................................
New Value 4.53 -- -- -- --
........................................................................................................................
OTC & Emerging Growth -- -- -- -- --
........................................................................................................................
Research -- -- -- -- --
........................................................................................................................
U.S. Government and High Quality Bond 6.60 29.32 5.28 104.82 7.43
....................................................................................................................................
Utilities Growth and Income 13.17 90.02 13.70 -- --
........................................................................................................................
Vista 17.61 -- -- -- --
........................................................................................................................
Voyager 22.28 132.51 18.38 431.30 18.18
- ------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Total return at unit value (continued)
(as of 12/31/98) Life
Putnam Capital Access Cumulative Annualized
- ------------------------------------------------------------------------------------
<S> <C> <C>
Asia Pacific Growth -15.18%++++ -4.39%
....................................................................................
Diversified Income 23.14+++ 4.01
....................................................................................
The George Putnam Fund of Boston 2.66++++++ --
....................................................................................
Global Asset Allocation 196.43* 10.47
....................................................................................
Global Growth 144.26+ 10.85
....................................................................................
Growth and Income 343.10* 14.62
....................................................................................
Health Sciences 8.09++++++ --
....................................................................................
High Yield 131.18* 7.98
....................................................................................
International Growth 32.99+++++ 15.40
....................................................................................
International Growth and Income 29.01+++++ 13.66
....................................................................................
International New Opportunities 11.73+++++ 5.73
....................................................................................
Investors 15.42++++++ --
....................................................................................
Money Market 49.93* 3.78
....................................................................................
New Opportunities 145.20** 21.17
....................................................................................
New Value 20.92+++++ 10.02
....................................................................................
OTC & Emerging Growth -0.08++++++ --
....................................................................................
Research 24.81*** --
....................................................................................
U.S. Government and High Quality Bond 107.40* 6.91
....................................................................................
Utilities Growth and Income 124.56++ 12.89
....................................................................................
Vista 42.55+++++ 19.50
....................................................................................
Voyager 439.03* 16.70
- ------------------------------------------------------------------------------------
Past performance is not indicative of future results. This performance summary and the unit value and performance
data included in the following subaccount discussions apply only to Putnam Capital Access variable annuity
contracts. Performance data for variable life insurance policies are not included.
* 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. The short-term results of a relatively new fund/class, such as these
funds/classes, are not necessarily indicative of their long-term prospects. Expense limitations were in effect
for The George Putnam Fund of Boston, Health Sciences Fund, Investors Fund, and OTC & 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/class, such as
this fund/class, 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.
</TABLE>
Putnam Asia Pacific Growth
Sub-Account
Many countries in the Pacific Rim continued to experience financial and
political instability over the past year. Nevertheless, there were a few
bright spots, notably Japan, where the government finally implemented some
economic reforms that appear to be taking hold. Korea and Thailand also
showed signs of economic bottoming over the period, even evidencing slight
improvement as the year drew to a close. Since the financial crisis first
hit Asia in mid 1997, we have been repositioning assets to maximize fund
performance. For the 12 months ended December 31, 1998, Putnam Asia
Pacific Growth Sub-Account provided a total return of -6.80% at unit
value.
The fund realized gains from stocks in several markets over the period,
including Australia, Hong Kong, Korea, and Japan. In fact, the Korean
stock market had a startling rebound during 1998 as the Korean chaebols
(conglomerates) began important restructuring programs that entailed
selling unrelated and unprofitable businesses. Korean semiconductor
holdings provided particularly strong returns. These companies benefited
from the same good conditions that supported European computer and
telecommunications producers. The fund also enjoyed substantial gains from
its Korean utility holdings. In Australia, bank holdings provided top
returns.
In Japan, we have been targeting companies that have undertaken reforms to
become more shareholder oriented; at period's end, Japanese holdings
accounted for approximately one-half of the portfolio. Within the Japanese
market, the fund has major positions in semiconductors, pharmaceuticals,
and consumer products. In the pharmaceutical sector, we have focused on
attractively priced stocks with similar growth prospects to their higher-
priced U.S. and European counterparts.
Over the next several months, we will remain watchful of financial and
political developments throughout the region. Although many countries
continue to experience instability, some appear to be on the path to
recovery. As always, we will diversify the portfolio while continuing to
seek those stocks that offer the highest prospects for superior growth.
- --------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- --------------------------------------------------------------------------
PORTFOLIO
Mainly common stocks of companies located in Asia and the Pacific Basin
- --------------------------------------------------------------------------
UNIT VALUE
December 31, 1998 Capital Manager $8.55
Capital Access $10.54
- --------------------------------------------------------------------------
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 Diversified Income
Sub-Account
As financial and political instability in many of the world's developing
nations continued over the 12 months ended December 31, 1998, each of
Putnam Diversified Income Sub-Account's three investment sectors -- U.S.
government and investment grade, foreign, and high yield -- felt the
effects in some manner. Although the markets revived a bit during the last
months of the period, the fund closed the annual period with disappointing
results, with the subaccount posting a total return of -2.74% at unit
value for the 12 months ended December 31, 1998.
For prudent investors, volatility can yield opportunity, and the recent
period was no exception. In order to maximize the portfolio's potential to
outperform the broad fixed-income market over the long term, we continued
to emphasize the so-called spread sectors -- those areas of the fixed-
income market offering the most attractive yields, such as high-yield
bonds, high-grade corporate issues, mortgage-backed securities, and some
emerging-markets debt. This strategy benefited the fund for the most part,
although a dramatic about-face occurred toward the end of the period. The
fund's U.S. Treasury and mortgage-backed securities became the portfolio's
dominant performers as a result of the global flight to quality, while the
high-yield and investment-grade corporate positions experienced a severe
setback. Fortunately, our focus on the core bond markets of Europe helped
provide some much-needed ballast in the wake of capsizing emerging-markets
debt.
In the high-yield market, global investors' sky-is-falling attitude during
the summer effectively eradicated seven years of price gains.
Nevertheless, we are holding firm in the fund's high-yield positioning.
The same forces that pushed Treasury bonds, stocks, and high-yield bonds
higher for most of the period remain in place, and continue to provide
ideal conditions for high-yield investing. Bonds of telecommunications,
broadcasting, cable, and financial services companies remain our primary
high-yield focus.
Among international markets, the fund's European bond positions posted
solid returns. The fund's exposure to emerging-markets, although limited,
hindered returns somewhat. Looking ahead, we remain optimistic about the
fund's positioning and its ability to play to the strongest bond sectors
and de-emphasize those that may be underperforming.
- --------------------------------------------------------------------------
INVESTMENT OBJECTIVE
High current income consistent with preservation of capital
- --------------------------------------------------------------------------
PORTFOLIO
A managed asset allocation portfolio spread across all three sectors of
the bond market -- U.S. government securities, high-yield bonds, and
international instruments
- --------------------------------------------------------------------------
UNIT VALUE
December 31, 1998 Capital Manager $12.49
Capital Access $9.48
- --------------------------------------------------------------------------
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 The George Putnam
Fund of Boston Sub-Account
With stock and bond markets experiencing a great deal of volatility over
the past several months, a conservative strategy and diversified portfolio
once again served Putnam The George Putnam Fund of Boston Sub-Account
well. The fund maintained a classic balanced portfolio combining
undervalued, dividend-paying stocks of companies undergoing positive
change with bonds from the Treasury, mortgage-backed, corporate, and high-
yield debt markets. For the period from April 30, 1998, through December
31, 1998, the subaccount provided a total return of 2.42% at unit value.
As investors grappled with recurrent financial difficulties in Asia,
Russia, and Latin America, the resulting market turmoil of July and August
impacted both stock and bond holdings in the portfolio. The fund's
Treasury holdings provided a shining exception, however, rallying strongly
when international investors shunned risk and flocked to the perceived
safety of these top-quality investments. To minimize the negative impact
on the fund's bond holdings, we reduced corporate and high-yield
positions, which were particularly affected by investors' aversion to
risk. During the market turmoil, the fund's utilities and consumer staples
holdings were top performers. These companies concentrate their operations
in the United States, making them less vulnerable to negative events
abroad.
The fund also benefited from an overall improvement in the performance of
large-capitalization value stocks relative to large-capitalization growth
stocks. While large-cap growth stocks still outpaced their value
counterparts, value stocks closed the gap considerably to turn in solid
performance. Beginning in September, both stock and bond markets began to
recover following three Federal Reserve Board interest-rate cuts. In the
fourth quarter, the fund's stock and bond holdings rallied, with
pharmaceutical stocks among the best performers.
While capital markets may experience additional volatility in the months
ahead, we believe the fund's conservative strategy and balanced portfolio
position it well for a variety of market conditions.
- --------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation and current income
- --------------------------------------------------------------------------
PORTFOLIO
Primarily common stocks and bonds
- --------------------------------------------------------------------------
UNIT VALUE
December 31, 1998 Capital Manager $10.24
Capital Access $10.40
- --------------------------------------------------------------------------
Putnam Global Asset Allocation
Sub-Account
As world financial markets continued to wrestle with the resurgent
financial turmoil in many developing countries, Putnam Global Asset
Allocation Sub-Account demonstrated anew the value of a multifaceted
portfolio. Each of the three portfolios -- growth, balanced, and
conservative -- performed exactly as it was supposed to, providing
investors with a means to undertake well-diversified, all-weather
investment programs. For the 12 months ended December 31, 1998, the
subaccount provided a total return of 11.95% at unit value.
For much of the year, U.S. equities performed extremely well, although in
late summer the market took a decided dip as investors grew skittish about
continued financial and economic turmoil among developing nations. Stocks
recovered as fall wore on, closing out their fourth consecutive year of
sparkling returns. Large-capitalization stocks continued to outpace small-
and mid-cap stocks, and companies whose operations were primarily domestic
fared better than manufacturers and exporters with links to Asia.
Within the U.S. bond market, the global flight to quality drove yields on
Treasuries to their lowest levels in modern history. Corporate bonds,
mortgage-backed securities, and asset-backed securities underperformed
Treasuries by a wide margin, creating an opportunity for us to take
advantage of these attractively priced sectors to position the portfolio
for the future. By year's end, these securities had begun to recover.
International markets bore the brunt of the global correction, with stock
markets in the Pacific Rim faring particularly poorly. The portfolio had
minimal exposure in the region, although South Korea, Hong Kong, and
Singapore did provide some opportunities. European equities also provided
solid returns. In contrast, foreign government bond markets benefited from
global turmoil and the resulting flight to quality, as well as benign
inflation and relatively low interest rates. The portfolio benefited most
from its European fixed-income investments, as European markets registered
gains only slightly behind those provided by U.S. bonds. Emerging-markets
debt was hit hard by global financial woes, and our underweighting there
proved beneficial.
The volatility of the recent period has also brought opportunity and we
feel confident that the fund's diverse asset structure and all-weather
investment strategies position it well for what lies ahead.
- --------------------------------------------------------------------------
INVESTMENT OBJECTIVE
A high level of long-term total return consistent with preservation
of capital
- --------------------------------------------------------------------------
PORTFOLIO
A managed asset allocation portfolio spread across domestic and
international stock and bond markets
- --------------------------------------------------------------------------
UNIT VALUE
December 31, 1998 Capital Manager $30.26
Capital Access $10.19
- --------------------------------------------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations, economic instability, and political developments.
Putnam Global Growth
Sub-Account
In the wake of worldwide disruptions in securities markets during late
summer and early fall, the managers of Putnam Global Growth Sub-Account
made some significant shifts among the portfolio's sector and industry
allocations. Most equity portfolios have had to make adjustments; in the
fund's case, we increased the weighting in U.S. stocks, shifting assets
out of the emerging markets and much of Asia. As a result of these moves,
the fund tallied solid gains for the period, with the subaccount posting a
total return of 27.91% at unit value for the 12 months ended December 31,
1998.
Although most securities markets rebounded in late fall, it appears likely
to us that economic and corporate earnings growth rates may soon slow. At
this point, we believe the United States offers the largest selection of
high-quality growth companies as well as a more stable situation in which
the government has the fiscal and monetary tools needed to mitigate any
extended slowdown. In building up the fund's U.S. stock weighting, we
reduced its European holdings, substantially eliminated the fund's
emerging-markets position and, with the exception of Japan, eliminated
holdings in developed Asian economies. However, the fund retains an
overweight European position, and these markets performed steadily over
the period.
Among sectors, technology, telecommunications, and food retailers remain
top areas of focus. We continued to de-emphasize cyclical and commodity-
related companies. During the period, the fund benefited from its holdings
in top-performing U.S. technology and European information technology
service companies as well as European cellular equipment companies.
Although the coming months may bring slower economic and corporate
earnings growth, the fund's research-driven stock selection process should
continue to produce solid long-term investment opportunities.
- --------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- --------------------------------------------------------------------------
PORTFOLIO
An internationally diversified common stock portfolio
- --------------------------------------------------------------------------
UNIT VALUE
December 31, 1998 Capital Manager $24.94
Capital Access $10.43
- --------------------------------------------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations, economic instability, and political developments.
Putnam Growth and Income
Sub-Account
An eventful fiscal year ended in upbeat fashion for Putnam Growth and
Income Sub-Account as strong results in the final weeks of the period
helped the fund achieve a total return comfortably in line with its long-
term results. This performance is particularly gratifying, as it comes
during a period when many other equity portfolios were showing negative
returns. For the 12 months ended December 31, 1998, the subaccount posted
a total return of 13.81% at unit value.
Perhaps more important than the comparison with other equity funds is the
fact that the management team achieved these results while holding firmly
to the fund's investment style at a time when other types of stocks were
in greater favor and might have yielded more attractive short-term
results. Experience has shown that the undervalued dividend-paying stocks
we seek out for the fund's portfolio can perform competitively over the
long term while exposing the fund to less risk than the overall market.
During the period, our value-oriented strategy led us to add to several
existing portfolio positions. In the first quarter of 1998, for example,
we added to holdings in oil and technology-hardware companies; these
sectors were among the most stable in the late-summer slump. Before the
decline, we also trimmed industrial and retail company holdings while
adding to utilities positions. Finally, we bought more of several
financial stocks when their prices were discounted by half in August and
September. Many have since rallied.
Consolidation in the oil and automotive industries boosted fund
performance when fund holdings Chrysler Corporation and Amoco Corporation
responded positively to merger plans. During this period, when economic
worries hurt many stocks, our emphasis on companies experiencing positive
internal change also strengthened returns, with holdings in the
pharmaceutical, technology, and utility sectors proving to be relatively
resilient.
We believe the sturdiness of the fund's portfolio in a challenging year
confirms the effectiveness of our investment process and makes us
confident amid ongoing uncertainty about the economy.
- --------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital growth and current income
- --------------------------------------------------------------------------
PORTFOLIO
Primarily common stocks and convertible securities
- --------------------------------------------------------------------------
UNIT VALUE
December 31, 1998 Capital Manager $45.57
Capital Access $10.44
- --------------------------------------------------------------------------
Putnam Health Sciences
Sub-Account
The recent annual period again proved the power of investing in the health-
care industry, namely that its products and services tend to stay in demand
regardless of overall economic conditions. In a year that saw extreme
fluctuations in the fortunes of many stocks, health-care issues, while not
immune to the shifts in investor sentiment, certainly weathered them better
than those of many other industries. For the period from April 30, 1998,
through December 31, 1998, Putnam Health Sciences Sub-Account provided a
total return of 8.49% at unit value.
Fund performance benefited mainly from astute stock selection and although
we inevitably missed a few opportunities, the fund had no big losers among
large positions. While performance was quite solid, the fund's smaller-
capitalization stocks as a group were a material drag on results.
Nevertheless we remain optimistic about the prospects for many of the
small-cap health-care stocks, although the bulk of the fund's assets remain
invested in midcap and large-cap stocks.
Consolidation remained the big news among health-care companies during the
year. Mergers and acquisitions continued among all market segments:
pharmaceuticals, medical technology, biotechnology, and medical services.
The top-performing sector for the year was biotechnology, followed closely
by medical technology and pharmaceutical companies. The fund enjoyed solid
performance from holdings in all three categories while mostly steering
clear of the poor-performing medical services area. However, fund
performance was somewhat negatively affected by an October selloff in
large-capitalization pharmaceutical stocks.
Toward the end of the period, we began to consolidate fund holdings by
selling a number of smaller positions and concentrating assets more in
specific stocks with strong growth prospects. In the months ahead, we
currently expect to continue to seek opportunities within the medical
technology and pharmaceutical areas. We remain cautious about the health-
care services area.
- --------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- --------------------------------------------------------------------------
PORTFOLIO
Primarily common stocks of companies in the health sciences industries
- --------------------------------------------------------------------------
UNIT VALUE
December 31, 1998 Capital Manager $10.85
Capital Access $10.79
- --------------------------------------------------------------------------
Investing in a single sector increases the possibility of greater price
fluctuations and does not provide the diversification of a multisector
investment.
Putnam High Yield
Sub-Account
The changes in the high-yield bond market environment from the first half
of 1998 to the second half were as dramatic as night and day. During the
first half of the year, a positive economic backdrop in the United States,
combined with strong market fundamentals, helped propel high-yield bond
prices. In late summer, however, a flight to quality swept the global
securities markets, bringing the worst period for high-yield bonds since
1990's recession-bound third quarter. Putnam High Yield Sub-Account returns
reflect this difficult environment; for the 12 months ended December 31,
1998, the subaccount posted a total return of -7.17% at unit value.
Despite the market's volatility, the fund's strategic underweighting in
steel and other commodities proved beneficial, as did our focus on growth-
oriented industries that are typically strong in high-yield bond issuance.
For example, high equity valuations, favorable regulatory developments, and
new technologies have allowed the telecommunications sector to evolve
rapidly as one of today's most dynamic growth industries. Within this
sector, the fund found opportunities among fiber-optic cable companies,
wireless operators, and competitive local exchange carriers (CLECs).
Merger and acquisition activity continued to benefit certain high-yield
companies during the period. Corporate bond issuers in the cable television
and broadcasting industries continued to take advantage of relaxed
regulations, which have increased competition for lucrative business.
Aggressive companies in these industries -- including some in the fund's
portfolio -- have seized opportunities to secure market share and spread
fixed costs over a greater number of households.
As the investment climate has become less averse to risk, investors appear
to have rediscovered high-yield bonds as a potential source of high income.
Despite the high-yield market's revival over the past couple of months,
however, we believe prices have not yet caught up to fundamental values. In
managing the fund, we currently plan to continue emphasizing
diversification, companies with little exposure to Asia and low commodity
price risk, and securities with attractive yields relative to their risk
levels.
- --------------------------------------------------------------------------
INVESTMENT OBJECTIVE
High current income, with a secondary objective of capital appreciation
- --------------------------------------------------------------------------
PORTFOLIO
Primarily high-yielding, lower-rated corporate bonds and notes
- --------------------------------------------------------------------------
UNIT VALUE
December 31, 1998 Capital Manager $23.74
Capital Access $8.90
- --------------------------------------------------------------------------
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 International Growth
Sub-Account
Over the past several months, the interconnection and globalization of the
world's equity markets have become abundantly clear. Over the summer, worry
that the slowdown in Asia, especially the ongoing recession in Japan, could
spread around the globe and produce negative corporate profits almost
simultaneously prompted investors throughout the world to sell stocks. This
sharp selloff was marked by an equally quick rebound. By the end of the
year, many international stocks had nearly recouped their losses. The
performance of Putnam International Growth Sub-Account reflects this
volatility. For the 12 months ended December 31, 1998, the subaccount
posted a total return of 17.05% at unit value.
European stock markets led the fourth quarter rebound in international
equities. Finland, Ireland, the Netherlands, and Italy were top performers,
and astute stock selection enabled the fund to benefit. Global technology
companies performed particularly well, with European computer and
telecommunications-related companies posting sales and earnings that
exceeded expectations. These companies' success spilled over into Japanese
components companies and semiconductor-related companies throughout the
world. Cellular operators in Asia, North America, and Europe experienced
significant subscriber growth as prepaid calling cards proved an extremely
popular holiday gift. The fund realized gains from telecommunications
holdings in Europe and Canada, as well as semiconductor holdings in France,
Japan, and Korea. European Internet-related holdings were also strong
performers as anything related to the Internet exploded in December.
The portfolio remains underweight in most Asian and Latin American markets.
This positioning boosted fund performance over the period, since these
markets remained weak, with the exception of Korea and Thailand, which have
shown signs of economic bottoming. We also avoided the poor-performing oil
and chemical sectors.
Going forward, we currently expect to continue favoring Continental Europe
over the United Kingdom, although we are evaluating some undervalued U.K.
media opportunities as well as selected opportunities in Japan.
- --------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- --------------------------------------------------------------------------
PORTFOLIO
Primarily common stocks of companies located outside the United States
- --------------------------------------------------------------------------
UNIT VALUE
December 31, 1998 Capital Manager $13.40
Capital Access $9.51
- --------------------------------------------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations, economic instability, and political developments.
Putnam International Growth and Income
Sub-Account
The past six months have represented an unusual period for international
investors. In mid July, many international stocks started on a downward
path as global investors reacted to negative events in Japan and Russia.
For much of July, August, and September, global stock markets sank. By the
end of the year, however, many international stocks were approaching their
previous highs. The performance of Putnam International Growth and Income
Sub-Account reflects the period's volatility. For the 12 months ended
December 31, 1998, the subaccount posted a total return of 9.73% at unit
value.
While general market conditions do affect the fund's performance, they
represent only a small number of the factors that we use in managing the
portfolio. We are far more concerned with company-specific issues than with
short-term swings in investor sentiment. Our search for stocks exhibiting
cheapness and change leads us to many unsung heroes, or stocks that we
believe to be misjudged by the market. For example, over the past several
months we uncovered buying opportunities including a Swiss
telecommunications firm, a Hong Kong bank, and a Japanese beverage company.
Of course, portfolio management also involves making the correct sell
decisions. During the period we decided to sell the fund's stake in a
French oil company. We believed that the company's strategy on acquisitions
had lost its focus and that recent moves could hurt the company's future
earnings.
Looking ahead, we are particularly encouraged by the January 1999 debut of
the euro, a new currency that unites 11 European Union nations into one
currency bloc. The move eliminates fluctuations in exchange rates among
those countries, making it simpler and less expensive for many European
companies to do business. The euro should also help large multinational
companies such as the ones in this fund's portfolio to take advantage of
their size, financial strength, and operational excellence.
We believe our insistence on value in the stocks we select helps offset the
numerous risks of international investing while still providing the
opportunity for strong performance in the coming months.
- --------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation, with a secondary objective of income
- --------------------------------------------------------------------------
PORTFOLIO
Primarily common stocks of companies located outside the United States
- --------------------------------------------------------------------------
UNIT VALUE
December 31, 1998 Capital Manager $12.92
Capital Access $9.52
- --------------------------------------------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations, economic instability, and political developments.
Putnam International New Opportunities
Sub-Account
With financial and economic problems recurring in many developing nations
throughout the summer and fall, the annual fiscal period proved quite
challenging for Putnam International New Opportunities Sub-Account. For the
12 months ended December 31, 1998, the subaccount posted a total return of
13.97% at unit value.
As currency and stock market problems continued, we reduced the fund's
exposure to emerging markets, since these were the most negatively impacted
by the difficulties. Two notable exceptions were fund holdings in Greece
and Portugal, markets that have enjoyed the benefits of falling interest
rates related to the 1999 advent of the European Economic and Monetary
Union (EMU). These markets also offer rapidly growing companies that are
well-positioned in fast-growing industries such as telecommunications.
Even high-profile European companies have felt the effects of Asian-
inspired problems. Early on, we reduced exposure in traditional growth
sectors including information technology services, software, and banking --
stocks that bore the brunt of these developments. Instead, we targeted
somewhat more defensive industries including retail, media, food services,
and pharmaceuticals, which we believe have the potential for positive
earnings revisions despite current conditions. We also found opportunities
among telecommunications equipment stocks.
Anticipating a more relaxed monetary policy from both the U.S. Federal
Reserve Board and eventually the European Central Bank, we have begun to
position the fund to benefit when markets revert to more normal valuations.
For example, the Japanese pharmaceutical and medical supply industries
offer attractively priced stocks with similar growth prospects to their
higher-priced U.S. and European counterparts. We have also added several
semiconductor stocks to the portfolio and selectively increased emerging-
markets holdings by adding attractively valued high-quality companies in
solid economies.
As flexible economies, mobile capital flows, and a rising level of
shareholder orientation improve the quality and quantity of international
equity offerings, we will continue to seek emerging- and developed-market
companies that are well positioned for superior growth.
- --------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Long-term capital appreciation
- --------------------------------------------------------------------------
PORTFOLIO
Primarily common stocks of companies principally traded outside the
United States
- --------------------------------------------------------------------------
UNIT VALUE
December 31, 1998 Capital Manager $11.23
Capital Access $9.53
- --------------------------------------------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations, economic instability, and political developments, that are
not present with domestic investments. This fund invests all or a portion
of its assets in small to medium-sized companies. Such investments increase
the risk of greater price fluctuations.
Putnam Investors
Sub-Account
Despite extreme volatility throughout the year, 1998 proved to be another
period of superior growth for U.S. equities, which posted double-digit
returns for the fourth consecutive year. Putnam Investors Sub-Account
shared fully in the fruits of the market as astute stock selection and a
focus on the large-capitalization stocks that led the U.S. equities market
produced top-notch performance. Assets under management continued to grow
during the period as more and more investors found the underlying fund's
large-cap investment focus appealing. For the period from April 30, 1998,
through December 31, 1998, the subaccount provided a total return of 14.32%
at unit value.
As mergers and acquisitions continued to sweep through various industries,
many fund holdings enjoyed rising valuations. In fact, six fund holdings
were acquired or merged during the year. The fund also held a number of
stocks of companies that acquired other large companies. In some cases, the
fund held stocks from both the acquirer and the acquired.
In terms of sectors, technology and retail were top performers for the
fund, particularly during the fourth quarter of 1998. Technology stocks
with ties to the Internet were especially strong, as were retailers that
developed Internet sites. Transportation, consumer staples, consumer
cyclical, and communications stocks also contributed to fund performance.
Size and growth also were important factors in the fund's performance,
since the market rewarded both in 1998. Companies in the S&P 500 Index that
were greater than $30 billion in size rose 37% on average for the year,
while companies $2 billion to $5 billion in size rose only 5%.
Similarly, companies in the index with annual growth rates greater than 25%
rose 90% on average, compared to a 16% increase for those companies with
growth rates of less than 10%. For example, Microsoft, Wal-Mart, and Tyco,
three of the largest holdings, rose 115%, 108%, and 68%, respectively, for
the year.
It was also a year of consolidation among growth companies. During the
year, six fund holdings, among them Telecommunications, Inc., Western
Atlas, and BankAmerica, were acquired by other companies.
- --------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- --------------------------------------------------------------------------
PORTFOLIO
Primarily high quality common stocks
- --------------------------------------------------------------------------
UNIT VALUE
December 31, 1998 Capital Manager $11.43
Capital Access $10.84
- --------------------------------------------------------------------------
Putnam Money Market
Sub-Account
There is no doubt that the unprecedented string of international events
that rattled stock and bond markets over the past year unnerved many
investors. Fortunately, these events have had a relatively salutary effect
on domestic money markets. Indeed, as foreign investors panicked about
plummeting stock markets, they began a flight to quality -- selling hedge
funds and emerging-markets funds in favor of the relative safety of U.S.
Treasury bonds and money market funds. At the same time, however, short-
term interest rates continued to fall, limiting the yields available on
money market securities. Putnam Money Market Sub-Account's recent
performance reflects this mixed environment. For the 12 months ended
December 31, 1998, the subaccount tallied a total return of 3.74% at unit
value.
With interest rates falling throughout the period, we redoubled efforts to
maintain current income while preserving capital and staying focused on
investments of superior quality. Extending portfolio duration has been one
of the most important elements of our strategy. While portfolio duration
was relatively neutral at midyear, we have since lengthened it to match or
even slightly exceed the average maintained by the fund's peer group. This
slightly longer duration helped the fund lock in the highest available
money market yields while reducing the frequency with which the fund must
reinvest assets in the current falling interest-rate environment.
As always, capital preservation and superior credit quality remained
hallmarks of the fund. Over the fiscal period, we bolstered quality even
further by increasing the portfolio's holdings of securities issued by U.S.
government agencies, which are the highest quality investments available.
This move was designed to insulate the portfolio further from increasing
market volatility.
In the coming months, we will remain watchful of credit quality and focused
on preserving capital while continuing to seek out appropriate
opportunities to generate current income in today's low interest-rate
environment.
- --------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Current income consistent with preservation of capital and maintenance
of liquidity
- --------------------------------------------------------------------------
PORTFOLIO
Primarily high-quality money market instruments
- --------------------------------------------------------------------------
UNIT VALUE
December 31, 1998 Capital Manager $1.54
Capital Access $1.01
- --------------------------------------------------------------------------
An investment in Putnam VT Money Market Fund, in which the fund invests,
is neither insured nor guaranteed by the U.S. government. There can be no
assurance that Putnam VT Money Market Fund will be able to maintain a
stable net asset value of $1.00.
Putnam New Opportunities
Sub-Account
The U.S. stock market experienced considerable volatility throughout fiscal
1998. On balance, however, the market finished the year on a positive note
as a fourth-quarter recovery virtually eradicated the summer's heavy
losses. For most of the year, large-capitalization stocks outpaced mid- and
small-cap issues, although the late-year rally was particularly strong for
the more aggressive growth stocks in which Putnam New Opportunities Sub-
Account invests. For the 12 months ended December 31, 1998, the subaccount
tallied a total return of 22.65% at unit value.
Sector weightings and stock selection played the most significant role in
fund performance over the year. The fund's top performers came in the media
sector, where we maintained an overweight position. Cable, outdoor
advertising, and broadcast and radio stocks all made significant
contributions to returns. The fund's overweight position in the
telecommunications sector also paid off handsomely as long distance and
competitive local exchange carrier (CLEC) holdings benefited from much of
the growth driven by industry deregulation.
Technology remained the fund's largest sector weighting. Although
individual holdings performed well, overall sector performance was only
fair. Consumer products and services represented the second largest
weighting, and as consumers continued to spend more freely these stocks
performed quite well. In health care, the fund remains underweighted
relative to its normal position. Over the period, its large-capitalization
pharmaceutical holdings outperformed. However, this success was offset by
weakness in small- to mid-cap health-care services holdings. Ongoing fears
over Medicare spending cuts along with managed care pressure on
reimbursements have dampened performance by health-care services stocks.
Business services stocks rode a performance roller coaster, doing well
early in the year, then dropping in the wake of Year 2000 (Y2K) spending
concerns, and finally rebounding toward year's end.
In coming months, we will continue to monitor closely economies around the
globe. While we do anticipate some additional market volatility, low
inflation and low interest rates provide a solid backdrop for the U.S.
equity market, and we believe the fund is well positioned for what lies
ahead.
- --------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- --------------------------------------------------------------------------
PORTFOLIO
Primarily common stocks of companies in market sectors with above-average
long-term growth potential
- --------------------------------------------------------------------------
UNIT VALUE
December 31, 1998 Capital Manager $24.81
Capital Access $10.57
- --------------------------------------------------------------------------
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 New Value
Sub-Account
Unsettling news from Asia, Russia, and other emerging markets produced
waves of volatility in the U.S. equity market over the period. While
volatility can be a bit unnerving, it typically provides opportunity --
especially for investors such as Putnam New Value Sub-Account, which seeks
undervalued and out-of-favor stocks. The fund did feel the effect of recent
events and its performance reflects this market environment. For the 12
months ended December 31, 1998, the subaccount tallied a total return of
4.78% at unit value.
As investors grappled with the implications of recurring financial and
economic problems around the globe, the fund remained focused on selecting
undervalued, dividend-paying stocks of companies undergoing positive
change. Many of these stocks are issued by large companies, and these
large-capitalization value stocks have performed quite well since the July
equity market downturn. In fact, in comparison with most of the previous
three years, the difference in performance between large-capitalization
value stocks and market-leading large-capitalization growth stocks has
narrowed considerably.
Utilities and technology holdings led performance over the period, followed
by financial issues, which recovered from their summer decline. The fund
also benefited from the merger and acquisition activity sweeping U.S.
industry. Two fund holdings in the oil industry recently announced plans to
merge, and their stocks have enjoyed price appreciation as a result. The
portfolio's health-care stocks performed well, as the federal government
decided to delay legislation on health maintenance organizations. Given
expectations that economic growth will soon begin to slow, we reduced
holdings in companies whose earnings are dependent on an improving economy,
such as industrial and basic material companies.
In coming months, we will continue to seek out opportunities in a variety
of industries. As always, we will remain focused on companies experiencing
positive internal change and stocks whose potential the overall market has
yet to appreciate fully.
- --------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Growth and current income
- --------------------------------------------------------------------------
PORTFOLIO
Primarily common stocks and fixed-income securities
- --------------------------------------------------------------------------
UNIT VALUE
December 31, 1998 Capital Manager $12.15
Capital Access $10.30
- --------------------------------------------------------------------------
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 OTC & Emerging Growth
Sub-Account
Small and emerging-growth companies faced more than their share of
challenges during Putnam OTC & Emerging Growth Sub-Account's initial
reporting period. From April 30, 1998, through December 31, 1998, the
subaccount tallied a total return of -0.20% at unit value.
The period represented a study in contrasts. The first three months were
marked by performance in strong ascendance. Then, as financial and
political instability swept through Russia and parts of Latin America and
Asia, global investors turned away from investments carrying virtually any
perceived risk. U.S. Treasury bonds and other conservative asset classes
were the clear beneficiaries. The small and midsize growth companies in
which the fund invests were hit hardest in this flight to safety.
In mid August, when it seemed that matters could become no worse, investor
sentiment took a positive turn. Our belief all along had been that the
fundamentals and valuations of the fund's universe of small and midsize
companies were solid. All that was lacking was positive investor sentiment.
With this element finally in place, the stage was set for the resulting
stock market rally that proved most beneficial to small and midsize
emerging-growth companies.
Because of our commitment to consistency of investment style, the portfolio
was already positioned to take maximum advantage of the market advance. We
believe that fundamentals remain strong, valuations appear attractive
relative to large companies, and sentiment no longer seems negative -- a
view that makes us cautiously optimistic about the fund's prospects for the
new year.
- --------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Above-average growth potential
- --------------------------------------------------------------------------
PORTFOLIO
Primarily common stocks of small to medium-size emerging growth companies
- --------------------------------------------------------------------------
UNIT VALUE
December 31, 1998 Capital Manager $9.98
Capital Access $10.28
- --------------------------------------------------------------------------
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 Research
Sub-Account
Putnam Research Sub-Account began investment operations on September 30,
1998, with a portfolio consisting solely of recommendations by Putnam
Management securities analysts. For the period from September 30, 1998,
through December 31, 1998, the subaccount provided a total return of 24.97%
at unit value. It should be noted that the subaccount's performance over
such a short time may not be indicative of results over longer periods;
neither should it be taken as an indication of future returns.
Based on experience gained from similar products, however, we have
discovered how the collective expertise of nearly four dozen industry
analysts can contribute to a growth-oriented portfolio. This approach has
enabled other portfolios to profit from the success of many of our
analysts' recommended stocks. At the same time, these portfolios have been
able to sidestep some problems when stocks were removed from the portfolio
before their prices suffered setbacks.
As the fund begins its first full fiscal year, the management team takes an
optimistic view of its prospects. With a low-interest rate, low-inflation
environment expected to continue over the next several months, we believe
the outlook for the economy and equity markets should remain generally
positive. We fully expect further bouts of market volatility, but believe
that the economic fundamentals are in place to support the historically
higher market valuations.
- --------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- --------------------------------------------------------------------------
PORTFOLIO
Primarily through common stocks
- --------------------------------------------------------------------------
UNIT VALUE
December 31, 1998 Capital Manager $12.50
Capital Access $12.48
- --------------------------------------------------------------------------
Putnam U.S. Government
and High Quality Bond
Sub-Account
In the wake of renewed financial and political instability in Asia, Russia,
and Latin America, global investors staged a dramatic flight to quality
that pushed down U.S. Treasury bond yields to their lowest levels in modern
history. By playing to the strengths and de-emphasizing the vulnerabilities
of Putnam U.S. Government and High Quality Bond Sub-Account's multisector
portfolio, we were able to moderate the negative effects of world events
while maximizing their positive aspects. For the 12 months ended December
31, 1998, the subaccount tallied a total return of 6.75% at unit value.
Resurgent troubles among numerous developing nations refocused worldwide
investor attention on the U.S. Treasury market during the period, producing
a most impressive and historic rally. As investors flocked to the high
credit quality of U.S. Treasury bonds, the fund's investments in the
Treasury market significantly helped performance, buoying its share price
as other sectors came under considerable pressure.
Our main focus in the government securities portion of the portfolio during
the period, however, was higher-yielding mortgage-backed securities. While
at times this emphasis prohibited the fund from participating fully in the
Treasury market rally, our concentration on securities with lower
prepayment sensitivity, such as adjustable-rate, lower-coupon and 15-year
maturity mortgage-backed securities, did benefit the fund.
The global margin call that saw investors flee riskier investments dampened
the corporate bond market. A series of interest-rate cuts by the Federal
Reserve Board helped to calm volatile, quality-biased bond markets. In
November, investors turned their attention to the extraordinary values
offered by the spread sectors that had been unfairly punished in the
summer's global flight to quality. As high-quality corporate bonds
rebounded from their third quarter lows, the investment-grade bond portion
of the portfolio benefited.
Given expectations of continued growth and limited inflation, the fund's
modestly overweight positions in the so-called spread sectors of high-
quality corporate bonds and mortgage-backed securities should continue to
serve it well in the months ahead.
- --------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Primarily current income consistent with preservation of capital
- --------------------------------------------------------------------------
PORTFOLIO
Securities issued or backed by the full faith and credit of the U.S.
government or its agencies or instrumentalities plus corporate bonds
rated A or above
- --------------------------------------------------------------------------
UNIT VALUE
December 31, 1998 Capital Manager $21.31
Capital Access $10.30
- --------------------------------------------------------------------------
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 Utilities Growth and Income
Sub-Account
For much of the annual period, the investment strategy guiding Putnam
Utilities Growth and Income Sub-Account rested heavily on anticipated
changes in the utilities markets. Our strong emphasis on gas utilities
proved particularly disappointing, since these companies were adversely
affected by the warm winter and uncertainty about deregulatory issues.
Things began to turn around toward year's end as a volatile summer for both
stocks and bonds, coupled with an improving regulatory outlook for
utilities companies, brought long overdue attention to these high-yielding
stocks. For the 12 months ended December 31, 1998, the subaccount tallied a
total return of 13.32% at unit value.
As deregulation continues to create a much more competitive marketplace for
utilities companies, many gas and electric utilities are departing from
their traditional roles, divesting some assets, acquiring others, forming
strategic alliances, and finding themselves with cash available to finance
growth. Indeed, some of the fund's financially sound, well-positioned gas
and electric companies have already benefited from merger and acquisition
decisions. During the period, one of the fund's largest electric utility
holdings announced plans to sell its pipeline assets to another fund
holding, a move that would provide the seller with reinvestment cash and
the buyer with a more cost-effective distribution system.
In the communications area, sharply escalating demand for basic telephone
services is reintroducing the word "growth" to the utility sector. With
substantial holdings among national and regional telephone utilities, the
fund is well-positioned to benefit. The fund is also taking advantage of
higher growth rates among international utilities by investing about 7.9%
of net assets in companies domiciled outside the United States. Nonutility
investments, including stocks and some REITs with high yields, proved to be
a boon over the period.
The fund's bond sector is below its customary level, since volatile prices
and historically low yields have made current opportunities in other parts
of the market seem more attractive. However, as interest rates continue to
decline, utilities bonds may offer new opportunities.
- --------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital growth and current income
- --------------------------------------------------------------------------
PORTFOLIO
Primarily common stocks and bonds issued by public utility companies
- --------------------------------------------------------------------------
UNIT VALUE
December 31, 1998 Capital Manager $22.83
Capital Access $11.06
- --------------------------------------------------------------------------
Investing in a single sector increases the possibility of greater price
fluctuations and does not provide the diversification of a multisector
investment.
Putnam Vista
Sub-Account
Although the past year has been one of the most volatile in more than a
decade, U.S. equity markets finished 1998 on an upswing, posting double-
digit returns for the fourth consecutive year. As investors gained
confidence in the Federal Reserve Board's commitment to the markets, buyers
returned, bidding stocks higher. Investors favored growth stocks,
particularly the fastest growing technology and internet-related issues,
although overall, the market continued to favor large-capitalization stocks
over mid- and small-cap issues. Given its current bias toward mid-cap
companies, Putnam Vista Sub-Account posted a respectable return, owing
largely to the portfolio's strong growth orientation and heavy technology
focus throughout the period. For the 12 months ended December 31, 1998, the
subaccount tallied a total return of 17.82% at unit value.
Three sectors drove fund performance: technology, retail and consumer
products, and financial services. Among consumer holdings, our stock
selection and an overweight position in the sector boosted fund returns. In
finance, the subaccount's returns were strong but somewhat restrained by
our underweight position in securities brokers stocks, which rallied
significantly in the fourth quarter. An underweight position in the
semiconductor group also dampened results in the fourth quarter as these
stocks continued to gain momentum. Utilities holdings contributed strongly
to performance, especially our selection among telecommunications service
providers. The fund also benefited from its absence in the basic materials
sector and our decision to exit the energy sector early in the year. Both
sectors performed poorly throughout the year, and energy was the worst-
performing mid-cap sector during the fourth quarter.
Looking ahead, we plan to keep the fund fully invested in the market,
focusing on the best mid-cap growth companies while keeping a close watch
on corporate profits and business inventory and capital spending
dislocations related to solving the upcoming uncertainties surrounding the
Year 2000 (Y2K) issue.
- --------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- --------------------------------------------------------------------------
PORTFOLIO
Primarily common stocks with potential for above-average capital growth
- --------------------------------------------------------------------------
UNIT VALUE
December 31, 1998 Capital Manager $14.32
Capital Access $10.25
- --------------------------------------------------------------------------
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 Voyager
Sub-Account
The financial difficulties of Asia, Russia, and Latin America that produced
a sharp correction in the U.S. stock market this summer strained the
performance of Putnam Voyager Sub-Account as well during the year just
ended. As global investors staged a dramatic flight to safety, they exited
stocks, corporate bonds, and virtually any investment with a shred of risk.
The Federal Reserve Board came through in the fall with three interest-rate
cuts, setting in motion a strong stock market rally that included the
growth stocks that form the backbone of this fund's portfolio. For the 12
months ended December 31, 1998, the subaccount tallied a total return of
22.64% at unit value.
The fund maintains its all-weather growth portfolio of large, small, and
midsize stocks. As the market rallied in November and December, growth
stocks performed quite strongly as did the fund's portfolio. Technology
remained a large portfolio sector. Within it, semiconductor and
telecommunications equipment stocks turned in particularly strong returns.
The fund's media holdings also recovered off depressed levels to deliver
superior performance. Cable, outdoor advertising, and broadcast and radio
stocks all made significant contributions to fund returns.
Going forward, the stock market appears to have entered new territory in
terms of valuations. The overall dynamic of low inflation and moderate
economic growth continues to support the market, but over the short term,
we would expect volatility to increase as the market reacts to the
inevitable fears and uncertainties that will appear in 1999. However, as is
often the case, we expect these events to create buying opportunities on
quality growth stocks.
- --------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- --------------------------------------------------------------------------
PORTFOLIO
Primarily stocks of "emerging growth" companies with significant growth
potential and established companies with positive growth prospects
- --------------------------------------------------------------------------
UNIT VALUE
December 31, 1998 Capital Manager $55.43
Capital Access $10.74
- --------------------------------------------------------------------------
This fund invests all or a portion of its assets in small to medium-sized
companies. Such investments increase the risk of greater price
fluctuations.
Fund manager changes
Dana F. Clark has been appointed to the management team of Putnam VT Vista
Fund. He joined Putnam in 1987 as manager of executive recruiting and
college relations. In 1994, he joined the Global Equity Research Group and
is now a portfolio manager in the Midcap Growth Equity Group. He has five
years of investment experience.
Kevin M. Cronin has been appointed to the management team of Putnam VT U.S.
Government and High Quality Bond Fund. He joined Putnam in 1997 and is now
managing director and chief investment officer of the Mortgage and Asset-
Backed team within the Core Fixed Income Group. Before coming to Putnam, he
was with MFS Investment Management and Liberty Mutual Insurance Company. He
has 10 years of investment experience.
Jeffrey A. Kaufman has been appointed to the management team of Putnam VT
Diversified Income Fund and Putnam VT High Yield Fund. He is the Emerging
Markets Team leader and is responsible for portfolio management of emerging
markets debt and currencies. Formerly with MFS Investment Management and
Salomon Brothers, he joined Putnam in 1998. He has 8 years of investment
experience.
Jennifer E. Leichter has been appointed to the management team of Putnam VT
High Yield Fund. As managing director and chief investment officer of the
Credit Team within the Fixed-Income Group, she has broad responsibility for
Putnam's high-yield, investment-grade corporate, and emerging markets
fixed-income investments. She joined Putnam in 1987 and has 15 years of
investment experience.
Jeffrey R. Lindsey has been appointed to the management team of Putnam VT
New Opportunities Fund. He is a senior portfolio manager in the Large Cap
Growth Equity Group. Before coming to Putnam as an analyst in the Global
Equity Research Group in 1994, he was with Strategic Portfolio Management
and State Street Boston. He has 14 years of investment experience.
Krishna K. Memani has been appointed to the management team of Putnam VT
The George Putnam Fund of Boston. He is managing director on the Credit
Team within the Core Fixed Income Group and is responsible for managing
Putnam's high-grade corporate bond portfolios. Before joining Putnam in
1998, he was with Morgan Stanley & Co. and Price Waterhouse LLP. He has 14
years of investment experience.
Hugh H. Mullin has been appointed to the management team of Putnam VT
Growth and Income Fund. He is a senior portfolio manager in the Large Cap
Value Equity Group. He has 11 years of investment experience.
Robert M. Paine has been appointed to the management team of Putnam VT High
Yield Fund. He joined Putnam in 1987 and now serves as a portfolio manager
in the High Yield Group. He has more than 10 years of investment
experience.
Margery C. Parker has been appointed to the management team of Putnam VT
Vista Fund and Putnam VT Health Sciences Fund. A portfolio manager in the
Mid Cap Equity Group, she joined Putnam in 1997 after positions with
Keystone Investments, Moseley Capital Management, State Street Research and
Management, and Bank of Boston. She has 18 years of investment experience.
James M. Prusko has been appointed to the management team of Putnam VT The
George Putnam Fund of Boston. He is a portfolio manager in the Multisector
Portfolio Construction Team within the Core Fixed Income Group. Before
joining Putnam in 1992, he was with Salomon Brothers and has 7 years of
investment experience.
Olivier M. Rudigoz has been appointed to the management team of Putnam VT
Global Growth Fund. He is a portfolio manager in the International Growth
Equity Group. Before joining Putnam in 1998, he was with Paribas Asset
Management and has 9 years of investment experience.
David J. Santos has been appointed to the management team of Putnam VT
Global Growth Fund. He is a portfolio manager in the Large Cap Growth
Equity Group. He has been with Putnam since 1986 and has 13 years of
investment experience.
Lisa H. Svensson has been appointed to the management team of Putnam VT
Global Growth Fund. She is a portfolio manager in the International Growth
Group with a focus on large-cap portfolios. Before joining Putnam in 1994,
she was with Lord, Abbett & Co., Smith Barney Harris Upham & Co., and
Alliance Capital Management. She has 11 years of investment experience.
David L. Waldman has been appointed to the management team of Putnam VT
Diversified Income Fund and Putnam VT The George Putnam Fund of Boston. He
is chief investment officer in the Multisector Portfolio Construction Team
within the Core Fixed Income Group. Before joining Putnam in 1997, he was
with Lazard Freres Asset Management and Goldman Sachs Asset Management. He
has 10 years of investment experience.
Manuel Weiss Herrero has been appointed to the management team of Putnam VT
Global Growth Fund. He has been with Putnam since 1987 and is currently a
senior portfolio manager in the Large Cap Growth Equity Group. He has 11
years of investment experience.
Cumulative total returns of a
$10,000 investment at unit value
Putnam Asia Pacific Growth Sub-Account --
since 5/1/95
(subsequent periods ended 12/31)
Plot points read:
Putnam MSCI
Asia Pacific Pacific
Date Growth Fund Basin Index
5/1/95 10000 10000
95 10135 10021
96 10903 9162
97 9176 6826
98 8552 6993
Footnote reads:
Putnam Asia Pacific Growth Sub-Account's underlying portfolio seeks capital
appreciation through common stocks of companies located in Asia and in the
Pacific Basin. The fund's portfolio contains securities that do not match
those in the index. The Morgan Stanley Capital International Pacific Index
(MSCIP) is an unmanaged list of Asian and Pacific Rim equity securities,
excluding U.S., with all values expressed in U.S. dollars. The fund's
portfolio contains securities that differ from those in the indexes. It
is not possible to invest directly in an index.
Putnam Diversified Income Sub-Account --
since 9/15/93
(subsequent periods ended 12/31)
Plot points read:
Putnam Salomon Bros. First Boston
Diversified Lehman Bros Non U.S.-World High Yield
Date Income Mortgage-backed Gov't Bond Index
9/15/93 10000 10000 10000 10000
93 10189 10090 10019 10441
94 9622 9928 10619 10339
95 11302 11595 12695 12137
96 12127 12217 13213 13644
97 12814 13375 12650 15367
98 12489 14307 14900 15456
Footnote reads:
Putnam Diversified Income Sub-Account's underlying portfolio of U.S.
government, high-yield, and international fixed-income securities seeks
high current income consistent with capital preservation. Lehman Bros.
Mortgage-backed Securities Index is an unmanaged list of U.S. government
and mortgage-backed securities. Salomon Brothers Non-U.S. World Government
Bond Index is an unmanaged list of bonds issued by 10 countries. First
Boston High Yield Index is an unmanaged list of lower-rated higher-yielding
U.S. corporate bonds. Securities indexes assume reinvestment of all
distributions and interest payments and do not take in account brokerage
fees or taxes. Securities in the fund do not match those in the indexes and
performance of the fund will differ. It is not possible to invest directly
in an index.
Putnam The George Putnam
Fund of Boston Sub-Account -- since 4/30/98
Plot points read:
Putnam S&P Lehman Bros.
Date George Putnam Fund 500 Index Aggregate Bond Index
4/30/98 10000 10000 10000
5/30/98 9870 9828 10095
6/30/98 9917 10227 10180
7/30/98 9756 10118 10202
8/30/98 9030 8656 10368
9/30/98 9397 9210 10611
10/30/98 9802 9959 10555
11/30/98 10116 10563 10615
12/31/98 10242 11171 10647
Footnote reads:
The George Putnam Fund of Boston Sub-Account's underlying portfolio seeks
capital appreciation and current income through a balanced portfolio of
stocks and bonds. The Standard & Poor's 500 Index is an unmanaged list of
common stocks frequently used as a gauge of general market performance. The
Lehman Brothers Aggregate Bond Index is composed of securities from Lehman
Brothers Government/Corporate Bond, Mortgage-backed Securities, and Asset-
backed Securities indexes. The fund's portfolio contains securities that do
not match those in the indexes. It is not possible to invest directly in an
index.
Putnam Global Asset Allocation
Sub-Account -- since 12/31/88
(subsequent periods ended 12/31)
Plot points read:
Putnam
Global Asset MSCI
date Allocation World Index
12/31/88 10000 10000
89 11445 11661
90 11306 9676
91 13269 11446
92 13907 10848
93 16111 13288
94 15491 13963
95 19049 16856
96 21719 19128
97 25630 22143
98 28692 27533
Footnote reads:
Putnam Global Asset Allocation Sub-Account's underlying managed asset
allocation portfolio spread across domestic and international stock and
bond markets seeks a high level of long-term total return consistent with
preservation of capital. The Morgan Stanley Capital International (MSCI)
World Index is an unmanaged list of international equity securities, with
all values expressed in U.S. dollars. The fund's portfolio contains
securities that do not match those in the index. It is not possible to
invest directly in an index.
An investment's past performance should not be taken as an
assurance of future results.
Putnam Global Growth Sub-Account --
since 5/1/90
(subsequent periods ended 12/31)
Plot points read:
Putnam MSCI
date Global Growth World Index
5/1/90 10000 10000
90 9233 9832
91 10472 11630
92 10289 11022
93 13432 13502
94 13119 14188
95 14963 17128
96 17294 19436
97 19497 22500
98 24940 27976
Footnote reads:
Putnam Global Growth Sub-Account's underlying internationally diversified
common stock portfolio seeks capital appreciation. The Morgan Stanley
Capital International (MSCI) World Index is an unmanaged list of
international equity securities, with all values expressed in U.S. dollars.
The fund's portfolio contains securities that do not match those in the
index. It is not possible to invest directly in an index.
Putnam Growth and Income Sub-Account --
since 12/31/88
(subsequent periods ended 12/31)
Plot points read:
Putnam S&P 500
date Growth & Income Index
2/1/88 10000 10000
89 11956 13169
90 12021 12760
91 14112 16647
92 15273 17916
93 17210 19721
94 17030 19982
95 22958 27490
96 27601 33802
97 33791 45080
98 38459 57963
Footnote reads:
Putnam Growth and Income Sub-Account's underlying portfolio primarily of
common stocks seeks capital growth and current income. The Standard &
Poor's 500 Index is an unmanaged list of common stocks frequently used as a
gauge of general market performance. The fund's portfolio contains
securities that do not match those in the index. It is not possible to
invest directly in an index.
Putnam Health Sciences Sub-Account --
since 4/30/98
Plot points read:
Putnam S&P 500
Date Health Sciences Index
4/30/98 10000 10000
5/30/98 9700 9828
6/30/98 10047 10227
7/30/98 9836 10118
8/30/98 8460 8656
9/30/98 9395 9210
10/30/98 9742 9959
11/30/98 10117 10563
12/31/98 10849 11171
Footnote reads:
Putnam Health Sciences Sub-Account's underlying portfolio seeks capital
appreciation through stocks of companies in the health sciences
industries. The Standard & Poor's 500 Index is an unmanaged list of common
stocks frequently used as a gauge of general market performance. The
fund's portfolio contains securities that do not match those in the index.
It is not possible to invest directly in an index.
Putnam High Yield Sub-Account --
since 12/31/88
(subsequent periods ended 12/31)
Plot points read:
Putnam Boston
date High Yield High Yield
12/31/88 10000 10000
89 9601 10039
90 8523 9399
91 12173 13511
92 14282 15762
93 16839 18742
94 16450 18559
95 19193 21786
96 21350 24491
97 24073 27584
98 22348 27744
Footnote reads:
Putnam High Yield Sub-Account's underlying portfolio primarily of high-
yielding, lower-rated corporate bonds and notes seeks high current income,
with a secondary objective of capital appreciation. The First Boston High
Yield Index is an unmanaged market-weighted index constructed to mirror the
public investable high-yield debt market. The fund's portfolio contains
securities that do not match those in the index. It is not possible to
invest directly in an index.
An investment's past performance should not be taken as an
assurance of future results.
Putnam International Growth
Sub-Account -- since 1/2/97
Plot points read:
Putnam MSCI EAFE
date International Growth Index
1/2/97 10000 10000
12/31/97 11451 10178
12/31/98 13403 12213
Footnote reads:
Putnam International Growth Sub-Account's underlying portfolio seeks
capital appreciation through stocks of companies in countries other than
the United States. The Morgan Stanley Capital International (MSCI) EAFE
Index is an unmanaged list of stocks from Europe, Australia, and the Far
East, with all values expressed in U.S. dollars. The fund's portfolio
contains securities that differ from those in the index. It is not possible
to invest directly in an index.
Putnam International Growth and
Income Sub-Account -- since 1/2/97
Plot points read:
Putnam
International Growth MSCI EAFE
date and Income Index
1/2/97 10000 10000
12/31/97 11766 10178
12/31/98 12922 12213
Footnote reads:
Putnam International Growth and Income Sub-Account's underlying portfolio
seeks capital appreciation through stocks of companies located outside
North America. The Morgan Stanley Capital International (MSCI) EAFE Index
is an unmanaged list of stocks from Europe, Australia, and the Far East,
with all values expressed in U.S. dollars. The fund's portfolio contains
securities that differ from those in the index. It is not possible to
invest directly in an index.
Putnam International New Opportunities
Sub-Account -- since 1/2/97
Plot points read:
Putnam International MSCI EAFE
date New Opportunities Index
1/2/97 10000 10000
12/31/97 9850 10178
12/31/98 11226 12213
Footnote reads:
Putnam International New Opportunities Sub-Account's underlying portfolio
seeks capital appreciation through stocks of companies in countries other
than the United States. The Morgan Stanley Capital International (MSCI)
EAFE Index is an unmanaged list of stocks from Europe, Australia, and the
Far East, with all values expressed in U.S. dollars. The fund's portfolio
contains securities that differ from those in the index. It is not possible
to invest directly in an index.
Putnam Investors Sub-Account --
since 4/30/98
Plot points read:
Putnam S&P 500
Date Investors Index
4/30/98 10000 10000
5/30/98 9792 9828
6/30/98 10451 10227
7/30/98 10340 10118
8/30/98 8644 8656
9/30/98 9204 9210
10/30/98 9655 9959
11/30/98 10291 10563
12/31/98 11432 11171
Footnote reads:
Putnam Investors Sub-Account's underlying portfolio seeks long-term capital
appreciation through quality common stocks. The Standard & Poor's 500 Index
is an unmanaged list of common stocks frequently used as a gauge of general
market performance. The fund's portfolio contains securities that do not
match those in the index. It is not possible to invest directly in an
index.
An investment's past performance should not be taken as an
ssurance of future results.
Putnam New Opportunities Sub-Account --
since 5/2/94
(subsequent periods ended 12/31)
Plot points read:
Putnam S&P 500
Date New Opportunities Index
5/2/94 10000 10000
94 10718 10346
95 15312 14234
96 16635 17502
97 20223 23342
98 24805 30012
Footnote reads:
Putnam New Opportunities Sub-Account's underlying portfolio seeks long-term
capital appreciation primarily through common stock investments in
companies in economic sectors with above-average long-term growth
potential. The Standard & Poor's 500 Index is an unmanaged list of common
stocks frequently used as a gauge of general market performance. The fund's
portfolio contains securities that do not match those in the index. It is
not possible to invest directly in an index.
Putnam New Value Sub-Account --
since 1/2/97
Plot points read:
Putnam S&P 500
Date New Value Index
1/2/97 10000 10000
12/31/97 11597 13403
12/31/98 12151 17233
Footnote reads:
Putnam New Value Sub-Account's underlying portfolio seeks capital
appreciation through investments in undervalued stocks. The fund's
portfolio contains securities that do not match those in the index. The
Standard & Poor's 500 Index is an unmanaged list of common stocks
frequently used as a gauge of general market performance. The fund's
portfolio contains securities that differ from those in the index. It is
not possible to invest directly in an index.
Putnam OTC & Emerging Growth
Sub-Account -- since 4/30/98
Plot points read:
Putnam OTC Russell 2000
Date Emerging Growth Index
4/30/98 10000 10000
5/30/98 9371 9461
6/30/98 10186 9481
7/30/98 9498 8714
8/30/98 7361 7022
9/30/98 7809 7571
10/30/98 7997 7880
11/30/98 8651 8293
12/31/98 9980 8806
Footnote reads:
Putnam OTC & Emerging Growth Sub-Account's underlying portfolio seeks
capital appreciation through stocks of small to medium-sized emerging
growth companies. The Russell 2000 Index is an unmanaged list of common
stocks frequently used as a gauge of the performance of small-company
stocks. The fund's portfolio contains securities that do not match those in
the index. It is not possible to invest directly in an index.
Putnam Research Sub-Account --
since 9/30/98
Plot points read:
Putnam S&P 500
Date Research Index
9/30/98 10000 10000
10/31/98 11089 10813
12/31/98 12497 13116
Footnote reads:
Putnam Research Sub-Account's underlying portfolio seeks capital
appreciation primarily through common stock investments. The Standard &
Poor's 500 Index is an unmanaged list of common stocks frequently used as a
gauge of general market performance. The fund's portfolio contains
securities that do not match those in the index. It is not possible to
invest directly in an index.
An investment's past performance should not be taken as an
assurance of future results.
Putnam U.S. Government
and High Quality Bond Sub-Account --
since 12/31/88
(subsequent periods ended 12/31)
Plot points read:
Putnam US Government & Lehman Bros
Date High Quality Bond Govt/Corp Bond Index
12/31/88 10000 10000
89 11245 11423
90 11922 12370
91 13787 14364
92 14614 15453
93 16037 17158
94 15303 16556
95 18175 19742
96 18356 20315
97 19664 22297
98 20991 24410
Putnam U.S. Government and High Quality Bond Sub-Account's underlying
portfolio of securities issued or backed by the full faith and credit of
the U.S. government or its agencies or instrumentalities plus foreign
governments and corporate bonds rated A or above seeks current income
consistent with preservation of capital. The Lehman Brothers
Government/Corporate Bond Index is an unmanaged list of publicly issued
U.S. Treasury obligations, debt obligations of U.S. government agencies
(excluding mortgage-backed securities), fixed-rate nonconvertible
investment-grade corporate debt securities, and U.S. dollar-denominated
SEC-registered nonconvertible debt issued by foreign governmental entities
or international agencies used as a general measure of the performance of
fixed income securities. The fund's portfolio contains securities that do
not match those in the index. It is not possible to invest directly in an
index.
Putnam Utilities Growth and
Income Sub-Account -- since 5/1/92
(subsequent periods ended 12/31)
Plot points read:
Putnam Utilities S&P 500
Date Growth & Income Index
5/1/92 10000 10000
92 10618 10789
93 11876 11876
94 10889 12033
95 14075 16555
96 16072 20355
97 20143 27147
98 22826 34905
Footnote reads:
Putnam Utilities Growth and Income Sub-Account's underlying portfolio of
common stocks and bonds issued by public utilities company seeks capital
growth and current income. The Standard & Poor's 500 Index is an unmanaged
list of common stocks frequently used as a gauge of general market
performance. The fund's portfolio contains securities that do not match
those in the index. It is not possible to invest directly in an index.
Putnam Vista Sub-Account -- since 1/2/97
Plot points read:
Putnam S&P 500
date VISTA Index
1/2/97 10000 10000
12/31/97 12151 13403
12/31/98 14317 17233
Footnote reads:
Putnam Vista Sub-Account's underlying portfolio seeks capital appreciation
primarily through common stocks. The Standard & Poor's 500 Index is an
unmanaged list of common stocks frequently used as a gauge of general
market performance. The fund's portfolio contains securities that differ
from those in the index. It is not possible to invest directly in an index.
Putnam Voyager Sub-Account --
since 12/31/88
(subsequent periods ended 12/31)
Plot points read:
Putnam S&P 500
date Voyager Index
12/31/88 10000 10000
89 13051 13169
90 12608 12760
91 18164 16647
92 19767 17916
93 23137 19721
94 23054 19982
95 31978 27490
96 35623 33802
97 44443 45080
98 54502 57963
Footnote reads:
Putnam Voyager Sub-Account's underlying portfolio seeks capital
appreciation through stocks of emerging growth companies with significant
growth potential and established companies with positive growth prospects.
The Standard & Poor's 500 Index is an unmanaged list of common stocks
frequently used as a gauge of general market performance. The fund's
portfolio contains securities that do not match those in the index. It is
not possible to invest directly in an index.
An investment's past performance should not be taken as an
assurance of future results.
Report of Independent Public Accountants
To Hartford Life Insurance Company Putnam Capital Manager Trust Separate
Account and to the Owners of Units of Interest therein:
We have audited the accompanying statements of assets and liabilities of
Hartford Life Insurance Company Putnam Capital Manager Trust Separate
Account (Asia Pacific Growth, Diversified Income, The George Putnam Fund of
Boston, Global Asset Allocation, Global Growth, Growth and Income, Health
Sciences, High Yield, International Growth, International Growth and
Income, International New Opportunities, Investors, Money Market, New
Opportunities, New Value, OTC & Emerging Growth, Research, U.S. Government
and High Quality Bond, Utilities Growth and Income, Vista, and Voyager),
(collectively, the Account) as of December 31, 1998, and the related
statements of operations and the statements of changes in net assets for
the periods presented. These financial statements are the responsibility
of the Account's management. Our responsibility is to express an opinion
on these financial statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are free
of material misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial
statements. An audit also includes assessing the accounting principles
used and significant estimates made by management, as well as evaluating
the overall financial statement presentation. We believe that our audits
provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly,
in all material respects, the financial position of the Account as of
December 31, 1998, and the results of their operations and the changes in
their net assets for the periods presented in conformity with generally
accepted accounting principles.
ARTHUR ANDERSEN LLP
Hartford, Connecticut
February 15, 1999
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities
- -------------------------------------------------------------------------------------------------------------------------------
December 31, 1998 Asia Pacific Diversified The Global Asset
Growth Income George Putnam Allocation
Sub-Account Sub-Account Fund of Boston Sub-Account
Assets Sub-Account
Investments:
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
Class IA
Shares 3,714,891
Cost $37,859,086
...............................................................................................................................
Market Value: $30,945,046 $ -- $ -- $ --
...............................................................................................................................
Class IB
Shares 1,266
Cost $39,939
...............................................................................................................................
Market Value: 10,544 -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Diversified Income Fund
Class IA
Shares 32,609,055
Cost $342,141,824
...............................................................................................................................
Market Value: -- 342,068,986 -- --
...............................................................................................................................
Class IB
Shares 20,585
Cost $214,228
...............................................................................................................................
Market Value: -- 215,528 -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT The George Putnam Fund of Boston
Class IA
Shares 4,555,470
Cost $44,864,303
...............................................................................................................................
Market Value: -- -- 46,830,233 --
...............................................................................................................................
Class IB
Shares 6,798
Cost $67,585
...............................................................................................................................
Market Value: -- -- 69,885 --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
Class IA
Shares 25,934,719
Cost $348,895,623
...............................................................................................................................
Market Value: -- -- -- 491,462,931
...............................................................................................................................
Class IB
Shares 603
Cost $11,093
...............................................................................................................................
Market Value: -- -- -- 11,425
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Global Growth Fund
Class IA
Shares 42,227,561
Cost $574,482,281
...............................................................................................................................
Market Value: -- -- -- --
...............................................................................................................................
Class IB
Shares 3,170
Cost $57,569
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Growth and Income Fund
Class IA
Shares 172,044,473
Cost $3,399,251,998
...............................................................................................................................
Market Value: -- -- -- --
...............................................................................................................................
Class IB
Shares 8,448
Cost $232,384
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 32,749 -- -- --
...............................................................................................................................
Receivable from fund shares sold -- 160,738 3 321,238
- -------------------------------------------------------------------------------------------------------------------------------
Total Assets 30,988,339 342,445,252 46,900,121 491,795,594
- -------------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- 160,005 3 321,508
...............................................................................................................................
Payable for fund shares purchased 32,750 -- -- --
...............................................................................................................................
Total Liabilities 32,750 160,005 3 321,508
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable annuity contract liabilities) $30,955,589 $342,285,247 $46,900,118 $491,474,086
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets & Liabilities (continued)
- -------------------------------------------------------------------------------------------
December 31, 1998 Global Growth
Growth and Income
Sub-Account Sub-Account
Assets
Investments:
- -------------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT Asia Pacific Growth Fund
Class IA
Shares 3,714,891
Cost $37,859,086
...........................................................................................
Market Value: $ -- $ --
...........................................................................................
Class IB
Shares 1,266
Cost $39,939
...........................................................................................
Market Value: -- --
- -------------------------------------------------------------------------------------------
Putnam VT Diversified Income Fund
Class IA
Shares 32,609,055
Cost $342,141,824
...........................................................................................
Market Value: -- --
...........................................................................................
Class IB
Shares 20,585
Cost $214,228
...........................................................................................
Market Value: -- --
- -------------------------------------------------------------------------------------------
Putnam VT The George Putnam Fund of Boston
Class IA
Shares 4,555,470
Cost $44,864,303
...........................................................................................
Market Value: -- --
...........................................................................................
Class IB
Shares 6,798
Cost $67,585
...........................................................................................
Market Value: -- --
- -------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
Class IA
Shares 25,934,719
Cost $348,895,623
...........................................................................................
Market Value: -- --
...........................................................................................
Class IB
Shares 603
Cost $11,093
...........................................................................................
Market Value: -- --
- -------------------------------------------------------------------------------------------
Putnam VT Global Growth Fund
Class IA
Shares 42,227,561
Cost $574,482,281
...........................................................................................
Market Value: 856,374,936 --
...........................................................................................
Class IB
Shares 3,170
Cost $57,569
...........................................................................................
Market Value: 64,283 --
- -------------------------------------------------------------------------------------------
Putnam VT Growth and Income Fund
Class IA
Shares 172,044,473
Cost $3,399,251,998
...........................................................................................
Market Value: -- 4,949,719,496
...........................................................................................
Class IB
Shares 8,448
Cost $232,384
...........................................................................................
Market Value: -- 242,881
- -------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company -- --
...........................................................................................
Receivable from fund shares sold 12,465 163,640
- -------------------------------------------------------------------------------------------
Total Assets 856,451,684 4,950,126,017
- -------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company 12,439 165,016
...........................................................................................
Payable for fund shares purchased -- --
...........................................................................................
Total Liabilities 12,439 165,016
- -------------------------------------------------------------------------------------------
Net Assets (variable annuity contract liabilities) $856,439,245 $4,949,961,001
- -------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities (continued)
- -------------------------------------------------------------------------------------------------------------------------------
December 31, 1998 Health High Yield International International
Sciences Sub-Account Growth Growth
Sub-Account Sub-Account and Income
Assets Sub-Account
Investments:
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Health Sciences Fund
Class IA
Shares 4,921,393
Cost $48,621,983
...............................................................................................................................
Market Value: $53,840,037 $ -- $ -- $ --
...............................................................................................................................
Class IB
Shares 4,360
Cost $43,516
...............................................................................................................................
Market Value: 47,658 -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT High Yield Fund
Class IA
Shares 37,957,388
Cost $441,577,369
...............................................................................................................................
Market Value: -- 444,101,440 -- --
...............................................................................................................................
Class IB
Shares 4,838
Cost $56,813
...............................................................................................................................
Market Value: -- 56,599 -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth Fund
Class IA
Shares 8,570,131
Cost $103,407,751
...............................................................................................................................
Market Value: -- -- 115,868,167 --
...............................................................................................................................
Class IB
Shares 13,428
Cost $165,212
...............................................................................................................................
Market Value: -- -- 181,413 --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth and Income Fund
Class IA
Shares 9,982,365
Cost $116,029,080
...............................................................................................................................
Market Value: -- -- -- 122,184,144
...............................................................................................................................
Class IB
Shares 1,983
Cost $24,283
...............................................................................................................................
Market Value: -- -- -- 24,268
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT International New Opportunities Fund
Class IA
Shares 4,681,795
Cost $49,515,137
...............................................................................................................................
Market Value: -- -- -- --
...............................................................................................................................
Class IB
Shares 1,211
Cost $13,529
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Investors Fund
Class IA
Shares 9,162,465
Cost $93,333,369
...............................................................................................................................
Market Value: -- -- -- --
...............................................................................................................................
Class IB
Shares 11,340
Cost $111,419
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 240,827 -- -- --
...............................................................................................................................
Receivable from fund shares sold -- 311,922 335,160 17,081
- -------------------------------------------------------------------------------------------------------------------------------
Total Assets 54,128,522 444,469,961 116,384,740 122,225,493
- -------------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- 323,350 335,159 17,124
...............................................................................................................................
Payable for fund shares purchased 240,824 -- -- --
...............................................................................................................................
Total Liabilities 240,824 323,350 335,159 17,124
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable annuity contract liabilities) $53,887,698 $444,146,611 $116,049,581 $122,208,369
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets & Liabilities (continued)
- -------------------------------------------------------------------------------------------
December 31, 1998 International Investors
New Sub-Account
Opportunities
Assets Sub-Account
Investments:
- -------------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT Health Sciences Fund
Class IA
Shares 4,921,393
Cost $48,621,983
...........................................................................................
Market Value: $ -- $ --
...........................................................................................
Class IB
Shares 4,360
Cost $43,516
...........................................................................................
Market Value: -- --
- -------------------------------------------------------------------------------------------
Putnam VT High Yield Fund
Class IA
Shares 37,957,388
Cost $441,577,369
...........................................................................................
Market Value: -- --
...........................................................................................
Class IB
Shares 4,838
Cost $56,813
...........................................................................................
Market Value: -- --
- -------------------------------------------------------------------------------------------
Putnam VT International Growth Fund
Class IA
Shares 8,570,131
Cost $103,407,751
...........................................................................................
Market Value: -- --
...........................................................................................
Class IB
Shares 13,428
Cost $165,212
...........................................................................................
Market Value: -- --
- -------------------------------------------------------------------------------------------
Putnam VT International Growth and Income Fund
Class IA
Shares 9,982,365
Cost $116,029,080
...........................................................................................
Market Value: -- --
...........................................................................................
Class IB
Shares 1,983
Cost $24,283
...........................................................................................
Market Value: -- --
- -------------------------------------------------------------------------------------------
Putnam VT International New Opportunities Fund
Class IA
Shares 4,681,795
Cost $49,515,137
...........................................................................................
Market Value: 53,793,826 --
...........................................................................................
Class IB
Shares 1,211
Cost $13,529
...........................................................................................
Market Value: 13,899 --
- -------------------------------------------------------------------------------------------
Putnam VT Investors Fund
Class IA
Shares 9,162,465
Cost $93,333,369
...........................................................................................
Market Value: -- 106,742,721
...........................................................................................
Class IB
Shares 11,340
Cost $111,419
...........................................................................................
Market Value: -- 131,993
- -------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company -- 1,265,450
...........................................................................................
Receivable from fund shares sold 311,323 --
- -------------------------------------------------------------------------------------------
Total Assets 54,119,048 108,140,164
- -------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company 311,324 --
...........................................................................................
Payable for fund shares purchased -- 1,265,055
...........................................................................................
Total Liabilities 311,324 1,265,055
- -------------------------------------------------------------------------------------------
Net Assets (variable annuity contract liabilities) $53,807,724 $106,875,109
- -------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -
HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities (continued)
- -------------------------------------------------------------------------------------------------------------------------------
December 31, 1998 Money New New OTC &
Market Opportunities Value Emerging Growth
Sub-Account Sub-Account Sub-Account Sub-Account
Assets
Investments:
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Money Market Fund
Class IA
Shares 299,592,219
Cost $299,592,219
...............................................................................................................................
Market Value: $299,592,219 $ -- $ -- $ --
...............................................................................................................................
Class IB
Shares 451,277
Cost $451,277
...............................................................................................................................
Market Value: 451,277 -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT New Opportunities Fund
Class IA
Shares 42,213,667
Cost $677,920,498
...............................................................................................................................
Market Value: -- 1,100,088,159 -- --
...............................................................................................................................
Class IB
Shares 8,860
Cost $186,386
...............................................................................................................................
Market Value: -- 230,713 -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT New Value Fund
Class IA
Shares 8,244,993
Cost $92,162,692
...............................................................................................................................
Market Value: -- -- 99,187,264 --
...............................................................................................................................
Class IB
Shares 1,587
Cost $18,969
...............................................................................................................................
Market Value: -- -- 19,081 --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT OTC & Emerging Growth Fund
Class IA
Shares 913,109
Cost $8,124,409
...............................................................................................................................
Market Value: -- -- -- 9,213,266
...............................................................................................................................
Class IB
Shares 4,722
Cost $42,031
...............................................................................................................................
Market Value: -- -- -- 47,647
- -------------------------------------------------------------------------------------------------------------------------------
Putnam Research Fund
Class IA
Shares 547,455
Cost $6,031,684
...............................................................................................................................
Market Value: -- -- -- --
...............................................................................................................................
Class IB
Shares 2,489
Cost $25,142
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT U.S. Government High Quality Bond Fund
Class IA
Shares 45,418,418
Cost $549,919,269
...............................................................................................................................
Market Value: -- -- -- --
...............................................................................................................................
Class IB
Shares 28,700
Cost $388,191
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company -- 1,552,849 -- --
...............................................................................................................................
Receivable from fund shares sold 2,080,089 -- 120,870 41,653
- -------------------------------------------------------------------------------------------------------------------------------
Total Assets 302,123,585 1,101,871,721 99,327,215 9,302,566
- -------------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company 2,104,752 -- 121,458 41,652
...............................................................................................................................
Payable for fund shares purchased -- 1,552,749 -- --
...............................................................................................................................
Total Liabilities 2,104,752 1,552,749 121,458 41,652
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable annuity contract liabilities) $300,018,833 $1,100,318,972 $99,205,757 $9,260,914
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets & Liabilities (continued)
- -------------------------------------------------------------------------------------------
December 31, 1998 Research U.S.Government
Sub-Account and High
Quality Bond
Assets Sub-Account
Investments:
- -------------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT Money Market Fund
Class IA
Shares 299,592,219
Cost $299,592,219
...........................................................................................
Market Value: $ -- $ --
...........................................................................................
Class IB
Shares 451,277
Cost $451,277
...........................................................................................
Market Value: -- --
- -------------------------------------------------------------------------------------------
Putnam VT New Opportunities Fund
Class IA
Shares 42,213,667
Cost $677,920,498
...........................................................................................
Market Value: -- --
...........................................................................................
Class IB
Shares 8,860
Cost $186,386
...........................................................................................
Market Value: -- --
- -------------------------------------------------------------------------------------------
Putnam VT New Value Fund
Class IA
Shares 8,244,993
Cost $92,162,692
...........................................................................................
Market Value: -- --
...........................................................................................
Class IB
Shares 1,587
Cost $18,969
...........................................................................................
Market Value: --
- -------------------------------------------------------------------------------------------
Putnam VT OTC & Emerging Growth Fund
Class IA
Shares 913,109
Cost $8,124,409
...........................................................................................
Market Value: -- --
...........................................................................................
Class IB
Shares 4,722
Cost $42,031
...........................................................................................
Market Value: -- --
- -------------------------------------------------------------------------------------------
Putnam Research Fund
Class IA
Shares 547,455
Cost $6,031,684
...........................................................................................
Market Value: 6,531,138 --
...........................................................................................
Class IB
Shares 2,489
Cost $25,142
...........................................................................................
Market Value: 29,669 --
- -------------------------------------------------------------------------------------------
Putnam VT U.S. Government and High Quality Bond Fund
Class IA
Shares 45,418,418
Cost $549,919,269
...........................................................................................
Market Value: -- 623,594,879
...........................................................................................
Class IB
Shares 28,700
Cost $388,191
...........................................................................................
Market Value: -- 394,056
- -------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 21,882 125,435
...........................................................................................
Receivable from fund shares sold -- --
- -------------------------------------------------------------------------------------------
Total Assets 6,582,689 624,114,370
- -------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- --
...........................................................................................
Payable for fund shares purchased 21,904 125,431
...........................................................................................
Total Liabilities 21,904 125,431
- -------------------------------------------------------------------------------------------
Net Assets (variable annuity contract liabilities) $6,560,785 $623,988,939
- -------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities (continued)
- -------------------------------------------------------------------------------------------------------------
December 31, 1998 Utilities Vista Voyager
Growth Sub-Account Sub-Account
and Income
Assets Sub-Account
Investments:
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT Utilities Growth and Income Fund
Class IA
Shares 29,513,095
Cost $358,181,763
.............................................................................................................
Market Value: $ 536,843,202 $ -- $ --
.............................................................................................................
Class IB
Shares 9,061
Cost $150,291
.............................................................................................................
Market Value: 164,817 -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Vista Fund
Class IA
Shares 8,368,063
Cost $98,333,369
.............................................................................................................
Market Value: -- 123,177,883 --
.............................................................................................................
Class IB
Shares 6,233
Cost $78,343
.............................................................................................................
Market Value: -- 91,809 --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Voyager Fund
Class IA
Shares 57,039,630
Cost $1,366,305,736
.............................................................................................................
Market Value: -- -- 2,615,267,050
.............................................................................................................
Class IB
Shares 6,764
Cost $264,849
.............................................................................................................
Market Value: -- -- 309,849
- -------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company -- -- --
.............................................................................................................
Receivable from fund shares sold 184,049 378,758 165,678
- -------------------------------------------------------------------------------------------------------------
Total Assets 537,192,068 123,648,450 2,615,742,577
- -------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company 180,838 378,759 165,972
.............................................................................................................
Payable for fund shares purchased -- -- --
.............................................................................................................
Total Liabilities 180,838 378,759 165,972
- -------------------------------------------------------------------------------------------------------------
Net Assets (variable annuity contract liabilities) $537,011,230 $123,269,691 $2,615,576,605
- -------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Assets and Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------------------------
December 31, 1998 Units Unit Contract
Owned by Price Liability
Participants
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Deferred annuity contracts in the accumulation period:
.............................................................................................................................
Asia Pacific Growth Fund Class IA .40% 991 $ 8.871834 $ 8,794
.............................................................................................................................
Asia Pacific Growth Fund Class IA 3,614,223 8.552078 30,909,115
.............................................................................................................................
Asia Pacific Growth Fund Class IB 1,000 10.544040 10,544
.............................................................................................................................
Diversified Income Fund Class IA .40% 1,048 13.426807 14,073
.............................................................................................................................
Diversified Income Fund Class IA 27,361,752 12.488636 341,710,967
.............................................................................................................................
Diversified Income Fund Class IB 22,725 9.483976 215,528
.............................................................................................................................
George Putnam Fund of Boston Class IA .40% 1,000 10.310830 10,311
.............................................................................................................................
George Putnam Fund of Boston Class IA 4,571,284 10.242185 46,819,922
.............................................................................................................................
George Putnam Fund of Boston Class IB 6,721 10.397822 69,885
.............................................................................................................................
Global Asset Allocation Fund Class IA .40% 1,056 19.595370 20,702
.............................................................................................................................
Global Asset Allocation Fund Class IA 16,196,269 30.255566 490,027,281
.............................................................................................................................
Global Asset Allocation Fund Class IB 1,121 10.190632 11,425
.............................................................................................................................
Global Growth Fund Class IA .40% 1,504 20.255888 30,464
.............................................................................................................................
Global Growth Fund Class IA 34,221,421 24.939571 853,467,552
.............................................................................................................................
Global Growth Fund Class IB 6,166 10.425449 64,283
.............................................................................................................................
Growth and Income Fund Class IA 40% 1,782 24.085764 42,913
.............................................................................................................................
Growth and Income Fund Class IA 108,445,621 45.567032 4,941,545,097
.............................................................................................................................
Growth and Income Fund Class IB 23,258 10.443057 242,881
.............................................................................................................................
Health Sciences Fund Class IA .40% 1,000 10.921400 10,921
.............................................................................................................................
Health Sciences Fund Class IA 4,961,771 10.848771 53,829,119
.............................................................................................................................
Health Sciences Fund Class IB 4,419 10.784889 47,658
.............................................................................................................................
High Yield Fund Class IA .40% 1,055 14.072697 14,841
.............................................................................................................................
High Yield Fund Class IA 18,670,384 23.742124 443,274,583
.............................................................................................................................
High Yield Fund Class IB 6,363 8.895343 56,599
.............................................................................................................................
International Growth Fund Class IA .40% 2,832 13.673735 38,727
.............................................................................................................................
International Growth Fund Class IA 8,641,583 13.402515 115,818,942
.............................................................................................................................
International Growth Fund Class IB 19,075 9.510657 181,413
.............................................................................................................................
International Growth and Income Fund Class IA .40% 1,146 13.184402 15,116
.............................................................................................................................
International Growth and Income Fund Class IA 9,449,531 12.922223 122,108,950
.............................................................................................................................
International Growth and Income Fund Class IB 2,548 9.523514 24,268
.............................................................................................................................
International New Opportunities Fund Class IA .40% 1,181 11.453824 13,523
.............................................................................................................................
International New Opportunities Fund Class IA 4,790,220 11.225771 53,773,916
.............................................................................................................................
International New Opportunities Fund Class IB 1,458 9.530122 13,899
.............................................................................................................................
Investors Fund Class IA .40% 1,000 11.508270 11,508
.............................................................................................................................
Investors Fund Class IA 9,335,885 11.431551 106,723,645
.............................................................................................................................
Investors Fund Class IB 12,179 10.837505 131,993
.............................................................................................................................
Money Market Fund Class IA .40% 42,347 1.232976 52,213
.............................................................................................................................
Money Market Fund Class IA 194,640,604 1.538127 299,381,968
.............................................................................................................................
Money Market Fund Class IB 444,980 1.014151 451,277
.............................................................................................................................
New Opportunities Fund Class IA .40% 1,249 28.085839 35,091
.............................................................................................................................
New Opportunities Fund Class IA 44,314,582 24.804633 1,099,206,949
.............................................................................................................................
New Opportunities Fund Class IB 21,822 10.572464 230,713
.............................................................................................................................
New Value Fund Class IA .40% 1,000 12.396380 12,396
.............................................................................................................................
New Value Fund Class IA 8,157,500 12.151266 99,123,950
.............................................................................................................................
New Value Fund Class IB 1,852 10.301448 19,081
.............................................................................................................................
OTC & Emerging Fund Class IA .40% 1,000 10.047430 10,047
.............................................................................................................................
OTC & Emerging Fund Class IA 922,190 9.979745 9,203,220
.............................................................................................................................
OTC & Emerging Fund Class IB 4,637 10.276087 47,647
.............................................................................................................................
Research Fund Class IA .40% 1,000 12.527710 12,528
.............................................................................................................................
Research Fund Class IA 521,626 12.496667 6,518,588
.............................................................................................................................
Research Fund Class IB 2,377 12.480896 29,669
.............................................................................................................................
<CAPTION>
Statements of Assets and Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------------------------
December 31, 1998 Units Unit Contract
Owned by Price Liability
Participants
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. Government and High Quality Bond Fund Class IA .40% 1,028 $14.305046 $ 14,705
.............................................................................................................................
U.S. Government and High Quality Bond Fund Class IA 29,232,323 21.305276 622,802,709
.............................................................................................................................
U.S. Government and High Quality Bond Fund Class IB 38,269 10.297077 394,058
.............................................................................................................................
Utilities Growth and Income Fund Class IA .40% 1,024 22.252083 22,793
.............................................................................................................................
Utilities Growth and Income Fund Class IA 23,490,227 22.825900 536,185,574
.............................................................................................................................
Utilities Growth and Income Fund Class IB 14,897 11.063684 164,817
.............................................................................................................................
Vista Fund Class IA .40% 1,000 14.604110 14,604
.............................................................................................................................
Vista Fund Class IA 8,596,391 14.316454 123,069,843
.............................................................................................................................
Vista Fund Class IB 8,959 10.247684 91,809
.............................................................................................................................
Voyager Fund Class IA .40% 2,347 27.501510 64,536
.............................................................................................................................
Voyager Fund Class IA 47,034,107 55.426380 2,606,930,283
.............................................................................................................................
Voyager Fund Class IB 28,846 10.741598 309,849
.............................................................................................................................
Sub-total: 13,005,703,481
.............................................................................................................................
Annuity contracts in the annuity period:
.............................................................................................................................
Asia Pacific Growth Fund Class IA 3,173 8.552078 27,136
.............................................................................................................................
Diversified Income Fund Class IA 27,599 12.488636 344,679
.............................................................................................................................
Global Asset Allocation Fund Class IA 46,758 30.255566 1,414,678
.............................................................................................................................
Global Growth Fund Class IA 115,357 24.939571 2,876,946
.............................................................................................................................
Growth and Income Fund Class IA 178,421 45.567032 8,130,110
.............................................................................................................................
High Yield Fund Class IA 31,087 23.742124 738,062
.............................................................................................................................
High Yield Fund Class IA .40% 4,443 14.072697 62,526
.............................................................................................................................
International Growth Fund Class IA 783 13.402515 10,499
.............................................................................................................................
International Growth and Income Fund Class IA 4,646 12.922223 60,035
.............................................................................................................................
International New Opportunities Fund Class IA 569 11.225771 6,386
.............................................................................................................................
Investors Fund Class IA 697 11.431551 7,963
.............................................................................................................................
Money Market Fund Class IA 103,308 1.538127 158,901
.............................................................................................................................
New Opportunities Fund Class IA 34,115 24.804633 846,219
.............................................................................................................................
New Value Fund Class IA 4,142 12.151266 50,330
.............................................................................................................................
U.S. Government and High Quality Bond Fund Class IA 36,461 21.305276 776,412
.............................................................................................................................
Utilities Growth and Income Fund Class IA 27,953 22.825900 638,046
.............................................................................................................................
Vista Fund Class IA 6,526 14.316454 93,435
.............................................................................................................................
Voyager Fund Class IA 149,242 55.426380 8,271,937
.............................................................................................................................
Sub-total: 24,514,700
- -----------------------------------------------------------------------------------------------------------------------------
Grand Total: $13,030,218,181
- -----------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Operations
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified The Global Asset
December 31, 1998 Growth Income George Putnam Allocation
Sub-Account Sub-Account Fund of Boston Sub-Account
Sub-Account*
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends $ 1,564,512 $ 13,802,701 $ 374,415 $10,955,687
................................................................................................................
Capital gains income -- 5,862,590 -- 47,058,496
................................................................................................................
Expenses:
Mortality and expense
undertakings (452,707) (4,663,472) (188,593) (6,906,953)
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions (1,764,199) (32,192) 2,058 (842,305)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (1,930,185) (24,771,299) 1,968,230 4,041,060
................................................................................................................
Net gain (loss) on investments (3,694,384) (24,803,491) 1,970,288 3,198,755
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $ (2,582,579) $ (9,801,672) $2,156,110 $54,305,985
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations(continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Global Growth Health
December 31, 1998 Growth and Income Sciences
Sub-Account Sub-Account Sub-Account*
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment income:
Dividends $ 19,995,172 $ 77,068,358 $ 46,972
..............................................................................................
Capital gains income 99,975,864 503,102,245 --
..............................................................................................
Expenses:
Mortality and expense
undertakings (10,932,941) (65,020,082) (235,070)
..............................................................................................
Net realized and
unrealized gain (loss)
on investments:
..............................................................................................
Net realized gain (loss)
on security transactions 86,719 (13,044,218) 7,391
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 81,122,328 87,730,466 5,222,198
..............................................................................................
Net gain (loss) on investments 81,209,047 74,686,248 5,229,589
- ----------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $190,247,142 $589,836,769 $5,041,491
- ----------------------------------------------------------------------------------------------
*From inception, April 30, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended High Yield International International International
December 31, 1998 Sub-Account Growth Growth New
Sub-Account and Income Opportunities
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends $ 36,812,133 $ 377,732 $1,524,102 $ 91,665
................................................................................................................
Capital gains income 5,776,463 -- 3,952,074 --
................................................................................................................
Expenses:
Mortality and expense
undertakings (6,563,827) (1,217,351) (1,543,135) (661,010)
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions (1,068,781) 325,406 226,178 69,499
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (68,167,310) 11,216,654 3,897,830 6,461,818
................................................................................................................
Net gain (loss) on investments (69,236,091) 11,542,060 4,124,008 6,531,317
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $(33,211,322) $10,702,441 $8,057,049 $5,961,972
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Investors Money New
December 31, 1998 Sub-Account* Market Opportunities
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment income:
Dividends $ 128,830 $12,897,668 $ --
..............................................................................................
Capital gains income -- -- 13,104,760
..............................................................................................
Expenses:
Mortality and expense
undertakings (402,141) (3,568,319) (13,261,139)
..............................................................................................
Net realized and
unrealized gain (loss)
on investments:
..............................................................................................
Net realized gain (loss)
on security transactions 26,606 -- (4,633,710)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 13,225,708 -- 200,446,907
..............................................................................................
Net gain (loss) on investments 13,252,314 -- 195,813,197
- ----------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $12,979,003 $ 9,329,349 $195,656,818
- ----------------------------------------------------------------------------------------------
*From inception, April 30, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended New OTC & Research U.S.Government
December 31, 1998 Value Emerging Growth Sub-Account** and High
Sub-Account Sub-Account* Quality Bond
Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends $1,752,027 $ 3,372 $ 8,448 $28,417,527
................................................................................................................
Capital gains income 1,734,664 -- 444 739,634
................................................................................................................
Expenses:
Mortality and expense
undertakings (1,255,209) (38,610) (9,355) (7,860,470)
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions (166,487) (29,039) 2,141 297,895
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 2,140,264 1,094,473 503,979 14,444,406
................................................................................................................
Net gain (loss) on investments 1,973,777 1,065,434 506,120 14,742,301
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $4,205,259 $1,030,196 $505,657 $36,038,992
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Utilities Vista Voyager
December 31, 1998 Growth Sub-Account Sub-Account
and Income
Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment income:
Dividends $13,533,429 $ -- $ 5,509,636
..............................................................................................
Capital gains income 23,325,262 -- 134,435,124
..............................................................................................
Expenses:
Mortality and expense
undertakings (6,659,080) (1,312,949) (32,325,889)
..............................................................................................
Net realized and
unrealized gain (loss)
on investments:
..............................................................................................
Net realized gain (loss)
on security transactions (255,617) (369,767) (11,140,387)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 31,863,022 17,028,097 377,719,434
..............................................................................................
Net gain (loss) on investments 31,607,405 16,658,330 366,579,047
- ----------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $61,807,016 $15,345,381 $474,197,918
- ----------------------------------------------------------------------------------------------
*From inception, April 30, 1998, to December 31, 1998.
**From inception, October 1, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified The Global Asset
December 31, 1998 Growth Income George Putnam Allocation
Sub-Account Sub-Account Fund of Boston Sub-Account
Sub-Account*
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 1,111,805 $ 9,139,229 $ 185,822 $ 4,048,734
................................................................................................................
Capital gains income -- 5,862,590 -- 47,058,496
................................................................................................................
Net realized gain (loss)
on security transactions (1,764,199) (32,192) 2,058 (842,305)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (1,930,185) (24,771,299) 1,968,230 4,041,060
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations (2,582,579) (9,801,672) 2,156,110 54,305,985
................................................................................................................
Unit Transactions:
Purchases 1,897,548 35,579,052 17,802,735 17,160,875
................................................................................................................
Net transfers (4,187,927) 28,378,148 27,784,759 (24,301,956)
................................................................................................................
Surrenders (1,899,643) (26,103,606) (843,486) (42,326,606)
................................................................................................................
Net annuity transactions 21,039 115,109 -- (220,472)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions (4,168,983) 37,968,703 44,744,008 (49,688,159)
................................................................................................................
Total increase (decrease)
in net assets (6,751,562) 28,167,031 46,900,118 4,617,826
................................................................................................................
Net Assets
Beginning of period 37,707,151 314,118,216 -- 486,856,260
- ----------------------------------------------------------------------------------------------------------------
End of period $30,955,589 $342,285,247 $46,900,118 $491,474,086
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Global Growth Health
December 31, 1998 Growth and Income Sciences
Sub-Account Sub-Account Sub-Account*
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 9,062,231 $ 12,048,276 $ (188,098)
..............................................................................................
Capital gains income 99,975,864 503,102,245 --
..............................................................................................
Net realized gain (loss)
on security transactions 86,719 (13,044,218) 7,391
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 81,122,328 87,730,466 5,222,198
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 190,247,142 589,836,769 5,041,491
..............................................................................................
Unit Transactions:
Purchases 26,176,679 328,888,237 14,760,637
..............................................................................................
Net transfers (24,478,828) 42,388,882 34,890,394
..............................................................................................
Surrenders (57,450,776) (348,342,759) (804,824)
..............................................................................................
Net annuity transactions (239,956) 274,015 --
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions (55,992,881) 23,208,375 48,846,207
..............................................................................................
Total increase (decrease)
in net assets 134,254,261 613,045,144 53,887,698
..............................................................................................
Net Assets
Beginning of period 722,184,984 4,336,915,857 --
- ----------------------------------------------------------------------------------------------
End of period $856,439,245 $4,949,961,001 $53,887,698
- ----------------------------------------------------------------------------------------------
*From inception, April 30, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended High Yield International International International
December 31, 1998 Sub-Account Growth Growth New
Sub-Account and Income Opportunities
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 30,248,306 $ (839,619) $ (19,033) $ (569,345)
................................................................................................................
Capital gains income 5,776,463 -- 3,952,074 --
................................................................................................................
Net realized gain (loss)
on security transactions (1,068,781) 325,406 226,178 69,499
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (68,167,310) 11,216,654 3,897,830 6,461,818
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations (33,211,322) 10,702,441 8,057,049 5,961,972
................................................................................................................
Unit Transactions:
Purchases 51,499,798 21,335,522 18,854,378 4,709,200
................................................................................................................
Net transfers 12,289,356 33,636,206 15,236,673 6,135,412
................................................................................................................
Surrenders (39,936,318) (4,476,094) (6,213,054) (2,667,147)
................................................................................................................
Net annuity transactions 36,497 3,222 6,980 3,206
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 23,889,333 50,498,856 27,884,977 8,180,671
................................................................................................................
Total increase (decrease)
in net assets (9,321,989) 61,201,297 35,942,026 14,142,643
................................................................................................................
Net Assets
Beginning of period 453,468,600 54,848,284 86,266,343 39,665,081
- ----------------------------------------------------------------------------------------------------------------
End of period $444,146,611 $116,049,581 $122,208,369 $53,807,724
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Investors Money New
December 31, 1998 Sub-Account* Market Opportunities
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ (273,311) $ 9,329,349 $ (13,261,139)
..............................................................................................
Capital gains income -- -- 13,104,760
..............................................................................................
Net realized gain (loss)
on security transactions 26,606 -- (4,633,710)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 13,225,708 -- 200,446,907
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 12,979,003 9,329,349 195,656,818
..............................................................................................
Unit Transactions:
Purchases 28,303,782 27,561,765 72,077,164
..............................................................................................
Net transfers 66,945,761 157,861,043 23,187,515
..............................................................................................
Surrenders (1,361,265) (97,002,613) (51,328,474)
..............................................................................................
Net annuity transactions 7,828 (18,974) 173,750
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 93,896,106 88,401,221 44,109,955
..............................................................................................
Total increase (decrease)
in net assets 106,875,109 97,730,570 239,766,773
..............................................................................................
Net Assets
Beginning of period -- 202,288,263 860,552,199
- ----------------------------------------------------------------------------------------------
End of period $106,875,109 $300,018,833 $1,100,318,972
- ----------------------------------------------------------------------------------------------
*From inception, April 30, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended New OTC & Research U.S.Government
December 31, 1998 Value Emerging Growth Sub-Account** and High
Sub-Account Sub-Account* Quality Bond
Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 496,818 $ (35,238) $ (907) $ 20,557,057
................................................................................................................
Capital gains income 1,734,664 -- 444 739,634
................................................................................................................
Net realized gain (loss)
on security transactions (166,487) (29,039) 2,141 297,895
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 2,140,264 1,094,473 503,979 14,444,406
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 4,205,259 1,030,196 505,657 36,038,992
................................................................................................................
Unit Transactions:
Purchases 15,989,831 2,889,609 505,479 33,368,472
................................................................................................................
Net transfers 9,386,671 5,444,882 5,638,915 90,450,321
................................................................................................................
Surrenders (5,428,168) (103,773) (89,266) (64,755,540)
................................................................................................................
Net annuity transactions 21,783 -- -- (36,669)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 19,970,117 8,230,718 6,055,128 59,026,584
................................................................................................................
Total increase (decrease)
in net assets 24,175,376 9,260,914 6,560,785 95,065,576
................................................................................................................
Net Assets
Beginning of period 75,030,381 -- -- 528,922,708
- ----------------------------------------------------------------------------------------------------------------
End of period $99,205,757 $9,260,914 $6,560,785 $623,988,284
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Utilities Vista Voyager
December 31, 1998 Growth Sub-Account Sub-Account
and Income
Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 6,874,349 $ (1,312,949) $ (26,816,253)
..............................................................................................
Capital gains income 23,325,262 -- 134,435,124
..............................................................................................
Net realized gain (loss)
on security transactions (255,617) (369,767) (11,140,387)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 31,863,022 17,028,097 377,719,434
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 61,807,016 15,345,381 474,197,918
..............................................................................................
Unit Transactions:
Purchases 34,808,733 22,600,733 137,173,587
..............................................................................................
Net transfers 28,255,011 21,059,612 20,389,207
..............................................................................................
Surrenders (35,590,822) (4,630,951) (160,084,953)
..............................................................................................
Net annuity transactions 28,596 (11,796) (103,887)
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 27,501,518 39,017,598 (2,626,046)
..............................................................................................
Total increase (decrease)
in net assets 89,308,534 54,362,979 471,571,872
..............................................................................................
Net Assets
Beginning of period 447,702,696 68,906,712 2,144,004,733
- ----------------------------------------------------------------------------------------------
End of period $537,011,230 $123,269,691 $2,615,576,605
- ----------------------------------------------------------------------------------------------
*From inception, April 30, 1998, to December 31, 1998.
**From inception, October 1, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified Global Asset Global
December 31, 1997 Growth Income Allocation Growth
Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 286,716 $ 10,935,700 $ 7,734,396 $ 5,584,154
................................................................................................................
Capital gains income -- 2,352,102 24,114,921 16,781,057
................................................................................................................
Net realized gain (loss)
on security transactions (317,227) (2,032) 382,203 1,854,347
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (7,411,215) 3,452,605 41,346,816 58,240,028
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations (7,441,726) 16,738,375 73,578,336 82,459,586
................................................................................................................
Unit Transactions:
Purchases 6,824,313 54,269,125 39,248,244 60,530,559
................................................................................................................
Net transfers (7,793,253) 6,390,705 2,130,067 (14,835,954)
................................................................................................................
Surrenders (2,299,932) (17,669,198) (30,639,160) (43,839,765)
................................................................................................................
Net annuity transactions 6,521 103,403 2,282 109,879
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions (3,262,351) 43,094,035 10,741,433 1,964,719
................................................................................................................
Total increase (decrease)
in net assets (10,704,077) 59,832,410 84,319,769 84,424,305
................................................................................................................
Net Assets
Beginning of period 48,411,228 254,285,806 402,536,491 637,760,679
- ----------------------------------------------------------------------------------------------------------------
End of period $37,707,151 $314,118,216 $486,856,260 $722,184,984
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended Growth High Yield International International
December 31, 1997 and Income Sub-Account Growth Growth
Sub-Account Sub-Account* and Income
Sub-Account*
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 16,099,755 $ 21,220,896 $ 431,084 $ 2,256,907
................................................................................................................
Capital gains income 170,606,295 3,112,539 -- --
................................................................................................................
Net realized gain (loss)
on security transactions (549,025) 667,197 225,798 52,035
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 566,542,304 22,952,048 1,259,962 2,257,219
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 752,699,329 47,952,680 1,916,844 4,566,161
................................................................................................................
Unit Transactions:
Purchases 539,289,509 71,464,742 27,282,314 42,203,655
................................................................................................................
Net transfers 132,038,932 (2,036,158) 27,001,396 41,543,461
................................................................................................................
Surrenders (244,974,411) (38,465,815) (1,358,447) (2,094,535)
................................................................................................................
Net annuity transactions 635,758 313,873 6,177 47,601
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 426,989,788 31,276,642 52,931,440 81,700,182
................................................................................................................
Total increase (decrease)
in net assets 1,179,689,117 79,229,322 54,848,284 86,266,343
................................................................................................................
Net Assets
Beginning of period 3,157,226,740 374,239,278 -- --
- ----------------------------------------------------------------------------------------------------------------
End of period $4,336,915,857 $453,468,600 $54,848,284 $86,266,343
- ----------------------------------------------------------------------------------------------------------------
*From inception, January 2, 1997 to December 31, 1997.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended International Money New New
December 31, 1997 New Market Opportunities Value
Opportunities Sub-Account Sub-Account Sub-Account*
Sub-Account*
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ (270,796) $ 8,471,138 $(10,320,489) $ (571,860)
................................................................................................................
Capital gains income -- -- -- --
................................................................................................................
Net realized gain (loss)
on security transactions 8,774 -- (2,114,704) (22,915)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (2,182,759) -- 155,175,963 4,884,420
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations (2,444,781) 8,471,138 142,740,770 4,289,645
................................................................................................................
Unit Transactions:
Purchases 23,052,814 77,901,178 115,804,514 34,449,270
................................................................................................................
Net transfers 20,167,867 (22,892,448) 4,241,130 38,150,975
................................................................................................................
Surrenders (1,113,600) (61,475,251) (39,637,945) (1,885,996)
................................................................................................................
Net annuity transactions 2,781 118,204 224,473 26,487
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 42,109,862 (6,348,317) 80,632,172 70,740,736
................................................................................................................
Total increase (decrease)
in net assets 39,665,081 2,122,821 223,372,942 75,030,381
................................................................................................................
Net Assets
Beginning of period -- 200,165,442 637,179,257 --
- ----------------------------------------------------------------------------------------------------------------
End of period $39,665,081 $202,288,263 $860,552,199 $75,030,381
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended U.S.Government Utilities Vista Voyager
December 31, 1997 and High Growth Sub-Account* Sub-Account
Quality Bond and Income
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 26,900,731 $ 8,298,407 $ (518,559) $ (22,763,932)
................................................................................................................
Capital gains income -- 18,719,685 -- 76,888,318
................................................................................................................
Net realized gain (loss)
on security transactions 1,827,985 1,649,879 (123,252) (585,530)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 7,319,022 62,148,682 7,829,883 359,796,040
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 36,047,738 90,816,653 7,188,072 413,334,896
................................................................................................................
Unit Transactions:
Purchases 31,430,418 28,593,076 32,854,577 197,024,558
................................................................................................................
Net transfers (38,035,230) (17,843,601) 30,909,118 (13,299,198)
................................................................................................................
Surrenders (48,896,007) (25,522,719) (2,131,040) (121,850,857)
................................................................................................................
Net annuity transactions 34,145 72,442 85,985 6,165
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions (55,466,674) (14,700,802) 61,718,640 61,880,668
................................................................................................................
Total increase (decrease)
in net assets (19,418,936) 76,115,851 68,906,712 475,215,564
................................................................................................................
Net Assets
Beginning of period 548,341,644 371,586,845 -- 1,668,789,169
- ----------------------------------------------------------------------------------------------------------------
End of period $528,922,708 $447,702,696 $68,906,712 $2,144,004,733
- ----------------------------------------------------------------------------------------------------------------
*From inception, January 2, 1997 to December 31, 1997.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT --
HARTFORD LIFE INSURANCE COMPANY
Notes to Financial Statements
December 31, 1998
1. ORGANIZATION:
Putnam Capital Manager Trust Separate Account (the Account) is a separate
investment account within Hartford Life Insurance Company (the Company) and
is registered with the Securities and Exchange Commission (SEC) as a unit
investment trust under the Investment Company Act of 1940, as amended. Both
the Company and the Account are subject to supervision and regulation by
the Department of Insurance of the State of Connecticut and the SEC. The
Account invests deposits by variable annuity contractholders of the Company
in the various mutual funds (the Funds), as directed by the
contractholders.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies of the
Account, which are in accordance with generally accepted accounting
principles in the investment company industry:
A) Security Transactions -- Security transactions are recorded on the trade
date (date the order to buy or sell is executed). Cost of investments sold
is determined on the basis of identified cost. Dividend and capital gains
income is accrued as of the ex-dividend date. Capital gains income
represents dividends from the Funds which are characterized as capital
gains under tax regulations.
B) Security Valuation -- The investments in shares of the Funds are valued
at the closing net asset value per share as determined by the appropriate
Fund as of December 31, 1998.
C) Security Class -- Putnam Variable Trust consists of a series of funds,
each of which is represented by a separate series of class IA shares and
class IB shares.
Class IA shares are offered at net asset value and are not subject to a
distribution fee. Class IA .40% are for Company employees only.
Class IB shares are offered at net asset value and pay an ongoing
distribution fee.
D) Federal Income Taxes -- The operations of the Account form a part of, and
are taxed with, the total operations of the Company, which is taxed as an
insurance company under the Internal Revenue Code. Under current law, no
federal income taxes are payable with respect to the operations of the
Account.
E) Use of Estimates -- The preparation of financial statements in conformity
with generally accepted accounting principles requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities as of the date of the financial statements and the reported
amounts of income and expenses during the period. Operating results in the
future could vary from the amounts derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
A) Mortality and Expense Undertakings -- The Company, as issuer of variable
annuity contracts, provides the mortality and expense undertakings and,
with respect to the Account, receives a maximum annual fee of 1.50% of the
Account's average daily net assets.
B) Deduction of other Fees -- Annual maintenance fees are deducted through
termination of units of interest from applicable contract owners' accounts,
in accordance with the terms of the contracts. These expenses are reflected
in surrenders on the accompanying statements of changes in net assets.
Report of Independent Public Accountants
To Hartford Life Insurance Company Putnam Capital Manager Trust Separate
Account Variable Life One and to the Owners of Units of Interest therein:
We have audited the accompanying statements of assets and liabilities of
Hartford Life Insurance Company Putnam Capital Manager Trust Separate
Account Variable Life One (Asia Pacific Growth, Diversified Income, The
George Putnam Fund of Boston, Global Asset Allocation, Global Growth,
Growth and Income, Health Sciences, High Yield, International Growth,
International Growth and Income, International New Opportunities,
Investors, Money Market, New Opportunities, New Value, OTC & Emerging
Growth, U.S. Government and High Quality Bond, Utilities Growth and Income,
Vista, and Voyager), (collectively, the Account) as of December 31, 1998,
and the related statements of operations and the statements of changes in
net assets for the periods presented. These financial statements are the
responsibility of the Account's management. Our responsibility is to
express an opinion on these financial statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are free
of material misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial
statements. An audit also includes assessing the accounting principles
used and significant estimates made by management, as well as evaluating
the overall financial statement presentation. We believe that our audits
provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly,
in all material respects, the financial position of the Account as of
December 31, 1998, and the results of their operations and the changes in
their net assets for the periods presented in conformity with generally
accepted accounting principles.
ARTHUR ANDERSEN LLP
Hartford, Connecticut
February 15, 1999
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities
- -------------------------------------------------------------------------------------------------------------------------------
December 31, 1998 Asia Pacific Diversified The Global Asset
Growth Income George Putnam Allocation
Sub-Account Sub-Account Fund of Boston Sub-Account
Assets Sub-Account
Investments:
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
Shares 591
Cost $4,742
...............................................................................................................................
Market Value: $4,926 $ -- $ -- $ --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Diversified Income Fund
Shares 146,553
Cost $1,604,544
...............................................................................................................................
Market Value: -- 1,537,338 -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT The George Putnam Fund of Boston
Shares 855
Cost $8,687
...............................................................................................................................
Market Value: -- -- 8,786 --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
Shares 641,557
Cost $10,366,782
...............................................................................................................................
Market Value: -- -- -- 12,157,509
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Global Growth Fund
Shares 1,500,092
Cost $24,811,537
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Growth and Income Fund
Shares 1,600,532
Cost $38,609,080
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Health Sciences Fund
Shares 11,304
Cost $111,441
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company -- 903 -- 11,310
...............................................................................................................................
Receivable from fund shares sold -- -- -- --
...............................................................................................................................
Total Assets 4,926 1,538,241 8,786 12,168,819
...............................................................................................................................
Liabilities
Due to Hartford Life Insurance Company -- -- -- --
...............................................................................................................................
Payable for fund shares purchased -- 903 -- 11,310
...............................................................................................................................
Total Liabilities -- 903 -- 11,310
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $4,926 $1,537,338 $8,786 $12,157,509
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets & Liabilities (continued)
- -------------------------------------------------------------------------------------------------------------
December 31, 1998 Global Growth Health
Growth and Income Sciences
Sub-Account Sub-Account Sub-Account
Assets
Investments:
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
Shares 591
Cost $4,742
.............................................................................................................
Market Value: $ -- $ -- $ --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Diversified Income Fund
Shares 591
Cost $4,742
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT The George Putnam Fund of Boston
Shares 855
Cost $8,687
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
Shares 641,557
Cost $10,366,782
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Global Growth Fund
Shares 1,500,092
Cost $24,811,537
.............................................................................................................
Market Value: 30,421,864 -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Growth and Income Fund
Shares 1,600,532
Cost $38,609,080
.............................................................................................................
Market Value: -- 46,047,309 --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Health Sciences Fund
Shares 11,304
Cost $111,441
.............................................................................................................
Market Value: -- -- 123,664
- -------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 40,664 64,312 --
.............................................................................................................
Receivable from fund shares sold -- -- --
.............................................................................................................
Total Assets 30,462,528 46,111,621 123,664
.............................................................................................................
Liabilities
Due to Hartford Life Insurance Company -- -- --
.............................................................................................................
Payable for fund shares purchased 40,587 64,269 --
.............................................................................................................
Total Liabilities 40,587 64,269 --
- -------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $30,421,941 $46,047,352 $123,664
- -------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities (continued)
- -------------------------------------------------------------------------------------------------------------------------------
December 31, 1998 High Yield International International International
Sub-Account Growth Growth New
Sub-Account and Income Opportunities
Assets Sub-Account Sub-Account
Investments:
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT High Yield Fund
Shares 663,461
Cost $8,487,607
...............................................................................................................................
Market Value: $7,762,495 $ -- $ -- $ --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth Fund
Shares 7,516
Cost $95,421
...............................................................................................................................
Market Value: -- 101,618 -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth and Income Fund
Shares 1,832
Cost $20,228
...............................................................................................................................
Market Value: -- -- 22,423 --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT International New Opportunities Fund
Shares 1,036
Cost $11,252
...............................................................................................................................
Market Value: -- -- -- 11,908
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Investors Fund
Shares 10,866
Cost $116,784
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Money Market Fund
Shares 1,155,707
Cost $1,155,707
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT New Opportunities Fund
Shares 1,156,760
Cost $21,937,912
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company -- -- -- 591
...............................................................................................................................
Receivable from fund shares sold 9,883 -- -- --
...............................................................................................................................
Total Assets 7,772,378 101,618 22,423 12,499
...............................................................................................................................
Liabilities
Due to Hartford Life Insurance Company 9,894 -- -- --
...............................................................................................................................
Payable for fund shares purchased -- -- -- 591
...............................................................................................................................
Total Liabilities 9,894 -- -- 591
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $7,762,484 $101,618 $22,423 $11,908
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets & Liabilities (continued)
- -------------------------------------------------------------------------------------------------------------
December 31, 1998 Investors Money New
Sub-Account Market Opportunities
Sub-Account Sub-Account
Assets
Investments:
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT High Yield Fund
Shares 663,461
Cost $8,487,607
.............................................................................................................
Market Value: $ -- $ -- $ --
- -------------------------------------------------------------------------------------------------------------
Putnam VT International Growth Fund
Shares 7,516
Cost $95,421
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT International Growth and Income Fund
Shares 1,832
Cost $20,228
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT International New Opportunities Fund
Shares 1,036
Cost $11,252
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Investors Fund
Shares 10,866
Cost $116,784
.............................................................................................................
Market Value: 126,586 -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Money Market Fund
Shares 1,155,707
Cost $1,155,707
.............................................................................................................
Market Value: -- 1,155,707 --
- -------------------------------------------------------------------------------------------------------------
Putnam VT New Opportunities Fund
Shares 1,156,760
Cost $21,937,912
.............................................................................................................
Market Value: -- -- 30,145,166
- -------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company -- 331 24,210
.............................................................................................................
Receivable from fund shares sold -- -- --
.............................................................................................................
Total Assets 126,586 1,156,038 30,169,376
.............................................................................................................
Liabilities
Due to Hartford Life Insurance Company -- -- --
.............................................................................................................
Payable for fund shares purchased -- 321 24,189
.............................................................................................................
Total Liabilities -- 321 24,189
- -------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $126,586 $1,155,717 $30,145,187
- -------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities (continued)
- -------------------------------------------------------------------------------------------------------------------------------
December 31, 1998 New OTC & U.S. Government Utilities
Value Emerging and High Growth
Sub-Account Growth Quality Bond and Income
Sub-Account Sub-Account Sub-Account
Assets
Investments:
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT New Value Fund
Shares 1,458
Cost $16,476
...............................................................................................................................
Market Value: $17,540 $ -- $ -- $ --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT OTC & Emerging Growth Fund
Shares 1,985
Cost $16,381
...............................................................................................................................
Market Value: -- 20,032 -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT U.S. Government and High Quality Bond Fund
Shares 475,600
Cost $6,209,103
...............................................................................................................................
Market Value: -- -- 6,529,991 --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Utilities Growth & Income Fund
Shares 231,954
Cost $3,172,169
...............................................................................................................................
Market Value: -- -- -- 4,219,240
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Vista Fund
Shares 1,738
Cost $21,088
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Voyager Fund
Shares 1,400,319
Cost $44,936,621
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company -- -- 24,735 13,834
...............................................................................................................................
Receivable from fund shares sold -- -- -- --
...............................................................................................................................
Total Assets 17,540 20,032 6,554,726 4,233,074
...............................................................................................................................
Liabilities
Due to Hartford Life Insurance Company -- -- -- --
...............................................................................................................................
Payable for fund shares purchased -- -- 24,735 13,835
...............................................................................................................................
Total Liabilities -- -- 24,735 13,835
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $17,540 $20,032 $6,529,991 $4,219,239
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets & Liabilities (continued)
- -------------------------------------------------------------------------------------------
December 31, 1998 Vista Voyager
Sub-Account Sub-Account
Assets
Investments:
- -------------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT New Value Fund
Shares 1,458
Cost $16,476
...........................................................................................
Market Value: $ -- $ --
- -------------------------------------------------------------------------------------------
Putnam VT OTC & Emerging Growth Fund
Shares 1,985
Cost $16,381
...........................................................................................
Market Value: -- --
- -------------------------------------------------------------------------------------------
Putnam VT U.S. Government and High Quality Bond Fund
Shares 475,600
Cost $6,209,103
...........................................................................................
Market Value: -- --
- -------------------------------------------------------------------------------------------
Putnam VT Utilities Growth & Income Fund
Shares 231,954
Cost $3,172,169
...........................................................................................
Market Value: -- --
- -------------------------------------------------------------------------------------------
Putnam VT Vista Fund
Shares 1,738
Cost $21,088
...........................................................................................
Market Value: 25,590 --
- -------------------------------------------------------------------------------------------
Putnam VT Voyager Fund
Shares 1,400,319
Cost $44,936,621
...........................................................................................
Market Value: -- 64,204,624
- -------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company -- 55,912
...........................................................................................
Receivable from fund shares sold -- --
...........................................................................................
Total Assets 25,590 64,260,536
...........................................................................................
Liabilities
Due to Hartford Life Insurance Company -- --
...........................................................................................
Payable for fund shares purchased -- 55,899
...........................................................................................
Total Liabilities -- 55,899
- -------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $25,590 $64,204,637
- -------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Assets and Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------------------------
December 31, 1998 Units Unit Contract
Owned by Price Liability
Participants
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Variable Life Contracts:
.............................................................................................................................
Asia Pacific Growth Fund 461 $10.693257 $ 4,926
.............................................................................................................................
Diversified Income Fund 120,321 12.777025 1,537,338
.............................................................................................................................
George Putnam Fund 829 10.602638 8,786
.............................................................................................................................
Global Asset Allocation Fund 584,714 20.792218 12,157,509
.............................................................................................................................
Global Growth Fund 1,290,382 23.575913 30,421,941
.............................................................................................................................
Growth and Income Fund 1,804,514 25.517876 46,047,352
.............................................................................................................................
Health Sciences Fund 10,999 11.242853 123,664
.............................................................................................................................
High Yield Fund 498,354 15.576256 7,762,484
.............................................................................................................................
International Growth Fund 10,385 9.785387 101,618
.............................................................................................................................
International Growth and Income Fund 2,295 9.768076 22,423
.............................................................................................................................
International New Opportunities Fund 1,221 9.753782 11,908
.............................................................................................................................
Investors Fund 11,317 11.185169 126,586
.............................................................................................................................
Money Market Fund 892,148 1.295432 1,155,717
.............................................................................................................................
New Opportunities Fund 1,325,514 22.742256 30,145,187
.............................................................................................................................
New Value Fund 1,653 10.611164 17,540
.............................................................................................................................
OTC & Emerging Markets Fund 1,859 10.773294 20,032
.............................................................................................................................
U.S. Government and High Quality Bond Fund 444,044 14.705728 6,529,991
.............................................................................................................................
Utilities Growth and Income Fund 195,008 21.636249 4,219,239
.............................................................................................................................
Vista Fund 2,411 10.612377 25,590
.............................................................................................................................
Voyager Fund 2,226,511 28.836430 64,204,637
- -----------------------------------------------------------------------------------------------------------------------------
Grand Total $204,644,468
- -----------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Operations
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified The Global Asset
December 31, 1998 Growth Income George Putnam Allocation
Sub-Account* Sub-Account Fund of Boston Sub-Account
Sub-Account*
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $ -- $ 44,660 $ 27 $ 229,958
................................................................................................................
Capital gains income -- 18,969 -- 987,748
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions (1,950) 216 1 14,239
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 184 (90,075) 99 133,720
................................................................................................................
Net gain (loss) on investments (1,766) (89,859) 100 147,959
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $ (1,766) $ (26,230) $127 $1,365,665
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Global Growth Health
December 31, 1998 Growth and Income Sciences
Sub-Account Sub-Account Sub-Account*
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment Income:
Dividends $ 554,987 $ 592,084 $ 101
..............................................................................................
Capital gains income 2,774,936 3,865,126 --
..............................................................................................
Net realized and
unrealized gain (loss)
on investments:
..............................................................................................
Net realized gain (loss)
on security transactions (7,956) 29,783 20
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 2,948,427 1,038,459 12,223
..............................................................................................
Net gain (loss) on investments 2,940,471 1,068,242 12,243
- ----------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $6,270,394 $5,525,452 $12,344
- ----------------------------------------------------------------------------------------------
*From inception, August 3, 1998, to December 31, 1998.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended High Yield International International International
December 31, 1998 Sub-Account Growth Growth New
Sub-Account* and Income Opportunities
Sub-Account* Sub-Account*
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $ 513,505 $ 227 $ 270 $ --
................................................................................................................
Capital gains income 80,578 -- 651 --
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions (10,213) (2) 7 --
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (1,174,864) 6,197 2,195 656
................................................................................................................
Net gain (loss) on investments (1,185,077) 6,195 2,202 656
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $ (590,994) $6,422 $3,123 $656
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Investors Money New
December 31, 1998 Sub-Account* Market Opportunities
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment Income:
Dividends $ 70 $66,306 $ --
..............................................................................................
Capital gains income -- -- 305,733
..............................................................................................
Net realized and
unrealized gain (loss)
on investments:
..............................................................................................
Net realized gain (loss)
on security transactions 34 -- (74,393)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 9,802 -- 5,084,117
..............................................................................................
Net gain (loss) on investments 9,836 -- 5,009,724
- ----------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $9,906 $66,306 $5,315,457
- ----------------------------------------------------------------------------------------------
*From inception, August 3, 1998, to December 31, 1998.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended New OTC & U.S. Government Utilities
December 31, 1998 Value Emerging Growth and High Growth
Sub-Account* Sub-Account* Quality Bond and Income
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $ 186 $ 7 $361,057 $ 91,969
................................................................................................................
Capital gains income 35 -- 9,397 158,511
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions 1 (18) 132,832 8,994
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 1,064 3,651 24,876 263,198
................................................................................................................
Net gain (loss) on investments 1,065 3,633 157,708 272,192
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $1,286 $3,640 $528,162 $522,672
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------
For the Year Ended Vista Voyager
December 31, 1998 Sub-Account* Sub-Account
- ----------------------------------------------------------------------------
<S> <C> <C>
Investment Income:
Dividends $ -- $ 117,946
............................................................................
Capital gains income -- 2,877,880
............................................................................
Net realized and
unrealized gain (loss)
on investments:
............................................................................
Net realized gain (loss)
on security transactions (101) (22,334)
............................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 4,502 8,969,653
............................................................................
Net gain (loss) on investments 4,401 8,947,319
- ----------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $4,401 $11,943,145
- ----------------------------------------------------------------------------
*From inception, August 3, 1998, to December 31, 1998.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified The Global Asset
December 31, 1998 Growth Income George Putnam Allocation
Sub-Account* Sub-Account Fund of Boston Sub-Account
Sub-Account*
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ -- $ 44,660 $ 27 $ 229,958
................................................................................................................
Capital gains income -- 18,969 -- 987,748
................................................................................................................
Net realized gain (loss)
on security transactions (1,950) 216 1 14,239
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 184 (90,075) 99 133,720
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations (1,766) (26,230) 127 1,365,665
................................................................................................................
Unit transactions:
Purchases 1,047 429,937 1,797 1,222,858
................................................................................................................
Net transfers 5,701 266,909 7,237 685,135
................................................................................................................
Surrenders (21) (21,473) (123) (182,499)
................................................................................................................
Net loan activity -- (11,902) -- (127,127)
................................................................................................................
Cost of insurance (35) (55,844) (252) (330,869)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 6,692 607,627 8,659 1,267,498
................................................................................................................
Total increase (decrease)
in net assets 4,926 581,397 8,786 2,633,163
................................................................................................................
Net Assets
Beginning of period -- 955,941 -- 9,524,346
- ----------------------------------------------------------------------------------------------------------------
End of period $4,926 $1,537,338 $8,786 $12,157,509
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Global Growth Health
December 31, 1998 Growth and Income Sciences
Sub-Account Sub-Account Sub-Account*
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 554,987 $ 592,084 $ 101
..............................................................................................
Capital gains income 2,774,936 3,865,126 --
..............................................................................................
Net realized gain (loss)
on security transactions (7,956) 29,783 20
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 2,948,427 1,038,459 12,223
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 6,270,394 5,525,452 12,344
..............................................................................................
Unit transactions:
Purchases 5,019,364 7,070,954 4,436
..............................................................................................
Net transfers 3,191,859 6,016,210 108,383
..............................................................................................
Surrenders (823,255) (1,329,891) (347)
..............................................................................................
Net loan activity (671,453) (628,747) (2)
..............................................................................................
Cost of insurance (1,015,926) (1,562,683) (1,150)
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 5,700,589 9,565,843 111,320
..............................................................................................
Total increase (decrease)
in net assets 11,970,983 15,091,295 123,664
..............................................................................................
Net Assets
Beginning of period 18,450,958 30,956,057 --
- ----------------------------------------------------------------------------------------------
End of period $30,421,941 $46,047,352 $123,664
- ----------------------------------------------------------------------------------------------
*From inception August 3, 1998, to December 31, 1998.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended High Yield International International International
December 31, 1998 Sub-Account Growth Growth New
Sub-Account* and Income Opportunities
Sub-Account* Sub-Account*
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 513,505 $ 227 $ 270 $ --
................................................................................................................
Capital gains income 80,578 -- 651 --
................................................................................................................
Net realized gain (loss)
on security transactions (10,213) (2) 7 --
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (1,174,864) 6,197 2,195 656
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations (590,994) 6,422 3,123 656
................................................................................................................
Unit transactions:
Purchases 1,578,769 2,747 2,250 1,145
................................................................................................................
Net transfers 1,518,889 93,024 17,972 10,162
................................................................................................................
Surrenders (493,675) (238) (105) (24)
................................................................................................................
Net loan activity (58,172) (3) (20) --
................................................................................................................
Cost of insurance (330,916) (334) (797) (31)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 2,214,895 95,196 19,300 11,252
................................................................................................................
Total increase (decrease)
in net assets 1,623,901 101,618 22,423 11,908
................................................................................................................
Net Assets
Beginning of period 6,138,583 -- -- --
- ----------------------------------------------------------------------------------------------------------------
End of period $7,762,484 $101,618 $22,423 $11,908
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Investors Money New
December 31, 1998 Sub-Account* Market Opportunities
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 70 $ 66,306 $ --
..............................................................................................
Capital gains income -- -- 305,733
..............................................................................................
Net realized gain (loss)
on security transactions 34 -- (74,393)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 9,802 -- 5,084,117
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 9,906 66,306 5,315,457
..............................................................................................
Unit transactions:
Purchases 2,864 223,214 4,989,756
..............................................................................................
Net transfers 115,108 (205,708) 3,222,851
..............................................................................................
Surrenders (325) (32,523) (695,854)
..............................................................................................
Net loan activity (24) (31,681) (325,692)
..............................................................................................
Cost of insurance (943) (59,689) (962,450)
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 116,680 (106,387) 6,228,611
..............................................................................................
Total increase (decrease)
in net assets 126,586 (40,081) 11,544,068
..............................................................................................
Net Assets
Beginning of period -- 1,195,798 18,601,119
- ----------------------------------------------------------------------------------------------
End of period $126,586 $1,155,717 $30,145,187
- ----------------------------------------------------------------------------------------------
*From inception August 3, 1998, to December 31, 1998.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended New OTC & U.S. Government Utilities
December 31, 1998 Value Emerging Growth and High Growth
Sub-Account* Sub-Account* Quality Bond and Income
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 186 $ 7 $ 361,057 $ 91,969
................................................................................................................
Capital gains income 35 -- 9,397 158,511
................................................................................................................
Net realized gain (loss)
on security transactions 1 (18) 132,832 8,994
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 1,064 3,651 24,876 263,198
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 1,286 3,640 528,162 522,672
................................................................................................................
Unit transactions:
Purchases 7,363 1,625 1,791,710 470,436
................................................................................................................
Net transfers 9,119 15,102 (2,923,672) 341,606
................................................................................................................
Surrenders (100) (70) (295,573) (76,934)
................................................................................................................
Net loan activity -- (10) (58,278) (78,333)
................................................................................................................
Cost of insurance (128) (255) (317,364) (111,123)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 16,254 16,392 (1,803,177) 545,652
................................................................................................................
Total increase (decrease)
in net assets 17,540 20,032 (1,275,015) 1,068,324
................................................................................................................
Net Assets
Beginning of period -- -- 7,805,006 3,150,915
- ----------------------------------------------------------------------------------------------------------------
End of period $17,540 $20,032 $6,529,991 $4,219,239
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- --------------------------------------------------------------------------------
For the Year Ended Vista Voyager
December 31, 1998 Sub-Account* Sub-Account
- --------------------------------------------------------------------------------
<S> <C> <C>
Operations:
Net investment income (loss) $ -- $ 117,946
................................................................................
Capital gains income -- 2,877,880
................................................................................
Net realized gain (loss)
on security transactions (101) (22,334)
................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 4,502 8,969,653
................................................................................
Net increase (decrease)
in net assets resulting
from operations 4,401 11,943,145
................................................................................
Unit transactions:
Purchases 1,069 8,611,086
................................................................................
Net transfers 20,251 4,732,697
................................................................................
Surrenders 4 (1,882,355)
................................................................................
Net loan activity -- (723,265)
................................................................................
Cost of insurance (135) (2,043,615)
................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 21,189 8,694,548
................................................................................
Total increase (decrease)
in net assets 25,590 20,637,693
................................................................................
Net Assets
Beginning of period -- 43,566,944
- --------------------------------------------------------------------------------
End of period $25,590 $64,204,637
- --------------------------------------------------------------------------------
*From inception August 3, 1998, to December 31, 1998.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets
- ----------------------------------------------------------------------------------------------------------------------------------
For the year ended Diversified Global Asset Global Growth High Yield
December 31, 1997 Income Allocation Growth and Income Sub-Account
Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 30,216 $ 220,664 $ 334,261 $ 397,806 $ 262,832
..................................................................................................................................
Capital gains income 4,763 377,169 359,534 968,274 30,477
..................................................................................................................................
Net realized gain (loss)
on security transactions 2,460 7,932 (33,670) 12,251 2,304
..................................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 10,461 742,644 1,236,428 3,534,550 287,986
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 47,900 1,348,409 1,896,553 4,912,881 583,599
..................................................................................................................................
Unit transactions:
Purchases 115,990 915,512 3,752,372 4,532,202 1,141,730
..................................................................................................................................
Net transfers 402,910 1,954,680 2,721,380 7,767,156 2,371,153
..................................................................................................................................
Surrenders (12,188) (253,433) (884,502) (1,298,679) (123,174)
..................................................................................................................................
Loan withdrawals (751) (55,347) (131,484) (577,327) (115,508)
..................................................................................................................................
Cost of insurance (33,003) (229,354) (683,606) (929,434) (249,137)
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 472,958 2,332,058 4,774,160 9,493,918 3,025,064
..................................................................................................................................
Total increase (decrease)
in net assets 520,858 3,680,467 6,670,713 14,406,799 3,608,663
..................................................................................................................................
Net assets:
Beginning of period 435,083 5,843,879 11,780,245 16,549,258 2,529,920
- ----------------------------------------------------------------------------------------------------------------------------------
End of period $955,941 $9,524,346 $18,450,958 $30,956,057 $6,138,583
- ----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------------------------
For the year ended Money New U.S. Government Utilities Voyager
December 31, 1997 Market Opportunities and High Growth Sub-Account
Sub-Account Sub-Account Quality Bond and Income
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 63,111 $ -- $ 365,648 $ 76,374 $ 60,565
..................................................................................................................................
Capital gains income -- -- -- 104,146 1,305,213
..................................................................................................................................
Net realized gain (loss)
on security transactions -- (22,886) 8,903 19,472 11,110
..................................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period -- 3,111,259 197,331 433,410 6,852,337
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 63,111 3,088,373 571,882 633,402 8,229,225
..................................................................................................................................
Unit transactions:
Purchases 913,653 3,520,934 2,115,331 333,259 7,068,448
..................................................................................................................................
Net transfers (1,121,412) 3,467,996 1,005,018 386,953 6,792,739
..................................................................................................................................
Surrenders (15,304) (593,906) (435,871) (177,522) (1,517,033)
..................................................................................................................................
Loan withdrawals (347,423) (194,305) 121,927 92,803 (425,937)
..................................................................................................................................
Cost of insurance (33,406) (625,715) (347,724) (75,120) (1,444,364)
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions (603,892) 5,575,004 2,458,681 560,373 10,473,853
..................................................................................................................................
Total increase (decrease)
in net assets (540,781) 8,663,377 3,030,563 1,193,775 18,703,078
..................................................................................................................................
Net assets:
Beginning of period 1,736,579 9,937,742 4,774,443 1,957,140 24,863,866
- ----------------------------------------------------------------------------------------------------------------------------------
End of period $1,195,798 $18,601,119 $7,805,006 $3,150,915 $43,566,944
- ----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE --
HARTFORD LIFE INSURANCE COMPANY
Notes to Financial Statements
December 31, 1998
1. ORGANIZATION:
Separate Account Variable Life One (the Account) is a separate investment
account within Hartford Life Insurance Company (the Company) and is
registered with the Securities and Exchange Commission (SEC) as a unit
investment trust under the Investment Company Act of 1940, as amended. Both
the Company and the Account are subject to supervision and regulation by the
Department of Insurance of the State of Connecticut and the SEC. The Account
invests deposits by variable life contractholders of the Company in the
various mutual funds (the Funds) as directed by the contractholders.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies of the
Account, which are in accordance with generally accepted accounting
principles in the investment company industry:
A) Security Transactions -- Security transactions are recorded on the trade
date (date the order to buy or sell is executed). Cost of investments sold
is determined on the basis of identified cost. Dividend and capital gains
income is accrued as of the ex-dividend date. Capital gains income
represents dividends from the Funds which are characterized as capital
gains under tax regulations.
B) Security Valuation -- The investments in shares of the Funds are valued
at the closing net asset value per share as determined by the appropriate
Fund as of December 31, 1998.
C) Federal Income Taxes -- The operations of the Account form a part of, and
are taxed with, the total operations of the Company, which is taxed as an
insurance company under the Internal Revenue Code. Under current law, no
federal income taxes are payable with respect to the operations of the
Account.
D) Use of Estimates -- The preparation of financial statements in conformity
with generally accepted accounting principles requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities as of the date of the financial statements and the reported
amounts of income and expenses during the period. Operating results in the
future could vary from the amounts derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
A) Cost of Insurance -- In accordance with terms of the contracts, the
Company makes deductions for costs of insurance to cover the Company's
anticipated mortality costs. Because a policy's account value and death
benefit may vary from month to month, the cost of insurance charges may
also vary.
B) Mortality and Expense Risk Charge -- The Company, as issuer of variable
annuity contracts, provides the mortality and expense undertakings and,
with respect to the Account, receives a maximum annual fee of 1.40% of the
Account's average daily net assets. These expenses are reflected in
surrenders on the accompanying statements of changes in net assets.
C) Administrative and Issue Charges -- The Company assesses a monthly
administrative charge to compensate the Company for administrative costs in
connection with the policies. This charge covers the average expected cost
for these expenses at a maximum of $12 per month. Additionally, the Company
assesses a monthly charge in the first policy year for up-front costs of
underwriting and issuing a policy at a monthly maximum amount of $62.50.
These expenses are reflected in surrenders on the accompanying statements
of changes in net assets.
D) Deduction of Annual Maintenance Fee -- Annual maintenance fees are
deducted through termination of units of interest from applicable contract
owners' accounts, in accordance with the terms of the contracts. These
expenses are reflected in surrenders on the accompanying statements of
changes in net assets.
Report of Independent Public Accountants
To Hartford Life Insurance Company Putnam Capital Manager Trust Separate
Account Variable Life Two and to the Owners of Units of Interest therein:
We have audited the accompanying statements of assets and liabilities of
Hartford Life Insurance Company Putnam Capital Manager Trust Separate
Account Variable Life (Asia Pacific Growth, Diversified Income, The George
Putnam Fund of Boston, Global Asset Allocation, Global Growth, Growth and
Income, Health Sciences, High Yield, International Growth, International
Growth and Income, International New Opportunities, Investors, Money
Market, New Opportunities, New Value, OTC & Emerging Growth, U.S.
Government and High Quality Bond, Utilities Growth and Income, Vista, and
Voyager), (collectively, the Account) as of December 31, 1998, and the
related statements of operations and the statements of changes in net
assets for the periods presented. These financial statements are the
responsibility of the Account's management. Our responsibility is to
express an opinion on these financial statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are free
of material misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial
statements. An audit also includes assessing the accounting principles
used and significant estimates made by management, as well as evaluating
the overall financial statement presentation. We believe that our audits
provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly,
in all material respects, the financial position of the Account as of
December 31, 1998, and the results of their operations and the changes in
their net assets for the periods presented in conformity with generally
accepted accounting principles.
ARTHUR ANDERSEN LLP
Hartford, Connecticut
February 15, 1999
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities
- -------------------------------------------------------------------------------------------------------------------------------
December 31, 1998 Asia Pacific Diversified The Global Asset
Growth Income George Putnam Allocation
Sub-Account Sub-Account Fund of Boston Sub-Account
Assets Sub-Account
Investments:
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
Shares 128
Cost $1,000
...............................................................................................................................
Market Value: $1,069 $ -- $ -- $ --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Diversified Income Fund
Shares 30,973
Cost $336,330
...............................................................................................................................
Market Value: -- 324,909 -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT The George Putnam Fund of Boston
Shares 1,386
Cost $13,574
...............................................................................................................................
Market Value: -- -- 14,244 --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
Shares 189,534
Cost $3,456,974
...............................................................................................................................
Market Value: -- -- -- 3,591,673
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Global Growth Fund
Shares 338,746
Cost $5,966,864
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Growth and Income Fund
Shares 394,067
Cost $10,410,756
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Health Sciences Fund
Shares 6,893
Cost $68,375
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company -- 2 -- 232
...............................................................................................................................
Receivable from fund shares sold -- -- -- --
...............................................................................................................................
Total Assets 1,069 324,911 14,244 3,591,905
...............................................................................................................................
Liabilities
Due to Hartford Life Insurance Company -- -- -- --
...............................................................................................................................
Payable for fund shares purchased -- -- -- --
...............................................................................................................................
Total Liabilities -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $1,069 $324,911 $14,244 $3,591,905
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets & Liabilities (continued)
- -------------------------------------------------------------------------------------------------------------
December 31, 1998 Global Growth Health
Growth and Income Sciences
Sub-Account Sub-Account Sub-Account
Assets
Investments:
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
Shares 128
Cost $1,000
.............................................................................................................
Market Value: $ -- $ -- $ --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Diversified Income Fund
Shares 30,973
Cost $336,330
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT The George Putnam Fund of Boston
Shares 1,386
Cost $13,574
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
Shares 189,534
Cost $3,456,974
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Global Growth Fund
Shares 338,746
Cost $5,966,864
.............................................................................................................
Market Value: 6,869,766 -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Growth and Income Fund
Shares 394,067
Cost $10,410,756
.............................................................................................................
Market Value: -- 11,337,302 --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Health Sciences Fund
Shares 6,893
Cost $68,375
.............................................................................................................
Market Value: -- -- 75,411
- -------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 20,057 12,360 --
.............................................................................................................
Receivable from fund shares sold -- -- --
.............................................................................................................
Total Assets 6,889,823 11,349,662 75,411
.............................................................................................................
Liabilities
Due to Hartford Life Insurance Company -- -- --
.............................................................................................................
Payable for fund shares purchased 19,661 13,653 --
.............................................................................................................
Total Liabilities 19,661 13,653 --
- -------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $6,870,162 $11,336,009 $75,411
- -------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities (continued)
- -------------------------------------------------------------------------------------------------------------------------------
December 31, 1998 High Yield International International International
Sub-Account Growth Growth New
Sub-Account and Income Opportunities
Assets Sub-Account Sub-Account
Investments:
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT High Yield Fund
Shares 178,699
Cost $2,308,364
...............................................................................................................................
Market Value: $2,090,779 $ -- $ -- $ --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth Fund
Shares 396
Cost $5,073
...............................................................................................................................
Market Value: -- 5,351 -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth and Income Fund
Shares 2,103
Cost $22,885
...............................................................................................................................
Market Value: -- -- 25,735 --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT International New Opportunities Fund
Shares 311
Cost $3,336
...............................................................................................................................
Market Value: -- -- -- 3,576
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Investors Fund
Shares 10,542
Cost $102,726
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Money Market Fund
Shares 388,157
Cost $388,157
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT New Opportunities Fund
Shares 340,951
Cost $6,841,099
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 4,930 -- -- --
...............................................................................................................................
Receivable from fund shares sold -- -- -- --
...............................................................................................................................
Total Assets 2,095,709 5,351 25,735 3,576
...............................................................................................................................
Liabilities
Due to Hartford Life Insurance Company -- -- -- --
...............................................................................................................................
Payable for fund shares purchased 4,919 -- -- --
...............................................................................................................................
Total Liabilities 4,919 -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $2,090,790 $5,351 $25,735 $3,576
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets & Liabilities (continued)
- -------------------------------------------------------------------------------------------------------------
December 31, 1998 Investors Money New
Sub-Account Market Opportunities
Sub-Account Sub-Account
Assets
Investments:
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT High Yield Fund
Shares 178,699
Cost $2,308,364
.............................................................................................................
Market Value: $ -- $ -- $ --
- -------------------------------------------------------------------------------------------------------------
Putnam VT International Growth Fund
Shares 396
Cost $5,073
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT International Growth and Income Fund
Shares 2,103
Cost $22,885
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT International New Opportunities Fund
Shares 311
Cost $3,336
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Investors Fund
Shares 10,542
Cost $102,726
.............................................................................................................
Market Value: 122,817 -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Money Market Fund
Shares 388,157
Cost $388,157
.............................................................................................................
Market Value: -- 388,157 --
- -------------------------------------------------------------------------------------------------------------
Putnam VT New Opportunities Fund
Shares 340,951
Cost $6,841,099
.............................................................................................................
Market Value: -- -- 8,885,177
- -------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 2 -- 32,368
.............................................................................................................
Receivable from fund shares sold -- -- --
.............................................................................................................
Total Assets 122,819 388,157 8,917,545
.............................................................................................................
Liabilities
Due to Hartford Life Insurance Company -- 2 --
.............................................................................................................
Payable for fund shares purchased -- -- 31,617
.............................................................................................................
Total Liabilities -- 2 31,617
- -------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $122,819 $388,155 $8,885,928
- -------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities (continued)
- -------------------------------------------------------------------------------------------------------------------------------
December 31, 1998 New OTC & U.S. Government Utilities
Value Emerging Growth and High Growth
Sub-Account Sub-Account Quality Bond and Income
Assets Sub-Account Sub-Account
Investments:
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT New Value Fund
Shares 243
Cost $2,555
...............................................................................................................................
Market Value: $2,926 $ -- $ -- $ --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT OTC & Emerging Growth Fund
Shares 1,533
Cost $11,408
...............................................................................................................................
Market Value: -- 15,470 -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT U.S. Government and High Quality Bond Fund
Shares 182,826
Cost $2,323,262
...............................................................................................................................
Market Value: -- -- 2,510,200 --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Utilities Growth & Income Fund
Shares 56,675
Cost $896,135
...............................................................................................................................
Market Value: -- -- -- 1,030,923
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Vista Fund
Shares 364
Cost $4,332
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Voyager Fund
Shares 315,146
Cost $11,418,171
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company -- -- -- 411
...............................................................................................................................
Receivable from fund shares sold -- -- 37,676 --
...............................................................................................................................
Total Assets 2,926 15,470 2,547,876 1,031,334
...............................................................................................................................
Liabilities
Due to Hartford Life Insurance Company -- -- 38,338 --
...............................................................................................................................
Payable for fund shares purchased -- -- -- 358
...............................................................................................................................
Total Liabilities -- -- 38,338 358
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $2,926 $15,470 $2,509,538 $1,030,976
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets & Liabilities (continued)
- -------------------------------------------------------------------------------------------
December 31, 1998 Vista Voyager
Sub-Account Sub-Account
Assets
Investments:
- -------------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT New Value Fund
Shares 243
Cost $2,555
...........................................................................................
Market Value: $ -- $ --
- -------------------------------------------------------------------------------------------
Putnam VT OTC & Emerging Growth Fund
Shares 1,533
Cost $11,408
...........................................................................................
Market Value: -- --
- -------------------------------------------------------------------------------------------
Putnam VT U.S. Government and High Quality Fund
Shares 182,826
Cost $2,323,262
...........................................................................................
Market Value: -- --
- -------------------------------------------------------------------------------------------
Putnam VT Utilities Growth & Income Fund
Shares 56,675
Cost $896,135
...........................................................................................
Market Value: -- --
- -------------------------------------------------------------------------------------------
Putnam VT Vista Fund
Shares 364
Cost $4,332
...........................................................................................
Market Value: 5,360 --
- -------------------------------------------------------------------------------------------
Putnam VT Voyager Fund
Shares 315,146
Cost $11,418,171
...........................................................................................
Market Value: -- 14,449,447
- -------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company -- 27,122
...........................................................................................
Receivable from fund shares sold -- --
...........................................................................................
Total Assets 5,360 14,476,569
...........................................................................................
Liabilities
Due to Hartford Life Insurance Company -- --
...........................................................................................
Payable for fund shares purchased -- 25,807
...........................................................................................
Total Liabilities -- 25,807
- -------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $5,360 $14,450,762
- -------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Assets and Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------------------------
December 31, 1998 Units Unit Contract
Owned by Price Liability
Participants
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Variable life contracts:
.............................................................................................................................
Asia Pacific Growth Fund 100 $10.693257 $ 1,069
.............................................................................................................................
Diversified Income Fund 25,429 12.777025 324,911
.............................................................................................................................
George Putnam Fund 1,343 10.602638 14,244
.............................................................................................................................
Global Asset Allocation Fund 172,752 20.792218 3,591,905
.............................................................................................................................
Global Growth Fund 291,406 23.575913 6,870,162
.............................................................................................................................
Growth and Income Fund 444,238 25.517876 11,336,009
.............................................................................................................................
Health Sciences Fund 6,707 11.242853 75,411
.............................................................................................................................
High Yield Fund 134,229 15.576256 2,090,790
.............................................................................................................................
International Growth Fund 547 9.785387 5,351
.............................................................................................................................
International Growth and Income Fund 2,635 9.768076 25,735
.............................................................................................................................
International New Opportunties Fund 367 9.753782 3,576
.............................................................................................................................
Investors Fund 10,981 11.185169 122,819
.............................................................................................................................
Money Market Fund 299,633 1.295432 388,155
.............................................................................................................................
New Opportunities Fund 390,723 22.742256 8,885,928
.............................................................................................................................
New Value Fund 276 10.611164 2,926
.............................................................................................................................
OTC & Emerging Growth Fund 1,436 10.773294 15,470
.............................................................................................................................
U.S. Government and High Quality Bond Fund 170,651 14.705728 2,509,538
.............................................................................................................................
Utilities Growth and Income Fund 47,650 21.636249 1,030,976
.............................................................................................................................
Vista Fund 505 10.612377 5,360
.............................................................................................................................
Voyager Fund 501,126 28.836584 14,450,762
- -----------------------------------------------------------------------------------------------------------------------------
Grand Total: $51,751,097
- -----------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Operations
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified The Global Asset
December 31, 1998 Growth Income George Putnam Allocation
Sub-Account* Sub-Account Fund of Boston Sub-Account
Sub-Account*
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $-- $ 8,975 $122 $ 51,115
................................................................................................................
Capital gains income -- 3,812 -- 219,555
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions -- 181 11 68
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 69 (17,009) 670 37,408
................................................................................................................
Net gain (loss) on investments 69 (16,828) 681 37,476
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $69 $ (4,041) $803 $308,146
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Global Growth Health
December 31, 1998 Growth and Income Sciences
Sub-Account Sub-Account Sub-Account*
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment Income:
Dividends $ 127,435 $ 129,504 $ 69
..............................................................................................
Capital gains income 637,175 845,402 --
..............................................................................................
Net realized and
unrealized gain (loss)
on investments:
..............................................................................................
Net realized gain (loss)
on security transactions (12,611) 15,246 11
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 623,542 249,632 7,036
..............................................................................................
Net gain (loss) on investments 610,931 264,878 7,047
- ----------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $1,375,541 $1,239,784 $7,116
- ----------------------------------------------------------------------------------------------
*From inception, August 3, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended High Yield International International International
December 31, 1998 Sub-Account Growth Growth New
Sub-Account* and Income Opportunities
Sub-Account* Sub-Account*
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $ 114,613 $ 15 $ 320 $ --
................................................................................................................
Capital gains income 17,985 -- 770 --
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions (6,169) 4 5 7
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (280,696) 278 2,850 240
................................................................................................................
Net gain (loss) on investments (286,865) 282 2,855 247
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $ (154,267) $297 $3,945 $247
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Investors Money New
December 31, 1998 Sub-Account* Market Opportunities
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment Income:
Dividends $ 158 $17,549 $ --
..............................................................................................
Capital gains income -- -- 79,622
..............................................................................................
Net realized and
unrealized gain (loss)
on investments:
..............................................................................................
Net realized gain (loss)
on security transactions 18 -- 5
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 20,091 -- 1,351,153
..............................................................................................
Net gain (loss) on investments 20,109 -- 1,351,158
- ----------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $20,267 $17,549 $1,430,780
- ----------------------------------------------------------------------------------------------
*From inception, August 3, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended New OTC & U.S. Government Utilities
December 31, 1998 Value Emerging Growth and High Growth
Sub-Account* Sub-Account* Quality Bond and Income
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $ 32 $ 6 $159,132 $ 19,667
................................................................................................................
Capital gains income 6 -- 4,142 33,897
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions 18 8 3,345 (421)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 371 4,062 47,564 66,049
................................................................................................................
Net gain (loss) on investments 389 4,070 50,909 65,628
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $427 $4,076 $214,183 $119,192
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------
For the Year Ended Vista Voyager
December 31, 1998 Sub-Account* Sub-Account
- ----------------------------------------------------------------------------
<S> <C> <C>
Investment Income:
Dividends $ -- $ 23,145
............................................................................
Capital gains income -- 564,740
............................................................................
Net realized and
unrealized gain (loss)
on investments:
............................................................................
Net realized gain (loss)
on security transactions 25 4,061
............................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 1,028 1,898,310
............................................................................
Net gain (loss) on investments 1,053 1,902,371
- ----------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $1,053 $2,490,256
- ----------------------------------------------------------------------------
*From inception, August 3, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified The Global Asset
December 31, 1998 Growth Income George Putnam Allocation
Sub-Account* Sub-Account Fund of Boston Sub-Account
Sub-Account*
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ -- $ 8,975 $ 122 $ 51,115
................................................................................................................
Capital gains income -- 3,812 -- 219,555
................................................................................................................
Net realized gain (loss)
on security transactions -- 181 11 68
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 69 (17,009) 670 37,408
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 69 (4,041) 803 308,146
................................................................................................................
Unit transactions:
Purchases 1,000 128,587 1,000 369,681
................................................................................................................
Net transfers -- 47,983 12,809 1,442,896
................................................................................................................
Surrenders -- (17,974) (356) (73,960)
................................................................................................................
Net loan activity -- -- -- 23,838
................................................................................................................
Cost of insurance -- (18,831) (12) (73,651)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 1,000 139,765 13,441 1,688,804
................................................................................................................
Total increase (decrease)
in net assets 1,069 135,724 14,244 1,996,950
................................................................................................................
Net Assets
Beginning of period -- 189,187 -- 1,594,955
- ----------------------------------------------------------------------------------------------------------------
End of period $1,069 $324,911 $14,244 $3,591,905
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Global Growth Health
December 31, 1998 Growth and Income Sciences
Sub-Account Sub-Account Sub-Account*
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 127,435 $ 129,504 $ 69
..............................................................................................
Capital gains income 637,175 845,402 --
..............................................................................................
Net realized gain (loss)
on security transactions (12,611) 15,246 11
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 623,542 249,632 7,036
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 1,375,541 1,239,784 7,116
..............................................................................................
Unit transactions:
Purchases 1,390,116 2,372,295 1,000
..............................................................................................
Net transfers 472,175 2,636,000 67,576
..............................................................................................
Surrenders (229,540) (394,619) (213)
..............................................................................................
Net loan activity 13,683 (74,317) --
..............................................................................................
Cost of insurance (210,154) (418,260) (68)
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 1,436,280 4,121,099 68,295
..............................................................................................
Total increase (decrease)
in net assets 2,811,821 5,360,883 75,411
..............................................................................................
Net Assets
Beginning of period 4,058,341 5,975,126 --
- ----------------------------------------------------------------------------------------------
End of period $6,870,162 $11,336,009 $75,411
- ----------------------------------------------------------------------------------------------
*From inception August 3, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended High Yield International International International
December 31, 1998 Sub-Account Growth Growth New
Sub-Account* and Income Opportunities
Sub-Account* Sub-Account*
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 114,613 $ 15 $ 320 $ --
................................................................................................................
Capital gains income 17,985 -- 770 --
................................................................................................................
Net realized gain (loss)
on security transactions (6,169) 4 5 7
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (280,696) 278 2,850 240
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations (154,267) 297 3,945 247
................................................................................................................
Unit transactions:
Purchases 451,806 1,000 1,172 1,000
................................................................................................................
Net transfers 938,222 4,157 20,802 2,431
................................................................................................................
Surrenders (78,942) (102) (132) (101)
................................................................................................................
Net loan activity (19) -- -- --
................................................................................................................
Cost of insurance (68,646) (1) (52) (1)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 1,242,421 5,054 21,790 3,329
................................................................................................................
Total increase (decrease)
in net assets 1,088,154 5,351 25,735 3,576
................................................................................................................
Net Assets
Beginning of period 1,002,636 -- -- --
- ----------------------------------------------------------------------------------------------------------------
End of period $2,090,790 $5,351 $25,735 $3,576
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Investors Money New
December 31, 1998 Sub-Account* Market Opportunities
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 158 $ 17,549 $ --
..............................................................................................
Capital gains income -- -- 79,622
..............................................................................................
Net realized gain (loss)
on security transactions 18 -- 5
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 20,091 -- 1,351,153
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 20,267 17,549 1,430,780
..............................................................................................
Unit transactions:
Purchases 1,207 376,321 1,645,046
..............................................................................................
Net transfers 101,790 (222,386) 1,581,473
..............................................................................................
Surrenders (298) (14,326) (286,756)
..............................................................................................
Net loan activity -- -- (61,049)
..............................................................................................
Cost of insurance (147) (4,514) (251,400)
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 102,552 135,095 2,627,314
..............................................................................................
Total increase (decrease)
in net assets 122,819 152,644 4,058,094
..............................................................................................
Net Assets
Beginning of period -- 235,511 4,827,834
- ----------------------------------------------------------------------------------------------
End of period $122,819 $388,155 $8,885,928
- ----------------------------------------------------------------------------------------------
*From inception August 3, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended New OTC & U.S. Government Utilities
December 31, 1998 Value Emerging Growth and High Growth
Sub-Account Sub-Account* Quality Bond and Income
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 32 $ 6 $ 159,132 $ 19,667
................................................................................................................
Capital gains income 6 -- 4,142 33,897
................................................................................................................
Net realized gain (loss)
on security transactions 18 8 3,345 (421)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 371 4,062 47,564 66,049
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 427 4,076 214,183 119,192
................................................................................................................
Unit transactions:
Purchases 1,000 1,086 480,043 175,713
................................................................................................................
Net transfers 1,668 10,401 (975,004) 361,235
................................................................................................................
Surrenders (168) (66) (62,811) (24,641)
................................................................................................................
Net loan activity -- (66) (15,305) 23,875
................................................................................................................
Cost of insurance (1) (27) (137,056) (33,941)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 2,499 11,394 (710,133) 502,241
................................................................................................................
Total increase (decrease)
in net assets 2,926 15,470 (495,950) 621,433
................................................................................................................
Net Assets
Beginning of period -- -- 3,005,488 409,543
- ----------------------------------------------------------------------------------------------------------------
End of period $2,926 $15,470 $2,509,538 $1,030,976
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- --------------------------------------------------------------------------
For the Year Ended Vista Voyager
December 31, 1998 Sub-Account* Sub-Account
- --------------------------------------------------------------------------
<S> <C> <C>
Operations:
Net investment income (loss) $ -- $ 23,145
..........................................................................
Capital gains income -- 564,740
..........................................................................
Net realized gain (loss)
on security transactions 25 4,061
..........................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 1,028 1,898,310
..........................................................................
Net increase (decrease)
in net assets resulting
from operations 1,053 2,490,256
..........................................................................
Unit transactions:
Purchases 1,000 2,546,550
..........................................................................
Net transfers 3,533 2,515,789
..........................................................................
Surrenders (224) (452,353)
..........................................................................
Net loan activity (224) 47,899
..........................................................................
Cost of insurance (2) (400,770)
..........................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 4,307 4,257,115
..........................................................................
Total increase (decrease)
in net assets 5,360 6,747,371
..........................................................................
Net Assets
Beginning of period -- 7,703,391
- --------------------------------------------------------------------------
End of period $5,360 $14,450,762
- --------------------------------------------------------------------------
*From inception August 3, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets
- ----------------------------------------------------------------------------------------------------------------------------------
For the year ended Diversified Global Asset Global Growth High Yield
December 31, 1997 Income Allocation Growth and Income Sub-Account
Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 3,548 $ 16,282 $ 54,214 $ 48,364 $ 25,054
..................................................................................................................................
Capital gains income 559 27,830 58,313 117,720 2,905
..................................................................................................................................
Net realized gain (loss)
on security transactions 72 1,904 12,818 454 2,088
..................................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 3,772 73,875 185,156 549,596 44,616
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 7,951 119,891 310,501 716,134 74,663
..................................................................................................................................
Unit transactions:
Purchases 69,865 216,473 933,794 1,047,062 202,481
..................................................................................................................................
Net transfers 66,718 951,228 1,576,563 3,026,454 435,717
..................................................................................................................................
Surrenders (7,735) (32,107) (119,126) (169,710) (28,512)
..................................................................................................................................
Loan withdrawals -- (895) (26,693) (83,344) --
..................................................................................................................................
Cost of insurance (7,523) (44,664) (123,165) (176,607) (30,461)
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 121,325 1,090,035 2,241,373 3,643,855 579,225
..................................................................................................................................
Total increase (decrease)
in net assets 129,276 1,209,926 2,551,874 4,359,989 653,888
..................................................................................................................................
Net assets:
Beginning of period 59,911 385,029 1,506,467 1,615,137 348,748
- ----------------------------------------------------------------------------------------------------------------------------------
End of period $189,187 $1,594,955 $4,058,341 $5,975,126 $1,002,636
- ----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------------------------
For the year ended Money New U.S. Government Utilities Voyager
December 31, 1997 Market Opportunities and High Growth Sub-Account
Sub-Account Sub-Account Quality Bond and Income
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 8,816 $ -- $ 84,427 $ 6,195 $ 7,934
..................................................................................................................................
Capital gains income -- -- -- 8,447 170,979
..................................................................................................................................
Net realized gain (loss)
on security transactions -- (2,744) 3,412 41 (10,475)
..................................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period -- 705,146 105,411 58,141 1,072,966
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 8,816 702,402 193,250 72,824 1,241,404
..................................................................................................................................
Unit transactions:
Purchases 46,630 880,486 905,167 56,076 1,401,137
..................................................................................................................................
Net transfers (7,827) 1,743,133 1,214,258 158,063 2,438,213
..................................................................................................................................
Surrenders (8,065) (141,142) (57,683) (9,042) (228,692)
..................................................................................................................................
Loan withdrawals -- (12,422) (69,040) -- (38,108)
..................................................................................................................................
Cost of insurance (4,477) (114,029) (111,805) (10,227) (203,142)
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 26,261 2,356,026 1,880,897 194,870 3,369,408
..................................................................................................................................
Total increase (decrease)
in net assets 35,077 3,058,428 2,074,147 267,694 4,610,812
..................................................................................................................................
Net assets:
Beginning of period 200,434 1,769,406 931,341 141,849 3,092,579
- ----------------------------------------------------------------------------------------------------------------------------------
End of period $235,511 $4,827,834 $3,005,488 $409,543 $7,703,391
- ----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO --
HARTFORD LIFE INSURANCE COMPANY
Notes to Financial Statements
December 31, 1998
1. ORGANIZATION:
Separate Account Variable Life Two (the Account) is a separate investment
account within Hartford Life Insurance Company (the Company) and is
registered with the Securities and Exchange Commission (SEC) as a unit
investment trust under the Investment Company Act of 1940, as amended. Both
the Company and the Account are subject to supervision and regulation by
the Department of Insurance of the State of Connecticut and the SEC. The
Account invests deposits by variable life contractholders of the Company in
the various mutual funds (the Funds) as directed by the contractholders.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies of the
Account, which are in accordance with generally accepted accounting
principles in the investment company industry:
A) Security Transactions -- Security transactions are recorded on the trade
date (date the order to buy or sell is executed). Cost of investments sold
is determined on the basis of identified cost. Dividend and capital gains
income is accrued as of the ex-dividend date. Capital gains income
represents dividends from the Funds which are characterized as capital
gains under tax regulations.
B) Security Valuation -- The investments in shares of the Funds are valued
at the closing net asset value per share as determined by the appropriate
Fund as of December 31, 1998.
C) Federal Income Taxes -- The operations of the Account form a part of, and
are taxed with, the total operations of the Company, which is taxed as an
insurance company under the Internal Revenue Code. Under current law, no
federal income taxes are payable with respect to the operations of the
Account.
D) Use of Estimates -- The preparation of financial statements in conformity
with generally accepted accounting principles requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities as of the date of the financial statements and the reported
amounts of income and expenses during the period. Operating results in the
future could vary from the amounts derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
A) Cost of Insurance -- In accordance with terms of the contracts, the
Company makes deductions for costs of insurance to cover the Company's
anticipated mortality costs. Because a policy's account value and death
benefit may vary from month to month, the cost of insurance charges may
also vary.
B) Mortality and Expense Risk Charge -- The Company, as issuer of variable
annuity contracts, provides the mortality and expense undertakings and,
with respect to the Account, receives a maximum annual fee of 0.80% of the
Account's average daily net assets. These expenses are reflected in
surrenders on the accompanying statements of changes in net assets.
C) Administrative -- The Company assesses a monthly administrative charge to
compensate the Company for administrative costs in connection with the
policies. This charge covers the average expected cost for these expenses
at a maximum of $25 per month. These expenses are reflected in surrenders
on the accompanying statements of changes in net assets.
D) Deduction of Annual Maintenance Fee -- Annual maintenance fees are
deducted through termination of units of interest from applicable contract
owners' accounts, in accordance with the terms of the contracts. These
expenses are reflected in surrenders on the accompanying statements of
changes in net assets.
Report of Independent Public Accountants
To Hartford Life Insurance Company Putnam Capital Manager Trust Separate
Account Five and to the Owners of Units of Interest therein:
We have audited the accompanying statements of assets and liabilities of
Hartford Life Insurance Company Putnam Capital Manager Trust Separate
Account (Asia Pacific Growth, Diversified Income, The George Putnam Fund of
Boston, Global Asset Allocation, Global Growth, Growth and Income, Health
Sciences, High Yield, International Growth, International Growth and
Income, International New Opportunities, Investors, Money Market, New
Opportunities, New Value, OTC & Emerging Growth, Research, U.S. Government
and High Quality Bond, Utilities Growth and Income, Vista, and Voyager),
(collectively, the Account) as of December 31, 1998, and the related
statements of operations and the statements of changes in net assets for
the periods presented. These financial statements are the responsibility
of the Account's management. Our responsibility is to express an opinion
on these financial statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are free
of material misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial
statements. An audit also includes assessing the accounting principles
used and significant estimates made by management, as well as evaluating
the overall financial statement presentation. We believe that our audits
provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly,
in all material respects, the financial position of the Account as of
December 31, 1998, and the results of their operations and the changes in
their net assets for the periods presented in conformity with generally
accepted accounting principles.
ARTHUR ANDERSEN LLP
Hartford, Connecticut
February 15, 1999
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Assets and Liabilities
- -------------------------------------------------------------------------------------------------------------------------------
December 31, 1998 Asia Pacific Diversified The Global Asset
Growth Income George Putnam Allocation
Sub-Account Sub-Account Fund of Boston Sub-Account
Assets Sub-Account
Investments:
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
Shares 67,687
Cost $696,405
...............................................................................................................................
Market Value: $563,830 $ -- $ -- $ --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Diversified Income Fund
Shares 176,335
Cost $1,915,177
...............................................................................................................................
Market Value: -- 1,849,752 -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT The George Putnam Fund of Boston
Shares 1,399
Cost $14,086
...............................................................................................................................
Market Value: -- -- 14,379 --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
Shares 100,935
Cost $1,646,624
...............................................................................................................................
Market Value: -- -- -- 1,912,715
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Global Growth Fund
Shares 467,141
Cost $7,293,679
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Growth and Income Fund
Shares 843,598
Cost $19,296,954
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Health Sciences Fund
Shares 10,109
Cost $101,057
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company -- -- 9,386 --
...............................................................................................................................
Receivable from fund shares sold -- -- -- --
...............................................................................................................................
Total Assets 563,830 1,849,752 23,765 1,912,715
...............................................................................................................................
Liabilities
Due to Hartford Life Insurance Company -- -- -- --
...............................................................................................................................
Payable for fund shares purchased -- -- 9,265 --
...............................................................................................................................
Total Liabilities -- -- 9,265 --
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $563,830 $1,849,752 $14,500 $1,912,715
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets and Liabilities (continued)
- -------------------------------------------------------------------------------------------------------------
December 31, 1998 Global Growth Health
Growth and Income Sciences
Sub-Account Sub-Account Sub-Account
Assets
Investments:
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
Shares 67,687
Cost $696,405
.............................................................................................................
Market Value: $ -- $ -- $ --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Diversified Income Fund
Shares 176,335
Cost $1,915,177
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT The George Putnam Fund of Boston
Shares 1,399
Cost $14,086
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
Shares 100,935
Cost $1,646,624
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Global Growth Fund
Shares 467,141
Cost $7,293,679
.............................................................................................................
Market Value: 9,473,627 -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Growth and Income Fund
Shares 843,598
Cost $19,296,954
.............................................................................................................
Market Value: -- 24,270,325 --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Health Sciences Fund
Shares 10,109
Cost $101,057
.............................................................................................................
Market Value: -- -- 110,591
- -------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 73 14,271 --
.............................................................................................................
Receivable from fund shares sold -- -- --
.............................................................................................................
Total Assets 9,473,700 24,284,596 110,591
.............................................................................................................
Liabilities
Due to Hartford Life Insurance Company -- -- --
.............................................................................................................
Payable for fund shares purchased 68 14,270 --
.............................................................................................................
Total Liabilities 68 14,270 --
- -------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $9,473,632 $24,270,326 $110,591
- -------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Assets and Liabilities (continued)
- -------------------------------------------------------------------------------------------------------------------------------
December 31, 1998 High Yield International International International
Sub-Account Growth Growth New
Sub-Account and Income Opportunities
Assets Sub-Account Sub-Account
Investments:
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT High Yield Fund
Shares 406,011
Cost $5,021,064
...............................................................................................................................
Market Value: $4,750,334 $ -- $ -- $ --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth Fund
Shares 43,814
Cost $509,728
...............................................................................................................................
Market Value: -- 592,360 -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth and Income Fund
Shares 21,432
Cost $255,402
...............................................................................................................................
Market Value: -- -- 262,325 --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT International New Opportunities Fund
Shares 23,649
Cost $254,155
...............................................................................................................................
Market Value: -- -- -- 271,731
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Investors Fund
Shares 70,968
Cost $691,202
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Money Market Fund
Shares 3,953,788
Cost $3,953,788
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT New Opportunities Fund
Shares 503,756
Cost $8,189,436
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company -- -- -- --
...............................................................................................................................
Receivable from fund shares sold -- -- -- --
...............................................................................................................................
Total Assets 4,750,334 592,360 262,325 271,731
...............................................................................................................................
Liabilities
Due to Hartford Life Insurance Company -- -- -- --
...............................................................................................................................
Payable for fund shares purchased -- -- -- --
...............................................................................................................................
Total Liabilities -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $4,750,334 $592,360 $262,325 $271,731
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets and Liabilities (continued)
- -------------------------------------------------------------------------------------------------------------
December 31, 1998 Investors Money New
Sub-Account Market Opportunities
Sub-Account Sub-Account
Assets
Investments:
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT High Yield Fund
Shares 406,011
Cost $5,021,064
.............................................................................................................
Market Value: $ -- $ -- $ --
- -------------------------------------------------------------------------------------------------------------
Putnam VT International Growth Fund
Shares 43,814
Cost $509,728
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT International Growth and Income Fund
Shares 21,432
Cost $255,402
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT International New Opportunities Fund
Shares 23,649
Cost $254,155
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Investors Fund
Shares 70,968
Cost $691,202
.............................................................................................................
Market Value: 826,773 -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Money Market Fund
Shares 3,953,788
Cost $3,953,788
.............................................................................................................
Market Value: -- 3,953,788 --
- -------------------------------------------------------------------------------------------------------------
Putnam VT New Opportunities Fund
Shares 503,756
Cost $8,189,436
.............................................................................................................
Market Value: -- -- 13,127,885
- -------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 2,628 -- 75
.............................................................................................................
Receivable from fund shares sold -- 2,483 --
.............................................................................................................
Total Assets 829,401 3,956,271 13,127,960
.............................................................................................................
Liabilities
Due to Hartford Life Insurance Company -- 2,465 --
.............................................................................................................
Payable for fund shares purchased 2,628 -- 68
.............................................................................................................
Total Liabilities 2,628 2,465 68
- -------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $826,773 $3,953,806 $13,127,892
- -------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Assets and Liabilities (continued)
- -------------------------------------------------------------------------------------------------------------------------------
December 31, 1998 New OTC & Research U.S. Government
Value Emerging Growth Sub-Account and High
Sub-Account Sub-Account Quality Bond
Assets Sub-Account
Investments:
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT New Value Fund
Shares 21,278
Cost $235,938
...............................................................................................................................
Market Value: $255,974 $ -- $ -- $ --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT OTC & Emerging Growth Fund
Shares 906
Cost $7,908
...............................................................................................................................
Market Value: -- 9,140 -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Research Fund
Shares 1,480
Cost $16,075
...............................................................................................................................
Market Value: -- -- 17,660 --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT U.S. Government and High Quality Bond Fund
Shares 132,026
Cost $1,739,970
...............................................................................................................................
Market Value: -- -- -- 1,812,711
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Utilities Growth & Income Fund
Shares 133,117
Cost $1,832,694
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Vista Fund
Shares 24,513
Cost $291,664
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Voyager Fund
Shares 359,357
Cost $11,274,718
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company -- -- -- --
...............................................................................................................................
Receivable from fund shares sold -- -- -- --
...............................................................................................................................
Total Assets 255,974 9,140 17,660 1,812,711
...............................................................................................................................
Liabilities
Due to Hartford Life Insurance Company -- -- -- --
...............................................................................................................................
Payable for fund shares purchased -- -- -- --
...............................................................................................................................
Total Liabilities -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $255,974 $9,140 $17,660 $1,812,711
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets and Liabilities (continued)
- -------------------------------------------------------------------------------------------------------------
December 31, 1998 Utilities Vista Voyager
Growth Sub-Account Sub-Account
and Income
Assets Sub-Account
Investments:
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT New Value Fund
Shares 21,278
Cost $235,938
.............................................................................................................
Market Value: $ -- $ -- $ --
- -------------------------------------------------------------------------------------------------------------
Putnam VT OTC & Emerging Growth Fund
Shares 906
Cost $7,908
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Research Fund
Shares 1,480
Cost $16,075
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT U.S. Government and High Quality Fund
Shares 132,026
Cost $1,739,970
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Utilities Growth & Income Fund
Shares 133,117
Cost $1,832,694
.............................................................................................................
Market Value: 2,421,391 -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Vista Fund
Shares 24,513
Cost $291,664
.............................................................................................................
Market Value: -- 360,831 --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Voyager Fund
Shares 359,357
Cost $11,274,718
.............................................................................................................
Market Value: -- -- 16,476,508
- -------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company -- -- 74
.............................................................................................................
Receivable from fund shares sold -- -- --
.............................................................................................................
Total Assets 2,421,391 360,831 16,476,582
.............................................................................................................
Liabilities
Due to Hartford Life Insurance Company -- -- --
.............................................................................................................
Payable for fund shares purchased -- -- 68
.............................................................................................................
Total Liabilities -- -- 68
- -------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $2,421,391 $360,831 $16,476,514
- -------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE --HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Assets and Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------------------------
December 31, 1998 Units Unit Contract
Owned by Price Liability
Participants
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Variable life contracts:
.............................................................................................................................
Asia Pacific Growth Fund 62,626 $ 9.003084 $ 563,830
.............................................................................................................................
Diversified Income Fund 134,053 13.798650 1,849,752
.............................................................................................................................
George Putnam Fund 1,403 10.338503 14,500
.............................................................................................................................
Global Asset Allocation 97,567 19.604138 1,912,715
.............................................................................................................................
Global Growth Fund 467,015 20.285477 9,473,632
.............................................................................................................................
Growth and Income Fund 1,023,024 23.724100 24,270,326
.............................................................................................................................
Health Sciences Fund 10,099 10.950541 110,591
.............................................................................................................................
High Yield Fund 330,628 14.367617 4,750,334
.............................................................................................................................
International Growth Fund 42,973 13.784342 592,360
.............................................................................................................................
International Growth and Income Fund 19,742 13.287617 262,325
.............................................................................................................................
International New Opportunities Fund 23,536 11.545331 271,731
.............................................................................................................................
Investors Fund 71,650 11.539064 826,773
.............................................................................................................................
Money Market Fund 3,224,735 1.226087 3,953,806
.............................................................................................................................
New Opportunities Fund 533,884 24.589388 13,127,892
.............................................................................................................................
New Value Fund 20,485 12.495592 255,974
.............................................................................................................................
OTC & Emerging Fund 907 10.074314 9,140
.............................................................................................................................
Research Fund 1,408 12.540201 17,660
.............................................................................................................................
U.S. Government and High Quality Bond Fund 124,856 14.518456 1,812,711
.............................................................................................................................
Utilities Growth and Income Fund 109,222 22.169452 2,421,391
.............................................................................................................................
Vista Fund 24,511 14.721186 360,831
.............................................................................................................................
Voyager Fund 654,796 25.162820 16,476,514
- -----------------------------------------------------------------------------------------------------------------------------
Grand Total: $83,334,788
- -----------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Operations
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified The Global Asset
December 31, 1998 Growth Income George Putnam Allocation
Sub-Account Sub-Account Fund of Boston Sub-Account
Sub-Account*
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $ 32,285 $ 70,490 $ 43 $ 41,230
................................................................................................................
Capital gains income -- 29,940 -- 177,098
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions (41,207) 1,671 1 (1,329)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (39,426) (131,240) 293 20,104
................................................................................................................
Net gain (loss) on investments (80,633) (129,569) 294 18,775
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $(48,348) $(29,139) $337 $237,103
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Global Growth Health
December 31, 1998 Growth and Income Sciences
Sub-Account Sub-Account Sub-Account*
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment Income:
Dividends $ 214,168 $ 360,949 $ 97
..............................................................................................
Capital gains income 1,070,840 2,356,273 --
..............................................................................................
Net realized and
unrealized gain (loss)
on investments:
..............................................................................................
Net realized gain (loss)
on security transactions (1,364) (18,503) (8,309)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 920,126 488,209 9,534
..............................................................................................
Net gain (loss) on investments 918,762 469,706 1,225
- ----------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $2,203,770 $3,186,928 $1,322
- ----------------------------------------------------------------------------------------------
*From inception, April 30, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended High Yield International International International
December 31, 1998 Sub-Account Growth Growth New
Sub-Account and Income Opportunities
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $ 364,870 $ 1,961 $3,220 $ 439
................................................................................................................
Capital gains income 57,254 -- 8,262 --
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions (37,700) (2,248) (13,163) (2,535)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (723,080) 78,151 9,351 30,988
................................................................................................................
Net gain (loss) on investments (760,780) 75,903 (3,812) 28,453
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $(338,656) $77,864 $7,670 $28,892
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Investors Money New
December 31, 1998 Sub-Account* Market Opportunities
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment Income:
Dividends $ 1,060 $187,481 $ --
..............................................................................................
Capital gains income -- -- 159,622
..............................................................................................
Net realized and
unrealized gain (loss)
on investments:
..............................................................................................
Net realized gain (loss)
on security transactions (937) -- (29,156)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 135,571 -- 2,419,602
..............................................................................................
Net gain (loss) on investments 134,634 -- 2,390,446
- ----------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $135,694 $187,481 $2,550,068
- ----------------------------------------------------------------------------------------------
*From inception, April 30, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended New OTC & Research U.S. Government
December 31, 1998 Value Emerging Growth Sub-Account** and High
Sub-Account Sub-Account* Quality Bond
Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $ 5,037 $ 4 $ 28 $ 80,167
................................................................................................................
Capital gains income 5,627 -- 1 2,087
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions 515 1 1 2,683
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 5,488 1,232 1,585 36,983
................................................................................................................
Net gain (loss) on investments 6,003 1,233 1,586 39,666
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $16,667 $1,237 $1,615 $121,920
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Utilities Vista Voyager
December 31, 1998 Growth Sub-Account Sub-Account
and Income
Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment Income:
Dividends $ 61,115 $ -- $ 33,492
..............................................................................................
Capital gains income 105,334 -- 817,198
..............................................................................................
Net realized and
unrealized gain (loss)
on investments:
..............................................................................................
Net realized gain (loss)
on security transactions 551 (4,666) (39,065)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 134,073 48,979 2,366,551
..............................................................................................
Net gain (loss) on investments 134,624 44,313 2,327,486
- ----------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $301,073 $44,313 $3,178,176
- ----------------------------------------------------------------------------------------------
*From inception, April 30, 1998, to December 31, 1998.
**From inception, October 1, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified The Global Asset
December 31, 1998 Growth Income George Putnam Allocation
Sub-Account Sub-Account Fund of Boston Sub-Account
Sub-Account*
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 32,285 $ 70,490 $ 43 $ 41,230
................................................................................................................
Capital gains income -- 29,940 -- 177,098
................................................................................................................
Net realized gain (loss)
on security transactions (41,207) 1,671 1 (1,329)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (39,426) (131,240) 293 20,104
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations (48,348) (29,139) 337 237,103
................................................................................................................
Unit transactions:
Purchases -- -- 1,000 --
................................................................................................................
Net transfers (26,828) 328,011 3,811 (36,615)
................................................................................................................
Surrenders (92,345) (54,287) 96 (33,858)
................................................................................................................
Net loan activity (4,990) 442 9,265 (1,979)
................................................................................................................
Cost of insurance (4,390) (12,619) (9) (12,944)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions (128,553) 261,547 14,163 (85,396)
................................................................................................................
Total increase (decrease)
in net assets (176,901) 232,408 14,500 151,707
................................................................................................................
Net Assets
Beginning of period 740,731 1,617,344 -- 1,761,008
- ----------------------------------------------------------------------------------------------------------------
End of period $563,830 $1,849,752 $14,500 $1,912,715
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Global Growth Health
December 31, 1998 Growth and Income Sciences
Sub-Account Sub-Account Sub-Account*
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 214,168 $ 360,949 $ 97
..............................................................................................
Capital gains income 1,070,840 2,356,273 --
..............................................................................................
Net realized gain (loss)
on security transactions (1,364) (18,503) (8,309)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 920,126 488,209 9,534
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 2,203,770 3,186,928 1,322
..............................................................................................
Unit transactions:
Purchases 68 68 1,000
..............................................................................................
Net transfers 54,962 2,023,631 109,086
..............................................................................................
Surrenders (301,472) (1,114,383) (590)
..............................................................................................
Net loan activity (15,579) 38,426 --
..............................................................................................
Cost of insurance (55,333) (138,157) (227)
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions (317,354) 809,585 109,269
..............................................................................................
Total increase (decrease)
in net assets 1,886,416 3,996,513 110,591
..............................................................................................
Net Assets
Beginning of period 7,587,216 20,273,813 --
- ----------------------------------------------------------------------------------------------
End of period $9,473,632 $24,270,326 $110,591
- ----------------------------------------------------------------------------------------------
*From inception, April 30, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended High Yield International International International
December 31, 1998 Sub-Account Growth Growth New
Sub-Account and Income Opportunities
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 364,870 $ 1,961 $ 3,220 $ 439
................................................................................................................
Capital gains income 57,254 -- 8,262 --
................................................................................................................
Net realized gain (loss)
on security transactions (37,700) (2,248) (13,163) (2,535)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (723,080) 78,151 9,351 30,988
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations (338,656) 77,864 7,670 28,892
................................................................................................................
Unit transactions:
Purchases -- -- -- --
................................................................................................................
Net transfers 904,461 376,363 95,761 56,466
................................................................................................................
Surrenders (153,503) (4,974) (5,988) (6,199)
................................................................................................................
Net loan activity (28,064) (764) (886) (2,292)
................................................................................................................
Cost of insurance (32,618) (2,123) (1,476) (1,692)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 690,276 368,502 87,411 46,283
................................................................................................................
Total increase (decrease)
in net assets 351,620 446,366 95,081 75,175
................................................................................................................
Net Assets
Beginning of period 4,398,714 145,994 167,244 196,556
- ----------------------------------------------------------------------------------------------------------------
End of period $4,750,334 $592,360 $262,325 $271,731
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Investors Money New
December 31, 1998 Sub-Account* Market Opportunities
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 1,060 $ 187,481 $ --
..............................................................................................
Capital gains income -- -- 159,622
..............................................................................................
Net realized gain (loss)
on security transactions (937) -- (29,156)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 135,571 -- 2,419,602
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 135,694 187,481 2,550,068
..............................................................................................
Unit transactions:
Purchases 1,000 7,126,691 68
..............................................................................................
Net transfers 694,266 (6,976,297) 704,490
..............................................................................................
Surrenders (3,048) (92,978) (508,652)
..............................................................................................
Net loan activity -- (144,914) (12,156)
..............................................................................................
Cost of insurance (1,139) (28,775) (74,421)
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 691,079 (116,273) 109,329
..............................................................................................
Total increase (decrease)
in net assets 826,773 71,208 2,659,397
..............................................................................................
Net Assets
Beginning of period -- 3,882,598 10,468,495
- ----------------------------------------------------------------------------------------------
End of period $826,773 $3,953,806 $13,127,892
- ----------------------------------------------------------------------------------------------
*From inception, April 30, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended New OTC & Research U.S. Government
December 31, 1998 Value Emerging Growth Sub-Account** and High
Sub-Account Sub-Account* Quality Bond
Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 5,037 $ 4 $ 28 $ 80,167
................................................................................................................
Capital gains income 5,627 -- 1 2,087
................................................................................................................
Net realized gain (loss)
on security transactions 515 1 1 2,683
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 5,488 1,232 1,585 36,983
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 16,667 1,237 1,615 121,920
................................................................................................................
Unit transactions:
Purchases -- 1,000 1,000 --
................................................................................................................
Net transfers (40,034) 6,935 15,104 252,563
................................................................................................................
Surrenders (10,026) (22) (42) (52,978)
................................................................................................................
Net loan activity 222 -- (17) 2,786
................................................................................................................
Cost of insurance (1,702) (10) -- (11,466)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions (51,540) 7,903 16,045 190,905
................................................................................................................
Total increase (decrease)
in net assets (34,873) 9,140 17,660 312,825
................................................................................................................
Net Assets
Beginning of period 290,847 -- -- 1,499,886
- ----------------------------------------------------------------------------------------------------------------
End of period $255,974 $9,140 $17,660 $1,812,711
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Utilities Vista Voyager
December 31, 1998 Growth Sub-Account Sub-Account
and Income
Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 61,115 $ -- $ 33,492
..............................................................................................
Capital gains income 105,334 -- 817,198
..............................................................................................
Net realized gain (loss)
on security transactions 551 (4,666) (39,065)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 134,073 48,979 2,366,551
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 301,073 44,313 3,178,176
..............................................................................................
Unit transactions:
Purchases -- -- 68
..............................................................................................
Net transfers 227,820 140,107 1,085,936
..............................................................................................
Surrenders (76,662) (4,900) (619,410)
..............................................................................................
Net loan activity 6,862 -- (12,339)
..............................................................................................
Cost of insurance (15,317) (1,419) (92,192)
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 142,703 133,788 362,063
..............................................................................................
Total increase (decrease)
in net assets 443,776 178,101 3,540,239
..............................................................................................
Net Assets
Beginning of period 1,977,615 182,730 12,936,275
- ----------------------------------------------------------------------------------------------
End of period $2,421,391 $360,831 $16,476,514
- ----------------------------------------------------------------------------------------------
*From inception, April 30, 1998, to December 31, 1998.
**From inception, October 1, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified Global Asset Global
December 31, 1997 Growth Income Allocation Growth
Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 18,881 $ 62,554 $ 45,684 $ 155,488
................................................................................................................
Capital gains income -- 9,861 78,086 167,244
................................................................................................................
Net realized gain(loss)
on security transactions (4,716) 208 985 (6,243)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (145,844) 21,960 137,965 601,162
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations (131,679) 94,583 262,720 917,651
................................................................................................................
Unit transactions:
Purchases -- -- -- --
................................................................................................................
Net transfers (5,780) 499,003 345,410 880,302
................................................................................................................
Surrenders (17,461) (27,995) (30,466) (273,522)
................................................................................................................
Loan withdrawals (7,128) (1,526) (21,786) (43,107)
................................................................................................................
Cost of insurance (6,464) (9,419) (10,616) (49,753)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions (36,833) 460,063 282,542 513,920
................................................................................................................
Total increase (decrease)
in net assets (168,512) 554,646 545,262 1,431,571
................................................................................................................
Net assets:
Beginning of period 909,242 1,062,698 1,215,746 6,155,645
- ----------------------------------------------------------------------------------------------------------------
End of period $740,730 $1,617,344 $1,761,008 $7,587,216
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended Growth High Yield International International
December 31, 1997 and Income Sub-Account Growth Growth
Sub-Account Sub-Account* and Income
Sub-Account*
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 314,190 $ 246,290 $ 2,245 $ 4,968
................................................................................................................
Capital gains income 764,750 28,559 -- --
................................................................................................................
Net realized gain(loss)
on security transactions (11,346) 2,554 (952) 261
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 2,573,528 241,895 4,480 (2,427)
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 3,641,122 519,298 5,773 2,802
................................................................................................................
Unit transactions:
Purchases -- -- 1,000 1,000
................................................................................................................
Net transfers 3,372,228 738,928 141,118 164,247
................................................................................................................
Surrenders (399,306) (149,096) (1,312) (664)
................................................................................................................
Loan withdrawals (95,139) 16,923 -- --
................................................................................................................
Cost of insurance (114,975) (26,321) (585) (141)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 2,762,808 580,434 140,221 164,442
................................................................................................................
Total increase (decrease)
in net assets 6,403,930 1,099,732 145,994 167,244
................................................................................................................
Net assets:
Beginning of period 13,869,884 3,298,982 -- --
- ----------------------------------------------------------------------------------------------------------------
End of period $20,273,814 $4,398,714 $145,994 $167,244
- ----------------------------------------------------------------------------------------------------------------
*From inception, January 2, 1997 to December 31, 1997.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended International Money New New
December 31, 1997 New Market Opportunities Value
Opportunities Sub-Account Sub-Account Sub-Account*
Sub-Account*
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 571 $ 187,676 $ -- $ --
................................................................................................................
Capital gains income -- -- -- --
................................................................................................................
Net realized gain(loss)
on security transactions (583) -- (5,661) (2,943)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (13,413) -- 1,909,685 14,548
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations (13,425) 187,676 1,904,024 11,605
................................................................................................................
Unit transactions:
Purchases 1,000 9,479,089 -- 1,000
................................................................................................................
Net transfers 211,827 (9,663,164) 1,158,747 287,299
................................................................................................................
Surrenders (2,118) (119,388) (294,057) (8,127)
................................................................................................................
Loan withdrawals (1) (193,526) (72,749) --
................................................................................................................
Cost of insurance (727) (31,033) (60,495) (930)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 209,981 (528,022) 731,446 279,242
................................................................................................................
Total increase (decrease)
in net assets 196,556 (340,346) 2,635,470 290,847
................................................................................................................
Net assets:
Beginning of period -- 4,222,944 7,833,025 --
- ----------------------------------------------------------------------------------------------------------------
End of period $196,556 $3,882,598 $10,468,495 $290,847
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended U.S. Government Utilities Vista Voyager
December 31, 1997 and High Growth Sub-Account* Sub-Account
Quality Bond and Income
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 83,063 $ 56,715 $ 15 $ 20,325
................................................................................................................
Capital gains income -- 77,339 -- 438,026
................................................................................................................
Net realized gain(loss)
on security transactions 1,430 4,906 (6,610) 1,878
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 25,565 280,202 20,188 2,144,618
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 110,058 419,162 13,593 2,604,847
................................................................................................................
Unit transactions:
Purchases -- -- 1,000 --
................................................................................................................
Net transfers 135,429 126,503 170,550 1,437,360
................................................................................................................
Surrenders (24,042) (29,456) (1,924) (346,502)
................................................................................................................
Loan withdrawals (1,568) (10,900) -- (87,887)
................................................................................................................
Cost of insurance (9,754) (12,352) (489) (73,765)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 100,065 73,795 169,137 929,206
................................................................................................................
Total increase (decrease)
in net assets 210,123 492,957 182,730 3,534,053
................................................................................................................
Net assets:
Beginning of period 1,289,764 1,484,659 -- 9,402,223
- ----------------------------------------------------------------------------------------------------------------
End of period $1,499,887 $1,977,616 $182,730 $12,936,276
- ----------------------------------------------------------------------------------------------------------------
*From inception, January 2, 1997 to December 31, 1997.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE --
HARTFORD LIFE INSURANCE COMPANY
Notes to Financial Statements
December 31, 1998
1. ORGANIZATION:
Putnam Capital Manager Trust Separate Account Five (the Account) is a
separate investment account within Hartford Life Insurance Company (the
Company) and is registered with the Securities and Exchange Commission
(SEC) as a unit investment trust under the Investment Company Act of 1940,
as amended. Both the Company and the Account are subject to supervision and
regulation by the Department of Insurance of the State of Connecticut and
the SEC. The Account invests deposits by variable life contractholders of
the Company in various mutual funds (the Funds) as directed by the
contractholders.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies of the
Account, which are in accordance with generally accepted accounting
principles in the investment company industry:
A) Security Transactions -- Security transactions are recorded on the trade
date (date the order to buy or sell is executed). Cost of investments sold
is determined on the basis of identified cost. Dividend and capital gains
income is accrued as of the ex-dividend date. Capital gains income
represents dividends from the Funds which are characterized as capital
gains under tax regulations.
B) Security Valuation -- The investments in shares of the Funds are valued
at the closing net asset value per share as determined by the appropriate
Fund as of December 31, 1998.
C) Federal Income Taxes -- The operations of the Account form a part of, and
are taxed with, the total operations of the Company, which is taxed as an
insurance company under the Internal Revenue Code. Under current law, no
federal income taxes are payable with respect to the operations of the
Account.
D) Use of Estimates -- The preparation of financial statements in conformity
with generally accepted accounting principles requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities as of the date of the financial statements and the reported
amounts of income and expenses during the period. Operating results in the
future could vary from the amounts derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
A) Cost of Insurance -- In accordance with terms of the contracts, the
Company makes deductions for costs of insurance to cover the Company's
anticipated mortality costs. Because a policy's account value and death
benefit may vary from month to month, the cost of insurance charges may
also vary.
B) Mortality and Expense Undertakings -- The Company, as issuer of variable
annuity contracts, provides the mortality and expense undertakings and,
with respect to the Account, receives a maximum annual fee of 0.90% of the
Account's average daily net assets. The Company also provides
administrative services and receives an annual fee of 0.40% of the
Account's average daily net assets. These expenses are reflected in
surrenders on the accompanying statements of changes in net assets.
C) Deduction of Annual Maintenance Fee -- Annual maintenance fees are
deducted through termination of units of interest from applicable contract
owners' accounts, in accordance with the terms of the contracts. These
expenses are reflected in surrenders on the accompanying statements of
changes in net assets.
D) Tax Expense Charge -- The Company will deduct monthly from the account
value a tax expense charge equal to an annual rate of 0.40% for the first
ten years. During the first nine policy years, a premium tax charge will be
imposed on full or partial surrenders at a maximum rate of 2.25%.
Report of Independent Public Accountants
To Hartford Life and Annuity Insurance Company Putnam Capital Manager Trust
Separate Account Two and to the Owners of Units of Interest therein:
We have audited the accompanying statements of assets and liabilities of
Hartford Life and Annuity Insurance Company Putnam Capital Manager Trust
Separate Account (Asia Pacific Growth, Diversified Income, The George
Putnam Fund of Boston, Global Asset Allocation, Global Growth, Growth and
Income, Health Sciences, High Yield, International Growth, International
Growth and Income, International New Opportunities, Investors, Money
Market, New Opportunities, New Value, OTC & Emerging Growth, Research, U.S.
Government and High Quality Bond, Utilities Growth and Income, Vista, and
Voyager), (collectively, the Account) as of December 31, 1998, and the
related statements of operations and the statements of changes in net
assets for the periods presented. These financial statements are the
responsibility of the Account's management. Our responsibility is to
express an opinion on these financial statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are free
of material misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial
statements. An audit also includes assessing the accounting principles
used and significant estimates made by management, as well as evaluating
the overall financial statement presentation. We believe that our audits
provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly,
in all material respects, the financial position of the Account as of
December 31, 1998, and the results of their operations and the changes in
their net assets for the periods presented in conformity with generally
accepted accounting principles.
ARTHUR ANDERSEN LLP
Hartford, Connecticut
February 15, 1999
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities
- -------------------------------------------------------------------------------------------------------------------------------
December 31, 1998 Asia Pacific Diversified The Global Asset
Growth Income George Putnam Allocation
Sub-Account Sub-Account Fund of Boston Sub-Account
Assets Sub-Account
Investments:
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
Class IA
Shares 6,388,057
Cost $66,631,023
...............................................................................................................................
Market Value: $53,212,517 $ -- $ -- $ --
...............................................................................................................................
Class IB
Shares 12,087
Cost $96,019
...............................................................................................................................
Market Value: 100,683 -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Diversified Income Fund
Class IA
Shares 28,261,627
Cost $297,722,682
...............................................................................................................................
Market Value: -- 296,464,466 -- --
...............................................................................................................................
Class IB
Shares 107,801
Cost $1,112,875
...............................................................................................................................
Market Value: -- 1,128,676 -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT The George Putnam Fund of Boston
Class IA
Shares 6,225,164
Cost $61,223,385
...............................................................................................................................
Market Value: -- -- 63,994,682 --
...............................................................................................................................
Class IB
Shares 180,343
Cost $1,782,294
...............................................................................................................................
Market Value: -- -- 1,853,926 --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
Class IA
Shares 26,622,033
Cost $412,181,624
...............................................................................................................................
Market Value: -- -- -- 504,487,535
...............................................................................................................................
Class IB
Shares 65,033
Cost $1,127,359
...............................................................................................................................
Market Value: -- -- -- 1,233,028
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Global Growth Fund
Class IA
Shares 52,404,540
Cost $788,976,723
...............................................................................................................................
Market Value: -- -- -- --
...............................................................................................................................
Class IB
Shares 33,238
Cost $602,630
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Growth and Income Fund
Class IA
Shares 163,058,940
Cost $3,675,227,316
...............................................................................................................................
Market Value: -- -- -- --
...............................................................................................................................
Class IB
Shares 234,290
Cost $6,296,495
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company -- -- 208,685 14,907
...............................................................................................................................
Receivable from fund shares sold 18,448 69,660 -- 85,714
- -------------------------------------------------------------------------------------------------------------------------------
Total Assets 53,331,648 297,662,802 66,057,293 505,821,184
- -------------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company 17,857 69,906 -- 86,015
...............................................................................................................................
Payable for fund shares purchased -- -- 208,708 11,377
...............................................................................................................................
Total Liabilities 17,857 69,906 208,708 97,392
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable annuity contract liabilities) $53,313,791 $297,592,896 $65,848,585 $505,723,792
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets & Liabilities (continued)
- -------------------------------------------------------------------------------------------
December 31, 1998 Global Growth
Growth and Income
Sub-Account Sub-Account
Assets
Investments:
- -------------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT Asia Pacific Growth Fund
Class IA
Shares 6,388,057
Cost $66,631,023
...........................................................................................
Market Value: $ -- $ --
...........................................................................................
Class IB
Shares 12,087
Cost $96,019
...........................................................................................
Market Value: -- --
- -------------------------------------------------------------------------------------------
Putnam VT Diversified Income Fund
Class IA
Shares 28,261,627
Cost $297,722,682
...........................................................................................
Market Value: -- --
...........................................................................................
Class IB
Shares 107,801
Cost $1,112,875
...........................................................................................
Market Value: -- --
- -------------------------------------------------------------------------------------------
Putnam VT The George Putnam Fund of Boston
Class IA
Shares 6,225,164
Cost $61,223,385
...........................................................................................
Market Value: -- --
...........................................................................................
Class IB
Shares 180,343
Cost $1,782,294
...........................................................................................
Market Value: -- --
- -------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
Class IA
Shares 26,622,033
Cost $412,181,624
...........................................................................................
Market Value: -- --
...........................................................................................
Class IB
Shares 65,033
Cost $1,127,359
...........................................................................................
Market Value: -- --
- -------------------------------------------------------------------------------------------
Putnam VT Global Growth Fund
Class IA
Shares 52,404,540
Cost $788,976,723
...........................................................................................
Market Value: 1,062,764,073 --
...........................................................................................
Class IB
Shares 33,238
Cost $602,630
...........................................................................................
Market Value: 674,077 --
- -------------------------------------------------------------------------------------------
Putnam VT Growth and Income Fund
Class IA
Shares 163,058,940
Cost $3,675,227,316
...........................................................................................
Market Value: -- 4,691,205,714
...........................................................................................
Class IB
Shares 234,290
Cost $6,296,495
...........................................................................................
Market Value: -- 6,735,843
- -------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company -- 33,597
...........................................................................................
Receivable from fund shares sold 144,954 459,285
- -------------------------------------------------------------------------------------------
Total Assets 1,063,583,104 4,698,434,439
- -------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company 145,390 461,290
...........................................................................................
Payable for fund shares purchased -- 35,147
...........................................................................................
Total Liabilities 145,390 496,437
- -------------------------------------------------------------------------------------------
Net Assets (variable annuity contract liabilities) $1,063,437,714 $4,697,938,002
- -------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities (continued)
- -------------------------------------------------------------------------------------------------------------------------------
December 31, 1998 Health High Yield International International
Sciences Sub-Account Growth Growth
Sub-Account Sub-Account and Income
Assets Sub-Account
Investments:
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Health Sciences Fund
Class IA
Shares 7,089,304
Cost $70,110,307
...............................................................................................................................
Market Value: $77,556,988 $ -- $ -- $ --
...............................................................................................................................
Class IB
Shares 190,319
Cost $1,920,565
...............................................................................................................................
Market Value: 2,080,191 -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT High Yield Fund
Class IA
Shares 47,903,751
Cost $591,093,786
...............................................................................................................................
Market Value: -- 560,473,888 -- --
...............................................................................................................................
Class IB
Shares 139,867
Cost $1,629,910
...............................................................................................................................
Market Value: -- 1,636,444 -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth Fund
Class IA
Shares 12,722,293
Cost $153,692,188
...............................................................................................................................
Market Value: -- -- 172,005,403 --
...............................................................................................................................
Class IB
Shares 77,197
Cost $957,995
...............................................................................................................................
Market Value: -- -- 1,042,938 --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth and Income Fund
Class IA
Shares 14,827,216
Cost $173,516,087
...............................................................................................................................
Market Value: -- -- -- 181,485,123
...............................................................................................................................
Class IB
Shares 60,689
Cost $715,953
...............................................................................................................................
Market Value: -- -- -- 742,829
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT International New Opportunities Fund
Class IA
Shares 6,959,903
Cost $73,370,833
...............................................................................................................................
Market Value: -- -- -- --
...............................................................................................................................
Class IB
Shares 6,194
Cost $66,057
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Investors Fund
Class IA
Shares 11,392,509
Cost $116,633,839
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Class IB
Shares 213,684
Cost $2,149,684
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 225,602 6,941 289,019 512
...............................................................................................................................
Receivable from fund shares sold -- 58,888 -- 83,387
- -------------------------------------------------------------------------------------------------------------------------------
Total Assets 79,862,781 562,176,161 173,337,360 182,311,851
- -------------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- 53,922 -- 80,257
...............................................................................................................................
Payable for fund shares purchased 225,088 6,927 287,184 --
...............................................................................................................................
Total Liabilities 225,088 60,849 287,184 80,257
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable annuity contract liabilities) $79,637,693 $562,115,312 $173,050,176 $182,231,594
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets & Liabilities (continued)
- -------------------------------------------------------------------------------------------
December 31, 1998 International Investors
New Sub-Account
Opportunities
Assets Sub-Account
Investments:
- -------------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT Health Sciences Fund
Class IA
Shares 7,089,304
Cost $70,110,307
...........................................................................................
Market Value: $ -- $ --
...........................................................................................
Class IB
Shares 190,319
Cost $1,920,565
...........................................................................................
Market Value: -- --
- -------------------------------------------------------------------------------------------
Putnam VT High Yield Fund
Class IA
Shares 47,903,751
Cost $591,093,786
...........................................................................................
Market Value: -- --
...........................................................................................
Class IB
Shares 139,867
Cost $1,629,910
...........................................................................................
Market Value: -- --
- -------------------------------------------------------------------------------------------
Putnam VT International Growth Fund
Class IA
Shares 12,722,293
Cost $153,692,188
...........................................................................................
Market Value: -- --
...........................................................................................
Class IB
Shares 77,197
Cost $957,995
...........................................................................................
Market Value: -- --
- -------------------------------------------------------------------------------------------
Putnam VT International Growth and Income Fund
Class IA
Shares 14,827,216
Cost $173,516,087
...........................................................................................
Market Value: -- --
...........................................................................................
Class IB
Shares 60,689
Cost $715,953
...........................................................................................
Market Value: -- --
- -------------------------------------------------------------------------------------------
Putnam VT International New Opportunities Fund
Class IA
Shares 6,959,903
Cost $73,370,833
...........................................................................................
Market Value: 79,969,286 --
...........................................................................................
Class IB
Shares 6,194
Cost $66,057
...........................................................................................
Market Value: 71,104 --
- -------------------------------------------------------------------------------------------
Putnam VT Investors Fund
Class IA
Shares 11,392,509
Cost $116,633,839
...........................................................................................
Market Value: -- 132,722,732
- -------------------------------------------------------------------------------------------
Class IB
Shares 213,684
Cost $2,149,684
...........................................................................................
Market Value: -- 2,487,279
- -------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company -- 638,943
...........................................................................................
Receivable from fund shares sold 35,170 --
- -------------------------------------------------------------------------------------------
Total Assets 80,075,560 135,848,954
- -------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company 35,154 --
...........................................................................................
Payable for fund shares purchased -- 638,446
...........................................................................................
Total Liabilities 35,154 638,446
- -------------------------------------------------------------------------------------------
Net Assets (variable annuity contract liabilities) $80,040,406 $135,210,508
- -------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities (continued)
- -------------------------------------------------------------------------------------------------------------------------------
December 31, 1998 Money New New OTC &
Market Opportunities Value Emerging Growth
Sub-Account Sub-Account Sub-Account Sub-Account
Assets
Investments:
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Money Market Fund
Class IA
Shares 273,373,599
Cost $273,373,599
...............................................................................................................................
Market Value: $273,373,599 $ -- $ -- $ --
...............................................................................................................................
Class IB
Shares 12,656,586
Cost $12,656,586
...............................................................................................................................
Market Value: 12,656,585 -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT New Opportunities Fund
Class IA
Shares 59,816,632
Cost $992,113,291
...............................................................................................................................
Market Value: -- 1,558,821,427 -- --
...............................................................................................................................
Class IB
Shares 43,318
Cost $936,589
...............................................................................................................................
Market Value: -- 1,128,002 -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT New Value Fund
Class IA
Shares 12,887,644
Cost $143,502,659
...............................................................................................................................
Market Value: -- -- 155,038,358 --
...............................................................................................................................
Class IB
Shares 18,657
Cost $206,967
...............................................................................................................................
Market Value: -- -- 224,252 --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT OTC & Emerging Growth Fund
Class IA
Shares 1,653,462
Cost $14,748,695
...............................................................................................................................
Market Value: -- -- -- 16,683,430
...............................................................................................................................
Class IB
Shares 48,916
Cost $415,544
...............................................................................................................................
Market Value: -- -- -- 493,560
- -------------------------------------------------------------------------------------------------------------------------------
Putnam Research Fund
Class IA
Shares 1,147,289
Cost $12,355,706
...............................................................................................................................
Market Value: -- -- -- --
...............................................................................................................................
Class IB
Shares 18,821
Cost $204,746
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT U.S. Government High Quality Bond Fund
Class IA
Shares 25,420,057
Cost $336,197,989
...............................................................................................................................
Market Value: -- -- -- --
...............................................................................................................................
Class IB
Shares 137,993
Cost $1,873,096
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company -- 1,568 -- 41,307
...............................................................................................................................
Receivable from fund shares sold 2,035,322 6,807 167,595 20
- -------------------------------------------------------------------------------------------------------------------------------
Total Assets 288,065,506 1,559,957,804 155,430,205 17,218,317
- -------------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company 2,035,119 5,286 167,457 73
...............................................................................................................................
Payable for fund shares purchased -- 1,545 -- 41,516
...............................................................................................................................
Total Liabilities 2,035,119 6,831 167,457 41,589
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable annuity contract liabilities) $286,030,387 $1,559,950,973 $155,262,748 $17,176,728
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets & Liabilities (continued)
- -------------------------------------------------------------------------------------------
December 31, 1998 Research U.S.Government
Sub-Account and High
Quality Bond
Assets Sub-Account
Investments:
- -------------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT Money Market Fund
Class IA
Shares 273,373,599
Cost $273,373,599
...........................................................................................
Market Value: $ -- $ --
...........................................................................................
Class IB
Shares 12,656,586
Cost $12,656,586
...........................................................................................
Market Value: -- --
- -------------------------------------------------------------------------------------------
Putnam VT New Opportunities Fund
Class IA
Shares 59,816,632
Cost $992,113,291
...........................................................................................
Market Value: -- --
...........................................................................................
Class IB
Shares 43,318
Cost $936,589
...........................................................................................
Market Value: -- --
- -------------------------------------------------------------------------------------------
Putnam VT New Value Fund
Class IA
Shares 12,887,644
Cost $143,502,659
...........................................................................................
Market Value: -- --
...........................................................................................
Class IB
Shares 18,657
Cost $206,967
...........................................................................................
Market Value: -- --
- -------------------------------------------------------------------------------------------
Putnam VT OTC & Emerging Growth Fund
Class IA
Shares 1,653,462
Cost $14,748,695
...........................................................................................
Market Value: -- --
...........................................................................................
Class IB
Shares 48,916
Cost $415,544
...........................................................................................
Market Value: -- --
- -------------------------------------------------------------------------------------------
Putnam Research Fund
Class IA
Shares 1,147,289
Cost $12,355,706
...........................................................................................
Market Value: 13,687,159 --
...........................................................................................
Class IB
Shares 18,821
Cost $204,746
...........................................................................................
Market Value: 224,341 --
- -------------------------------------------------------------------------------------------
Putnam VT U.S. Government and High Quality Bond Fund
Class IA
Shares 25,420,057
Cost $336,197,989
...........................................................................................
Market Value: -- 349,017,376
...........................................................................................
Class IB
Shares 137,993
Cost $1,873,096
...........................................................................................
Market Value: -- 1,894,644
- -------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 115,842 945,695
...........................................................................................
Receivable from fund shares sold -- 79
- -------------------------------------------------------------------------------------------
Total Assets 14,027,342 351,857,794
- -------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- 62
...........................................................................................
Payable for fund shares purchased 115,821 946,239
...........................................................................................
Total Liabilities 115,821 946,301
- -------------------------------------------------------------------------------------------
Net Assets (variable annuity contract liabilities) $13,911,521 $350,911,493
- -------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities (continued)
- -------------------------------------------------------------------------------------------------------------
December 31, 1998 Utilities Vista Voyager
Growth Sub-Account Sub-Account
and Income
Assets Sub-Account
Investments:
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT Utilities Growth and Income Fund
Class IA
Shares 24,618,304
Cost $320,807,135
.............................................................................................................
Market Value: $447,806,941 $ -- $ --
.............................................................................................................
Class IB
Shares 89,840
Cost $1,562,625
.............................................................................................................
Market Value: 1,634,191 -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Vista Fund
Class IA
Shares 12,339,530
Cost $146,197,300
.............................................................................................................
Market Value: -- 181,637,888 --
.............................................................................................................
Class IB
Shares 42,513
Cost $522,139
.............................................................................................................
Market Value: -- 626,213 --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Voyager Fund
Class IA
Shares 62,720,082
Cost $1,876,228,270
.............................................................................................................
Market Value: -- -- 2,875,715,767
.............................................................................................................
Class IB
Shares 63,839
Cost $2,526,164
.............................................................................................................
Market Value: -- -- 2,924,462
- -------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 277,116 11,311 431,404
.............................................................................................................
Receivable from fund shares sold -- 74,875 --
- -------------------------------------------------------------------------------------------------------------
Total Assets 449,718,248 182,350,287 2,879,071,633
- -------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- 74,909 --
.............................................................................................................
Payable for fund shares purchased 284,203 11,403 426,808
.............................................................................................................
Total Liabilities 284,203 86,312 426,808
- -------------------------------------------------------------------------------------------------------------
Net Assets (variable annuity contract liabilities) $449,434,045 $182,263,975 $2,878,644,825
- -------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Assets and Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------------------------
December 31, 1998 Units Unit Contract
Owned by Price Liability
Participants
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Deferred annuity contracts in the accumulation period:
.............................................................................................................................
Asia Pacific Growth Fund Class IA 6,219,008 $ 8.552078 $ 53,185,441
.............................................................................................................................
Asia Pacific Growth Fund Class IB 9,503 10.544040 100,199
.............................................................................................................................
Diversified Income Fund Class IA 23,713,424 12.488636 296,148,326
.............................................................................................................................
Diversified Income Fund Class IB 119,009 9.483976 1,128,676
.............................................................................................................................
George Putnam Fund Class IA 6,246,649 10.242185 63,979,337
.............................................................................................................................
George Putnam Fund Class IB 178,303 10.397822 1,853,967
.............................................................................................................................
Global Asset Allocation Class IA 16,653,005 30.255566 503,846,085
.............................................................................................................................
Global Asset Allocation Class IB 121,343 10.190632 1,236,558
.............................................................................................................................
Global Growth Fund Class IA 42,487,420 24.939571 1,059,618,022
.............................................................................................................................
Global Growth Fund Class IB 64,555 10.425449 673,010
.............................................................................................................................
Growth and Income Fund Class IA 102,727,427 45.567032 4,680,983,975
.............................................................................................................................
Growth and Income Fund Class IB 644,858 10.443057 6,734,293
.............................................................................................................................
Health Sciences Fund Class IA 7,148,320 10.848771 77,550,485
.............................................................................................................................
Health Sciences Fund Class IB 192,842 10.784889 2,079,778
.............................................................................................................................
High Yield Fund Class IA 23,582,095 23.742124 559,889,015
.............................................................................................................................
High Yield Fund Class IB 183,968 8.895343 1,636,458
.............................................................................................................................
International Growth Fund Class IA 12,814,996 13.402515 171,753,170
.............................................................................................................................
International Growth Fund Class IB 109,559 9.510657 1,041,975
.............................................................................................................................
International Growth and Income Fund Class IA 14,001,923 12.922223 180,935,970
.............................................................................................................................
International Growth and Income Fund Class IB 78,056 9.523514 743,371
.............................................................................................................................
International New Opportunities Fund Class IA 7,123,179 11.225771 79,963,182
.............................................................................................................................
International New Opportunities Fund Class IB 7,437 9.530122 70,874
.............................................................................................................................
Investors Fund Class IA 11,569,190 11.431551 132,253,787
.............................................................................................................................
Investors Fund Class IB 229,527 10.837505 2,487,495
.............................................................................................................................
Money Market Fund Class IA 177,635,093 1.538127 273,225,333
.............................................................................................................................
Money Market Fund Class IB 12,479,981 1.014151 12,656,585
.............................................................................................................................
New Opportunities Fund Class IA 62,748,813 24.804633 1,556,461,288
.............................................................................................................................
New Opportunities Fund Class IB 106,695 10.572464 1,128,025
.............................................................................................................................
New Value Fund Class IA 12,726,607 12.151266 154,644,382
.............................................................................................................................
New Value Fund Class IB 21,769 10.301448 224,249
.............................................................................................................................
OTC & Emerging Fund Class IA 1,671,708 9.979745 16,683,221
.............................................................................................................................
OTC & Emerging Fund Class IB 48,025 10.276087 493,507
.............................................................................................................................
Research Fund Class IA 1,095,266 12.496667 13,687,180
.............................................................................................................................
Research Fund Class IB 17,975 12.480896 224,341
.............................................................................................................................
U.S. Government and High Quality Bond Fund Class IA 16,353,442 21.305270 348,414,599
.............................................................................................................................
U.S. Government and High Quality Bond Fund Class IB 184,000 10.297077 1,894,658
.............................................................................................................................
Utilities Growth and Income Fund Class IA 19,597,995 22.825900 447,341,870
.............................................................................................................................
Utilities Growth and Income Fund Class IB 147,712 11.063684 1,634,241
.............................................................................................................................
Vista Fund Class IA 12,672,159 14.316454 181,420,383
.............................................................................................................................
Vista Fund Class IB 61,101 10.247290 626,121
.............................................................................................................................
Voyager Fund Class IA 51,741,607 55.426380 2,867,849,956
.............................................................................................................................
Voyager Fund Class IB 272,289 10.741598 2,924,820
.............................................................................................................................
Sub-total 13,761,428,208
- -----------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Assets and Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------------------------
December 31, 1998 Units Unit Contract
Owned by Price Liability
Participants
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Annuity contracts in the annuity period:
.............................................................................................................................
Asia Pacific Growth Fund Class IA 3,292 $ 8.552078 $ 28,151
.............................................................................................................................
Diversified Income Fund Class IA 25,294 12.488636 315,894
.............................................................................................................................
George Putnam Fund Class IA 1,492 10.242185 15,281
.............................................................................................................................
Global Asset Allocation Class IA 21,191 30.255566 641,149
.............................................................................................................................
Global Growth Fund Class IA 126,172 24.939571 3,146,682
.............................................................................................................................
Growth and Income Fund Class IA 224,279 45.567032 10,219,734
.............................................................................................................................
Health Sciences Fund Class IA 685 10.848771 7,430
.............................................................................................................................
High Yield Fund Class IA 24,844 23.742124 589,839
.............................................................................................................................
International Growth Fund Class IA 19,029 13.402515 255,031
.............................................................................................................................
International Growth and Income Fund Class IA 42,737 12.922223 552,253
.............................................................................................................................
International New Opportunities Fund Class IA 566 11.225771 6,350
.............................................................................................................................
Investors Fund Class IA 41,047 11.431551 469,226
.............................................................................................................................
Money Market Fund Class IA 96,526 1.538127 148,469
.............................................................................................................................
New Opportunities Fund Class IA 95,210 24.804633 2,361,660
.............................................................................................................................
New Value Fund Class IA 32,434 12.151266 394,117
.............................................................................................................................
U.S. Government and High Quality Bond Fund Class IA 28,267 21.305270 602,236
.............................................................................................................................
Utilities Growth and Income Fund Class IA 20,062 22.825900 457,934
.............................................................................................................................
Vista Fund Class IA 15,190 14.316454 217,471
.............................................................................................................................
Voyager Fund Class IA 141,991 55.426380 7,870,049
.............................................................................................................................
Sub-total: 28,298,956
- -----------------------------------------------------------------------------------------------------------------------------
Grand Total: $13,789,727,164
- -----------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Operations
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified The Global Asset
December 31, 1998 Growth Income George Putnam Allocation
Sub-Account Sub-Account Fund of Boston Sub-Account
Sub-Account*
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends $ 2,790,742 $ 11,792,328 $ 530,716 $10,393,787
................................................................................................................
Expenses:
Mortality and expense
undertakings (806,888) (4,018,646) (240,323) (6,736,188)
................................................................................................................
Capital gains income -- 5,008,700 -- 44,644,942
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions (2,643,384) (10,560) (77) (1,101,556)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (4,019,185) (21,217,526) 2,842,929 5,910,330
................................................................................................................
Net gain (loss) on investments (6,662,569) (21,228,086) 2,842,852 4,808,774
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $ (4,678,715) $ (8,445,704) $3,133,245 $53,111,315
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Global Growth Health
December 31, 1998 Growth and Income Science Fund
Sub-Account Sub-Account Sub-Account*
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment income:
Dividends $ 23,916,125 $ 68,860,353 $ 68,282
..............................................................................................
Expenses:
Mortality and expense
undertakings (13,255,293) (59,271,918) (334,254)
..............................................................................................
Capital gains income 119,580,624 449,520,386 --
..............................................................................................
Net realized and
unrealized gain (loss)
on investments:
..............................................................................................
Net realized gain (loss)
on security transactions (2,048,000) (2,692,306) (40,455)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 103,901,524 87,694,015 7,606,308
..............................................................................................
Net gain (loss) on investments 101,853,524 85,001,709 7,565,853
- ----------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $232,094,980 $544,110,530 $7,299,881
- ----------------------------------------------------------------------------------------------
*From inception, April 30, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended High Yield International International International
December 31, 1998 Sub-Account Growth Growth New
Sub-Account and Income Opportunities
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends $ 45,592,119 $ 580,162 $ 2,337,743 $ 137,187
................................................................................................................
Expenses:
Mortality and expense
undertakings (8,201,543) (1,795,827) (2,213,903) (1,022,200)
................................................................................................................
Capital gains income 7,154,195 -- 6,025,944 --
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions (441,473) 925,343 1,131,061 643,101
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (87,363,215) 16,747,707 4,828,897 10,000,358
................................................................................................................
Net gain (loss) on investments (87,804,688) 17,673,050 5,959,958 10,643,459
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $(43,259,917) $16,457,385 $12,109,742 $9,758,446
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Investors Money New
December 31, 1998 Sub-Account* Market Opportunities
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment income:
Dividends $ 160,987 $11,677,659 $ --
..............................................................................................
Expenses:
Mortality and expense
undertakings (490,875) (3,234,132) (18,820,230)
..............................................................................................
Capital gains income -- -- 18,663,729
..............................................................................................
Net realized and
unrealized gain (loss)
on investments:
..............................................................................................
Net realized gain (loss)
on security transactions 9,797 -- (5,582,249)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 16,426,490 -- 284,218,314
..............................................................................................
Net gain (loss) on investments 16,436,287 -- 278,636,065
- ----------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $16,106,399 $ 8,443,527 $278,479,564
- ----------------------------------------------------------------------------------------------
*From inception, April 30, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended New OTC & Research U.S.Government
December 31, 1998 Value Emerging Growth Sub-Account** and High
Sub-Account Sub-Account* Quality Bond
Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends $2,744,638 $ 6,377 $ 19,993 $13,027,436
................................................................................................................
Expenses:
Mortality and expense
undertakings (1,965,660) (69,884) (24,098) (3,919,589)
................................................................................................................
Capital gains income 2,710,447 -- 1,054 339,070
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions (77,945) (5,586) (25) (333)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 3,462,804 2,012,751 1,351,047 8,314,527
................................................................................................................
Net gain (loss) on investments 3,384,859 2,007,165 1,351,022 8,314,194
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $6,874,284 $1,943,658 $1,347,971 $17,761,111
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Utilities Vista Voyager
December 31, 1998 Growth Sub-Account Sub-Account
and Income
Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment income:
Dividends $10,871,792 $ -- $ 5,723,028
..............................................................................................
Expenses:
Mortality and expense
undertakings (5,415,814) (1,899,386) (34,285,802)
..............................................................................................
Capital gains income 18,737,853 -- 139,641,873
..............................................................................................
Net realized and
unrealized gain (loss)
on investments:
..............................................................................................
Net realized gain (loss)
on security transactions (18,444) (244,730) (6,215,151)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 26,881,495 24,961,915 407,773,124
..............................................................................................
Net gain (loss) on investments 26,863,051 24,717,185 401,557,973
- ----------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $51,056,882 $22,817,799 $512,637,072
- ----------------------------------------------------------------------------------------------
*From inception, April 30, 1998, to December 31, 1998.
**From inception, October 1, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified The Global Asset
December 31, 1998 Growth Income George Putnam Allocation
Sub-Account Sub-Account Fund of Boston Sub-Account
Sub-Account*
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 1,983,854 $ 7,773,682 $ 290,393 $ 3,657,599
................................................................................................................
Capital gains income -- 5,008,700 -- 44,644,942
................................................................................................................
Net realized gain (loss)
on security transactions (2,643,384) (10,560) (77) (1,101,556)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (4,019,185) (21,217,526) 2,842,929 5,910,330
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations (4,678,715) (8,445,704) 3,133,245 53,111,315
................................................................................................................
Unit Transactions:
Purchases 3,701,343 33,956,636 22,958,516 24,919,757
................................................................................................................
Net transfers (11,415,291) 17,449,089 40,402,664 (3,015,745)
................................................................................................................
Surrenders (2,634,973) (15,560,109) (660,976) (20,755,078)
................................................................................................................
Net annuity transactions 7,452 108,092 15,136 38,867
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions (10,341,469) 35,953,708 62,715,340 1,187,801
................................................................................................................
Total increase (decrease)
in net assets (15,020,184) 27,508,004 65,848,585 54,299,116
................................................................................................................
Net Assets
Beginning of period 68,333,975 270,084,892 -- 451,424,676
- ----------------------------------------------------------------------------------------------------------------
End of period $53,313,791 $297,592,896 $65,848,585 $505,723,792
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Global Growth Health
December 31, 1998 Growth and Income Sciences
Sub-Account Sub-Account Sub-Account*
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 10,660,832 $ 9,588,435 $ (265,972)
..............................................................................................
Capital gains income 119,580,624 449,520,386 --
..............................................................................................
Net realized gain (loss)
on security transactions (2,048,000) (2,692,306) (40,455)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 103,901,524 87,694,015 7,606,308
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 232,094,980 544,110,530 7,299,881
..............................................................................................
Unit Transactions:
Purchases 40,146,277 391,563,606 26,776,582
..............................................................................................
Net transfers (16,693,380) 178,476,225 46,345,740
..............................................................................................
Surrenders (42,527,743) (203,033,706) (791,265)
..............................................................................................
Net annuity transactions 780,680 3,076,200 6,755
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions (18,294,166) 370,082,325 72,337,812
..............................................................................................
Total increase (decrease)
in net assets 213,800,814 914,192,855 79,637,693
..............................................................................................
Net Assets
Beginning of period 849,636,900 3,783,745,147 --
- ----------------------------------------------------------------------------------------------
End of period $1,063,437,714 $4,697,938,002 $79,637,693
- ----------------------------------------------------------------------------------------------
*From inception, April 30, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended High Yield International International International
December 31, 1998 Sub-Account Growth Growth New
Sub-Account and Income Opportunities
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 37,390,576 $ (1,215,665) $ 123,840 $ (885,013)
................................................................................................................
Capital gains income 7,154,195 -- 6,025,944 --
................................................................................................................
Net realized gain (loss)
on security transactions (441,473) 925,343 1,131,061 643,101
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (87,363,215) 16,747,707 4,828,897 10,000,358
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations (43,259,917) 16,457,385 12,109,742 9,758,446
................................................................................................................
Unit Transactions:
Purchases 72,624,888 33,867,169 28,578,698 8,986,296
................................................................................................................
Net transfers 12,770,669 46,801,653 30,062,010 22
................................................................................................................
Surrenders (33,136,210) (3,887,820) (5,364,128) (2,835,620)
................................................................................................................
Net annuity transactions 51,619 185,497 110,000 5,654
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 52,310,966 76,966,499 53,386,580 6,156,352
................................................................................................................
Total increase (decrease)
in net assets 9,051,049 93,423,884 65,496,322 15,914,798
................................................................................................................
Net Assets
Beginning of period 553,064,263 79,626,292 116,735,272 64,125,608
- ----------------------------------------------------------------------------------------------------------------
End of period $562,115,312 $173,050,176 $182,231,594 $80,040,406
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Investors Money New
December 31, 1998 Sub-Account* Market Opportunities
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ (329,888) $ 8,443,527 $ (18,820,230)
..............................................................................................
Capital gains income -- -- 18,663,729
..............................................................................................
Net realized gain (loss)
on security transactions 9,797 -- (5,582,249)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 16,426,490 -- 284,218,314
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 16,106,399 8,443,527 278,479,564
..............................................................................................
Unit Transactions:
Purchases 36,748,793 69,440,184 100,408,112
..............................................................................................
Net transfers 83,171,689 84,802,844 18,404,946
..............................................................................................
Surrenders (1,228,854) (57,809,657) (50,246,741)
..............................................................................................
Net annuity transactions 412,481 105,102 103,931
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 119,104,109 96,538,473 68,670,248
..............................................................................................
Total increase (decrease)
in net assets 135,210,508 104,982,000 347,149,812
..............................................................................................
Net Assets
Beginning of period -- 181,048,387 1,212,801,161
- ----------------------------------------------------------------------------------------------
End of period $135,210,508 $286,030,387 $1,559,950,973
- ----------------------------------------------------------------------------------------------
*From inception, April 30, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended New OTC & Research U.S.Government
December 31, 1998 Value Emerging Growth Sub-Account** and High
Sub-Account Sub-Account* Quality Bond
Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 778,978 $ (63,507) $ (4,105) $ 9,107,847
................................................................................................................
Capital gains income 2,710,447 -- 1,054 339,070
................................................................................................................
Net realized gain (loss) on
security transactions (77,945) (5,586) (25) (333)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 3,462,804 2,012,751 1,351,047 8,314,527
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 6,874,284 1,943,658 1,347,971 17,761,111
................................................................................................................
Unit Transactions:
Purchases 24,038,360 4,950,556 1,647,789 37,202,879
................................................................................................................
Net transfers 11,223,213 10,400,668 10,968,597 83,756,988
................................................................................................................
Surrenders (5,866,336) (118,154) (52,836) (21,228,886)
................................................................................................................
Net annuity transactions 42,793 -- -- 379,477
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 29,438,030 15,233,070 12,563,550 100,110,458
................................................................................................................
Total increase (decrease)
in net assets 36,312,314 17,176,728 13,911,521 117,871,569
................................................................................................................
Net Assets
Beginning of period 118,950,434 -- -- 233,039,924
- ----------------------------------------------------------------------------------------------------------------
End of period $155,262,748 $17,176,728 $13,911,521 $350,911,493
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Utilities Vista Voyager
December 31, 1998 Growth Sub-Account Sub-Account
and Income
Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 5,455,978 $ (1,899,386) $ (28,562,774)
..............................................................................................
Capital gains income 18,737,853 -- 139,641,873
..............................................................................................
Net realized gain (loss) on
security transactions (18,444) (244,730) (6,215,151)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 26,881,495 24,961,915 407,773,124
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 51,056,882 22,817,799 512,637,072
..............................................................................................
Unit Transactions:
Purchases 35,162,888 35,890,384 199,996,300
..............................................................................................
Net transfers 29,486,383 30,156,192 84,727,443
..............................................................................................
Surrenders (20,582,321) (4,767,016) (106,034,590)
..............................................................................................
Net annuity transactions 138,914 171,740 1,865,032
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 44,205,864 61,451,300 180,554,185
..............................................................................................
Total increase (decrease)
in net assets 95,262,746 84,269,099 693,191,257
..............................................................................................
Net Assets
Beginning of period 354,171,299 97,994,876 2,185,453,568
- ----------------------------------------------------------------------------------------------
End of period $449,434,045 $182,263,975 $2,878,644,825
- ----------------------------------------------------------------------------------------------
*From inception, April 30, 1998, to Decmber 31, 1998.
**From inception, October 1, 1998, to Decmber 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified Global Asset Global
December 31, 1997 Growth Income Allocation Growth
Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 459,948 $ 9,555,318 $ 6,371,232 $ 6,003,571
................................................................................................................
Capital gains income -- 2,048,961 20,499,937 18,664,210
................................................................................................................
Net realized gain (loss)
on security transactions 381,797 4,201 42,533 (70,313)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (13,132,923) 2,897,636 36,929,311 66,628,239
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations (12,291,178) 14,506,116 63,843,013 91,225,707
................................................................................................................
Unit transactions:
Purchases 15,296,904 55,905,675 53,215,802 94,655,178
................................................................................................................
Net transfers (8,269,677) (9,769,014) 23,676,122 8,639,167
................................................................................................................
Surrenders (2,530,242) (12,309,013) (18,260,579) (29,632,010)
................................................................................................................
Net annuity transactions 8,025 146,954 145,121 886,113
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 4,505,010 33,974,602 58,776,466 74,548,448
................................................................................................................
Total increase (decrease)
in net assets (7,786,168) 48,480,718 122,619,479 165,774,155
................................................................................................................
Net assets:
Beginning of period 76,120,143 221,604,174 328,805,196 683,862,745
- ----------------------------------------------------------------------------------------------------------------
End of period $68,333,975 $270,084,892 $451,424,675 $849,636,900
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended Growth High Yield International International
December 31, 1997 and Income Sub-Account Growth Growth
Sub-Account Sub-Account* and Income
Sub-Account*
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 11,159,629 $ 23,677,407 $ 647,298 $ 3,014,762
................................................................................................................
Capital gains income 135,341,577 3,515,165 -- --
................................................................................................................
Net realized gain (loss)
on security transactions (14,039) (4,814) 112,426 254,024
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 464,399,235 30,275,390 1,650,451 3,167,015
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 610,886,402 57,463,148 2,410,175 6,435,801
................................................................................................................
Unit transactions:
Purchases 653,735,175 119,907,763 42,465,632 60,593,915
................................................................................................................
Net transfers 243,532,477 11,079,099 35,605,842 50,937,686
................................................................................................................
Surrenders (121,451,891) (22,220,046) (916,342) (1,623,364)
................................................................................................................
Net annuity transactions 3,412,370 452,320 60,985 391,234
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 779,228,131 109,219,136 77,216,117 110,299,471
................................................................................................................
Total increase (decrease)
in net assets 1,390,114,533 166,682,284 79,626,292 116,735,272
................................................................................................................
Net assets:
Beginning of period 2,393,630,614 386,381,979 -- --
- ----------------------------------------------------------------------------------------------------------------
End of period $3,783,745,147 $553,064,263 $79,626,292 $116,735,272
- ----------------------------------------------------------------------------------------------------------------
*From inception, January 2, 1997 to December 31, 1997.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended International Money New New
December 31, 1997 New Market Opportunities Value
Opportunities Sub-Account Sub-Account Sub-Account*
Sub-Account*
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ (428,750) $ 7,935,793 $ (14,288,485) $ (930,950)
................................................................................................................
Capital gains income -- -- -- --
................................................................................................................
Net realized gain (loss)
on security transactions 93,448 -- (674,928) (53,025)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (3,396,856) -- 216,776,192 8,090,180
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations (3,732,158) 7,935,793 201,812,779 7,106,205
................................................................................................................
Unit transactions:
Purchases 35,294,318 159,829,719 173,232,758 55,890,696
................................................................................................................
Net transfers 33,818,005 (163,808,043) 23,002,452 58,041,788
................................................................................................................
Surrenders (1,254,557) (33,923,982) (34,774,552) (2,436,634)
................................................................................................................
Net annuity transactions -- (59,424) 525,040 348,379
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 67,857,766 (37,961,730) 161,985,698 111,844,229
................................................................................................................
Total increase (decrease)
in net assets 64,125,608 (30,025,937) 363,798,477 118,950,434
................................................................................................................
Net assets:
Beginning of period -- 211,074,324 849,002,685 --
- ----------------------------------------------------------------------------------------------------------------
End of period $64,125,608 $181,048,387 $1,212,801,162 $118,950,434
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended U.S. Government Utilities Vista Voyager
December 31, 1997 and High Growth Sub-Account* Sub-Account
Quality Bond and Income
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 10,317,213 $ 6,148,884 $ (718,048) $ (22,244,283)
................................................................................................................
Capital gains income -- 14,052,925 -- 71,707,177
................................................................................................................
Net realized gain (loss)
on security transactions 92,811 316,145 (41,487) (808,610)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 4,496,793 50,135,725 10,582,747 357,032,488
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 14,906,817 70,653,679 9,823,212 405,686,772
................................................................................................................
Unit transactions:
Purchases 30,608,860 30,748,249 48,980,888 288,568,056
................................................................................................................
Net transfers (7,633,402) (8,439,229) 40,279,408 63,585,706
................................................................................................................
Surrenders (12,023,717) (12,334,942) (1,114,398) (65,966,528)
................................................................................................................
Net annuity transactions 87,519 116,058 25,767 1,321,830
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 11,039,260 10,090,136 88,171,665 287,509,064
................................................................................................................
Total increase (decrease)
in net assets 25,946,077 80,743,815 97,994,877 693,195,836
................................................................................................................
Net assets:
Beginning of period 207,093,847 273,427,484 -- 1,492,257,732
- ----------------------------------------------------------------------------------------------------------------
End of period $233,039,924 $354,171,299 $97,994,877 $2,185,453,568
- ----------------------------------------------------------------------------------------------------------------
*From inception, January 2, 1997 to December 31, 1997.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO --
HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
Notes to Financial Statements
December 31, 1998
1. ORGANIZATION:
Putnam Capital Manager Trust Separate Account Two (the Account) is a
separate investment account within Hartford Life and Annuity Insurance
Company (the Company) and is registered with the Securities and Exchange
Commission (SEC) as a unit investment trust under the Investment Company
Act of 1940, as amended. Both the Company and the Account are subject to
supervision and regulation by the Department of Insurance of the State of
Connecticut and the SEC. The Account invests deposits by variable annuity
contractholders of the Company in the various mutual funds (the Funds) as
directed by the contractholders.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies of the
Account, which are in accordance with generally accepted accounting
principles in the investment company industry:
A) Security Transactions -- Security transactions are recorded on the trade
date (date the order to buy or sell is executed). Cost of investments sold
is determined on the basis of identified cost. Dividend and capital gains
income is accrued as of the ex-dividend date. Capital gains income
represents dividends from the Funds which are characterized as capital
gains under tax regulations.
B) Security Valuation -- The investments in shares of the Funds are valued
at the closing net asset value per share as determined by the appropriate
Fund as of December 31, 1998.
C) Federal Income Taxes -- The operations of the Account form a part of, and
are taxed with, the total operations of the Company, which is taxed as an
insurance company under the Internal Revenue Code. Under current law, no
federal income taxes are payable with respect to the operations of the
Account.
D) Use of Estimates -- The preparation of financial statements in conformity
with generally accepted accounting principles requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities as of the date of the financial statements and the reported
amounts of income and expenses during the period. Operating results in the
future could vary from the amounts derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
A) Mortality and Expense Undertakings -- The Company, as issuer of variable
annuity contracts, provides the mortality and expense undertakings and,
with respect to the Account, receives a maximum annual fee of 1.50% of the
Account's average daily net assets.
B) Deduction of Annual Maintenance Fees -- Annual maintenance fees are
deducted through termination of units of interest from applicable contract
owners' accounts, in accordance with the terms of the contracts. These
expenses are reflected in surrenders on the accompanying statements of
changes in net assets.
Report of Independent Public Accountants
To Hartford Life and Annuity Insurance Company Putnam Capital Manager Trust
Separate Account Five and to the Owners of Units of Interest therein:
We have audited the accompanying statements of assets and liabilities of
Hartford Life and Annuity Insurance Company Putnam Capital Manager Trust
Separate Account Five (Asia Pacific Growth, Diversified Income, The George
Putnam Fund of Boston, Global Asset Allocation, Global Growth, Growth and
Income, Health Sciences, High Yield, International Growth, International
Growth and Income, International New Opportunities, Investors, Money
Market, New Opportunities, New Value, OTC & Emerging Growth, Research, U.S.
Government and High Quality Bond, Utilities Growth and Income, Vista, and
Voyager), (collectively, the Account) as of December 31, 1998, and the
related statements of operations and the statements of changes in net
assets for the periods presented. These financial statements are the
responsibility of the Account's management. Our responsibility is to
express an opinion on these financial statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are free
of material misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial
statements. An audit also includes assessing the accounting principles
used and significant estimates made by management, as well as evaluating
the overall financial statement presentation. We believe that our audits
provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly,
in all material respects, the financial position of the Account as of
December 31, 1998, and the results of their operations and the changes in
their net assets for the periods presented in conformity with generally
accepted accounting principles.
ARTHUR ANDERSEN LLP
Hartford, Connecticut
February 15, 1999
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities
- -------------------------------------------------------------------------------------------------------------------------------
December 31, 1998 Asia Pacific Diversified The Global Asset
Growth Income George Putnam Allocation
Sub-Account Sub-Account Fund of Boston Sub-Account
Assets Sub-Account
Investments:
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
Shares 45,266
Cost $459,302
...............................................................................................................................
Market Value: $377,065 $ -- $ -- $ --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Diversified Income Fund
Shares 261,588
Cost $2,865,478
...............................................................................................................................
Market Value: -- 2,744,055 -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT The George Putnam Fund of Boston
Shares 8,504
Cost $85,947
...............................................................................................................................
Market Value: -- -- 87,421 --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
Shares 208,991
Cost $3,556,181
...............................................................................................................................
Market Value: -- -- -- 3,960,381
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Global Growth Fund
Shares 477,729
Cost $8,042,791
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Growth and Income Fund
Shares 1,176,109
Cost $28,936,293
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Health Sciences Fund
Shares 26,666
Cost $266,542
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life & Annuity Insurance Company 3 64 -- 36
...............................................................................................................................
Receivable from fund shares sold -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Total Assets 377,068 2,744,119 87,421 3,960,417
- -------------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life & Annuity Insurance Company -- -- -- --
...............................................................................................................................
Payable for fund shares purchased -- -- -- --
...............................................................................................................................
Total Liabilities -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $377,068 $2,744,119 $87,421 $3,960,417
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets & Liabilities (continued)
- -------------------------------------------------------------------------------------------------------------
December 31, 1998 Global Growth Health
Growth and Income Sciences
Sub-Account Sub-Account Sub-Account
Assets
Investments:
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
Shares 45,266
Cost $459,302
.............................................................................................................
Market Value: $ -- $ -- $ --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Diversified Income Fund
Shares 261,588
Cost $2,865,478
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT The George Putnam Fund of Boston
Shares 8,504
Cost $85,947
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
Shares 208,991
Cost $3,556,181
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Global Growth Fund
Shares 477,729
Cost $8,042,791
.............................................................................................................
Market Value: 9,688,338 -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Growth and Income Fund
Shares 1,176,109
Cost $28,936,293
.............................................................................................................
Market Value: -- 33,836,645 --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Health Sciences Fund
Shares 26,666
Cost $266,542
.............................................................................................................
Market Value: -- -- 291,722
- -------------------------------------------------------------------------------------------------------------
Due from Hartford Life & Annuity Insurance Company -- -- --
.............................................................................................................
Receivable from fund shares sold -- -- --
- -------------------------------------------------------------------------------------------------------------
Total Assets 9,688,338 33,836,645 291,722
- -------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life & Annuity Insurance Company 29 53 --
.............................................................................................................
Payable for fund shares purchased -- 209 1
.............................................................................................................
Total Liabilities 29 262 1
- -------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $9,688,309 $33,836,383 $291,721
- -------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities (continued)
- -------------------------------------------------------------------------------------------------------------------------------
December 31, 1998 High Yield International International International
Sub-Account Growth Growth New
Sub-Account and Income Opportunities
Assets Sub-Account Sub-Account
Investments:
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT High Yield Fund
Shares 329,573
Cost $4,210,751
...............................................................................................................................
Market Value: $3,856,004 $ -- $ -- $ --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth Fund
Shares 57,698
Cost $697,874
...............................................................................................................................
Market Value: -- 780,074 -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth and Income Fund
Shares 60,301
Cost $718,967
...............................................................................................................................
Market Value: -- -- 738,081 --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT International New Opportunities Fund
Shares 62,518
Cost $665,327
...............................................................................................................................
Market Value: -- -- -- 718,333
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Investors Fund
Shares 21,886
Cost $227,856
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Money Market Fund
Shares 3,594,608
Cost $3,594,608
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT New Opportunities Fund
Shares 681,464
Cost $12,250,816
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life & Annuity Insurance Company 18 18 -- --
...............................................................................................................................
Receivable from fund shares sold -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Total Assets 3,856,022 780,092 738,081 718,333
- -------------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life & Annuity Insurance Company -- -- 42 10
...............................................................................................................................
Payable for fund shares purchased -- -- -- --
...............................................................................................................................
Total Liabilities -- -- 42 10
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $3,856,022 $780,092 $738,039 $718,323
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets & Liabilities (continued)
- -------------------------------------------------------------------------------------------------------------
December 31, 1998 Investors Money New
Sub-Account Market Opportunities
Sub-Account Sub-Account
Assets
Investments:
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT High Yield Fund
Shares 329,573
Cost $4,210,751
.............................................................................................................
Market Value: $ -- $ -- $ --
- -------------------------------------------------------------------------------------------------------------
Putnam VT International Growth Fund
Shares 57,698
Cost $697,874
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT International Growth and Income Fund
Shares 60,301
Cost $718,967
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT International New Opportunities Fund
Shares 62,518
Cost $665,327
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Investors Fund
Shares 21,886
Cost $227,856
.............................................................................................................
Market Value: 254,975 -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Money Market Fund
Shares 3,594,608
Cost $3,594,608
.............................................................................................................
Market Value: -- 3,594,608 --
- -------------------------------------------------------------------------------------------------------------
Putnam VT New Opportunities Fund
Shares 681,464
Cost $12,250,816
.............................................................................................................
Market Value: -- -- 17,758,954
- -------------------------------------------------------------------------------------------------------------
Due from Hartford Life & Annuity Insurance Company 1 88,017 561
.............................................................................................................
Receivable from fund shares sold -- -- --
- -------------------------------------------------------------------------------------------------------------
Total Assets 254,976 3,682,625 17,759,515
- -------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life & Annuity Insurance Company -- -- --
.............................................................................................................
Payable for fund shares purchased -- 87,285 --
.............................................................................................................
Total Liabilities -- 87,285 --
- -------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $254,976 $3,595,340 $17,759,515
- -------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities (continued)
- -------------------------------------------------------------------------------------------------------------------------------
December 31, 1998 New OTC & Research U.S. Government
Value Emerging Growth Sub-Account and High
Sub-Account Sub-Account Quality Bond
Assets Sub-Account
Investments:
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT New Value Fund
Shares 71,088
Cost $755,429
...............................................................................................................................
Market Value: $855,191 $ -- $ -- $ --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT OTC & Emerging Growth Fund
Shares 4,540
Cost $41,954
...............................................................................................................................
Market Value: -- 45,809 -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam Research Fund
Shares 531
Cost $5,337
...............................................................................................................................
Market Value: -- -- 6,329 --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT U.S. Government and High Quality Bond Fund
Shares 129,727
Cost $1,705,963
...............................................................................................................................
Market Value: -- -- -- 1,781,152
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Utilities Growth & Income Fund
Shares 180,546
Cost $2,627,965
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Vista Fund
Shares 47,643
Cost $554,768
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Voyager Fund
Shares 430,252
Cost $14,508,848
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life & Annuity Insurance Company -- -- -- --
...............................................................................................................................
Receivable from fund shares sold -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Total Assets 855,191 45,809 6,329 1,781,152
- -------------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life & Annuity Insurance Company 5 -- -- 1
...............................................................................................................................
Payable for fund shares purchased -- -- -- --
...............................................................................................................................
Total Liabilities 5 -- -- 1
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $855,186 $45,809 $6,329 $1,781,151
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets & Liabilities (continued)
- -------------------------------------------------------------------------------------------------------------
December 31, 1998 Utilities Vista Voyager
Growth Sub-Account Sub-Account
and Income
Assets Sub-Account
Investments:
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT New Value Fund
Shares 71,088
Cost $755,429
.............................................................................................................
Market Value: $ -- $ -- $ --
- -------------------------------------------------------------------------------------------------------------
Putnam VT OTC & Emerging Growth Fund
Shares 4,540
Cost $41,954
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam Research Fund
Shares 531
Cost $5,337
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT U.S. Government and High Quality Fund
Shares 129,727
Cost $1,705,963
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Utilities Growth & Income Fund
Shares 180,546
Cost $2,627,965
.............................................................................................................
Market Value: 3,284,125 -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Vista Fund
Shares 47,643
Cost $554,768
.............................................................................................................
Market Value: -- 701,307 --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Voyager Fund
Shares 430,252
Cost $14,508,848
.............................................................................................................
Market Value: -- -- 19,727,033
- -------------------------------------------------------------------------------------------------------------
Due from Hartford Life & Annuity Insurance Company 205 -- 619
.............................................................................................................
Receivable from fund shares sold -- -- --
- -------------------------------------------------------------------------------------------------------------
Total Assets 3,284,330 701,307 19,727,652
- -------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life & Annuity Insurance Company -- 3 --
.............................................................................................................
Payable for fund shares purchased -- -- 209
.............................................................................................................
Total Liabilities -- 3 209
- -------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $3,284,330 $701,304 $19,727,443
- -------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Assets and Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------------------------
December 31, 1998 Units Unit Contract
Owned by Price Liability
Participants
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Deferred life contracts:
.............................................................................................................................
Asia Pacific Growth Fund 41,882 $ 9.003084 $ 377,068
.............................................................................................................................
Diversified Income Fund 198,869 13.798650 2,744,119
.............................................................................................................................
George Putnam Fund 8,456 10.338503 87,421
.............................................................................................................................
Global Asset Allocation Fund 202,019 19.604138 3,960,417
.............................................................................................................................
Global Growth Fund 477,598 20.285477 9,688,309
.............................................................................................................................
Growth and Income Fund 1,426,245 23.724100 33,836,383
.............................................................................................................................
Health Sciences Fund 26,640 10.950541 291,721
.............................................................................................................................
High Yield Fund 268,383 14.367617 3,856,022
.............................................................................................................................
International Growth Fund 56,593 13.784342 780,092
.............................................................................................................................
International Growth and Income Fund 55,543 13.287617 738,039
.............................................................................................................................
International New Opportunities Fund 62,218 11.545331 718,323
.............................................................................................................................
Investors Fund 22,097 11.539064 254,976
.............................................................................................................................
Money Market Fund 2,932,369 1.226087 3,595,340
.............................................................................................................................
New Opportunities Fund 722,243 24.589388 17,759,515
.............................................................................................................................
New Value Fund 68,439 12.495592 855,186
.............................................................................................................................
OTC & Emerging Markets Fund 4,547 10.074314 45,809
.............................................................................................................................
Research Fund 505 12.540201 6,329
.............................................................................................................................
U.S. Government and High Quality Bond Fund 122,682 14.518456 1,781,151
.............................................................................................................................
Utilities Growth and Income Fund 148,147 22.169452 3,284,330
.............................................................................................................................
Vista Fund 47,638 14.721507 701,304
.............................................................................................................................
Voyager Fund 783,992 25.162820 19,727,443
- -----------------------------------------------------------------------------------------------------------------------------
Grand Total: $105,089,297
- -----------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Operations
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified The Global Asset
December 31, 1998 Growth Income George Putnam Allocation
Sub-Account Sub-Account Fund of Boston Sub-Account
Sub-Account*
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $ 15,691 $115,993 $ 533 $ 74,618
................................................................................................................
Capital gains income -- 49,267 -- 320,508
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions (2,525) (4,217) (1) (1,780)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (33,195) (207,136) 1,474 50,334
................................................................................................................
Net gain (loss) on investments (35,720) (211,353) 1,473 48,554
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $(20,029) $(46,093) $2,006 $443,680
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Global Growth Health
December 31, 1998 Growth and Income Sciences
Sub-Account Sub-Account Sub-Account*
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment Income:
Dividends $ 192,953 $ 462,353 $ 260
..............................................................................................
Capital gains income 964,765 3,018,243 --
..............................................................................................
Net realized and
unrealized gain (loss)
on investments:
..............................................................................................
Net realized gain (loss)
on security transactions 3,991 (9,131) (8,148)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 952,580 635,979 25,180
..............................................................................................
Net gain (loss) on investments 956,571 626,848 17,032
- ----------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $2,114,289 $4,107,444 $17,292
- ----------------------------------------------------------------------------------------------
*From inception, April 30, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended High Yield International International International
December 31, 1998 Sub-Account Growth Growth New
Sub-Account and Income Opportunities
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $ 317,574 $ 2,618 $ 9,068 $ 1,182
................................................................................................................
Capital gains income 49,833 -- 23,112 --
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions (5,698) 162 (8,827) 627
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (617,216) 68,425 5,747 84,216
................................................................................................................
Net gain (loss) on investments (622,914) 68,587 (3,080) 84,843
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $(255,507) $71,205 $29,100 $86,025
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Investors Money New
December 31, 1998 Sub-Account* Market Opportunities
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment Income:
Dividends $ 279 $203,946 $ --
..............................................................................................
Capital gains income -- -- 199,094
..............................................................................................
Net realized and
unrealized gain (loss)
on investments:
..............................................................................................
Net realized gain (loss)
on security transactions (2) -- (13,414)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 27,119 -- 3,153,786
..............................................................................................
Net gain (loss) on investments 27,117 -- 3,140,372
- ----------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $27,396 $203,946 $3,339,466
- ----------------------------------------------------------------------------------------------
*From inception, April 30, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended New OTC & Research U.S. Government
December 31, 1998 Value Emerging Growth Sub-Account** and High
Sub-Account Sub-Account* Quality Bond
Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $15,023 $ 11 $ 10 $ 69,049
................................................................................................................
Capital gains income 14,769 -- 1 1,797
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions (10,038) (2,332) 5 2,076
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 16,198 3,855 992 46,607
................................................................................................................
Net gain (loss) on investments 6,160 1,523 997 48,683
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $35,952 $1,534 $1,008 $119,529
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Utilities Vista Voyager
December 31, 1998 Growth Sub-Account Sub-Account
and Income
Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment Income:
Dividends $ 81,719 $ -- $ 36,862
..............................................................................................
Capital gains income 140,845 -- 899,428
..............................................................................................
Net realized and
unrealized gain (loss)
on investments:
..............................................................................................
Net realized gain (loss)
on security transactions (5,378) (5,989) (5,067)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 193,433 104,296 2,742,962
..............................................................................................
Net gain (loss) on investments 188,055 98,307 2,737,895
- ----------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $410,619 $ 98,307 $3,674,185
- ----------------------------------------------------------------------------------------------
*From inception, April 30, 1998, to December 31, 1998.
**From inception, October 1, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified The Global Asset
December 31, 1998 Growth Income George Putnam Allocation
Sub-Account Sub-Account Fund of Boston Sub-Account
Sub-Account*
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 15,691 $ 115,993 $ 533 $ 74,618
................................................................................................................
Capital gains income -- 49,267 -- 320,508
................................................................................................................
Net realized gain (loss)
on security transactions (2,525) (4,217) (1) (1,780)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (33,195) (207,136) 1,474 50,334
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations (20,029) (46,093) 2,006 443,680
................................................................................................................
Unit transactions:
Purchases -- 247 1,000 30
................................................................................................................
Net transfers 44,963 504,241 84,597 567,261
................................................................................................................
Surrenders (6,023) (147,039) (131) (159,728)
................................................................................................................
Net loan activity (6) (46,391) -- (1,101)
................................................................................................................
Cost of insurance (2,403) (19,553) (51) (22,714)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 36,531 291,505 85,415 383,748
................................................................................................................
Total increase (decrease)
in net assets 16,502 245,412 87,421 827,428
................................................................................................................
Net assets:
Beginning of period 360,566 2,498,707 -- 3,132,989
- ----------------------------------------------------------------------------------------------------------------
End of period $377,068 $2,744,119 $87,421 $3,960,417
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets
- ----------------------------------------------------------------------------------------------
For the Year Ended Global Growth Health
December 31, 1998 Growth and Income Sciences
Sub-Account Sub-Account Sub-Account*
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 192,953 $ 462,353 $ 260
..............................................................................................
Capital gains income 964,765 3,018,243 --
..............................................................................................
Net realized gain (loss)
on security transactions 3,991 (9,131) (8,148)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 952,580 635,979 25,180
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 2,114,289 4,107,444 17,292
..............................................................................................
Unit transactions:
Purchases 133 475 1,000
..............................................................................................
Net transfers 1,500,956 6,667,783 275,928
..............................................................................................
Surrenders (236,217) (1,155,100) (1,830)
..............................................................................................
Net loan activity (27,699) (95,023) (2)
..............................................................................................
Cost of insurance (53,883) (190,625) (667)
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 1,183,290 5,227,510 274,429
..............................................................................................
Total increase (decrease)
in net assets 3,297,579 9,334,954 291,721
..............................................................................................
Net assets:
Beginning of period 6,390,730 24,501,429 --
- ----------------------------------------------------------------------------------------------
End of period $9,688,309 $33,836,383 $291,721
- ----------------------------------------------------------------------------------------------
*From inception, April 30, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended High Yield International International International
December 31, 1998 Sub-Account Growth Growth New
Sub-Account and Income Opportunities
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 317,574 $ 2,618 $ 9,068 $ 1,182
................................................................................................................
Capital gains income 49,833 -- 23,112 --
................................................................................................................
Net realized gain (loss)
on security transactions (5,698) 162 (8,827) 627
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (617,216) 68,425 5,747 84,216
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations (255,507) 71,205 29,100 86,025
................................................................................................................
Unit transactions:
Purchases -- -- 12 --
................................................................................................................
Net transfers 955,419 436,437 369,699 96,630
................................................................................................................
Surrenders (189,929) (32,004) (18,515) (12,804)
................................................................................................................
Net loan activity 4,370 (476) (160) (16)
................................................................................................................
Cost of insurance (26,315) (3,272) (3,970) (4,122)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 743,545 400,685 347,066 79,688
................................................................................................................
Total increase (decrease)
in net assets 488,038 471,890 376,166 165,713
................................................................................................................
Net assets:
Beginning of period 3,367,984 308,202 361,873 552,610
- ----------------------------------------------------------------------------------------------------------------
End of period $3,856,022 $780,092 $738,039 $718,323
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Investors Money New
December 31, 1998 Sub-Account* Market Opportunities
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 279 $ 203,946 $ --
..............................................................................................
Capital gains income -- -- 199,094
..............................................................................................
Net realized gain (loss)
on security transactions (2) -- (13,414)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 27,119 -- 3,153,786
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 27,396 203,946 3,339,466
..............................................................................................
Unit transactions:
Purchases 1,000 18,282,533 312
..............................................................................................
Net transfers 227,413 (18,970,303) 2,416,753
..............................................................................................
Surrenders (581) (84,770) (425,737)
..............................................................................................
Net loan activity (13) (167,934) (19,980)
..............................................................................................
Cost of insurance (239) (37,639) (93,946)
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 227,580 (978,113) 1,877,402
..............................................................................................
Total increase (decrease)
in net assets 254,976 (774,167) 5,216,868
..............................................................................................
Net assets:
Beginning of period -- 4,369,507 12,542,647
- ----------------------------------------------------------------------------------------------
End of period $254,976 $3,595,340 $17,759,515
- ----------------------------------------------------------------------------------------------
*From inception, April 30, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended New OTC & Research U.S. Government
December 31, 1998 Value Emerging Growth Sub-Account** and High
Sub-Account Sub-Account* Quality Bond
Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 15,023 $ 11 $ 10 $ 69,049
................................................................................................................
Capital gains income 14,769 -- 1 1,797
................................................................................................................
Net realized gain (loss)
on security transactions (10,038) (2,332) 5 2,076
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 16,198 3,855 992 46,607
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 35,952 1,534 1,008 119,529
................................................................................................................
Unit transactions:
Purchases 6 1,000 1,000 --
................................................................................................................
Net transfers 7,892 43,737 4,389 753,569
................................................................................................................
Surrenders (24,964) (116) (40) (43,665)
................................................................................................................
Net loan activity (40,176) (301) (13) (368)
................................................................................................................
Cost of insurance (5,238) (45) (15) (10,772)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions (62,480) 44,275 5,321 698,764
................................................................................................................
Total increase (decrease)
in net assets (26,528) 45,809 6,329 818,293
................................................................................................................
Net assets:
Beginning of period 881,714 -- -- 962,858
- ----------------------------------------------------------------------------------------------------------------
End of period $855,186 $45,809 $6,329 $1,781,151
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Utilities Vista Voyager
December 31, 1998 Growth Sub-Account Sub-Account
and Income
Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 81,719 $ -- $ 36,862
..............................................................................................
Capital gains income 140,845 -- 899,428
..............................................................................................
Net realized gain (loss)
on security transactions (5,378) (5,989) (5,067)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 193,433 104,296 2,742,962
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 410,619 98,307 3,674,185
..............................................................................................
Unit transactions:
Purchases -- -- 372
..............................................................................................
Net transfers 704,200 169,516 3,138,920
..............................................................................................
Surrenders (96,008) (9,634) (527,418)
..............................................................................................
Net loan activity (13,012) (2,798) (17,815)
..............................................................................................
Cost of insurance (20,396) (4,013) (107,679)
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 574,784 153,071 2,486,380
..............................................................................................
Total increase (decrease)
in net assets 985,403 251,378 6,160,565
..............................................................................................
Net assets:
Beginning of period 2,298,927 449,926 13,566,878
- ----------------------------------------------------------------------------------------------
End of period $3,284,330 $701,304 $19,727,443
- ----------------------------------------------------------------------------------------------
*From inception, April 30, 1998, to December 31, 1998.
**From inception, October 1, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified Global Asset Global
December 31, 1997 Growth Income Allocation Growth
Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 6,828 $ 132,930 $ 69,277 $ 104,380
................................................................................................................
Capital gains income -- 20,956 118,411 112,272
................................................................................................................
Net realized gain (loss)
on security transactions 132 11,405 1,345 (747)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (65,164) 14,728 222,497 425,520
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations (58,204) 180,019 411,530 641,425
................................................................................................................
Unit transactions:
Purchases -- -- -- --
................................................................................................................
Net transfers 79,345 672,116 1,228,080 2,514,584
................................................................................................................
Surrenders (6,561) (19,125) (73,245) (102,670)
................................................................................................................
Net loan activity 10 13 (8,703) (72,872)
................................................................................................................
Cost of insurance (2,368) (18,488) (16,817) (37,044)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 70,426 634,516 1,129,315 2,301,998
................................................................................................................
Total increase (decrease)
in net assets 12,222 814,535 1,540,845 2,943,423
................................................................................................................
Net assets:
Beginning of period 348,344 1,684,172 1,592,144 3,447,307
- ----------------------------------------------------------------------------------------------------------------
End of period $360,566 $2,498,707 $3,132,989 $6,390,730
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended Growth High Yield International International
December 31, 1997 and Income Sub-Account Growth Growth
Sub-Account Sub-Account* and Income
Sub-Account*
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 324,482 $ 165,816 $ 4,598 $ 10,865
................................................................................................................
Capital gains income 789,799 19,228 -- --
................................................................................................................
Net realized gain (loss)
on security transactions (3,845) 1,555 (3) 145
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 2,878,520 177,334 13,775 13,367
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 3,988,956 363,933 18,370 24,377
................................................................................................................
Unit transactions:
Purchases -- -- 1,000 1,000
................................................................................................................
Net transfers 8,374,826 1,399,456 298,426 346,481
................................................................................................................
Surrenders (532,447) (72,741) (2,846) (3,498)
................................................................................................................
Net loan activity (152,771) 3,935 (5,512) (5,432)
................................................................................................................
Cost of insurance (129,399) (18,397) (1,236) (1,055)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 7,560,209 1,312,253 289,832 337,496
................................................................................................................
Total increase (decrease)
in net assets 11,549,165 1,676,186 308,202 361,873
................................................................................................................
Net assets:
Beginning of period 12,952,264 1,691,798 -- --
- ----------------------------------------------------------------------------------------------------------------
End of period $24,501,429 $3,367,984 $308,202 $361,873
- ----------------------------------------------------------------------------------------------------------------
*From inception, January 2, 1997 to December 31, 1997.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended International Money New New
December 31, 1997 New Market Opportunities Value
Opportunities Sub-Account Sub-Account Sub-Account*
Sub-Account*
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 1,554 $ 263,015 $ -- $ --
................................................................................................................
Capital gains income -- -- -- --
................................................................................................................
Net realized gain (loss)
on security transactions (129) -- 24,784 (7,183)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (31,210) -- 2,122,853 83,564
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations (29,785) 263,015 2,147,637 76,381
................................................................................................................
Unit transactions:
Purchases 1,000 24,471,594 -- 1,000
................................................................................................................
Net transfers 594,284 (25,898,707) 3,948,752 822,347
................................................................................................................
Surrenders (6,019) (138,936) (264,042) (9,033)
................................................................................................................
Net loan activity (4,621) (1,205,487) (71,438) (5,472)
................................................................................................................
Cost of insurance (2,249) (47,389) (64,510) (3,509)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 582,395 (2,818,925) 3,548,762 805,333
................................................................................................................
Total increase (decrease)
in net assets 552,610 (2,555,910) 5,696,399 881,714
................................................................................................................
Net assets:
Beginning of period -- 6,925,417 6,846,248 --
- ----------------------------------------------------------------------------------------------------------------
End of period $552,610 $4,369,507 $12,542,647 $881,714
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended U.S. Government Utilities Vista Voyager
December 31, 1997 and High Growth Sub-Account* Sub-Account
Quality Bond and Income
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 41,593 $ 50,859 $ 33 $ 18,916
................................................................................................................
Capital gains income -- 69,354 -- 407,658
................................................................................................................
Net realized gain (loss)
on security transactions 1,535 2,809 (8,009) 4,822
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 23,755 341,948 42,243 2,153,271
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 66,883 464,970 34,267 2,584,667
................................................................................................................
Unit transactions:
Purchases -- -- 1,000 --
................................................................................................................
Net transfers 290,877 842,138 425,017 4,061,985
................................................................................................................
Surrenders (30,658) (45,296) (3,307) (284,657)
................................................................................................................
Net loan activity 43,121 (11,744) (5,648) (36,310)
................................................................................................................
Cost of insurance (5,318) (12,723) (1,403) (71,377)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 298,022 772,375 415,659 3,669,641
................................................................................................................
Total increase (decrease)
in net assets 364,905 1,237,345 449,926 6,254,308
................................................................................................................
Net assets:
Beginning of period 597,953 1,061,582 -- 7,312,570
- ----------------------------------------------------------------------------------------------------------------
End of period $962,858 $2,298,927 $449,926 $13,566,878
- ----------------------------------------------------------------------------------------------------------------
*From inception, January 2, 1997 to December 31, 1997.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE --
HARTFORD LIFE & ANNUITY INSURANCE COMPANY
Notes to Financial Statements
December 31, 1998
1. ORGANIZATION:
Putnam Capital Manager Trust Separate Account Five (the Account) is a
separate investment account within Hartford Life & Annuity Insurance Company
(the Company) and is registered with the Securities and Exchange Commission
(SEC) as a unit investment trust under the Investment Company Act of 1940,
as amended. Both the Company and the Account are subject to supervision and
regulation by the Department of Insurance of the State of Connecticut and
the SEC. The Account invests deposits by variable life contractholders of
the Company in various mutual funds (the Funds) as directed by the
contractholders.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies of the
Account, which are in accordance with generally accepted accounting
principles in the investment company industry:
A) Security Transactions -- Security transactions are recorded on the trade
date (date the order to buy or sell is executed). Cost of investments sold
is determined on the basis of identified cost. Dividend and capital gains
income is accrued as of the ex-dividend date. Capital gains income
represents dividends from the Funds which are characterized as capital gains
under tax regulations.
B) Security Valuation -- The investments in shares of the Funds are valued at
the closing net asset value per share as determined by the appropriate Fund
as of December 31, 1998.
C) Federal Income Taxes -- The operations of the Account form a part of, and
are taxed with, the total operations of the Company, which is taxed as an
insurance company under the Internal Revenue Code. Under current law, no
federal income taxes are payable with respect to the operations of the
Account.
D) Use of Estimates -- The preparation of financial statements in conformity
with generally accepted accounting principles requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities as of the date of the financial statements and the reported
amounts of income and expenses during the period. Operating results in the
future could vary from the amounts derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
A) Cost of Insurance -- In accordance with terms of the contracts, the
Company makes deductions for costs of insurance to cover the Company's
anticipated mortality costs. Because a policy's account value and death
benefit may vary from month to month, the cost of insurance charges may also
vary.
B) Mortality and Expense Undertakings -- The Company, as issuer of variable
annuity contracts, provides the mortality and expense undertakings and, with
respect to the Account, receives a maximum annual fee of 0.90% of the
Account's average daily net assets. The Company also provides administrative
services and receives an annual fee of 0.40% of the Account's average daily
net assets. These expenses are reflected in surrenders on the accompanying
statements of changes in net assets.
C) Deduction of Annual Maintenance Fee -- Annual maintenance fees are
deducted through termination of units of interest from applicable contract
owners' accounts, in accordance with the terms of the contracts. These
expenses are reflected in surrenders on the accompanying statements of
changes in net assets.
D) Tax Expense Charge -- The Company will deduct monthly from the account
value a tax expense charge equal to an annual rate of 0.40% for the first
ten years. During the first nine policy years, a premium tax charge will be
imposed on full or partial surrenders at a maximum rate of 2.25%.
Report of Independent Public Accountants
To Hartford Life and Annuity Insurance Company Putnam Capital Manager
Trust Separate Account Variable Life One and to the Owners of Units of
Interest therein:
We have audited the accompanying statements of assets and liabilities of
Hartford Life and Annuity Insurance Company Putnam Capital Manager Trust
Separate Account Variable Life One (Asia Pacific Growth, Diversified
Income, The George Putnam Fund of Boston, Global Asset Allocation, Global
Growth, Growth and Income, Health Sciences, High Yield, International
Growth, International Growth and Income, International New Opportunities,
Investors, Money Market, New Opportunities, New Value, OTC & Emerging
Growth, U.S. Government and High Quality Bond, Utilities Growth and Income,
Vista, and Voyager), (collectively, the Account) as of December 31, 1998,
and the related statements of operations and the statements of changes in
net assets for the periods presented. These financial statements are the
responsibility of the Account's management. Our responsibility is to
express an opinion on these financial statements based on our audits.
We conducted our audit in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are free
of material misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial
statements. An audit also includes assessing the accounting principles
used and significant estimates made by management, as well as evaluating
the overall financial statement presentation. We believe that our audit
provides a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly,
in all material respects, the financial position of the Account as of
December 31, 1998, and the results of their operations and the changes in
their net assets for the periods presented in conformity with generally
accepted accounting principles.
ARTHUR ANDERSEN LLP
Hartford, Connecticut
February 15, 1999
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities
- -------------------------------------------------------------------------------------------------------------------------------
December 31, 1998 Asia Pacific Diversified The Global Asset
Growth Income George Putnam Allocation
Sub-Account Sub-Account Fund of Boston Sub-Account
Assets Sub-Account
Investments:
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
Shares 286
Cost $2,272
...............................................................................................................................
Market Value: $2,382 $ -- $ -- $ --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Diversified Income Fund
Shares 65,475
Cost $694,428
...............................................................................................................................
Market Value: -- 686,832 -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT The George Putnam Fund of Boston
Shares 9,375
Cost $94,351
...............................................................................................................................
Market Value: -- -- 96,373 --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
Shares 54,016
Cost $982,423
...............................................................................................................................
Market Value: -- -- -- 1,023,610
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Global Growth Fund
Shares 370,679
Cost $6,691,738
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Growth and Income Fund
Shares 272,903
Cost $7,422,063
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Health Sciences Fund
Shares 13,911
Cost $137,023
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company -- 3,229 4,564 34
...............................................................................................................................
Receivable from fund shares sold -- -- -- --
...............................................................................................................................
Total Assets 2,382 690,061 100,937 1,023,644
...............................................................................................................................
Liabilities
Due to Hartford Life Insurance Company -- -- -- --
...............................................................................................................................
Payable for fund shares purchased -- 3,228 4,547 --
...............................................................................................................................
Total Liabilities -- 3,228 4,547 --
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $2,382 $686,833 $96,390 $1,023,644
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets & Liabilities(continued)
- -------------------------------------------------------------------------------------------------------------
December 31, 1998 Global Growth Health
Growth and Income Sciences
Sub-Account Sub-Account Sub-Account
Assets
Investments:
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
Shares 286
Cost $2,272
.............................................................................................................
Market Value: $ -- $ -- $ --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Diversified Income Fund
Shares 65,475
Cost $694,428
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT The George Putnam Fund of Boston
Shares 9,375
Cost $94,351
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
Shares 54,016
Cost $982,423
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Global Growth Fund
Shares 370,679
Cost $6,691,738
.............................................................................................................
Market Value: 7,517,360 -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Growth and Income Fund
Shares 272,903
Cost $7,422,063
.............................................................................................................
Market Value: -- 7,851,431 --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Health Sciences Fund
Shares 13,911
Cost $137,023
.............................................................................................................
Market Value: -- -- 152,192
- -------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 19,420 13,931 285
.............................................................................................................
Receivable from fund shares sold -- -- --
.............................................................................................................
Total Assets 7,536,780 7,865,362 152,477
.............................................................................................................
Liabilities
Due to Hartford Life Insurance Company -- -- --
.............................................................................................................
Payable for fund shares purchased 19,690 14,269 284
.............................................................................................................
Total Liabilities 19,690 14,269 284
- -------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $7,517,090 $7,851,093 $152,193
- -------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities (continued)
- -------------------------------------------------------------------------------------------------------------------------------
December 31, 1998 High Yield International International International
Sub-Account Growth Growth New
Sub-Account and Income Opportunities
Assets Sub-Account Sub-Account
Investments:
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT High Yield Fund
Shares 187,419
Cost $2,348,503
...............................................................................................................................
Market Value: $2,192,806 $ -- $ -- $ --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth Fund
Shares 17,578
Cost $225,468
...............................................................................................................................
Market Value: -- 237,650 -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth and Income Fund
Shares 15,021
Cost $182,548
...............................................................................................................................
Market Value: -- -- 183,863 --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT International New Opportunities Fund
Shares 1,496
Cost $15,017
...............................................................................................................................
Market Value: -- -- -- 17,186
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Investors Fund
Shares 13,799
Cost $147,202
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Money Market Fund
Shares 527,966
Cost $527,966
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT New Opportunities Fund
Shares 250,312
Cost $5,427,645
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 115 1,206 31 --
...............................................................................................................................
Receivable from fund shares sold -- -- -- --
...............................................................................................................................
Total Assets 2,192,921 238,856 183,894 17,186
...............................................................................................................................
Liabilities
Due to Hartford Life Insurance Company -- -- -- --
...............................................................................................................................
Payable for fund shares purchased 117 1,210 38 --
...............................................................................................................................
Total Liabilities 117 1,210 38 --
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $2,192,804 $237,646 $183,856 $17,186
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets & Liabilities (continued)
- -------------------------------------------------------------------------------------------------------------
December 31, 1998 Investors Money New
Sub-Account Market Opportunities
Sub-Account Sub-Account
Assets
Investments:
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT High Yield Fund
Shares 187,419
Cost $2,348,503
.............................................................................................................
Market Value: $ -- $ -- $ --
- -------------------------------------------------------------------------------------------------------------
Putnam VT International Growth Fund
Shares 17,578
Cost $225,468
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT International Growth and Income Fund
Shares 15,021
Cost $182,548
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT International New Opportunities Fund
Shares 1,496
Cost $15,017
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Investors Fund
Shares 13,799
Cost $147,202
.............................................................................................................
Market Value: 160,756 -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Money Market Fund
Shares 527,966
Cost $527,966
.............................................................................................................
Market Value: -- 527,966 --
- -------------------------------------------------------------------------------------------------------------
Putnam VT New Opportunities Fund
Shares 250,312
Cost $5,427,645
.............................................................................................................
Market Value: -- -- 6,523,133
- -------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 613 -- 31,990
.............................................................................................................
Receivable from fund shares sold -- -- --
.............................................................................................................
Total Assets 161,369 527,966 6,555,123
.............................................................................................................
Liabilities
Due to Hartford Life Insurance Company -- 3 --
.............................................................................................................
Payable for fund shares purchased 609 -- 32,112
.............................................................................................................
Total Liabilities 609 3 32,112
- -------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $160,760 $527,963 $6,523,011
- -------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE --HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities (continued)
- -------------------------------------------------------------------------------------------------------------------------------
December 31, 1998 New OTC & U.S. Government Utilities
Value Emerging Growth and High Growth
Sub-Account Sub-Account Quality Bond and Income
Assets Sub-Account Sub-Account
Investments:
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT New Value Fund
Shares 1,384
Cost $16,210
...............................................................................................................................
Market Value: $16,649 $ -- $ -- $ --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT OTC & Emerging Growth Fund
Shares 2,991
Cost $26,639
...............................................................................................................................
Market Value: -- 30,183 -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT U.S. Government and High Quality Bond Fund
Shares 107,804
Cost $1,425,849
...............................................................................................................................
Market Value: -- -- 1,480,144 --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Utilities Growth & Income Fund
Shares 67,841
Cost $1,105,371
...............................................................................................................................
Market Value: -- -- -- 1,234,030
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Vista Fund
Shares 3,199
Cost $39,649
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Voyager Fund
Shares 220,466
Cost $8,653,660
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 1 2 1,014 28
...............................................................................................................................
Receivable from fund shares sold -- -- -- --
...............................................................................................................................
Total Assets 16,650 30,185 1,481,158 1,234,058
...............................................................................................................................
Liabilities
Due to Hartford Life Insurance Company -- -- -- --
...............................................................................................................................
Payable for fund shares purchased -- -- 1,015 12
...............................................................................................................................
Total Liabilities -- -- 1,015 12
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $16,650 $30,185 $1,480,143 $1,234,046
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets & Liabilities (continued)
- -------------------------------------------------------------------------------------------
December 31, 1998 Vista Voyager
Sub-Account Sub-Account
Assets
Investments:
- -------------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT New Value Fund
Shares 1,384
Cost $16,210
...........................................................................................
Market Value: $ -- $ --
- -------------------------------------------------------------------------------------------
Putnam VT OTC & Emerging Growth Fund
Shares 2,991
Cost $26,639
...........................................................................................
Market Value: -- --
- -------------------------------------------------------------------------------------------
Putnam VT U.S. Government and High Quality Fund
Shares 107,804
Cost $1,425,849
...........................................................................................
Market Value: -- --
- -------------------------------------------------------------------------------------------
Putnam VT Utilities Growth & Income Fund
Shares 67,841
Cost $1,105,371
...........................................................................................
Market Value: -- --
- -------------------------------------------------------------------------------------------
Putnam VT Vista Fund
Shares 3,199
Cost $39,649
...........................................................................................
Market Value: 47,086 --
- -------------------------------------------------------------------------------------------
Putnam VT Voyager Fund
Shares 220,466
Cost $8,653,660
...........................................................................................
Market Value: -- 10,108,374
- -------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company -- --
...........................................................................................
Receivable from fund shares sold -- 22,235
...........................................................................................
Total Assets 47,086 10,130,609
...........................................................................................
Liabilities
Due to Hartford Life Insurance Company 1 21,736
...........................................................................................
Payable for fund shares purchased -- --
...........................................................................................
Total Liabilities 1 21,736
- -------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $47,085 $10,108,873
- -------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE --HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Assets and Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------------------------
December 31, 1998 Units Unit Contract
Owned by Price Liability
Participants
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Variable life contracts:
.............................................................................................................................
Asia Pacific Growth Fund 223 $10.693257 $ 2,382
.............................................................................................................................
Diversified Income Fund 53,755 12.777025 686,833
.............................................................................................................................
George Putnam Fund of Boston 9,091 10.602638 96,390
.............................................................................................................................
Global Asset Allocation Fund 49,232 20.792218 1,023,643
.............................................................................................................................
Global Growth Fund 318,846 23.575913 7,517,090
.............................................................................................................................
Growth and Income Fund 307,670 25.517876 7,851,093
.............................................................................................................................
Health Sciences Fund 13,537 11.242853 152,193
.............................................................................................................................
High Yield Fund 140,779 15.576208 2,192,804
.............................................................................................................................
International Growth Fund 24,286 9.785387 237,646
.............................................................................................................................
International Growth and Income Fund 18,822 9.768197 183,856
.............................................................................................................................
International New Opportunities Fund 2,137 8.042115 17,186
.............................................................................................................................
Investors Fund 14,373 11.185169 160,760
.............................................................................................................................
Money Market Fund 407,558 1.295432 527,963
.............................................................................................................................
New Opportunities Fund 286,823 22.742256 6,523,011
.............................................................................................................................
New Value Fund 1,569 10.611164 16,650
.............................................................................................................................
OTC & Emerging Growth Fund 2,802 10.773294 30,185
.............................................................................................................................
U.S. Government and High Quality Bond Fund 100,651 14.705728 1,480,143
.............................................................................................................................
Utilities Growth & Income Fund 57,036 21.636249 1,234,046
.............................................................................................................................
Vista Fund 4,437 10.611675 47,085
.............................................................................................................................
Voyager Fund 350,559 28.836430 10,108,873
- -----------------------------------------------------------------------------------------------------------------------------
Grand Total: $40,089,832
- -----------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Operations
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified The Global Asset
December 31, 1998 Growth Income George Putnam Allocation
Sub-Account* Sub-Account Fund of Boston Sub-Account
Sub-Account*
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $ -- $ 2,718 $ 532 $ 9,598
................................................................................................................
Capital gains income -- 1,154 -- 41,227
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions -- 15 7 511
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 110 (9,453) 2,022 31,846
................................................................................................................
Net gain (loss) on investments 110 (9,438) 2,029 32,357
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $110 $(5,566) $2,561 $83,182
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Global Growth Health
December 31, 1998 Growth and Income Sciences
Sub-Account Sub-Account Sub-Account*
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment Income:
Dividends $ 66,009 $ 36,061 $ 126
..............................................................................................
Capital gains income 330,045 235,404 --
..............................................................................................
Net realized and
unrealized gain (loss)
on investments:
..............................................................................................
Net realized gain (loss)
on security transactions 3,657 4,991 2
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 799,731 369,952 15,169
..............................................................................................
Net gain (loss) on investments 803,388 374,943 15,171
- ----------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $1,199,442 $646,408 $15,297
- ----------------------------------------------------------------------------------------------
*From inception, August 3, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended High Yield International International International
December 31, 1998 Sub-Account Growth Growth New
Sub-Account* and Income Opportunities
Sub-Account* Sub-Account*
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $ 34,276 $ 631 $2,027 $ --
................................................................................................................
Capital gains income 5,378 -- 4,882 --
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions 8,112 (2) (4) 5
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (176,046) 12,182 1,315 2,169
................................................................................................................
Net gain (loss) on investments (167,934) 12,180 1,311 2,174
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $(128,280) $12,811 $8,220 $2,174
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Investors Money New
December 31, 1998 Sub-Account* Market Opportunities
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment Income:
Dividends $ 111 $10,171 $ --
..............................................................................................
Capital gains income -- -- 25,739
..............................................................................................
Net realized and
unrealized gain (loss)
on investments:
..............................................................................................
Net realized gain (loss)
on security transactions (1) -- (50,616)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 13,554 -- 967,053
..............................................................................................
Net gain (loss) on investments 13,553 -- 916,437
- ----------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $13,664 $10,171 $942,176
- ----------------------------------------------------------------------------------------------
*From inception, August 3, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended New OTC & U.S. Government Utilities
December 31, 1998 Value Emerging Growth and High Growth
Sub-Account* Sub-Account* Quality Bond and Income
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $131 $ 10 $61,358 $ 10,596
................................................................................................................
Capital gains income 25 -- 1,597 18,263
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions 255 769 2,773 (609)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 439 3,544 12,767 84,719
................................................................................................................
Net gain (loss) on investments 694 4,313 15,540 84,110
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $850 $4,323 $78,495 $112,969
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------
For the Year Ended Vista Voyager
December 31, 1998 Sub-Account* Sub-Account
- ----------------------------------------------------------------------------
<S> <C> <C>
Investment Income:
Dividends $ -- $ 5,550
............................................................................
Capital gains income -- 135,426
............................................................................
Net realized and
unrealized gain (loss)
on investments:
............................................................................
Net realized gain (loss)
on security transactions 4 1,139
............................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 7,437 1,302,791
............................................................................
Net gain (loss) on investments 7,441 1,303,930
- ----------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $7,441 $1,444,906
- ----------------------------------------------------------------------------
*From inception, August 3, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified The Global Asset
December 31, 1998 Growth Income George Putnam Allocation
Sub-Account* Sub-Account Fund of Boston Sub-Account
Sub-Account*
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ -- $ 2,718 $ 532 $ 9,598
................................................................................................................
Capital gains income -- 1,154 -- 41,227
................................................................................................................
Net realized gain (loss)
on security transactions -- 15 7 511
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 110 (9,453) 2,022 31,846
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 110 (5,566) 2,561 83,182
................................................................................................................
Unit transactions:
Purchases 1,025 85,364 26,333 197,777
................................................................................................................
Net transfers 1,266 584,214 68,878 474,639
................................................................................................................
Surrenders (8) (6,589) (507) (12,784)
................................................................................................................
Net loan activity -- (2) (39) (591)
................................................................................................................
Cost of insurance (11) (13,198) (836) (29,489)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 2,272 649,789 93,829 629,552
................................................................................................................
Total increase (decrease)
in net assets 2,382 644,223 96,390 712,734
................................................................................................................
Net Assets
Beginning of period -- 42,610 -- 310,910
- ----------------------------------------------------------------------------------------------------------------
End of period $2,382 $686,833 $96,390 $1,023,644
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Global Growth Health
December 31, 1998 Growth and Income Sciences
Sub-Account Sub-Account Sub-Account*
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 66,009 $ 36,061 $ 126
..............................................................................................
Capital gains income 330,045 235,404 --
..............................................................................................
Net realized gain (loss)
on security transactions 3,657 4,991 2
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 799,731 369,952 15,169
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 1,199,442 646,408 15,297
..............................................................................................
Unit transactions:
Purchases 1,777,192 1,520,697 43,812
..............................................................................................
Net transfers 3,292,482 4,737,360 95,215
..............................................................................................
Surrenders (99,324) (94,734) (539)
..............................................................................................
Net loan activity (60,658) (99,490) --
..............................................................................................
Cost of insurance (227,264) (257,615) (1,592)
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 4,682,428 5,806,218 136,896
..............................................................................................
Total increase (decrease)
in net assets 5,881,870 6,452,626 152,193
..............................................................................................
Net Assets
Beginning of period 1,635,220 1,398,467 --
- ----------------------------------------------------------------------------------------------
End of period $7,517,090 $7,851,093 $152,193
- ----------------------------------------------------------------------------------------------
*From inception, August 3, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended High Yield International International International
December 31, 1998 Sub-Account Growth Growth New
Sub-Account* and Income Opportunities
Sub-Account* Sub-Account*
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 34,276 $ 631 $ 2,027 $ --
................................................................................................................
Capital gains income 5,378 -- 4,882 --
................................................................................................................
Net realized gain (loss)
on security transactions 8,112 (2) (4) 5
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (176,046) 12,182 1,315 2,169
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations (128,280) 12,811 8,220 2,174
................................................................................................................
Unit transactions:
Purchases 465,319 9,271 17,634 1,092
................................................................................................................
Net transfers 1,652,869 217,210 159,730 14,115
................................................................................................................
Surrenders (17,686) (739) (640) (71)
................................................................................................................
Net loan activity (12,272) -- (1) --
................................................................................................................
Cost of insurance (51,815) (907) (1,087) (124)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 2,036,415 224,835 175,636 15,012
................................................................................................................
Total increase (decrease)
in net assets 1,908,135 237,646 183,856 17,186
................................................................................................................
Net Assets
Beginning of period 284,669 -- -- --
- ----------------------------------------------------------------------------------------------------------------
End of period $2,192,804 $237,646 $183,856 $17,186
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Investors Money New
December 31, 1998 Sub-Account* Market Opportunities
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 111 $ 10,171 $ --
..............................................................................................
Capital gains income -- -- 25,739
..............................................................................................
Net realized gain (loss)
on security transactions (1) -- (50,616)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 13,554 -- 967,053
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 13,664 10,171 942,176
..............................................................................................
Unit transactions:
Purchases 18,749 111,154 1,695,165
..............................................................................................
Net transfers 131,102 294,105 2,990,857
..............................................................................................
Surrenders (525) (4,383) (78,215)
..............................................................................................
Net loan activity (2) (1,053) (10,265)
..............................................................................................
Cost of insurance (2,228) (9,256) (162,662)
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 147,096 390,567 4,434,880
..............................................................................................
Total increase (decrease)
in net assets 160,760 400,738 5,377,056
..............................................................................................
Net Assets
Beginning of period -- 127,225 1,145,955
- ----------------------------------------------------------------------------------------------
End of period $160,760 $527,963 $6,523,011
- ----------------------------------------------------------------------------------------------
*From inception, August 3, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended New OTC & U.S. Government Utilities
December 31, 1998 Value Emerging Growth and High Growth
Sub-Account Sub-Account* Quality Bond and Income
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 131 $ 10 $ 61,358 $ 10,596
................................................................................................................
Capital gains income 25 -- 1,597 18,263
................................................................................................................
Net realized gain (loss)
on security transactions 255 769 2,773 (609)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 439 3,544 12,767 84,719
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 850 4,323 78,495 112,969
................................................................................................................
Unit transactions:
Purchases 4,212 5,337 518,167 269,787
................................................................................................................
Net transfers 12,066 21,258 (216,141) 641,807
................................................................................................................
Surrenders (154) (231) (23,212) (7,600)
................................................................................................................
Net loan activity -- (1) (153) (8,087)
................................................................................................................
Cost of insurance (324) (501) (70,077) (34,433)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 15,800 25,862 208,584 861,474
................................................................................................................
Total increase (decrease)
in net assets 16,650 30,185 287,079 974,443
................................................................................................................
Net Assets
Beginning of period -- -- 1,193,064 259,603
- ----------------------------------------------------------------------------------------------------------------
End of period $16,650 $30,185 $1,480,143 $1,234,046
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Vista Voyager
December 31, 1998 Sub-Account* Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
Operations:
Net investment income (loss) $ -- $ 5,550
..............................................................................................
Capital gains income -- 135,426
..............................................................................................
Net realized gain (loss)
on security transactions 4 1,139
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 7,437 1,302,791
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 7,441 1,444,906
..............................................................................................
Unit transactions:
Purchases 1,667 1,842,714
..............................................................................................
Net transfers 38,890 5,859,152
..............................................................................................
Surrenders (259) (104,683)
..............................................................................................
Net loan activity -- (122,704)
..............................................................................................
Cost of insurance (654) (253,931)
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 39,644 7,220,548
..............................................................................................
Total increase (decrease)
in net assets 47,085 8,665,454
..............................................................................................
Net Assets
Beginning of period -- 1,443,419
- ----------------------------------------------------------------------------------------------
End of period $47,085 $10,108,873
- ----------------------------------------------------------------------------------------------
*From inception, August 3, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets
- ----------------------------------------------------------------------------------------------------------------------------------
For the Year Ended Diversified Global Asset Global Growth High Yield
December 31, 1997 Income Allocation Growth and Income Sub-Account
Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 99 $ 780 $ 7,355 $ 2,061 $ 1,448
..................................................................................................................................
Capital gains income 16 1,333 7,911 5,017 168
..................................................................................................................................
Net realized gain (loss)
on security transactions 273 46 727 47 208
..................................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 1,827 9,293 25,838 59,382 20,324
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 2,215 11,452 41,831 66,507 22,148
..................................................................................................................................
Unit transactions:
Purchases 1,122 21,636 197,403 58,290 9,010
..................................................................................................................................
Net transfers 39,712 284,558 1,455,386 1,311,232 261,651
..................................................................................................................................
Surrenders (348) (2,233) (24,833) (8,041) (2,778)
..................................................................................................................................
Net loan activity -- (16) 7,540 (2,944) (27)
..................................................................................................................................
Cost of insurance (1,121) (5,581) (43,722) (31,097) (6,360)
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 39,365 298,364 1,591,774 1,327,440 261,496
..................................................................................................................................
Total increase (decrease)
in net assets 41,580 309,816 1,633,605 1,393,947 283,644
..................................................................................................................................
Net assets:
Beginning of period 1,030 1,094 1,615 4,520 1,025
- ----------------------------------------------------------------------------------------------------------------------------------
End of period $42,610 $310,910 $1,635,220 $1,398,467 $284,669
- ----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------------------------
For the Year Ended Money New U.S. Government Utilities Voyager
December 31, 1997 Market Opportunities and High Growth Sub-Account
Sub-Account Sub-Account Quality Bond and Income
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 1,772 $ -- $ 16,959 $ 165 $ 405
..................................................................................................................................
Capital gains income -- -- -- 225 8,720
..................................................................................................................................
Net realized gain (loss)
on security transactions -- (11,593) 549 65 8,423
..................................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period -- 128,498 41,518 43,867 151,950
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 1,772 116,905 59,026 44,322 169,498
..................................................................................................................................
Unit transactions:
Purchases -- 90,292 188,414 18,312 111,483
..................................................................................................................................
Net transfers 127,202 989,240 981,563 206,398 1,206,671
..................................................................................................................................
Surrenders (810) (15,731) (15,612) (1,613) 2,463
..................................................................................................................................
Net loan activity -- (4,120) 7,877 (43) (4,450)
..................................................................................................................................
Cost of insurance (1,951) (31,626) (32,535) (8,846) (44,593)
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 124,441 1,028,055 1,129,707 214,208 1,271,574
..................................................................................................................................
Total increase (decrease)
in net assets 126,213 1,144,960 1,188,733 258,530 1,441,072
..................................................................................................................................
Net assets:
Beginning of period 1,012 995 4,331 1,073 2,347
- ----------------------------------------------------------------------------------------------------------------------------------
End of period $127,225 $1,145,955 $1,193,064 $259,603 $1,443,419
- ----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE --
HARTFORD LIFE AND ANNUITY INSURANCE
Notes to Financial Statements
December 31, 1998
1. ORGANIZATION:
Separate Account Variable Life One (the Account) is a separate investment
account within Hartford Life and Annuity Insurance Company (the Company)
and is registered with the Securities and Exchange Commission (SEC) as a
unit investment trust under the Investment Company Act of 1940, as amended.
Both the Company and the Account are subject to supervision and regulation
by the Department of Insurance of the State of Connecticut and the SEC. The
Account invests deposits by variable life contractholders of the Company in
the various mutual funds (the Funds) as directed by the contractholders.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies of the
Account, which are in accordance with generally accepted accounting
principles in the investment company industry:
A) Security Transactions -- Security transactions are recorded on the trade
date (date the order to buy or sell is executed). Cost of investments sold
is determined on the basis of identified cost. Dividend and capital gains
income is accrued as of the ex-dividend date. Capital gains income
represents dividends from the Funds which are characterized as capital
gains under tax regulations.
B) Security Valuation -- The investments in shares of the Funds are valued
at the closing net asset value per share as determined by the appropriate
Fund as of December 31, 1998.
C) Federal Income Taxes -- The operations of the Account form a part of, and
are taxed with, the total operations of the Company, which is taxed as an
insurance company under the Internal Revenue Code. Under current law, no
federal income taxes are payable with respect to the operations of the
Account.
D) Use of Estimates -- The preparation of financial statements in conformity
with generally accepted accounting principles requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities as of the date of the financial statements and the reported
amounts of income and expenses during the period. Operating results in the
future could vary from the amounts derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
A) Cost of Insurance -- In accordance with terms of the contracts, the
Company makes deductions for costs of insurance to cover the Company's
anticipated mortality costs. Because a policy's account value and death
benefit may vary from month to month, the cost of insurance charges may
also vary.
B) Mortality and Expense Risk Charge -- The Company, as issuer of variable
annuity contracts, provides the mortality and expense undertakings and,
with respect to the Account, receives a maximum annual fee of 1.40% of the
Account's average daily net assets. These expenses are reflected in
surrenders on the accompanying statements of changes in net assets.
C) Administrative and Issue Charges -- The Company assesses a monthly
administrative charge to compensate the Company for administrative costs in
connection with the policies. This charge covers the average expected cost
for these expenses at a maximum of $12 per month. Additionally, the Company
assesses a monthly charge in the first policy year for up-front costs of
underwriting and issuing a policy at a monthly maximum amount of $62.50.
These expenses are reflected in surrenders on the accompanying statements
of changes in net assets.
D) Deduction of Annual Maintenance Fee -- Annual maintenance fees are
deducted through termination of units of interest from applicable contract
owners' accounts, in accordance with the terms of the contracts. These
expenses are reflected in surrenders on the accompanying statements of
changes in net assets.
Report of Independent Public Accountants
To Hartford Life and Annuity Insurance Company Putnam Capital Manager
Trust Separate Account Variable Life Two and to the Owners of Units of
Interest therein:
We have audited the accompanying statements of assets and liabilities of
Hartford Life and Annuity Insurance Company Putnam Capital Manager Trust
Separate Account Variable Life Two (Asia Pacific Growth, Diversified
Income, The George Putnam Fund of Boston, Global Asset Allocation, Global
Growth, Growth and Income, Health Sciences, High Yield, International
Growth, International Growth and Income, International New Opportunities,
Investors, Money Market, New Opportunities, New Value, OTC & Emerging
Growth, U.S. Government and High Quality Bond, Utilities Growth and Income,
Vista, and Voyager), (collectively, the Account) as of December 31, 1998,
and the related statements of operations and the statements of changes in
net assets for the periods presented. These financial statements are the
responsibility of the Account's management. Our responsibility is to
express an opinion on these financial statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are free
of material misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial
statements. An audit also includes assessing the accounting principles
used and significant estimates made by management, as well as evaluating
the overall financial statement presentation. We believe that our audit
provides a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly,
in all material respects, the financial position of the Account as of
December 31, 1998, and the results of their operations and the changes in
their net assets for the periods presented in conformity with generally
accepted accounting principles.
ARTHUR ANDERSEN LLP
Hartford, Connecticut
February 15, 1999
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities
- -------------------------------------------------------------------------------------------------------------------------------
December 31, 1998 Asia Pacific Diversified The Global Asset
Growth Income George Putnam Allocation
Sub-Account Sub-Account Fund of Boston Sub-Account
Assets Sub-Account
Investments:
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
Shares 1,029
Cost $8,238
...............................................................................................................................
Market Value: $8,569 $ -- $ -- $ --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Diversified Income Fund
Shares 21,396
Cost $230,976
...............................................................................................................................
Market Value: -- 224,439 -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT The George Putnam Fund of Boston
Shares 9,650
Cost $97,179
...............................................................................................................................
Market Value: -- -- 99,197 --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
Shares 17,534
Cost $315,568
...............................................................................................................................
Market Value: -- -- -- 332,260
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Global Growth Fund
Shares 95,116
Cost $1,708,011
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Growth and Income Fund
Shares 97,389
Cost $2,636,312
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Health Sciences Fund
Shares 4,102
Cost $39,919
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company -- -- -- 13
...............................................................................................................................
Receivable from fund shares sold -- -- -- --
...............................................................................................................................
Total Assets 8,569 224,439 99,197 332,273
...............................................................................................................................
Liabilities
Due to Hartford Life Insurance Company -- -- -- --
...............................................................................................................................
Payable for fund shares purchased -- -- -- --
...............................................................................................................................
Total Liabilities -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $8,569 $224,439 $99,197 $332,273
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets & Liabilities (continued)
- -------------------------------------------------------------------------------------------------------------
December 31, 1998 Global Growth Health
Growth and Income Sciences
Sub-Account Sub-Account Sub-Account
Assets
Investments:
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
Shares 1,029
Cost $8,238
.............................................................................................................
Market Value: $ -- $ -- $ --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Diversified Income Fund
Shares 21,396
Cost $230,976
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT The George Putnam Fund of Boston
Shares 9,650
Cost $97,179
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
Shares 17,534
Cost $315,568
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Global Growth Fund
Shares 95,116
Cost $1,708,011
.............................................................................................................
Market Value: 1,928,949 -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Growth and Income Fund
Shares 97,389
Cost $2,636,312
.............................................................................................................
Market Value: -- 2,801,893 --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Health Sciences Fund
Shares 4,102
Cost $39,919
.............................................................................................................
Market Value: -- -- 44,876
- -------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 4,736 2,545 --
.............................................................................................................
Receivable from fund shares sold -- -- --
.............................................................................................................
Total Assets 1,933,685 2,804,438 44,876
.............................................................................................................
Liabilities
Due to Hartford Life Insurance Company -- -- --
.............................................................................................................
Payable for fund shares purchased 4,853 2,584 --
.............................................................................................................
Total Liabilities 4,853 2,584 --
- -------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $1,928,832 $2,801,854 $44,876
- -------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities (continued)
- -------------------------------------------------------------------------------------------------------------------------------
December 31, 1998 High Yield International International International
Sub-Account Growth Growth New
Sub-Account and Income Opportunities
Assets Sub-Account Sub-Account
Investments:
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT High Yield Fund
Shares 64,253
Cost $803,539
...............................................................................................................................
Market Value: $751,761 $ -- $ -- $ --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth Fund
Shares 1,526
Cost $18,730
...............................................................................................................................
Market Value: -- 20,639 -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth and Income Fund
Shares 1,786
Cost $21,063
...............................................................................................................................
Market Value: -- -- 21,859 --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT International New Opportunities Fund
Shares 319
Cost $3,423
...............................................................................................................................
Market Value: -- -- -- 3,662
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Investors Fund
Shares 8,158
Cost $85,802
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Money Market Fund
Shares 141,680
Cost $141,680
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT New Opportunities Fund
Shares 46,981
Cost $1,029,532
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 4 -- -- --
...............................................................................................................................
Receivable from fund shares sold -- -- -- --
...............................................................................................................................
Total Assets 751,765 20,639 21,859 3,662
...............................................................................................................................
Liabilities
Due to Hartford Life Insurance Company -- 1 -- --
...............................................................................................................................
Payable for fund shares purchased -- -- -- --
...............................................................................................................................
Total Liabilities -- 1 -- --
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $751,765 $20,638 $21,859 $3,662
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets & Liabilities (continued)
- -------------------------------------------------------------------------------------------------------------
December 31, 1998 Investors Money New
Sub-Account Market Opportunities
Sub-Account Sub-Account
Assets
Investments:
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT High Yield Fund
Shares 64,253
Cost $803,539
.............................................................................................................
Market Value: $ -- $ -- $ --
- -------------------------------------------------------------------------------------------------------------
Putnam VT International Growth Fund
Shares 1,526
Cost $18,730
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT International Growth and Income Fund
Shares 1,786
Cost $21,063
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT International New Opportunities Fund
Shares 319
Cost $3,423
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Investors Fund
Shares 8,158
Cost $85,802
.............................................................................................................
Market Value: 95,043 -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Money Market Fund
Shares 141,680
Cost $141,680
.............................................................................................................
Market Value: -- 141,680 --
- -------------------------------------------------------------------------------------------------------------
Putnam VT New Opportunities Fund
Shares 46,981
Cost $1,029,532
.............................................................................................................
Market Value: -- -- 1,224,320
- -------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 9 -- 12,557
.............................................................................................................
Receivable from fund shares sold -- 1 --
.............................................................................................................
Total Assets 95,052 141,681 1,236,877
.............................................................................................................
Liabilities
Due to Hartford Life Insurance Company -- 1 --
.............................................................................................................
Payable for fund shares purchased -- -- 12,606
.............................................................................................................
Total Liabilities -- 1 12,606
- -------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $95,052 $141,680 $1,224,271
- -------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities (continued)
- -------------------------------------------------------------------------------------------------------------------------------
December 31, 1998 New OTC & U.S. Government Utilities
Value Emerging Growth and High Growth
Sub-Account Sub-Account Quality Bond and Income
Assets Sub-Account Sub-Account
Investments:
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT New Value Fund
Shares 793
Cost $8,608
...............................................................................................................................
Market Value: $9,542 $ -- $ -- $ --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT OTC & Emerging Growth Fund
Shares 2,721
Cost $19,976
...............................................................................................................................
Market Value: -- 27,453 -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT U.S. Government and High Quality Bond Fund
Shares 59,215
Cost $797,359
...............................................................................................................................
Market Value: -- -- 813,020 --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Utilities Growth & Income Fund
Shares 24,324
Cost $407,151
...............................................................................................................................
Market Value: -- -- -- 442,450
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Vista Fund
Shares 506
Cost $6,431
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Voyager Fund
Shares 59,192
Cost $2,354,731
...............................................................................................................................
Market Value: -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company -- -- -- 2
...............................................................................................................................
Receivable from fund shares sold -- -- -- --
...............................................................................................................................
Total Assets 9,542 27,453 813,020 442,452
...............................................................................................................................
Liabilities
Due to Hartford Life Insurance Company -- -- 1 --
...............................................................................................................................
Payable for fund shares purchased -- -- -- --
...............................................................................................................................
Total Liabilities -- -- 1 --
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $9,542 $27,453 $813,019 $442,452
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets & Liabilities (continued)
- -------------------------------------------------------------------------------------------
December 31, 1998 Vista Voyager
Sub-Account Sub-Account
Assets
Investments:
- -------------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT New Value Fund
Shares 793
Cost $8,608
...........................................................................................
Market Value: $ -- $ --
- -------------------------------------------------------------------------------------------
Putnam VT OTC & Emerging Growth Fund
Shares 2,721
Cost $19,976
...........................................................................................
Market Value: -- --
- -------------------------------------------------------------------------------------------
Putnam VT U.S. Government and High Quality Fund
Shares 59,215
Cost $797,359
...........................................................................................
Market Value: -- --
- -------------------------------------------------------------------------------------------
Putnam VT Utilities Growth & Income Fund
Shares 24,324
Cost $407,151
...........................................................................................
Market Value: -- --
- -------------------------------------------------------------------------------------------
Putnam VT Vista Fund
Shares 506
Cost $6,431
...........................................................................................
Market Value: 7,451 --
- -------------------------------------------------------------------------------------------
Putnam VT Voyager Fund
Shares 59,192
Cost $2,354,731
...........................................................................................
Market Value: -- 2,713,936
- -------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company -- 19,965
...........................................................................................
Receivable from fund shares sold -- --
...........................................................................................
Total Assets 7,451 2,733,901
...........................................................................................
Liabilities
Due to Hartford Life Insurance Company -- --
...........................................................................................
Payable for fund shares purchased -- 19,835
...........................................................................................
Total Liabilities -- 19,835
- -------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $7,451 $2,714,066
- -------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Assets and Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------------------------
December 31, 1998 Units Unit Contract
Owned by Price Liability
Participants
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Variable life contracts:
.............................................................................................................................
Asia Pacific Growth Fund 801 $10.693257 $ 8,569
.............................................................................................................................
Diversified Income Fund 17,566 12.777025 224,439
.............................................................................................................................
George Putnam Fund of Boston 9,356 10.602638 99,197
.............................................................................................................................
Global Asset Allocation Fund 15,981 20.792218 332,273
.............................................................................................................................
Global Growth Fund 81,814 23.575913 1,928,832
.............................................................................................................................
Growth and Income Fund 109,800 25.517876 2,801,854
.............................................................................................................................
Health Siences Fund 3,991 11.242853 44,876
.............................................................................................................................
High Yield Fund 48,264 15.576256 751,765
.............................................................................................................................
International Growth Fund 2,109 9.785387 20,638
.............................................................................................................................
International Growth and Income Fund 2,238 9.768076 21,859
.............................................................................................................................
International New Opportunities Fund 375 9.753782 3,662
.............................................................................................................................
Investors Fund 8,498 11.185169 95,052
.............................................................................................................................
Money Market Fund 109,370 1.295432 141,680
.............................................................................................................................
New Opportunities Fund 53,832 22.742256 1,224,271
.............................................................................................................................
New Value Fund 899 10.611164 9,542
.............................................................................................................................
OTC & Emerging Growth Fund 2,548 10.773294 27,453
.............................................................................................................................
U.S. Government and High Quality Bond Fund 55,286 14.705728 813,019
.............................................................................................................................
Utilities Growth and Income Fund 20,450 21.636249 442,452
.............................................................................................................................
Vista Fund 702 10.612377 7,451
.............................................................................................................................
Voyager Fund 94,119 28.836430 2,714,066
.............................................................................................................................
Grand Total: $11,712,950
- -----------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Operations
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified The George Global Asset
December 31, 1998 Growth Income Putnam Fund Allocation
Sub-Account* Sub-Account of Boston Sub-Account
Sub-Account*
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends $ -- $ 3,629 $ 778 $ 2,857
................................................................................................................
Capital gains income -- 1,541 -- 12,271
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions 1 21 2 16
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 331 (6,773) 2,018 15,297
................................................................................................................
Net gain (loss) on investments 332 (6,752) 2,020 15,313
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $332 $(1,582) $2,798 $30,441
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Global Growth Health Sciences
December 31, 1998 Growth and Income Sub-Account*
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment income:
Dividends $ 10,284 $ 6,912 $ 38
..............................................................................................
Capital gains income 51,418 45,119 --
..............................................................................................
Net realized and
unrealized gain (loss)
on investments:
..............................................................................................
Net realized gain (loss)
on security transactions 2,284 (64) (1)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 222,508 157,616 4,957
..............................................................................................
Net gain (loss) on investments 224,792 157,552 4,956
- ----------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $286,494 $209,583 $4,994
- ----------------------------------------------------------------------------------------------
*From inception, August 3, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended High Yield International International International
December 31, 1998 Sub-Account Growth Growth and New Opportunities
Sub-Account* Income Sub-Account*
Sub-Account*
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends $ 10,447 $ 66 $ 206 $ -
................................................................................................................
Capital gains income 1,639 -- 496 --
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions 5,348 11 8 5
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (52,560) 1,909 796 239
................................................................................................................
Net gain (loss) on investments (47,212) 1,920 804 244
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $(35,126) $1,986 $1,506 $244
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Investors Money Market New
December 31, 1998 Sub-Account* Sub-Account Opportunities
Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment income:
Dividends $ 112 $1,123 $ --
..............................................................................................
Capital gains income -- -- 4,296
..............................................................................................
Net realized and
unrealized gain (loss)
on investments:
..............................................................................................
Net realized gain (loss)
on security transactions 14 -- (21,117)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 9,241 -- 190,762
..............................................................................................
Net gain (loss) on investments 9,255 -- 169,645
- ----------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $9,367 $1,123 $173,941
- ----------------------------------------------------------------------------------------------
*From inception, August 3, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended New OTC & Emerging U.S.Government Utilities Growth
December 31, 1998 Value Growth & High Quality and Income
Sub-Account* Sub-Account* Bond Sub-Account
Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends $ 98 $ 10 $10,911 $ 1,849
................................................................................................................
Capital gains income 19 -- 284 3,187
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions 15 21 (1,150) 58
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 934 7,477 12,055 31,421
................................................................................................................
Net gain (loss) on investments 949 7,498 10,905 31,479
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $1,066 $7,508 $22,100 $36,515
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------
For the Year Ended Vista Voyager
December 31, 1998 Sub-Account* Sub-Account
- ----------------------------------------------------------------------------
<S> <C> <C>
Investment income:
Dividends $ -- $ 896
............................................................................
Capital gains income -- 21,866
............................................................................
Net realized and
unrealized gain (loss)
on investments:
............................................................................
Net realized gain (loss)
on security transactions 11 (5,975)
............................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 1,020 350,909
............................................................................
Net gain (loss) on investments 1,031 344,934
- ----------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $1,031 $367,696
- ----------------------------------------------------------------------------
*From inception, August 3, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified The George Global Asset
December 31, 1998 Growth Income Putnam Fund Allocation
Sub-Account* Sub-Account of Boston Sub-Account
Sub-Account*
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income $ -- $ 3,629 $ 778 $ 2,857
................................................................................................................
Capital gains income -- 1,541 -- 12,271
................................................................................................................
Net realized gain (loss)
on security transactions 1 21 2 16
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 331 (6,773) 2,018 15,297
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 332 (1,582) 2,798 30,441
................................................................................................................
Unit transactions:
Purchases 1,000 18,359 1,018 15,068
................................................................................................................
Net transfers 7,366 130,020 95,712 264,595
................................................................................................................
Surrenders (106) (3,807) 42 (10,473)
................................................................................................................
Cost of insurance (23) (3,546) (373) (6,166)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 8,237 141,026 96,399 263,024
................................................................................................................
Total increase (decrease)
in net assets 8,569 139,444 99,197 293,465
................................................................................................................
Net assets:
Beginning of period -- 84,995 -- 38,808
- ----------------------------------------------------------------------------------------------------------------
End of period $8,569 $224,439 $99,197 $332,273
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Global Growth Health Sciences
December 31, 1998 Growth and Income Sub-Account*
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income $ 10,284 $ 6,912 $ 38
..............................................................................................
Capital gains income 51,418 45,119 --
..............................................................................................
Net realized gain (loss)
on security transactions 2,284 (64) (1)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 222,508 157,616 4,957
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 286,494 209,583 4,994
..............................................................................................
Unit transactions:
Purchases 322,831 341,341 1,000
..............................................................................................
Net transfers 1,095,109 2,215,815 39,704
..............................................................................................
Surrenders (47,555) (85,000) (308)
..............................................................................................
Cost of insurance (30,391) (35,272) (514)
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 1,339,994 2,436,884 39,882
..............................................................................................
Total increase (decrease)
in net assets 1,626,488 2,646,467 44,876
..............................................................................................
Net assets:
Beginning of period 302,344 155,387 --
- ----------------------------------------------------------------------------------------------
End of period $1,928,832 $2,801,854 $44,876
- ----------------------------------------------------------------------------------------------
*From inception, August 3, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended High Yield International International International
December 31, 1998 Sub-Account Growth Growth and New Opportunities
Sub-Account* Income Sub-Account*
Sub-Account*
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income $ 10,447 $ 66 $ 206 $ --
................................................................................................................
Capital gains income 1,639 -- 496 --
................................................................................................................
Net realized gain (loss)
on security transactions 5,348 11 8 5
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (52,560) 1,909 796 239
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations (35,126) 1,986 1,506 244
................................................................................................................
Unit Transactions:
Purchases 295,001 1,018 5,809 1,000
................................................................................................................
Net transfers 484,563 18,763 14,788 2,548
................................................................................................................
Surrenders (33,428) (618) (143) (104)
................................................................................................................
Cost of insurance (6,247) (511) (101) (26)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 739,889 18,652 20,353 3,418
................................................................................................................
Total increase (decrease)
in net assets 704,763 20,638 21,859 3,662
................................................................................................................
Net assets:
Beginning of period 47,002 -- -- --
- ----------------------------------------------------------------------------------------------------------------
End of period $751,765 $20,638 $21,859 $3,662
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Investors Money Market New
December 31, 1998 Sub-Account* Sub-Account Opportunities
Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income $ 112 $ 1,123 $ --
..............................................................................................
Capital gains income -- -- 4,296
..............................................................................................
Net realized gain (loss)
on security transactions 14 -- (21,117)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 9,241 -- 190,762
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 9,367 1,123 173,941
..............................................................................................
Unit Transactions:
Purchases 7,115 49,306 258,118
..............................................................................................
Net transfers 79,363 88,070 690,830
..............................................................................................
Surrenders (437) (3,369) (36,267)
..............................................................................................
Cost of insurance (356) (1,780) (34,620)
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 85,685 132,227 878,061
..............................................................................................
Total increase (decrease)
in net assets 95,052 133,350 1,052,002
..............................................................................................
Net assets:
Beginning of period -- 8,330 172,269
- ----------------------------------------------------------------------------------------------
End of period $95,052 $141,680 $1,224,271
- ----------------------------------------------------------------------------------------------
*From inception, August 3, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended New OTC & Emerging U.S.Government Utilities Growth
December 31, 1998 Value Growth & High Quality and Income
Sub-Account* Sub-Account* Bond Sub-Account
Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income $ 98 $ 10 $ 10,911 $ 1,849
................................................................................................................
Capital gains income 19 -- 284 3,187
................................................................................................................
Net realized gain (loss)
on security transactions 15 21 (1,150) 58
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 934 7,477 12,055 31,421
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 1,066 7,508 22,100 36,515
................................................................................................................
Unit Transactions:
Purchases 1,525 3,676 11,794 12,990
................................................................................................................
Net transfers 7,543 17,238 574,461 379,093
................................................................................................................
Surrenders (191) (314) (10,223) (5,423)
................................................................................................................
Cost of insurance (401) (655) (8,204) (6,554)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 8,476 19,945 567,828 380,106
................................................................................................................
Total increase (decrease)
in net assets 9,542 27,453 589,928 416,621
................................................................................................................
Net assets:
Beginning of period -- -- 223,091 25,831
- ----------------------------------------------------------------------------------------------------------------
End of period $9,542 $27,453 $813,019 $442,452
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Vista Voyager
December 31, 1998 Sub-Account* Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
Operations:
Net investment income $ -- $ 896
..............................................................................................
Capital gains income -- 21,866
..............................................................................................
Net realized gain (loss)
on security transactions 11 (5,975)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 1,020 350,909
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 1,031 367,696
..............................................................................................
Unit Transactions:
Purchases 1,000 364,335
..............................................................................................
Net transfers 5,651 1,952,698
..............................................................................................
Surrenders (223) (51,533)
..............................................................................................
Cost of insurance (8) (28,004)
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 6,420 2,237,496
..............................................................................................
Total increase (decrease)
in net assets 7,451 2,605,192
..............................................................................................
Net assets:
Beginning of period -- 108,874
- ----------------------------------------------------------------------------------------------
End of period $7,451 $2,714,066
- ----------------------------------------------------------------------------------------------
*From inception, August 3, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE & ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets
- ----------------------------------------------------------------------------------------------------------------------------------
For the Year Ended Diversified Global Asset Global Growth High Yield
December 31, 1997 Income Allocation Growth and Income Sub-Account
Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Operations:
Net investment income $ 57 $ 88 $ 420 $ 622 $ 154
..................................................................................................................................
Capital gains income 9 150 452 1,514 18
..................................................................................................................................
Net realized gain (loss)
on security transactions 3 109 1,118 314 5
..................................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 207 1,348 (1,615) 7,951 757
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 276 1,695 375 10,401 934
..................................................................................................................................
Unit Transactions:
Purchases 4,114 3,230 13,967 7,475 1,594
..................................................................................................................................
Net transfers 80,535 35,538 302,978 119,617 44,780
..................................................................................................................................
Surrenders (505) (1,812) (10,646) (6,077) (1,070)
..................................................................................................................................
Cost of insurance (455) (890) (5,376) (2,516) (261)
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 83,689 36,066 300,923 118,499 45,043
..................................................................................................................................
Total increase (decrease)
in net assets 83,965 37,761 301.298 128,900 45,977
..................................................................................................................................
Net Assets
Beginning of period 1,030 1,047 1,046 26,487 1,025
- ----------------------------------------------------------------------------------------------------------------------------------
End of period $84,995 $38,808 $302,344 $155,387 $47,002
- ----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE & ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------------------------
For the Year Ended Money New U.S.Government Utilities Voyager
December 31, 1997 Market Opportunities and High Growth Sub-Account
Sub-Account Sub-Account Quality Bond and Income
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Operations:
Net investment income $ 424 $ -- $ 756 $ 40 $ 16
..................................................................................................................................
Capital gains income -- -- -- 54 355
..................................................................................................................................
Net realized gain (loss)
on security transactions -- (1,905) 387 25 3,074
..................................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period -- 4,088 3,578 3,805 8,319
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 424 2,183 4,721 3,924 11,764
..................................................................................................................................
Unit Transactions:
Purchases -- 13,204 10,535 1,604 10,861
..................................................................................................................................
Net transfers 10,765 164,787 214,693 20,012 92,223
..................................................................................................................................
Surrenders (2,441) (4,674) (4,108) (711) (4,146)
..................................................................................................................................
Cost of insurance (1,430) (4,168) (3,779) (71) (2,805)
..................................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 6,894 169,149 217,341 20,834 96,133
..................................................................................................................................
Total increase (decrease)
in net assets 7,318 171,332 222,062 24,758 107,897
..................................................................................................................................
Net Assets
Beginning of period 1,012 937 1,029 1,073 977
- ----------------------------------------------------------------------------------------------------------------------------------
End of period $8,330 $172,269 $223,091 $25,831 $108,874
- ----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO --
HARTFORD LIFE AND ANNUITY INSURANCE
Notes to Financial Statements
December 31, 1998
1. ORGANIZATION:
Separate Account Variable Life Two (the Account) is a separate investment
account within Hartford Life and Annuity Insurance Company (the Company)
and is registered with the Securities and Exchange Commission (SEC) as a
unit investment trust under the Investment Company Act of 1940, as amended.
Both the Company and the Account are subject to supervision and regulation
by the Department of Insurance of the State of Connecticut and the SEC. The
Account invests deposits by variable life contractholders of the Company in
the various mutual funds (the Funds) as directed by the contractholders.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies of the
Account, which are in accordance with generally accepted accounting
principles in the investment company industry:
A) Security Transactions -- Security transactions are recorded on the trade
date (date the order to buy or sell is executed). Cost of investments sold
is determined on the basis of identified cost. Dividend and capital gains
income is accrued as of the ex-dividend date. Capital gains income
represents dividends from the Funds which are characterized as capital
gains under tax regulations.
B) Security Valuation -- The investments in shares of the Funds are valued
at the closing net asset value per share as determined by the appropriate
Fund as of December 31, 1998.
C) Federal Income Taxes -- The operations of the Account form a part of, and
are taxed with, the total operations of the Company, which is taxed as an
insurance company under the Internal Revenue Code. Under current law, no
federal income taxes are payable with respect to the operations of the
Account.
D) Use of Estimates -- The preparation of financial statements in conformity
with generally accepted accounting principles requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities as of the date of the financial statements and the reported
amounts of income and expenses during the period. Operating results in the
future could vary from the amounts derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
A) Cost of Insurance -- In accordance with terms of the contracts, the
Company makes deductions for costs of insurance to cover the Company's
anticipated mortality costs. Because a policy's account value and death
benefit may vary from month to month, the cost of insurance charges may
also vary.
B) Mortality and Expense Risk Charge -- The Company, as issuer of variable
annuity contracts, provides the mortality and expense undertakings and,
with respect to the Account, receives a maximum annual fee of 1.40% of the
Account's average daily net assets. These expenses are reflected in
surrenders on the accompanying statements of changes in net assets.
C) Administrative and Issue Charges -- The Company assesses a monthly
administrative charge to compensate the Company for administrative costs in
connection with the policies. This charge covers the average expected cost
for these expenses at a maximum of $12 per month. Additionally, the Company
assesses a monthly charge in the first policy year for up-front costs of
underwriting and issuing a policy at a monthly maximum amount of $62.50.
These expenses are reflected in surrenders on the accompanying statements
of changes in net assets.
D) Deduction of Annual Maintenance Fee -- Annual maintenance fees are
deducted through termination of units of interest from applicable contract
owners' accounts, in accordance with the terms of the contracts. These
expenses are reflected in surrenders on the accompanying statements of
changes in net assets.
Report of independent accountants
For the fiscal year ended December 31, 1998
To the Trustees and Shareholders of
Putnam Variable Trust
In our opinion, the accompanying statements of assets and liabilities,
including the portfolios of investments owned, and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial
position of each of the twenty-one funds constituting the Putnam
Variable Trust (the "Trust"), at December 31, 1998, and the results of
each of their operations, the changes in each of their net assets and
the financial highlights for the periods indicated, in conformity with
generally accepted accounting principles. These financial statements and
financial highlights (hereafter referred to as "financial statements")
are the responsibility of the Trust's management; our responsibility is
to express an opinion on these financial statements based on our audits.
We conducted our audits of these financial statements in accordance with
generally accepted auditing standards which require that we plan and
perform the audit to obtain reasonable assurance about whether the
financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting
principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of investments owned at December
31, 1998 by correspondence with the custodian, provide a reasonable
basis for the opinion expressed above.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 12, 1999
<TABLE>
Putnam VT Asia Pacific Fund
Portfolio of investments owned
December 31, 1998
<CAPTION>
COMMON STOCKS (95.5%) (a)
- ----------------------------------------------------------------------------------------------------
<CAPTION>
Number of Shares Value
....................................................................................................
Australia (17.1%)
....................................................................................................
<S> <C> <C> <C> <C>
95,700 Amcor Ltd. $408,064
....................................................................................................
92,365 AMP Ltd. (NON) 1,167,749
....................................................................................................
78,900 AMP Ltd.144A (NON) 997,514
....................................................................................................
63,600 Australia & New Zealand Banking
Group Ltd. 415,360
....................................................................................................
46,100 Brambles Industries Ltd. 1,120,558
....................................................................................................
534,900 Cable & Wireless Optus Ltd. 144A (NON) 1,121,923
....................................................................................................
155,200 Coles Myer Ltd. 811,436
....................................................................................................
156,522 Commonwealth Bank of Australia 2,217,005
....................................................................................................
190,019 CSL Ltd. 1,625,939
....................................................................................................
109,200 Lend Lease Corp. Ltd. 1,469,068
....................................................................................................
45,450 News Corp. Ltd. ADR (NON) 1,201,584
....................................................................................................
85,900 News Corporation Ltd. (The) (NON) 566,250
....................................................................................................
118,700 Pioneer International Ltd. 250,418
....................................................................................................
324,700 Westpac Banking Corp. 2,168,210
- ----------------------------------------------------------------------------------------------------
15,541,078
- ----------------------------------------------------------------------------------------------------
Hong Kong (11.9%)
....................................................................................................
214,000 Asia Satellite Telecommunications
Holdings Ltd. 381,225
....................................................................................................
246,000 Cheung Kong Holdings Ltd. (R) 1,770,390
....................................................................................................
951,000 Dairy Farm International Holdings Ltd. 1,093,650
....................................................................................................
264,000 Henderson Land Development
Co. Ltd. (R) 1,366,587
....................................................................................................
278,000 Hong Kong and China Gas Co., Ltd. 353,484
....................................................................................................
376,000 Hong Kong Electric Holdings Ltd. 1,140,629
....................................................................................................
666,000 Johnson Electric Holdings Ltd. 1,710,867
....................................................................................................
328,000 Li & Fung Ltd. 679,576
....................................................................................................
401,000 South China Morning Post Ltd. 205,764
....................................................................................................
159,000 Sun Hung Kai Properties Ltd. 1,159,670
....................................................................................................
511,000 Varitronix International Ltd. 956,484
- ----------------------------------------------------------------------------------------------------
10,818,326
- ----------------------------------------------------------------------------------------------------
Japan (44.4%)
....................................................................................................
500 Asahi Bank Ltd. 1,829
....................................................................................................
122,000 Canon, Inc. 2,603,197
....................................................................................................
102,000 Chubu Electric Power, Inc. 2,054,779
....................................................................................................
81,000 Dai Nippon Printing Co., Ltd. 1,289,644
....................................................................................................
18,000 Eisai Co. Ltd. 349,885
....................................................................................................
4,000 Fancl Corp. 342,463
....................................................................................................
170,000 Fujitsu Ltd. 2,260,558
....................................................................................................
69,000 Honda Motor Co., Ltd. 2,261,795
....................................................................................................
30,000 Hoshiden Corp. 522,707
....................................................................................................
7,000 Ito-Yokado Co., Ltd. 488,602
....................................................................................................
101,000 KAO Corp. 2,275,578
....................................................................................................
24,400 Kita Kyushu Coca-Cola Bottling 763,173
....................................................................................................
88,400 Kyushu Electric Power Inc. 1,679,271
....................................................................................................
14,400 Mabuchi Motor 1,100,547
....................................................................................................
50,000 Matsushita-Kotobuki Electronics
Industries, Ltd. 1,077,929
....................................................................................................
71,500 Mitsumi Electric Company, Ltd. 1,509,851
....................................................................................................
50,000 Murata Manufacturing Co. Ltd. 2,071,920
....................................................................................................
496,000 Nikko Securities Co. Ltd. 1,380,455
....................................................................................................
6,400 Nippon Systemware Co., Ltd. 197,915
....................................................................................................
235 Nippon Telegraph and Telephone Corp. 1,810,567
....................................................................................................
2,390 Nippon Television Network Corp. 703,189
....................................................................................................
600 Onward Kashiyama Co. Ltd. 8,047
....................................................................................................
70,000 Ricoh Co., Ltd. 644,460
....................................................................................................
9,200 Rohm Co. Ltd. 836,437
....................................................................................................
20,000 Sankyo Co., Ltd. 436,473
....................................................................................................
28,000 Secom Co. 2,315,603
....................................................................................................
55,000 Shin-Etsu Chemical Co. 1,321,788
....................................................................................................
33,000 Shiseido Co., Ltd. 423,361
....................................................................................................
11,300 Sony Corp. 821,691
....................................................................................................
19,000 Takeda Chemical Industries 730,252
....................................................................................................
17,000 TDK Corp. 1,551,599
....................................................................................................
67,700 Tokyo Electric Power Co. 1,668,872
....................................................................................................
88,000 Yamanouchi Pharmaceutical Co., Ltd. 2,830,220
- ----------------------------------------------------------------------------------------------------
40,334,657
- ----------------------------------------------------------------------------------------------------
New Zealand (0.7%)
....................................................................................................
141,800 Telecom Corp. of New Zealand Ltd. 614,990
- ----------------------------------------------------------------------------------------------------
Philippines (0.1%)
....................................................................................................
53,000 Bank of the Philippine Islands (NON) 112,839
- ----------------------------------------------------------------------------------------------------
Singapore (7.5%)
....................................................................................................
550,000 Courts Ltd. 206,729
....................................................................................................
221,000 Development Bank of Singapore Ltd. 1,996,302
....................................................................................................
265,000 GP Batteries International Ltd. 565,505
....................................................................................................
275,000 Keppel Bank 480,146
....................................................................................................
122,000 Oversea Chinese Banking Corp.(NON) 828,372
....................................................................................................
166,000 Singapore Tech Engineering 154,980
....................................................................................................
360,000 Singapore Telecommunications, Ltd. 549,985
....................................................................................................
521,500 Venture Manufacturing Ltd. 1,991,785
- ----------------------------------------------------------------------------------------------------
6,773,804
- ----------------------------------------------------------------------------------------------------
South Korea (6.9%)
....................................................................................................
73,500 Korea Electric Power Corp. 1,825,243
....................................................................................................
100 Korea Telecom Corp. (NON) 3,167
....................................................................................................
26,014 Pohang Iron & Steel Company, Ltd. ADR (NON) 438,986
....................................................................................................
59,400 Samsung Electronics Co. 3,994,634
- ----------------------------------------------------------------------------------------------------
6,262,030
- ----------------------------------------------------------------------------------------------------
Taiwan (3.0%)
....................................................................................................
18,200 Ase Test Limited (NON) 589,225
....................................................................................................
115,003 Asustek Computer, Inc. GDR (NON) 1,078,153
....................................................................................................
16,300 Siliconware Precision Industries Co.
GDR (NON) 176,448
....................................................................................................
408,000 Taiwan Semiconductor Manufacturing Co. 900,466
- ----------------------------------------------------------------------------------------------------
2,744,292
- ----------------------------------------------------------------------------------------------------
Thailand (1.4%)
....................................................................................................
51,900 Advanced Info Service Public Co., Ltd. $309,680
....................................................................................................
381,000 Bangkok Bank Public Co., Ltd. 789,365
....................................................................................................
22,100 PTT Exploration & Production PLC 156,287
- ----------------------------------------------------------------------------------------------------
1,255,332
- ----------------------------------------------------------------------------------------------------
United Kingdom (0.7%)
....................................................................................................
25,747 HSBC Holdings PLC 641,465
- ----------------------------------------------------------------------------------------------------
United States (1.8%)
....................................................................................................
36,263 AFLAC Inc. (NON) 1,595,572
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $74,796,404) $86,694,385
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (6.2%) (a) (cost $5,662,755)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$5,662,000 Interest in $456,109,000 joint repurchase
agreement dated December 31, 1998
with Merrill Lynch, Pierce, Fenner, &
Smith, Inc. due January 4, 1999
with respect to various U.S. Treasury
obligations -- maturity value of
$5,665,020 for an effective yield
of 4.80% $5,662,755
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $80,459,159) (b) $92,357,140
- ----------------------------------------------------------------------------------------------------
The fund had the following industry group greater than 10% at December 31, 1998 (as a percentage
of market value):
Electronics and Electrical Equipment 25.3%
Insurance and Finance 18.8
Utilities 11.7
See page 240 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT Diversified Income Fund
Portfolio of investments owned
December 31, 1998
<CAPTION>
CORPORATE BONDS AND NOTES (41.6%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
<S> <C> <C> <C> <C>
Advertising (0.8%)
....................................................................................................
$500,000 Adams Outdoor Advertising sr. notes
10 3/4s, 2006 $537,500
....................................................................................................
350,000 Lamar Advertising Co. sr. sub. notes
9 5/8s, 2006 378,000
....................................................................................................
2,760,000 Lamar Advertising Co. company
guaranty 8 5/8s, 2007 2,925,600
....................................................................................................
1,200,000 Outdoor Communications Inc. sr. sub.
notes 9 1/4s, 2007 1,272,000
- ----------------------------------------------------------------------------------------------------
5,113,100
- ----------------------------------------------------------------------------------------------------
Aerospace and Defense (1.7%)
....................................................................................................
380,000 Argo-Tech Corp. 144A sr. sub. notes
8 5/8s, 2007 359,100
....................................................................................................
220,000 Argo-Tech Corp. company guaranty
8 5/8s, 2007 207,900
....................................................................................................
680,000 Aviation Sales Co. 144A company
guaranty 8 1/8s, 2008 673,200
....................................................................................................
230,000 BE Aerospace, Inc. 144A sr. sub.
notes 9 1/2s, 2008 242,650
....................................................................................................
1,250,000 BE Aerospace, Inc. sr. sub. notes
Ser. B, 8s, 2008 1,225,000
....................................................................................................
3,500,000 Boeing Co. deb. 6 5/8s, 2038 3,515,785
....................................................................................................
255,000 K&F Industries, Inc. sr. sub. notes
Ser. B, 9 1/4s, 2007 257,550
....................................................................................................
250,000 L-3 Communications Corp. sr. sub.
notes Ser. B, 10 3/8s, 2007 274,375
....................................................................................................
320,000 L-3 Communications Corp. sr. sub.
notes 8 1/2s, 2008 329,600
....................................................................................................
400,000 L-3 Communications Corp. 144A sr.
sub. notes 8s, 2008 403,000
....................................................................................................
3,600,000 Raytheon Co. 144A bonds 6.4s, 2018 3,573,000
....................................................................................................
400,000 Sequa Corp. sr. sub. notes 9 3/8s, 2003 407,000
- ----------------------------------------------------------------------------------------------------
11,468,160
- ----------------------------------------------------------------------------------------------------
Agriculture (0.1%)
....................................................................................................
336,789 Premium Standard Farms, Inc. sr. sec. notes
11s, 2003 (acquired on various dates from
9/27/96 to 4/7/97 cost $342,509) (RES) (PIK) 336,789
....................................................................................................
560,000 Purina Mills, Inc. 144A sr. sub. notes
9s, 2010 557,200
- ----------------------------------------------------------------------------------------------------
893,989
- ----------------------------------------------------------------------------------------------------
Airlines (0.4%)
....................................................................................................
390,000 Calair LLC 144A company guaranty
8 1/8s, 2008 361,725
....................................................................................................
470,000 Canadian Airlines Corp. sr. notes
12 1/4s, 2006 (Canada) 329,000
....................................................................................................
680,000 Canadian Airlines Corp. sr. sec.
notes 10s, 2005 (Canada) 591,600
....................................................................................................
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 266,175
....................................................................................................
1,010,000 Trans World Airlines, Inc. 144A Inc. sr.
notes 11 3/8s, 2006 676,700
- ----------------------------------------------------------------------------------------------------
2,543,400
- ----------------------------------------------------------------------------------------------------
Apparel (0.3%)
....................................................................................................
$830,000 Guess Jeans, Inc. sr. sub. notes 9 1/2s, 2003 813,400
....................................................................................................
580,000 Sassco Fashions Ltd. sr. notes
12 3/4s, 2004 574,200
....................................................................................................
265,000 William Carter Holdings Co. 144A
sr. sub. notes Ser. A, 12s, 2008 284,875
- ----------------------------------------------------------------------------------------------------
1,672,475
- ----------------------------------------------------------------------------------------------------
Automotive Parts (0.9%)
....................................................................................................
110,000 Accuride Corp. 144A sr. sub. notes
Ser. B, 9 1/4s, 2008 110,000
....................................................................................................
240,000 Aftermarket Technology Corp. sr. sub.
notes 12s, 2004 252,000
....................................................................................................
740,000 Cambridge Industries, Inc. company
guaranty Ser. B, 10 1/4s, 2007 592,000
....................................................................................................
2,000,000 Exide Corp. Bank Term Loans B
7 3/4s, 2005 1,955,000
....................................................................................................
1,150,000 Hayes Lemmerz International, Inc.
144A company guaranty 8 1/4s, 2008 1,144,250
....................................................................................................
590,000 Lear Corp. sub. notes 9 1/2s, 2006 650,475
....................................................................................................
1,200,000 Navistar International Corp. sr. notes
Ser. B, 8s, 2008 1,221,000
- ----------------------------------------------------------------------------------------------------
5,924,725
- ----------------------------------------------------------------------------------------------------
Banks (0.8%)
....................................................................................................
695,000 Chevy Chase Savings Bank Inc.
sub. deb. 9 1/4s, 2005 695,000
....................................................................................................
290,000 Delta Financial Corp. sr. notes 9 1/2s, 2004 243,600
....................................................................................................
460,000 Dime Capital Trust I bank guaranty
Ser. A, 9.33s, 2027 496,837
....................................................................................................
1,740,000 Fuji JGB Inv. LLC 144A FLIRB 9.87s,
2049 (Japan) 1,244,570
....................................................................................................
460,000 Greenpoint Capital Trust I company
guaranty 9.1s, 2027 485,732
....................................................................................................
250,000 North Fork Capital Trust I company
guaranty 8.7s, 2026 278,203
....................................................................................................
160,000 Ocwen Capital Trust I company
guaranty 10 7/8s, 2027 128,000
....................................................................................................
260,000 Ocwen Federal Bank FSB sub. deb.
12s, 2005 195,000
....................................................................................................
155,000 Ocwen Financial Corp. notes 11 7/8s,
2003 116,250
....................................................................................................
300,000 Peoples Heritage Capital Trust
company guaranty Ser. B, 9.06s, 2027 311,499
....................................................................................................
270,000 Provident Capital Trust company
guaranty 8.6s, 2026 306,509
....................................................................................................
160,000 Riggs Capital Trust 144A bonds
8 5/8s, 2026 162,627
....................................................................................................
245,000 Sovereign Capital Trust company
guaranty 9s, 2027 233,414
....................................................................................................
220,000 Webster Capital Trust I 144A bonds
9.36s, 2027 229,420
- ----------------------------------------------------------------------------------------------------
5,126,661
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (0.1%)
....................................................................................................
240,000 Koppers Industries, Inc. 144A company
guaranty 9 7/8s, 2007 235,200
....................................................................................................
350,000 Owens-Illinois, Inc. sr. notes 8.1s, 2007 370,612
....................................................................................................
115,000 Roller Bearing Co. company guaranty
Ser. B, 9 5/8s, 2007 110,400
- ----------------------------------------------------------------------------------------------------
716,212
- ----------------------------------------------------------------------------------------------------
Broadcasting (3.8%)
....................................................................................................
1,440,000 Affinity Group Holdings sr. notes
11s, 2007 1,468,800
....................................................................................................
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) (NON) 54
....................................................................................................
1,870,000 Benedek Communications Corp.
sr. disc. notes stepped-coupon zero %
(13 1/4s, 5/15/01), 2006 (STP) 1,334,713
....................................................................................................
820,000 Capstar Broadcasting sr. disc. notes
stepped-coupon zero % (12 3/4s,
2/1/02), 2009 (STP) 672,400
....................................................................................................
980,000 Capstar Broadcasting sr. sub. notes
9 1/4s, 2007 1,019,200
....................................................................................................
430,000 CBS Corp. notes 6 7/8s, 2003 444,452
....................................................................................................
190,000 Central European Media Enterprises Ltd.
sr. notes 9 3/8s, 2004 (Bermuda) 158,650
....................................................................................................
310,000 Chancellor Media Corp. sr. sub notes
Ser. B, 8 1/8s, 2007 310,000
....................................................................................................
2,950,000 Chancellor Media Corp. 144A sr. notes
8s, 2008 3,016,375
....................................................................................................
348,290 Citadel Broadcasting Co. sr. sub. notes
10 1/4s, 2007 379,636
....................................................................................................
440,000 Citadel Broadcasting, Inc. 144A
sr. sub. notes 9 1/4s, 2008 459,800
....................................................................................................
1,575,000 Comcast UK Cable, Ltd. deb.
stepped-coupon zero % (11.2s,
11/15/00), 2007 (Bermuda) (STP) 1,323,000
....................................................................................................
1,360,000 Echostar Satellite Broadcast Corp.
sr. disc. notes stepped-coupon zero %
(13 1/8s, 3/15/00), 2004 (STP) 1,356,600
....................................................................................................
320,000 Fox Family Worldwide, Inc. sr. disc.
notes stepped-coupon zero %
(10 1/4s, 11/1/02), 2007 (STP) 201,600
....................................................................................................
1,030,000 Fox Family Worldwide, Inc. sr. notes
9 1/4s, 2007 1,019,700
....................................................................................................
840,000 Fox/Liberty Networks LLC sr. notes
8 7/8s, 2007 856,800
....................................................................................................
500,000 Granite Broadcasting Corp. sr. sub. notes
9 3/8s, 2005 492,500
....................................................................................................
1,140,000 Granite Broadcasting Corp. sr. sub. notes
8 7/8s, 2008 1,083,000
....................................................................................................
1,250,000 Heritage Media Services Corp.
sr. sub. notes 8 3/4s, 2006 1,312,500
....................................................................................................
2,000,000 Paramount Communications, Inc. deb.
7 1/2s, 2023 2,024,220
....................................................................................................
180,000 Pegasus Communications Corp. 144A
sr. notes 9 3/4s, 2006 180,450
....................................................................................................
1,000,000 Pegasus Media & Communications
notes Ser. B, 12 1/2s, 2005 1,090,000
....................................................................................................
1,318,000 PHI Holdings, Inc. sr. sub. notes 16s, 2001 1,035,025
....................................................................................................
445,000 Radio One Inc. company guaranty
stepped-coupon Ser. B, 7s,
(12s, 5/15/00), 2004 (STP) 445,000
....................................................................................................
1,200,000 Sinclair Broadcast Group, Inc.
company guaranty 9s, 2007 1,224,000
....................................................................................................
530,000 Sinclair Broadcast Group, Inc.
sr. sub. notes 8 3/4s, 2007 535,300
....................................................................................................
1,210,000 Time Warner Telecom Inc. sr. notes
9 3/4s, 2008 1,264,450
....................................................................................................
200,000 TV Azteca Holdings S.A. de C.V.
sr. notes 11s, 2002 (Mexico) 169,000
....................................................................................................
145,000 TV Azteca Holdings S.A. de C.V. sr. notes
10 1/2s, 2007 (Mexico) 118,175
- ----------------------------------------------------------------------------------------------------
24,995,400
- ----------------------------------------------------------------------------------------------------
Building and Construction (0.9%)
....................................................................................................
550,000 Albecca Inc. 144A sr. sub. notes
10 3/4s, 2008 541,750
....................................................................................................
240,000 American Architectural Products Corp.
company guaranty 11 3/4s, 2007 204,000
....................................................................................................
330,000 Building Materials Corp. 144A sr. notes
8s, 2008 331,238
....................................................................................................
1,500,000 Cemex S.A. 144A bonds 12 3/4s, 2006
(Mexico) 1,653,750
....................................................................................................
135,000 Cia Latino Americana 144A company
guaranty 11 5/8s, 2004 (Argentina) 87,750
....................................................................................................
910,000 GS Superhighway Holdings sr. notes
9 7/8s, 2004 491,400
....................................................................................................
240,000 Jackson Products, Inc. company guaranty
Ser. B, 9 1/2s, 2005 240,000
....................................................................................................
470,000 Morris Material Handling, Inc.
company guaranty 9 1/2s, 2008 347,800
....................................................................................................
450,000 Neenah Foundry Co. 144A sr. sub. notes
11 1/8s, 2007 462,375
....................................................................................................
310,000 Presley Cos. sr. notes 12 1/2s, 2001 261,950
....................................................................................................
995,000 Terex Corp. Bank Term Loans B
8.18s, 2005 985,050
....................................................................................................
400,000 Waxman Industries Inc. sr. notes
stepped-coupon Ser. B, zero %
(12 3/4s, 6/1/99), 2004 (STP) 200,000
- ----------------------------------------------------------------------------------------------------
5,807,063
- ----------------------------------------------------------------------------------------------------
Buses (0.2%)
....................................................................................................
1,500,000 MCII Holdings sec. notes 12s, 2002 1,275,000
- ----------------------------------------------------------------------------------------------------
Business Services (0.7%)
....................................................................................................
480,000 Cendant Corp. notes 7 1/2s, 2000 482,976
....................................................................................................
1,310,000 Cex Holdings, Inc. company guaranty
Ser. B, 9 5/8s, 2008 1,179,000
....................................................................................................
150,000 Iron Mountain, Inc. med. term notes
company guaranty 10 1/8s, 2006 162,750
....................................................................................................
700,000 Iron Mountain, Inc. company guaranty
8 3/4s, 2009 721,000
....................................................................................................
175,000 Outsourcing Solutions, Inc. sr. sub. notes
Ser. B, 11s, 2006 168,875
....................................................................................................
1,000,000 Outsourcing Solutions Inc., bank term
loans 8 5/8s, 2003 985,000
....................................................................................................
1,580,000 U.S. Office Products Co. company
guaranty 9 3/4s, 2008 995,400
- ----------------------------------------------------------------------------------------------------
4,695,001
- ----------------------------------------------------------------------------------------------------
Cable Television (1.7%)
....................................................................................................
600,000 Acme Television sr. disc. notes
stepped-coupon zero % (10 7/8s,
9/30/00), 2004 (STP) 478,500
....................................................................................................
1,110,000 Adelphia Communications Corp.
sr. notes Ser. B, 9 7/8s, 2007 1,227,938
....................................................................................................
990,000 Adelphia Communications Corp. 144A
sr. notes 8 3/8s, 2008 1,024,650
....................................................................................................
300,000 Comcast Corp. sr. sub. notes 9 1/8s, 2006 321,000
....................................................................................................
490,000 Comcast Corp. sr. sub. notes 9 1/2s, 2008 512,628
....................................................................................................
170,000 CSC Holdings, Inc. deb. Ser. B, 8 1/8s, 2009 182,164
....................................................................................................
210,000 CSC Holdings, Inc. deb. 7 7/8s, 2018 213,786
....................................................................................................
510,000 CSC Holdings, Inc. sr. notes 7 1/4s, 2008 516,987
....................................................................................................
850,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(11 3/4s, 12/15/00), 2005
(United Kingdom) (STP) 699,125
....................................................................................................
2,450,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(10 3/4s, 2/15/02), 2007
(United Kingdom) (STP) 1,739,500
....................................................................................................
190,000 Globo Communicacoes 144A sr. notes
10 5/8s, 2008 (Brazil) 119,938
....................................................................................................
375,000 Globo Communicacoes 144A company
guaranty 10 1/2s, 2006 (Brazil) 243,750
....................................................................................................
670,000 Jones Intercable, Inc. sr. sub. deb.
10 1/2s, 2008 730,300
....................................................................................................
140,000 Jones Intercable, Inc. sr. notes 9 5/8s, 2002 150,850
....................................................................................................
500,000 Lenfest Communications, Inc. 144A
sr. sub. notes 8 1/4s, 2008 515,000
....................................................................................................
500,000 Marcus Cable Co. (L.P.) sr. disc.
notes stepped-coupon zero %
(14 1/4s, 6/15/00), 2005 (STP) 477,500
....................................................................................................
760,000 Marcus Cable Co. (L.P.) sr. sub.
disc. notes stepped-coupon zero %
(13 1/2s, 8/1/99), 2004 (STP) 761,900
....................................................................................................
880,000 RCN Corp. sr. disc. notes stepped-coupon
zero % (11 1/8s, 10/15/02), 2007 (STP) 510,400
....................................................................................................
170,000 Rogers Cablesystems Ltd. sr. notes
Ser. B, 10s, 2005 190,400
....................................................................................................
480,000 Supercanal Holdings S.A. 144A sr. notes
11 1/2s, 2005 (Argentina) 264,000
....................................................................................................
190,000 TeleWest Communications PLC 144A
sr. notes 11 1/4s, 2008 (United Kingdom) 213,750
....................................................................................................
690,000 United International Holdings sr. disc.
notes Ser. B, stepped-coupon zero %
(10 3/4s, 2/15/03), 2008 (STP) 365,700
- ----------------------------------------------------------------------------------------------------
11,459,766
- ----------------------------------------------------------------------------------------------------
Cellular Communications (1.1%)
....................................................................................................
1,680,000 Allegiance Telecom, Inc. sr. disc. notes
Ser. B, stepped-coupon zero %
(11 3/4s, 2/15/03), 2008 (STP) 789,600
....................................................................................................
2,205,000 CellNet Data Systems, Inc. sr. disc.
notes stepped-coupon zero %
(14s, 10/1/02), 2007 (STP) 485,100
....................................................................................................
1,030,000 Cencall Communications Corp.
sr. disc. notes stepped-coupon zero %
(10 1/8s, 1/15/99), 2004 (STP) 1,009,400
....................................................................................................
450,000 Conecel Holdings 144A notes Ser. A,
14s, 2000 180,000
....................................................................................................
1,600,000 McCaw International Ltd sr. disc. notes
stepped coupon zero %
(13s, 4/15/02), 2007 (STP) 872,000
....................................................................................................
2,600,000 Millicom International Cellular S.A.
sr. disc. notes stepped-coupon zero %
(13 1/2s, 6/1/01), 2006 (Luxembourg) (STP) 1,820,000
....................................................................................................
400,000 NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero % (12 1/8s,
4/15/03), 2008 (STP) 192,000
....................................................................................................
1,130,000 NEXTEL Communications, Inc. 144A
sr. notes 12s, 2008 1,254,300
....................................................................................................
695,000 NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero % (10.65s,
9/15/02), 2007 (STP) 446,538
....................................................................................................
370,000 NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero % (9.95s,
2/15/03), 2008 (STP) 222,000
....................................................................................................
90,000 Price Communications Wireless, Inc.
144A sr. notes 9 1/8s, 2006 90,450
- ----------------------------------------------------------------------------------------------------
7,361,388
- ----------------------------------------------------------------------------------------------------
Chemicals (0.6%)
....................................................................................................
1,080,000 Acetex Corp. sr. notes 9 3/4s, 2003
(Canada) 1,069,200
....................................................................................................
410,000 Geo Specialty Chemicals, Inc. 144A
sr. sub. notes 10 1/8s, 2008 397,700
....................................................................................................
430,000 Huntsman Corp. 144A sr. sub. notes
9 1/2s, 2007 427,850
....................................................................................................
550,000 Huntsman Corp. 144A sr. sub. notes
FRN 9.188s, 2007 519,750
....................................................................................................
1,000,000 Lyondell Petrochem bank term loans D
7 1/4s, 2000 975,000
....................................................................................................
400,000 Pioneer Americas Acquisition 144A
sr. notes 9 1/4s, 2007 312,000
....................................................................................................
524,577 Polytama International notes 11 1/4s,
2007 (Indonesia) 104,915
....................................................................................................
235,000 Sterling Chemicals Holdings sr. disc.
notes stepped-coupon zero % (13 1/2s,
8/15/01), 2008 (STP) 94,000
....................................................................................................
565,000 Trikem S.A. 144A bonds 10 5/8s, 2007
(Brazil) 254,250
- ----------------------------------------------------------------------------------------------------
4,154,665
- ----------------------------------------------------------------------------------------------------
Computer Services (0.5%)
....................................................................................................
160,000 Concentric Network Corp. sr. notes
12 3/4s, 2007 163,200
....................................................................................................
650,000 Interact Systems, Inc. 144A
stepped-coupon zero % (14s, 8/1/99),
2003 (STP) 26,000
....................................................................................................
1,090,000 IPC Information Systems sr. disc. notes
stepped-coupon zero % (10 7/8s,
11/1/01), 2008 (STP) 686,700
....................................................................................................
710,000 PSINet, Inc. 144A sr. notes 11 1/2s, 2008 741,950
....................................................................................................
360,000 PSINet, Inc. sr. notes Ser. B, 10s, 2005 352,800
....................................................................................................
660,000 Unisys Corp. sr. notes 11 3/4s, 2004 765,600
....................................................................................................
370,000 Unisys Corp. sr. notes 7 7/8s, 2008 392,200
....................................................................................................
350,000 Verio Inc. 144A sr. notes 11 1/4s, 2008 353,500
- ----------------------------------------------------------------------------------------------------
3,481,950
- ----------------------------------------------------------------------------------------------------
Conglomerates (0.1%)
....................................................................................................
880,000 Axia, Inc. company guaranty 10 3/4s, 2008 891,000
- ----------------------------------------------------------------------------------------------------
Consumer Durable Goods (--%)
....................................................................................................
80,000 Hedstrom Holdings, Inc. 144A sr. disc.
notes stepped-coupon zero %
(12s, 6/1/02), 2009 (STP) 36,000
....................................................................................................
220,000 Sealy Mattress Co. 144A sr. sub. notes
Ser. B, 9 7/8s, 2007 209,000
- ----------------------------------------------------------------------------------------------------
245,000
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (0.2%)
....................................................................................................
125,000 Amscan Holdings, Inc. sr. sub. notes
9 7/8s, 2007 115,000
....................................................................................................
155,000 Doane Products Co. 144A sr. sub. notes
9 3/4s, 2007 158,488
....................................................................................................
1,250,000 Samsonite Corp. sr. sub. notes
10 3/4s, 2008 1,075,000
- ----------------------------------------------------------------------------------------------------
1,348,488
- ----------------------------------------------------------------------------------------------------
Consumer Services (0.2%)
....................................................................................................
895,000 Coinmach Corp. sr. notes 11 3/4s, 2005 980,025
....................................................................................................
270,000 Protection One, Inc. sr. disc. notes
stepped-coupon zero % (13 5/8s,
6/30/00), 2005 (STP) 306,450
- ----------------------------------------------------------------------------------------------------
1,286,475
- ----------------------------------------------------------------------------------------------------
Cosmetics (0.4%)
....................................................................................................
290,000 Chattem, Inc. company guaranty
Ser. B, 8 7/8s, 2008 298,700
....................................................................................................
150,000 French Fragrances, Inc. sr. notes
Ser. B, 10 3/8s, 2007 148,125
....................................................................................................
190,000 French Fragrances, Inc. company
guaranty Ser. D, 10 3/8s, 2007 187,150
....................................................................................................
1,500,000 Revlon Consumer Products sr. sub. notes
8 5/8s, 2008 1,365,000
....................................................................................................
360,000 Revlon, Inc. 144A sr. notes 9s, 2006 356,400
- ----------------------------------------------------------------------------------------------------
2,355,375
- ----------------------------------------------------------------------------------------------------
Electric Utilities (0.9%)
....................................................................................................
920,000 Cleveland Electric Illuminating Co.
144A bonds 6.86s, 2008 929,200
....................................................................................................
500,000 Midland Funding Corp. deb. Ser. B,
13 1/4s, 2006 640,515
....................................................................................................
2,115,000 Midland Funding Corp. deb. Ser. A,
11 3/4s, 2005 2,453,189
....................................................................................................
924,336 Northeast Utilities System notes Ser. A,
8.58s, 2006 987,126
....................................................................................................
106,667 Northeast Utilities System notes Ser. B,
8.38s, 2005 111,240
....................................................................................................
610,000 York Power Funding 144A company
guaranty 12s, 2007 (Cayman Islands) 622,200
- ----------------------------------------------------------------------------------------------------
5,743,470
- ----------------------------------------------------------------------------------------------------
Electrical Equipment (0.2%)
....................................................................................................
1,200,000 Dobson Communications Corp. sr. notes
11 3/4s, 2007 1,194,000
....................................................................................................
130,000 Samsung Electronics 144A company
guaranty 9 3/4s, 2003 123,500
- ----------------------------------------------------------------------------------------------------
1,317,500
- ----------------------------------------------------------------------------------------------------
Electronic Components (0.7%)
....................................................................................................
280,000 Details, Inc. sr. sub. notes Ser. B, 10s, 2005 266,000
....................................................................................................
320,000 DII Group, Inc. (The) sr. sub. notes
8 1/2s, 2007 313,600
....................................................................................................
970,000 Flextronics International Ltd. sr. sub. notes
Ser. B, 8 3/4s, 2007 996,675
....................................................................................................
195,000 HCC Industries, Inc. company guaranty
10 3/4s, 2007 187,200
....................................................................................................
1,260,000 Metromedia Fiber Network, Inc. 144A
sr. notes 10s, 2008 1,291,500
....................................................................................................
630,000 Motors and Gears, Inc. sr. notes Ser. D,
10 3/4s, 2006 642,600
....................................................................................................
800,000 Viasystems, Inc. 144A sr. notes 9 3/4s, 2007 744,000
....................................................................................................
105,000 Viasystems Inc. sr. sub notes 9 3/4s, 2007 104,475
- ----------------------------------------------------------------------------------------------------
4,546,050
- ----------------------------------------------------------------------------------------------------
Electronics (0.2%)
....................................................................................................
125,000 Celestica International Ltd. 144A
sr. sub. notes 10 1/2s, 2006 (Canada) 136,250
....................................................................................................
201,138 Cirent Semiconductor sr. sub. notes
10.22s, 2002 198,121
....................................................................................................
213,416 Cirent Semiconductor 144A sr. sub. notes
10.14s, 2004 209,414
....................................................................................................
500,000 Moog, Inc. sr. sub. notes Ser. B, 10s, 2006 512,500
....................................................................................................
115,000 Wavetek Corp. company guaranty
10 1/8s, 2007 109,250
- ----------------------------------------------------------------------------------------------------
1,165,535
- ----------------------------------------------------------------------------------------------------
Energy-Related (0.5%)
....................................................................................................
500,000 CalEnergy, Inc. sr. notes 9 1/2s, 2006 556,320
....................................................................................................
850,000 Calpine Corp. sr. notes 10 1/2s, 2006 911,625
....................................................................................................
500,000 Calpine Corp. sr. notes 9 1/4s, 2004 507,500
....................................................................................................
660,000 Calpine Corp. sr. notes 7 7/8s, 2008 643,500
....................................................................................................
410,000 Gothic Production Corp. company
guaranty Ser. B, 11 1/8s, 2005 315,700
....................................................................................................
1,075,000 Panda Global Energy Co. company
guaranty 12 1/2s, 2004 (China) 451,500
....................................................................................................
320,000 RAM Energy Inc. sr. notes 11 1/2s, 2008 211,200
- ----------------------------------------------------------------------------------------------------
3,597,345
- ----------------------------------------------------------------------------------------------------
Entertainment (1.0%)
....................................................................................................
540,000 AMC Entertainment, Inc. sr. sub. notes
9 1/2s, 2009 550,800
....................................................................................................
490,000 SFX Entertainment Inc. 144A
sr. sub. notes 9 1/8s, 2008 490,000
....................................................................................................
650,000 SFX Entertainment, Inc. 144A company
guaranty Ser. B, 9 1/8s, 2008 653,250
....................................................................................................
950,000 Six Flags Corp. sr. notes 8 7/8s, 2006 984,438
....................................................................................................
510,000 Silver Cinemas Inc. sr. sub. notes
10 1/2s, 2005 346,800
....................................................................................................
3,515,000 Time Warner, Inc. company guaranty
6 5/8s, 2029 3,576,372
- ----------------------------------------------------------------------------------------------------
6,601,660
- ----------------------------------------------------------------------------------------------------
Environmental Control (0.3%)
....................................................................................................
1,640,000 Allied Waste Industries, Inc. 144A
sr. notes 7 7/8s, 2009 1,660,500
....................................................................................................
215,000 ATC Group Services, Inc. company
guaranty 12s, 2008 21,500
- ----------------------------------------------------------------------------------------------------
1,682,000
- ----------------------------------------------------------------------------------------------------
Financial Services (2.9%)
....................................................................................................
985,000 Aames Financial Corp. sr. notes
9 1/8s, 2003 591,000
....................................................................................................
6,355,000 Citicorp sub. notes 6 3/8s, 2008 6,577,616
....................................................................................................
1,000,000 Colombia Holdings sr. notes 10s, 1999 1,016,250
....................................................................................................
165,000 Colonial Capital II 144A company
guaranty 8.92s, 2027 169,043
....................................................................................................
250,000 Dine S.A. de C.V. company guaranty
8 3/4s, 2007 (Mexico) 205,000
....................................................................................................
245,000 Dollar Financial Group Inc. sr. notes
Ser. A, 10 7/8s, 2006 247,450
....................................................................................................
2,480,000 DTI Holdings Inc. sr. disc. notes
Ser. B, stepped-coupon zero %
(12 1/2s, 03/01/03), 2008 (STP) 632,400
....................................................................................................
350,000 First Federal Financial Corp. notes
11 3/4s, 2004 360,500
....................................................................................................
1,500,000 GS Escrow Corp. sr. notes 7 1/8s, 2005 1,472,460
....................................................................................................
6,165,000 Household Netherlands N.V. company
guaranty 6.2s, 2003 (Netherlands) 6,192,743
....................................................................................................
825,000 Imperial Credit Capital Trust I 144A
company guaranty 10 1/4s, 2002 627,000
....................................................................................................
185,000 Imperial Credit Industries, Inc. sr. notes
9 7/8s, 2007 142,450
....................................................................................................
350,000 Investors Capital Trust I company
guaranty Ser. B, 9.77s, 2027 378,000
....................................................................................................
190,000 Nationwide Credit Inc. sr. notes Ser. A,
10 1/4s, 2008 152,000
....................................................................................................
1,000,000 Resource America Inc. 144A sr. notes
12s, 2004 810,000
- ----------------------------------------------------------------------------------------------------
19,573,912
- ----------------------------------------------------------------------------------------------------
Food and Beverages (0.6%)
....................................................................................................
470,000 Ameriserve Food Co. company guaranty
10 1/8s, 2007 420,650
....................................................................................................
780,000 Ameriserve Food Co. company guaranty
8 7/8s, 2006 733,200
....................................................................................................
100,000 Aurora Foods, Inc. sr. sub. notes Ser. B,
9 7/8s, 2007 109,000
....................................................................................................
580,000 Aurora Foods, Inc. 144A sub. notes
Ser. D, 9 7/8s, 2007 632,200
....................................................................................................
1,200,000 Canandaigua Wine Co. sr. sub. notes
Ser. C, 8 3/4s, 2003 1,236,000
....................................................................................................
470,000 Fleming Companies, Inc. company
guaranty Ser. B, 10 1/2s, 2004 441,800
....................................................................................................
790,000 RAB Enterprises, Inc. 144A sr. notes
10 1/2s, 2005 592,500
- ----------------------------------------------------------------------------------------------------
4,165,350
- ----------------------------------------------------------------------------------------------------
Food Chains (0.1%)
....................................................................................................
300,000 Nebco Evans Holding Co. sr. disc. notes
stepped-coupon zero % (12 3/8s,
7/15/02), 2007 (STP) 144,000
....................................................................................................
850,000 Southland Corp. deb. Ser. A, 4 1/2s, 2004 722,500
- ----------------------------------------------------------------------------------------------------
866,500
- ----------------------------------------------------------------------------------------------------
Gaming (1.3%)
....................................................................................................
915,000 Argosy Gaming Co. company guaranty
13 1/4s, 2004 1,025,944
....................................................................................................
175,000 Casino America, Inc. sr. notes 12 1/2s, 2003 193,375
....................................................................................................
280,000 Circus Circus Enterprises, Inc. sr. sub.
notes 9 1/4s, 2005 285,600
....................................................................................................
200,000 Circus Circus Enterprises, Inc. sr. notes
6.45s, 2006 179,736
....................................................................................................
1,000,000 Coast Hotels & Casinos, Inc. 1st mtge.
company guaranty Ser. B, 13s, 2002 1,125,000
....................................................................................................
793,500 Colorado Gaming & Entertainment Co.
sr. notes 12s, 2003 849,045
....................................................................................................
810,000 Fitzgeralds Gaming Corp. company
guaranty Ser. B, 12 1/4s, 2004 437,400
....................................................................................................
500,000 Grand Casinos, Inc. 1st mtge. 10 1/8s, 2003 545,000
....................................................................................................
720,000 Harrahs Entertainment, Inc. company
guaranty 7 7/8s, 2005 716,400
....................................................................................................
250,000 Isle of Capri Black Hawk LLC 144A
1st mortgage Ser. B, 13s, 2004 275,000
....................................................................................................
990,000 Park Place Entertainment sr. sub. notes
7 7/8s, 2005 994,950
....................................................................................................
700,000 PRT Funding Corp. sr. notes 11 5/8s, 2004
(In Default) (NON) 386,750
....................................................................................................
830,000 Trump A.C. 1st mtge. 11 1/4s, 2006 730,400
....................................................................................................
1,060,000 Trump Castle Funding 144A sub. notes
10 1/4s, 2003 1,070,600
- ----------------------------------------------------------------------------------------------------
8,815,200
- ----------------------------------------------------------------------------------------------------
Health Care (1.8%)
....................................................................................................
1,350,000 Columbia/HCA Healthcare Corp. notes
7s, 2007 1,287,887
....................................................................................................
350,000 Conmed Corp. company guaranty 9s, 2008 350,000
....................................................................................................
600,000 Extendicare Health Services, Inc.
company guaranty 9.35s, 2007 575,250
....................................................................................................
700,000 Global Health Sciences company guaranty
11s, 2008 469,000
....................................................................................................
530,000 Hudson Respiratory Care, Inc. sr. sub.
notes 9 1/8s, 2008 413,400
....................................................................................................
920,000 Integrated Health Services, Inc. sr. sub.
notes Ser. A, 9 1/2s, 2007 874,000
....................................................................................................
530,000 Integrated Health Services, Inc. sr. sub.
notes Ser. A, 9 1/4s, 2008 498,200
....................................................................................................
770,000 Magellan Health Services, Inc. sr. sub.
notes 9s, 2008 708,400
....................................................................................................
280,000 Mariner Post-Acute Network, Inc. sr. sub.
notes Ser. B, stepped-coupon zero %
(10 1/2s, 11/1/02), 2007 (STP) 135,800
....................................................................................................
1,395,000 Mariner Post-Acute Network, Inc. sr. sub.
notes Ser. B, 9 1/2s, 2007 1,136,925
....................................................................................................
1,080,000 MedPartners, Inc. sr. notes 7 3/8s, 2006 851,861
....................................................................................................
30,000 MedPartners, Inc. sr. sub. notes
6 7/8s, 2000 25,817
....................................................................................................
1,465,000 Multicare Cos., Inc. sr. sub. notes 9s, 2007 1,347,800
....................................................................................................
1,120,000 Paracelsus Healthcare sr. sub. notes
10s, 2006 1,022,000
....................................................................................................
285,000 Paragon Corp. Holdings, Inc. company
guaranty Ser. B, 9 5/8s, 2008 239,400
....................................................................................................
300,000 Sun Healthcare Group, Inc. 144A sr. sub.
notes 9 3/8s, 2008 240,000
....................................................................................................
855,000 Sun Healthcare Group, Inc. sr. sub. notes
Ser. B, 9 1/2s, 2007 692,550
....................................................................................................
425,000 Tenet Healthcare Corp. 144A sr. sub.
notes 8 1/8s, 2008 435,625
....................................................................................................
290,000 Tenet Healthcare Corp. sr. notes 8s, 2005 294,350
....................................................................................................
410,000 Tenet Healthcare Corp.144A sr. notes
7 5/8s, 2008 416,150
- ----------------------------------------------------------------------------------------------------
12,014,415
- ----------------------------------------------------------------------------------------------------
Lodging (0.8%)
....................................................................................................
420,000 Epic Resorts LLC company guaranty
Ser. B, 13s, 2005 407,400
....................................................................................................
1,550,000 HMH Properties, Inc. company guaranty
Ser. B, 7 7/8s, 2008 1,507,375
....................................................................................................
1,675,000 Host Marriott Travel Plaza sr. notes
Ser. B, 9 1/2s, 2005 1,754,563
....................................................................................................
998,958 Patriot American Hospitality, Inc.
bank term loan B 8 1/8s, 2003 963,995
....................................................................................................
450,000 Prime Hospitality Corp. sub. notes
9 3/4s, 2007 452,250
....................................................................................................
395,000 Raintree Resorts International, Inc.
sr. notes Ser. B, 13s, 2004 217,250
- ----------------------------------------------------------------------------------------------------
5,302,833
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (0.5%)
....................................................................................................
480,000 ALARIS Medical Systems, Inc. company
guaranty 9 3/4s, 2006 489,600
....................................................................................................
500,000 Dade International, Inc. sr. sub. notes
Ser. B, 11 1/8s, 2006 550,000
....................................................................................................
500,000 Graphic Controls Corp. sr. sub. notes
Ser. A, 12s, 2005 575,000
....................................................................................................
250,000 Kinetic Concepts, Inc. company guaranty
Ser. B, 9 5/8s, 2007 240,000
....................................................................................................
450,000 Leiner Health Products sr. sub. notes
9 5/8s, 2007 468,000
....................................................................................................
495,000 Mediq, Inc. deb. 13s, 2009 222,750
....................................................................................................
700,000 Mediq, Inc. company guaranty 11s, 2008 672,000
- ----------------------------------------------------------------------------------------------------
3,217,350
- ----------------------------------------------------------------------------------------------------
Metals and Mining (0.5%)
....................................................................................................
640,000 Ameristeel Corp. company guaranty
Ser. B, 8 7/8s, 2008 614,400
....................................................................................................
345,000 Anker Coal Group, Inc. sr. notes
Ser. B, 9 3/4s, 2007 182,850
....................................................................................................
325,000 Continental Global Group sr. notes
Ser. B, 11s, 2007 277,875
....................................................................................................
660,000 Lodestar Holdings, Inc. company
guaranty 11 1/2s, 2005 528,000
....................................................................................................
250,000 Kaiser Aluminum & Chemical Corp.
sr. sub. notes 12 3/4s, 2003 245,000
....................................................................................................
70,000 Kaiser Aluminum & Chemical Corp.
sr. notes Ser. B, 10 7/8s, 2006 70,350
....................................................................................................
300,000 NL Industries, Inc. sr. notes 11 3/4s, 2003 318,000
....................................................................................................
730,000 Weirton Steel Co. sr. notes 11 3/8s, 2004 649,700
....................................................................................................
390,000 WHX Corp. sr. notes 10 1/2s, 2005 356,850
- ----------------------------------------------------------------------------------------------------
3,243,025
- ----------------------------------------------------------------------------------------------------
Motion Picture Distribution (0.1%)
....................................................................................................
795,000 Cinemark USA, Inc. sr. sub. notes
9 5/8s, 2008 832,763
....................................................................................................
1,000,000 United Artist bank term loan Ser. B
8.438s, 2006 983,750
....................................................................................................
800,000 United Artists Theatre 144A sr. sub. notes
9 3/4s, 2008 768,000
....................................................................................................
2,584,513
- ----------------------------------------------------------------------------------------------------
Office Equipment (0.1%)
....................................................................................................
266,000 United Stationer Supply, Inc. sr. sub. notes
12 3/4s, 2005 296,590
....................................................................................................
130,000 United Stationer Supply, Inc. sr. sub. notes
8 3/8s, 2008 129,714
- ----------------------------------------------------------------------------------------------------
426,304
- ----------------------------------------------------------------------------------------------------
Oil and Gas (1.3%)
....................................................................................................
580,000 Abraxas Petrolem Corp. 144A company
guaranty 11 1/2s, 2004 440,800
....................................................................................................
90,000 American Eco Corp. company guaranty
Ser. B, 9 5/8s, 2008 45,000
....................................................................................................
70,000 Benton Oil & Gas Co. sr. notes
9 3/8s, 2007 31,500
....................................................................................................
930,000 Chesapeake Energy Corp. company
guaranty Ser. B, 9 5/8s, 2005 716,100
....................................................................................................
190,000 Coho Energy, Inc. sr. sub. notes
8 7/8s, 2007 152,000
....................................................................................................
470,000 Costilla Energy, Inc. sr. notes 10 1/4s, 2006 357,200
....................................................................................................
370,000 Dailey Petroleum Services Corp.
company guaranty 9 1/2s, 2008 170,200
....................................................................................................
430,000 Eagle Geophysical, Inc. company
guaranty Ser. B, 10 3/4s, 2008 361,200
....................................................................................................
90,000 Gothic Energy Corp. sr. disc. notes
Ser. B, stepped-coupon zero %
(14 1/8s, 5/1/03), 2006 (STP) 29,700
....................................................................................................
440,000 Gulf Canada Resources, Ltd. sr. notes
8 3/8s, 2005 (Canada) 435,600
....................................................................................................
360,000 Michael Petroleum Corp. sr. notes
Ser. B, 11 1/2s, 2005 282,600
....................................................................................................
465,000 Northern Offshore 144A company
guaranty 10s, 2005 241,800
....................................................................................................
370,000 Ocean Energy, Inc. company guaranty
Ser. B, 8 7/8s, 2007 358,900
....................................................................................................
610,000 Ocean Energy, Inc. company guaranty
Ser. B, 8 3/8s, 2008 570,350
....................................................................................................
665,000 Panaco, Inc. company guaranty Ser. B,
10 5/8s, 2004 498,750
....................................................................................................
580,000 Pogo Producing Co. sr. sub. notes Ser. B,
8 3/4s, 2007 536,500
....................................................................................................
990,000 Seven Seas Petroleum sr. notes Ser. B,
12 1/2s, 2005 495,000
....................................................................................................
295,000 Southwest Royalties, Inc. company
guaranty 10 1/2s, 2004 118,000
....................................................................................................
6,650,000 Transamerican Energy sr. disc. notes
Ser. B, stepped-coupon zero %
(13s, 6/15/99), 2002 (STP) 1,862,000
....................................................................................................
1,735,000 Transamerican Energy sr. notes Ser. B,
11 1/2s, 2002 503,150
....................................................................................................
745,000 TransTexas Gas Corp. sr. sub. notes
Ser. D, 13 3/4s, 2001 596,000
....................................................................................................
200,000 XCL Ltd. 144A company guaranty
13 1/2s, 2004 200,000
- ----------------------------------------------------------------------------------------------------
9,002,350
- ----------------------------------------------------------------------------------------------------
Packaging and Containers (0.5%)
....................................................................................................
410,000 AEP Industries, Inc. sr. sub. notes
9 7/8s, 2007 414,100
....................................................................................................
1,000,000 Jefferson Smurfit Corp. bank term loans
B 8.65s, 2006 997,500
....................................................................................................
150,000 Radnor Holdings Inc. sr. notes 10s, 2003 153,000
....................................................................................................
1,690,000 Riverwood International Corp. company
guaranty 10 7/8s, 2008 1,537,900
....................................................................................................
450,000 Riverwood International Corp. company
guaranty 10 5/8s, 2007 447,750
- ----------------------------------------------------------------------------------------------------
3,550,250
- ----------------------------------------------------------------------------------------------------
Paging (--%)
....................................................................................................
200,000 Mobile Telecommunications Tech.
sr. notes 13 1/2s, 2002 224,000
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (0.8%)
....................................................................................................
1,515,000 APP Finance II Mauritius Ltd. bonds
stepped-coupon zero % (16s, 2/15/04),
2049 (Indonesia) (STP) 909,000
....................................................................................................
1,000,000 Consumers International 144A sr. notes
10 1/4s, 2005 (Canada) 1,045,000
....................................................................................................
390,000 Huntsman Packaging Corp. company
guaranty 9 1/8s, 2007 386,100
....................................................................................................
620,000 Impac Group Inc. company guaranty
Ser. B, 10 1/8s, 2008 623,100
....................................................................................................
690,000 Indah Kiat Financial Mauritius Ltd.
company guaranty 10s, 2007 (Indonesia) 365,700
....................................................................................................
655,000 Pindo Deli Finance Mauritius Ltd.
company guaranty 10 3/4s, 2007
(Indonesia) 347,150
....................................................................................................
750,000 PT Pabrik Kertas Tjiwi Kimia company
guaranty 10s, 2004 (Indonesia) 397,500
....................................................................................................
915,000 Repap New Brunswick sr. notes 10 5/8s,
2005 (Canada) 613,050
....................................................................................................
285,000 Repap New Brunswick sr. notes 9s,
2004 (Canada) 256,500
....................................................................................................
230,000 Republic Group Inc. sr. sub. notes
9 1/2s, 2008 224,825
- ----------------------------------------------------------------------------------------------------
5,167,925
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (0.1%)
....................................................................................................
940,000 ICN Pharmaceuticals, Inc. 144A sr.
notes 9 1/4s, 2005 963,500
- ----------------------------------------------------------------------------------------------------
Photography (--%)
....................................................................................................
180,000 PX Escrow Corp. sr. disc. notes
stepped-coupon zero % (9 5/8s,
2/1/02), 2006 (STP) 99,000
- ----------------------------------------------------------------------------------------------------
Publishing (0.3%)
....................................................................................................
450,000 American Media Operation, Inc. sr. sub.
notes 11 5/8s, 2004 461,250
....................................................................................................
880,000 Garden State Newspapers, Inc. sr. sub.
notes Ser. B, 8 3/4s, 2009 884,400
....................................................................................................
250,000 Perry-Judd company guaranty
10 5/8s,2007 261,250
....................................................................................................
120,206 Von Hoffman Press, Inc. 144A sr. sub.
notes 13 1/2s, 2009 120,206
....................................................................................................
160,000 Von Hoffman Press Inc. 144A sr. sub.
notes 10 3/8s, 2007 164,800
- ----------------------------------------------------------------------------------------------------
1,891,906
- ----------------------------------------------------------------------------------------------------
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) $343,350
....................................................................................................
125,000 TFM S.A. de C.V. company guaranty
10 1/4s, 2007 (Mexico) 105,000
- ----------------------------------------------------------------------------------------------------
448,350
- ----------------------------------------------------------------------------------------------------
Restaurants (0.1%)
....................................................................................................
500,000 FRD Acquisition Co. sr. notes Ser. B,
12 1/2s, 2004 487,500
....................................................................................................
410,000 Tricon Global Restaurants, Inc. sr. notes
7.45s, 2005 420,763
- ----------------------------------------------------------------------------------------------------
908,263
- ----------------------------------------------------------------------------------------------------
Retail (0.7%)
....................................................................................................
740,000 Amazon.com Inc. sr. disc. notes
stepped-coupon zero % (10s, 05/01/03),
2008 (STP) 477,300
....................................................................................................
500,000 Fred Meyer, Inc. company guaranty
7.45s, 2008 539,490
....................................................................................................
240,000 Home Interiors & Gifts, Inc. 144A
sr. sub. notes 10 1/8s, 2008 237,600
....................................................................................................
400,000 K mart Corp. med. term notes 8s, 2001 406,144
....................................................................................................
250,000 K mart Corp. deb. 7 3/4s, 2012 251,875
....................................................................................................
800,000 Mothers Work, Inc. sr. notes 12 5/8s, 2005 828,000
....................................................................................................
430,000 NBTY Inc. 144A sr. sub. notes 8 5/8s, 2007 419,250
....................................................................................................
915,000 North Atlantic Trading Co. company
guaranty Ser. B, 11s, 2004 924,150
....................................................................................................
450,000 Zale Corp. sr. notes Ser. B, 8 1/2s, 2007 436,500
- ----------------------------------------------------------------------------------------------------
4,520,309
- ----------------------------------------------------------------------------------------------------
Satellite Services (0.1%)
....................................................................................................
650,000 Golden Sky Systems 144A sr. sub. notes
12 3/8s, 2006 666,250
....................................................................................................
320,000 Satelites Mexicanos S.A. de C.V. 144A
10 1/8s, 2004 256,000
....................................................................................................
204,000 TCI Satellite Entertainment, Inc. sr. sub.
notes 10 7/8s, 2007 65,280
- ----------------------------------------------------------------------------------------------------
987,530
- ----------------------------------------------------------------------------------------------------
Semiconductors (0.2%)
....................................................................................................
421,961 Fairchild Semiconductor Corp. 144A
sr. sub. notes 11.74s, 2008 354,447
....................................................................................................
340,000 Fairchild Semiconductor Corp. sr. sub.
notes 10 1/8s, 2007 340,000
....................................................................................................
860,000 Zilog, Inc. company guaranty Ser. B,
9 1/2s, 2005 688,000
- ----------------------------------------------------------------------------------------------------
1,382,447
- ----------------------------------------------------------------------------------------------------
Shipping (0.2%)
....................................................................................................
180,000 International Shipholding Corp. sr. notes
7 3/4s, 2007 171,000
....................................................................................................
655,000 Johnstown America Industries, Inc.
company guaranty Ser. C, 11 3/4s, 2005 691,025
....................................................................................................
290,000 MC Shipping, Inc. sr. notes Ser. B,
11 1/4s, 2008 179,800
....................................................................................................
1,041,825
- ----------------------------------------------------------------------------------------------------
Specialty Consumer Products (0.1%)
....................................................................................................
540,000 Decora Industries, Inc. sec. Ser. B,
11s, 2005 515,700
....................................................................................................
350,000 Eye Care Centers of America 144A
sr. sub. notes 9 1/8s, 2008 336,000
- ----------------------------------------------------------------------------------------------------
851,700
- ----------------------------------------------------------------------------------------------------
Telecommunications (5.0%)
....................................................................................................
60,000 21st Century Telecom Group, Inc.
sr. disc. notes stepped-coupon zero %
(12 1/4s, 2/15/03), 2008 (STP) 25,200
....................................................................................................
280,000 Allegiance Telecom, Inc. sr. notes
12 7/8s, 2008 274,400
....................................................................................................
540,000 Barak I.T.C. sr. disc. notes Ser. B,
stepped-coupon zero % (12 1/2s,
11/15/02), 2007 (Israel) (STP) 275,400
....................................................................................................
410,000 Bestel S.A. de C.V. sr. disc. notes
stepped-coupon zero % (12 3/4s,
5/15/03), 2005 (Mexico) (STP) 225,500
....................................................................................................
420,000 CapRock Communications Corp.
sr. notes Ser. B, 12s, 2008 403,200
....................................................................................................
340,000 Charter Communications International,
Inc. disc. notes Ser. B, stepped-coupon
zero % (14s, 3/15/01), 2007 (STP) 304,300
....................................................................................................
580,000 Covad Communications Group sr. disc.
notes Ser. B, stepped-coupon zero %
(13 1/2s, 03/15/03), 2008 (STP) 319,000
....................................................................................................
1,330,000 Econophone, Inc. 144A notes stepped-
coupon zero % (11s, 2/15/03), 2008 (STP) 665,000
....................................................................................................
280,000 Esprit Telecom Group PLC sr. notes
11 1/2s, 2007 (United Kingdom) 285,600
....................................................................................................
1,790,000 Firstworld Communication Corp.
sr. disc. notes stepped-coupon zero %
(13s, 4/15/03), 2008 (STP) 537,000
....................................................................................................
1,080,000 Focal Communications Corp. sr. disc.
notes Ser. B, stepped-coupon zero %
(12 1/8s, 02/15/03), 2008 (STP) 572,400
....................................................................................................
2,610,000 Global Crossing Holdings, Ltd.
company guaranty 9 5/8s, 2008 2,727,450
....................................................................................................
850,000 GST Equipment Funding sr. notes
13 1/4s, 2007 837,250
....................................................................................................
1,160,000 GST Telecommunications, Inc. company
guaranty stepped-coupon zero %
(13 7/8s, 12/15/00), 2005 (STP) 829,400
....................................................................................................
1,510,000 GST Telecommunications, Inc. 144A
sr. disc. notes stepped-coupon zero %
(10 1/2s, 5/1/03), 2008 (STP) 664,400
....................................................................................................
330,000 Hyperion Telecommunications Corp.,
Inc. sr. disc. notes Ser. B, stepped-coupon
zero % (13s, 4/15/01), 2003 (STP) 237,600
....................................................................................................
595,000 Hyperion Telecommunications Corp., Inc.
sr. notes Ser. B, 12 1/4s, 2004 600,950
....................................................................................................
330,000 ICG Communications, Inc. sr. disc. notes
stepped-coupon zero % (10s, 02/15/03),
2008 (STP) 168,300
....................................................................................................
730,000 ICG Holdings, Inc. sr. disc. notes
stepped-coupon zero % (13 1/2s,
9/15/00), 2005 (Canada) (STP) 605,900
....................................................................................................
400,000 Intelcom Group (USA), Inc. company
guaranty stepped-coupon zero %
(12 1/2s, 5/1/01), 2006 (STP) 288,000
....................................................................................................
880,000 Intermedia Communications, Inc.
sr. disc. notes Ser. B, stepped-coupon
zero % (11 1/4s, 7/15/02), 2007 (STP) 598,400
....................................................................................................
130,000 Intermedia Communications, Inc. sr. notes
Ser. B, 8 7/8s, 2007 125,450
....................................................................................................
2,130,000 Intermedia Communications, Inc. sr. notes
Ser. B, 8.6s, 2008 2,034,150
....................................................................................................
2,000,000 International Cabletel, Inc. sr. notes Ser. B,
stepped-coupon zero % (11 1/2s,
2/01/01), 2006 (STP) 1,680,000
....................................................................................................
650,000 IXC Communications, Inc. sr. sub. notes
9s, 2008 654,875
....................................................................................................
2,250,000 KMC Telecom Holdings, Inc. sr. disc. notes
stepped-coupon zero % (12 1/2s,
2/15/03), 2008 (STP) 1,102,500
....................................................................................................
1,275,000 Knology Holdings, Inc. sr. disc. notes
stepped-coupon zero % (11 7/8s,
10/15/02), 2007 (STP) 627,938
....................................................................................................
540,000 Metrocall, Inc. 144A sr. sub. notes
11s, 2008 540,000
....................................................................................................
250,000 MetroNet Communications Corp.
sr. disc. notes stepped-coupon zero %
(10 3/4s, 11/1/02), 2007 (Canada) (STP) 165,000
....................................................................................................
1,280,000 MetroNet Communications Corp. 144A
sr. notes 10 5/8s, 2008 1,356,800
....................................................................................................
710,000 MetroNet Communications Corp.
sr. disc. stepped-coupon notes zero %
(9.95s, 6/15/03), 2008 (Canada) (STP) 426,000
....................................................................................................
1,180,000 Microcell Telecommunications
sr. disc. notes Ser. B, stepped-coupon
zero % (14s, 12/1/01), 2006 (Canada) (STP) 890,900
....................................................................................................
100,000 Netia Holdings B.V. 144A company
guaranty stepped-coupon zero %
(11 1/4s, 11/1/01), 2007 (Poland) (STP) 57,000
....................................................................................................
180,000 Netia Holdings B.V. 144A company
guaranty 10 1/4s, 2007 (Poland) 153,000
....................................................................................................
710,000 NorthEast Optic Network, Inc. sr. notes
12 3/4s, 2008 710,000
....................................................................................................
580,000 NTL Inc. 144A sr. notes 11 1/2s, 2008 632,200
....................................................................................................
500,000 NTL Inc. sr. notes Ser. B, 10s, 2007 510,000
....................................................................................................
795,000 Pathnet, Inc. sr. notes 12 1/4s, 2008 556,500
....................................................................................................
1,215,000 Qwest Communications International, Inc.
sr. disc. notes stepped-coupon zero %
(9.47s, 10/15/02), 2007 (STP) 944,663
....................................................................................................
500,000 Qwest Communications International, Inc.
sr. disc. notes stepped-coupon zero %
(8.29s, 2/1/03), 2008 (STP) 375,000
....................................................................................................
330,000 Qwest Communications International, Inc.
144A sr. notes 7 1/4s, 2008 338,250
....................................................................................................
1,190,000 Rhythms Netconnections, Inc. sr. disc.
notes Ser. B, zero % (13 1/2s, 5/15/03),
2008 (STP) 583,100
....................................................................................................
3,590,000 Sprint Capital Corp. company guaranty
5.7s, 2003 3,590,359
....................................................................................................
950,000 Startec Global Communications Corp.
sr. notes 12s, 2008 826,500
....................................................................................................
1,060,000 Telecommunications Techniques, Inc.
company guaranty 9 3/4s, 2008 1,028,200
....................................................................................................
1,140,000 Teligent, Inc. sr. disc. notes Ser. B,
stepped-coupon zero %
(11 1/2s, 3/1/03), 2008 (STP) 564,300
....................................................................................................
860,000 Teligent, Inc. sr. notes 11 1/2s, 2007 804,100
....................................................................................................
660,000 WinStar Communications, Inc. sr. sub.
notes stepped-coupon zero %
(15s, 3/1/02), 2007 (STP) 613,800
....................................................................................................
190,000 WinStar Communications, Inc. 144A
sr. disc. notes stepped-coupon
zero % (14s, 10/15/00), 2005 (STP) 137,513
....................................................................................................
240,000 WinStar Equipment Corp. company
guaranty 12 1/2s, 2004 241,200
- ----------------------------------------------------------------------------------------------------
33,713,948
- ----------------------------------------------------------------------------------------------------
Telephone Services (2.3%)
....................................................................................................
1,390,000 BTI Telecom Corp. sr. notes 10 1/2s, 2007 1,049,450
....................................................................................................
100,000 Call-Net Enterprises sr. disc. notes
stepped-coupon zero % (13 1/4s,
12/1/99), 2004 (STP) 97,125
....................................................................................................
220,000 Call-Net Enterprises, Inc. sr. disc. notes
stepped-coupon zero % (8.94s, 8/15/03),
2008 (Canada) (STP) 126,500
....................................................................................................
1,870,000 Colt Telecommunications Group PLC
sr. disc. notes stepped-coupon
zero % (12s, 12/15/01), 2006
(United Kingdom) (STP) 1,561,450
....................................................................................................
1,695,000 E. Spire Communications, Inc. sr.
disc. notes stepped-coupon zero %
(12 3/4s, 4/1/01), 2006 (STP) 1,017,000
....................................................................................................
320,000 E. Spire Communications, Inc. sr. notes
13 3/4s, 2007 300,800
....................................................................................................
315,000 Facilicom International sr. notes Ser. B.,
10 1/2s, 2008 248,850
....................................................................................................
620,000 Flag Ltd. 144A sr. notes 8 1/4s, 2008
(Bermuda) 607,600
....................................................................................................
2,110,000 ICG Services, Inc. sr. disc. notes
stepped-coupon zero % (9 7/8s,
5/1/03), 2008 (STP) 1,055,000
....................................................................................................
276,000 ITC Deltacom, Inc. sr. notes 11s, 2007 302,220
....................................................................................................
340,000 Level 3 Communication, Inc. sr. notes
9 1/8s, 2008 337,025
....................................................................................................
700,000 Long Distance International, Inc. 144A
sr. notes 12 1/4s, 2008 560,000
....................................................................................................
347,000 MJD Communications, Inc. notes Ser. B,
FRN, 9.16s, 2008 333,120
....................................................................................................
235,000 OnePoint Communications, Corp. 144A
sr. notes 14 1/2s, 2008 124,550
....................................................................................................
1,140,000 Primus Telecommunications Group, Inc.
sr. notes Ser. B, 9 7/8s, 2008 1,085,850
....................................................................................................
387,000 RSL Communications, Ltd. company
guaranty 12 1/4s, 2006 406,350
....................................................................................................
490,000 RSL Communications, Ltd. company
guaranty, stepped-coupon zero %
(10 1/8s, 3/1/03), 2008 (STP) 279,300
....................................................................................................
330,000 RSL Communications, Ltd. company
guaranty 9 1/8s, 2008 300,300
....................................................................................................
430,000 RSL Communications PLC. 144A
sr. notes 10 1/2s, 2008 (United Kingdom) 425,700
....................................................................................................
730,000 Sprint Spectrum L.P. sr. disc. notes
stepped-coupon zero % (12 1/2s,
8/15/01), 2006 (STP) 657,000
....................................................................................................
250,000 Sprint Spectrum L.P. sr. notes 11s, 2006 287,500
....................................................................................................
210,000 Transtel S.A. 144A pass-through
certificates 12 1/2s, 2007 (Colombia) 79,800
....................................................................................................
1,755,000 U S West, Inc. notes 5 5/8s, 2008 1,771,444
....................................................................................................
350,000 US Xchange LLC sr. notes 15s, 2008 358,750
....................................................................................................
440,000 Versatel Teleco 13 1/4s, 2008 433,400
....................................................................................................
1,470,000 Viatel, Inc. sr. notes 11 1/4s, 2008 1,455,300
- ----------------------------------------------------------------------------------------------------
15,261,384
- ----------------------------------------------------------------------------------------------------
Textiles (0.2%)
....................................................................................................
930,000 Galey & Lord Inc. company guaranty
9 1/8s, 2008 809,100
....................................................................................................
165,000 Glenoit Corp. company guaranty 11s, 2007 158,400
....................................................................................................
350,000 Polymer Group, Inc. company guaranty
Ser. B, 9s, 2007 346,500
....................................................................................................
280,000 Polymer Group, Inc. company guaranty
Ser. B, 8 3/4s, 2008 275,100
- ----------------------------------------------------------------------------------------------------
1,589,100
- ----------------------------------------------------------------------------------------------------
Transportation (0.1%)
....................................................................................................
220,000 Coach USA, Inc. 144A company guaranty
9 3/8s, 2007 225,500
....................................................................................................
370,000 Kitty Hawk, Inc. company guaranty
9.95s, 2004 357,050
- ----------------------------------------------------------------------------------------------------
582,550
- ----------------------------------------------------------------------------------------------------
Utilities (0.8%)
....................................................................................................
380,000 CMS Energy Corp. sr. notes 8 1/8s, 2002 394,193
....................................................................................................
1,120,000 CMS Energy Corp. pass through
certificates 7s, 2005 1,110,424
....................................................................................................
1,000,000 Niagara Mohawk Power Corp. sr. disc.
notes Ser. H, zero % (8 1/2s, 7/1/03),
2010 (STP) 770,000
....................................................................................................
1,385,000 Niagara Mohawk Power Corp. sr. notes
Ser. G, 7 3/4s, 2008 1,513,514
....................................................................................................
330,000 Niagara Mohawk Power Corp. sr. notes
Ser. F, 7 5/8s, 2005 347,619
....................................................................................................
350,000 Niagara Mohawk Power Corp. sr. notes
Ser. E, 7 3/8s, 2003 359,251
....................................................................................................
940,000 Public Service Co. of New Mexico
sr. notes Ser. A, 7.1s, 2005 945,687
- ----------------------------------------------------------------------------------------------------
5,440,688
- ----------------------------------------------------------------------------------------------------
Wireless Communications (0.7%)
....................................................................................................
1,210,000 Allbritton Communications Co. sr. sub.
notes Ser. B, 8 7/8s, 2008 1,219,075
....................................................................................................
695,000 American Mobile Satellite Corp.
company guaranty 12 1/4s, 2008 430,900
....................................................................................................
1,060,000 Comcast Cellular Holdings sr. notes
Ser. B, 9 1/2s, 2007 1,126,250
....................................................................................................
340,000 CTI Holdings S.A. sr. notes stepped-
coupon zero % (11 1/2s,4/15/03), 2008
(Argentina) (STP) 149,600
....................................................................................................
570,000 Dobson Wireline Co. sr. notes
12 1/4s, 2008 530,100
....................................................................................................
500,000 Orbital Imaging Corp. sr. notes Ser. B,
11 5/8s, 2005 520,000
....................................................................................................
215,000 Paging Network Do Brasil sr. notes
13 1/2s, 2005 (Brazil) 105,350
....................................................................................................
245,000 Telesystem International Wireless Inc.
sr. disc. notes Ser. C, stepped-coupon
zero % (10 1/2s, 11/1/02), 2007 (STP) 89,425
- ----------------------------------------------------------------------------------------------------
4,170,700
- ----------------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $303,762,798) $279,475,980
- ----------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (22.2%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
Agency Obligations (15.4%)
....................................................................................................
$1,352,685 Federal Home Loan Mortgage Corp. 7s,
July 1, 2012 $1,381,430
....................................................................................................
Federal National Mortgage Association
Pass-through Certificates
....................................................................................................
1,241,913 7s, Dwarf, with due dates from
December 1, 2010 to January 1, 2013 1,268,304
....................................................................................................
44,660,475 6 1/2s, with due dates from
March 1, 2026 to November 1, 2028 44,953,691
....................................................................................................
378,675 6 1/2s, Dwarf, August 1, 2010 383,999
....................................................................................................
5,282,982 6s, Dwarf, July 1, 2013 5,296,190
....................................................................................................
Government National Mortgage
Association Pass-through Certificates
....................................................................................................
7,682,826 8s, with due dates from
November 15, 2024 to
February 15, 2028 7,987,401
....................................................................................................
5,297,108 7 1/2s, with due dates from
January 15, 2023 to February 15, 2027 5,465,252
....................................................................................................
24,885,807 7s, with due dates from
August 15, 2025 to October 15, 2028 25,462,203
....................................................................................................
11,029,405 6 1/2s, with due dates from
February 15, 2027 to May 15, 2028 11,140,837
- ----------------------------------------------------------------------------------------------------
103,339,307
- ----------------------------------------------------------------------------------------------------
U.S. Treasury Obligations (6.8%)
....................................................................................................
U.S. Treasury Bonds
....................................................................................................
6,670,000 6 5/8s, February 15, 2027 7,889,343
....................................................................................................
5,665,000 6 1/2s, November 15, 2026 (SEG) 6,587,319
....................................................................................................
7,525,000 6 3/8s, August 15, 2027 8,649,009
....................................................................................................
5,470,000 6 1/8s, November 15, 2027 6,122,954
....................................................................................................
2,695,000 5 1/2s, August 15, 2028 2,820,910
....................................................................................................
8,695,000 5 1/4s, November 15, 2028 8,901,506
....................................................................................................
4,940,000 U.S. Treasury Notes 4 5/8s,
November 30, 2000 4,943,063
- ----------------------------------------------------------------------------------------------------
45,914,104
- ----------------------------------------------------------------------------------------------------
Total U.S. Government and
Agency Obligations
(cost $144,802,333) $149,253,411
- ----------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BONDS AND NOTES (13.8%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
CAD 6,810,000 Canada (Government of) bonds
Ser. WB60, 7 1/4s, 2007 $5,167,235
....................................................................................................
FRF 32,734,000 France (Government of) deb. 6s, 2025 6,964,182
....................................................................................................
DEM 9,025,000 Germany (Federal Republic of) bonds
Ser. 97, 6 1/2s, 2027 6,801,402
....................................................................................................
ITL 3,420,000,000 Italy (Government of) bonds 7 1/4s, 2026 2,807,200
....................................................................................................
NLG 11,300,000 Netherlands (Government of) bonds
5 1/2s, 2028 6,661,559
....................................................................................................
USD 1,730,000 Ontario (Province of) sr. unsub.
5 1/2s, 2008 1,744,878
....................................................................................................
USD 555,000 People's Republic of China unsub.
7.3s, 2008 558,608
....................................................................................................
USD 1,760,000 Quebec (Province of) deb. 7s, 2007 1,900,818
....................................................................................................
ESP 367,060,000 Spain (Government of) bonds 6s, 2029 3,046,978
....................................................................................................
SEK 18,600,000 Sweden (Government of) bonds, Ser. 1041,
6 3/4s, 2014 2,542,840
....................................................................................................
SEK 21,200,000 Sweden (Government of) bonds,
Ser. 1035, 6s, 2005 3,270,335
....................................................................................................
RUB 21,625,000 U.S. Dollar GKO Pass Through Structured
Note (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) 155,432
....................................................................................................
GBP 4,265,000 United Kingdom Treasury bonds Ser. 85,
9 3/4s, 2002 8,264,437
....................................................................................................
GBP 24,380,000 United Kingdom Treasury bonds 8s, 2000 42,695,582
- ----------------------------------------------------------------------------------------------------
Total Foreign Government Bonds
and Notes (cost $94,755,418) $92,581,486
- ----------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (5.9%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$1,355,000 Chase Mortgage Finance Corp.
Ser. 98-S2, Class A14, 6 3/4s,2028 $1,363,892
....................................................................................................
Commercial Mortgage Acceptance Corp.
....................................................................................................
1,770,000 Ser. 97-ML1, Class D, 7.11s, 2030 1,767,788
....................................................................................................
2,145,000 Ser. 98-C2, Class D, 6.757s, 2009 2,109,809
....................................................................................................
1,575,000 Countrywide Home Loans Ser. 1998-3,
Class A5, 6 3/4s, 2028 1,581,891
....................................................................................................
1,980,000 Countrywide Mortgage Backed
Securities, Inc. Ser. 93-C, Class A8,
6 1/2s, 2024 1,960,636
....................................................................................................
First Union-Lehman Brothers
Commercial Mortgage
....................................................................................................
1,935,000 Ser. 97-C2, Class D, 7.12s, 2012 1,900,079
....................................................................................................
4,100,000 Ser. 98-C2, Class D, 6.778s, 2013 3,900,926
....................................................................................................
1,380,000 Ser. 97-C2, Class A2, 6.6s, 2007 1,430,995
....................................................................................................
56,393,334 Ser. 98-C2, Class Interest Only (IO),
0.816s, 2028 2,321,819
....................................................................................................
Freddie Mac
....................................................................................................
675,000 Ser. 2040, Class PE, 7 1/2s, 2028 723,715
....................................................................................................
530,000 Ser.1439, Class I, 7 1/2s, 2022 564,740
....................................................................................................
745,302 Ser. 1717, Class L, 6 1/2s, 2024 751,037
....................................................................................................
925,000 GE Capital Mortgage Services, Inc.
Ser. 1998-11, Class 2A4, 6 3/4s, 2028 936,581
....................................................................................................
GMAC Commercial Mortgage
Securities Inc.
....................................................................................................
6,650,000 Ser. 98-C2, Class D, 6 1/2s, 2031 6,358,023
....................................................................................................
32,312,051 Ser. 98-C2, Class X, IO, 0.823s, 2031 1,406,079
....................................................................................................
855,000 Government National Mortgage
Association Ser. 1998-8, Class PE,
7 1/2s, 2027 903,495
....................................................................................................
GS Mortgage Securities Corp. II
....................................................................................................
805,000 Ser. 98-GLII, Class A2, 6.562s, 2031 835,439
....................................................................................................
1,055,000 Ser. 98-GLII, Class D, 7.191s, 2031 1,026,317
....................................................................................................
499,000 Merrill Lynch Mortgage Investors, Inc.
Ser. 98-C2, Class D, 7.116s, 2030 497,129
....................................................................................................
595,000 Morgan Stanley Capital I Ser. 98-XL1,
Class E, 6.989s, 2030 589,794
....................................................................................................
660,000 Mortgage Capital Funding, Inc.
Ser. 98-MC1, Class A2, 6.663s, 2008 689,700
....................................................................................................
1,635,756 PNC Mortgage Securities Corp. Ser. 97-6,
Class A2, 6.6s, 2027 1,641,890
....................................................................................................
513,993 Prudential Home Mortgage Securities
Ser. 93-57, Class A4, 5.9s, 2023 515,257
....................................................................................................
3,106,955 Residential Asset Securitization Trust
Ser. 1998-A8, Class A8, 6 3/4s, 2028 3,127,344
....................................................................................................
829,163 Rural Housing Trust Ser. 87-1, Class D,
6.33s, 2026 833,682
- ----------------------------------------------------------------------------------------------------
Total Collateralized Mortgage
Obligations (cost $40,140,336) $39,738,057
- ----------------------------------------------------------------------------------------------------
PREFERRED STOCKS (3.1%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
165 21st Century Telecom Group 144A
13.75% cum. pfd. (PIK) $107,250
....................................................................................................
10,320 AmeriKing, Inc. $3.25 pfd. (PIK) 263,160
....................................................................................................
2,764 Capstar Broadcasting Inc. 144A
$12.00 pfd. (PIK) 315,096
....................................................................................................
36,699 CGA Group Ltd. 144A Ser. A,
$13.75 pfd. (PIK) 1,027,572
....................................................................................................
6,390 Chevy Chase Capital Corp. Ser. A,
$5.188 pfd. 319,500
....................................................................................................
4,771 Citadel Broadcasting Inc. 144A
$13.25 cum. pfd. (PIK) 543,894
....................................................................................................
329 Concentric Network Corp. Ser. B,
13.50% pfd. (PIK) 281,295
....................................................................................................
14,157 CSC Holdings, Inc. Ser. M,
$11.125 cum. pfd. (PIK) 1,564,349
....................................................................................................
22,720 Diva Systems Corp. Ser. C, $6.00 pfd. 136,320
....................................................................................................
34,000 Diva Systems Corp. Ser. D, $6.00 pfd. 204,000
....................................................................................................
545 Dobson Communications 144A
$12.25 pfd. (PIK) 501,400
....................................................................................................
184 Echostar Communications, Inc.
12.125% pfd. (PIK) 212,750
....................................................................................................
256 El Paso Electric Co. $11.40 pfd (PIK) 27,392
....................................................................................................
10,600 Fitzgeralds Gaming Co. $3.75 cum. pfd. 53,000
....................................................................................................
475,000 Fresenius Medical Capital Trust I Ser. D,
9.00%, pfd. (Germany) 496,969
....................................................................................................
720,000 Fresenius Medical Capital Trust II company
guaranty 7.875%, pfd. (Germany) 714,600
....................................................................................................
14,080 Global Crossing Holdings Ltd. 144A
$10.50 pfd. (PIK) 1,362,240
....................................................................................................
122 Hyperion Telecommunications Ser. B,
$12.875 pfd. (PIK) 96,990
....................................................................................................
1,913 ICG Holdings, Inc. $14.25 pfd. (Canada) 1,893,870
....................................................................................................
670 Intermedia Communication Ser. B,
13.50% pfd. (PIK) 675,025
....................................................................................................
812 IXC Communications, Inc. $12.50 pfd. (PIK) 820,120
....................................................................................................
40,000 Loewen Group, Inc. Ser. A, $2.36 pfd. 772,500
....................................................................................................
6,839 Nebco Evans Holding Co. 144A
11.25% pfd. (PIK) 341,950
....................................................................................................
3,368 NEXTEL Communications, Inc. Ser. D,
13.00% cum. pfd. (PIK) 3,351,160
....................................................................................................
16,114 Nextlink Communications, Inc. 144A
$7.00 cum. pfd. (PIK) 821,814
....................................................................................................
98 Paxson Communications Corp.
13.25% cum. pfd. (PIK) 857,500
....................................................................................................
29,996 Public Service Co. of New Hampshire
$2.65 1st mtge. pfd. 779,896
....................................................................................................
2,814 SFX Broadcasting, Inc. Ser. E,
$12.625 pfd. (PIK) 346,122
....................................................................................................
996 Spanish Broadcasting Systems
14.25% cum. pfd. (PIK) 1,015,920
....................................................................................................
89,994 TCR Holding Corp. Class E, zero% pfd. 5,670
....................................................................................................
747 Viatel, Inc. Ser. A, $10.00 cv. pfd. (PIK) 44,820
....................................................................................................
715 WinStar Communications, Inc. 144A
$14.25 pfd. (PIK) 572,000
- ----------------------------------------------------------------------------------------------------
Total Preferred Stocks
(cost $21,852,103) $20,526,144
- ----------------------------------------------------------------------------------------------------
BRADY BONDS (5.8%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$14,175,000 Brazil (Republic of) annual reset bonds
6.625s, 2024 $8,221,500
....................................................................................................
3,735,000 Bulgaria (Government of) FRB Ser. A,
6.688s, 2024 2,614,500
....................................................................................................
10,795,000 Bulgaria (Government of) Ser. A, FRB,
2 1/2s, 2012 6,153,150
....................................................................................................
FRF 4,050,000 Ivory Coast - FLIRB collateralized
FRB 2s, 2018 173,922
....................................................................................................
FRF 3,999,375 Ivory Coast - PDI bonds FRB 1.9s, 2018 193,217
....................................................................................................
2,750,000 Panama (Republic of) bonds 3 3/4s, 2014 2,048,750
....................................................................................................
8,540,000 Peru (Government of) 144A Ser. PDI,
4s, 2017 5,358,850
....................................................................................................
14,035,000 United Mexican States Ser. B, 6 1/4s, 2019 10,965,546
....................................................................................................
5,050,000 Venezuela (Government of) deb.
Ser. W-A, 6 3/4s, 2020 3,509,750
- ----------------------------------------------------------------------------------------------------
Total Brady Bonds
(cost $41,748,472) $39,239,185
- ----------------------------------------------------------------------------------------------------
UNITS (1.1%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Units Value
....................................................................................................
840 Australis Media, Ltd. units
stepped-coupon zero % (15 3/4s,
5/15/03), 2003 (In default)
(Australia) (STP) (NON) $4,200
....................................................................................................
410 Birch Telecom, Inc. 144A units 14s, 2008 377,200
....................................................................................................
124 Celcaribe S.A. 144A units 13 1/2s, 2004
(Colombia) 1,984,000
....................................................................................................
1,240 Decrane Aircraft Holdings 144A units
12s, 2008 1,240,000
....................................................................................................
1,536 Diva Systems Corp. 144A units
stepped-coupon zero % (12 5/8s,
3/1/03), 2008 (STP) 629,760
....................................................................................................
495 Mediq Inc. 144A units zero %, 2009 5
....................................................................................................
760 Pegasus Shipping units stepped-coupon
zero % (14 1/2s, 12/20/03), 2008 (STP)
(Bermuda) 368,600
....................................................................................................
750 Signature Brands USA, Inc. units 13s, 2002 840,000
....................................................................................................
350 Telehub Communications Corp. units
stepped-coupon zero %, (13 7/8s,
7/31/02), 2005 (STP) 196,000
....................................................................................................
615 Transam Refinance, Inc. 144A units
16s, 2003 193,725
....................................................................................................
210 Versatel Teleco units 13 1/4s, 2008 208,950
....................................................................................................
650 XCL Ltd. units sr. sec. notes 13 1/2s, 2004 663,000
....................................................................................................
2,800 XCL Ltd. 144A units cv. cum.
9 1/2s, 2006 (PIK) 224,000
- ----------------------------------------------------------------------------------------------------
Total Units
(cost $7,980,882) $6,929,440
- ----------------------------------------------------------------------------------------------------
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 $1,049,179
....................................................................................................
525,000 Contimortgage Home Equity Loan Trust
Ser. 97-1, Class M2, 7.67s, 2028 528,113
....................................................................................................
2,385,000 Green Tree Financial Corp. Ser. 98-2,
Class A5, 6.24s, 2016 2,408,850
....................................................................................................
644,417 Green Tree Recreational Equipment &
Cons Ser. 97-B, Class A1, 6.55s, 2028 656,727
- ----------------------------------------------------------------------------------------------------
Total Asset-Backed Securities
(cost $4,621,460) $4,642,869
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (0.5%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$1,540,000 APP Global Finance Ltd. 144A cv. company
guaranty 3 1/2s, 2003 (United Kingdom) $872,025
....................................................................................................
500,000 Corporate Express, Inc. cv. notes 4 1/2s,
2000 430,000
....................................................................................................
145,000 GST Telecommunications, Inc. cv. sr.
disc. notes stepped-coupon zero %
(13 7/8s, 12/15/00), 2005 (STP) 145,000
....................................................................................................
450,000 HEALTHSOUTH Corp. cv. sub. deb.
3 1/4s, 2003 383,063
....................................................................................................
500,000 Integrated Device Technology, Inc.
cv. sub. notes 5 1/2s, 2002 343,125
....................................................................................................
710,000 Jacor Communications, Inc. cv. sr. notes
zero %, 2011 633,675
....................................................................................................
125,000 NovaCare, Inc. cv. sub. deb. 5 1/2s, 2000 101,094
....................................................................................................
600,000 WinStar Communications. Inc. 144A
cv. sr. disc. notes stepped-coupon zero %
(14s, 10/15/00), 2005 (STP) 750,000
- ----------------------------------------------------------------------------------------------------
Total Convertible Bonds and Notes
(cost $4,020,830) $3,657,982
- ----------------------------------------------------------------------------------------------------
WARRANTS (0.1%) (a) (NON)
- ----------------------------------------------------------------------------------------------------
Number of Warrants Expiration Date Value
....................................................................................................
1,090 Allegiance Telecom, Inc. 2/3/08 $17,440
....................................................................................................
695 American Mobile Satellite Corp. 4/1/08 2,697
....................................................................................................
5,000 Becker Gaming Corp. 144A 11/15/00 1
....................................................................................................
410 Bestel SA (Mexico) 5/15/05 820
....................................................................................................
2,275 Capital Gaming International, Inc. 2/1/99 46
....................................................................................................
2,575 Cellnet Data Systems, Inc. 10/1/07 51,500
....................................................................................................
36,500 CGA Group Ltd. 144A 2/11/07 730
....................................................................................................
395 Club Regina, Inc. 144A 4/15/06 395
....................................................................................................
370 Colt Telecommunications
Group PLC 12/31/06 88,800
....................................................................................................
1,100 Comunicacion Cellular 144A
(Colombia) 11/15/03 77,000
....................................................................................................
160 Concentric Network Corp. 12/15/07 23,826
....................................................................................................
6,075 Consorcio Ecuatoriano 144A
(Ecuador) 10/1/00 3,038
....................................................................................................
580 Covad Communications
Group 144A 3/15/08 29,000
....................................................................................................
515 Diva Systems Corp. 5/15/06 124,630
....................................................................................................
12,400 DTI Holdings Inc. 3/1/08 620
....................................................................................................
10 E. Spire Communications, Inc. 11/1/05 60
....................................................................................................
420 Epic Resorts 6/15/05 4
....................................................................................................
375 Esat Holdings, Inc. (Ireland) 2/1/07 24,938
....................................................................................................
1,790 Firstworld Communication 4/15/08 17,900
....................................................................................................
450 Fitzgerald Gaming Co. 144A 3/15/99 225
....................................................................................................
300 Globalstar Telecom 144A 2/15/04 18,000
....................................................................................................
750 Hyperion Telecommunications
144A 4/15/01 56,228
....................................................................................................
5,181 Intelcom Group 144A 10/15/05 108,801
....................................................................................................
650 Interact Systems, Inc. 8/1/03 7
....................................................................................................
400 Intermedia Communications, Inc. 6/1/00 17,096
....................................................................................................
270 International Wireless
Communications Holdings 144A 8/15/01 3
....................................................................................................
650 Iridium World Com 144A 7/15/05 81,250
....................................................................................................
1,750 KMC Telecom Holdings, Inc. 4/15/08 4,375
....................................................................................................
1,035 Knology Holdings, Inc. 144A 10/15/07 1,553
....................................................................................................
700 Long Distance International, Inc.
144A 4/13/08 1,750
....................................................................................................
1,660 McCaw International Ltd. 4/15/07 6,640
....................................................................................................
1,135 MGC Communications, Inc. 144A 10/1/04 35,003
....................................................................................................
1,500 NEXTEL Communications Inc. 4/25/99 0
....................................................................................................
235 Onepoint Communications, Inc. 6/1/08 235
....................................................................................................
500 Orbital Imaging Corp. 144A 3/1/05 20,000
....................................................................................................
585 Orion Network Systems 1/15/07 6,728
....................................................................................................
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. 9/30/99 419
....................................................................................................
4,760 Rhythms Netcon 144A 5/15/08 35,700
....................................................................................................
415 Spanish Broadcasting Systems
144A 6/30/99 85,075
....................................................................................................
950 STARTEC Global
Communications Corp. 5/15/08 950
....................................................................................................
235 Sterling Chemicals Holdings 8/15/08 3,525
....................................................................................................
1,390 UIH Australia/Pacific, Inc. 144A 5/15/06 1,390
....................................................................................................
440 Versatel Teleco 144A 5/15/08 4,400
- ----------------------------------------------------------------------------------------------------
Total Warrants
(cost $827,601) $964,438
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.1%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
3,400 Chancellor Media Corp. $3.00
cv. cum. pfd. $316,625
....................................................................................................
2,910 Chesapeake Energy Corp. 144A $3.50
cv. cum. pfd. 29,828
....................................................................................................
20,000 Kelly Oil & Gas Corp. $2.625 cv. pfd. 160,000
....................................................................................................
30 Paxson Communications Corp. 144A
$9.75 cv. pfd. (PIK) 294,000
....................................................................................................
401 XCL Ltd $8.075 cv. pfd. 32,065
- ----------------------------------------------------------------------------------------------------
Total Convertible Preferred Stocks
(cost $1,360,993) $832,518
- ----------------------------------------------------------------------------------------------------
COMMON STOCKS (0.1%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
200 AmeriKing, Inc. (NON) $8,000
....................................................................................................
14,720 CellNet Data Systems, Inc. (NON) 73,600
....................................................................................................
9,224 Chesapeake Energy Corp. 8,071
....................................................................................................
20,380 Fitzgerald Gaming Corp. (NON) 10,190
....................................................................................................
4,852 Hedstrom Holdings, Inc. 144A 4,852
....................................................................................................
233 Mothers Work, Inc. (NON) 2,913
....................................................................................................
215 Paging Do Brazil Holdings Co., LLC
144A Class B, (Brazil) 2
....................................................................................................
61 Premium Holdings L.P. 144A 244
....................................................................................................
52,810 PSF Holdings LLC Class A
(acquired various dates from 3/15/95 to
9/27/96, cost $1,832,981) (RES)(NON) 673,328
....................................................................................................
1,630 RSL Communications, Ltd. Class A (NON) 48,085
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $2,043,044) $829,285
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (4.0%) (a) (cost $26,834,54)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$26,831,000 Interest in $502,458,000 joint repurchase
agreement dated December 31, 1998 with
Warburg Securities due January 4, 1999
with respect to various U.S. Treasury
obligations -- maturity value of
$26,845,161 for an effective yield
of 4.75% $26,834,540
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $694,750,810) (b) $665,505,335
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Buy at December 31, 1998
(aggregate face value $91,966,117)
- ----------------------------------------------------------------------------------------------------
<CAPTION>
Unrealized
Aggregate Delivery Appreciation/
Market Value Face Value Date (Depreciation)
....................................................................................................
<S> <C> <C> <C> <C>
Australian Dollars $273,901 $286,385 3/17/99 $(12,484)
....................................................................................................
Danish Krone 2,893,978 2,889,327 2/17/99 4,651
....................................................................................................
Deutschemarks 37,025,960 36,833,358 2/17/99 192,602
....................................................................................................
Italian Lira 7,336,054 7,338,723 2/17/99 (2,669)
....................................................................................................
Japanese Yen 43,023,316 40,825,105 3/17/99 2,198,211
....................................................................................................
Spanish Peseta 1,612,321 1,596,939 2/17/99 15,382
....................................................................................................
Swedish Krona 2,177,530 2,196,280 3/17/99 (18,750)
- ----------------------------------------------------------------------------------------------------
$2,376,943
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell at December 31, 1998
(aggregate face value $153,023,453)
- ----------------------------------------------------------------------------------------------------
Unrealized
Market Aggregate Delivery Appreciation/
Value Face Value Date (Depreciation)
....................................................................................................
British Pounds $49,549,408 $49,464,785 3/17/99 $(84,623)
....................................................................................................
Canadian Dollar 5,229,983 5,220,352 3/17/99 (9,631)
....................................................................................................
Danish Krone 33,808 33,985 3/17/99 177
....................................................................................................
Deutschemarks 44,247,027 44,046,459 2/17/99 (200,568)
....................................................................................................
Dutch Guilder 6,963,686 6,970,598 2/17/99 6,912
....................................................................................................
French Franc 6,659,974 6,608,394 2/17/99 (51,580)
....................................................................................................
Japanese Yen 42,905,434 40,678,880 3/17/99 (2,226,554)
- ----------------------------------------------------------------------------------------------------
$(2,565,867)
- ----------------------------------------------------------------------------------------------------
Futures Contracts Outstanding at December 31, 1998
- ----------------------------------------------------------------------------------------------------
Aggregate Expiration Unrealized
Total Value Face Value Date Depreciation
- ----------------------------------------------------------------------------------------------------
T-bond Future
20YR (Long) $8,305,781 $8,399,067 Mar-99 $(93,286)
- ----------------------------------------------------------------------------------------------------
Diversification by Country
- ----------------------------------------------------------------------------------------------------
Distribution of investments by country of issue at
December 31, 1998: (as percentage of Market Value)
- ----------------------------------------------------------------------------------------------------
Brazil 1.3%
....................................................................................................
Bulgaria 1.3
....................................................................................................
Canada 2.5
....................................................................................................
France 1.1
....................................................................................................
Germany 1.2
....................................................................................................
Mexico 2.1
....................................................................................................
Netherlands 1.9
....................................................................................................
United Kingdom 8.6
....................................................................................................
United States 74.6
....................................................................................................
Other 5.4
- ----------------------------------------------------------------------------------------------------
Total 100.0%
- ----------------------------------------------------------------------------------------------------
See page 240 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
December 31, 1998
<CAPTION>
COMMON STOCKS (62.7%) (a)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Number of Shares Value
....................................................................................................
Aerospace and Defense (0.5%)
....................................................................................................
11,400 Raytheon Co. Class B $607,050
- ----------------------------------------------------------------------------------------------------
Automotive (1.6%)
....................................................................................................
18,700 Ford Motor Co. 1,097,456
....................................................................................................
10,100 General Motors Corp. 722,781
- ----------------------------------------------------------------------------------------------------
1,820,237
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (1.6%)
....................................................................................................
16,500 Deere (John) & Co. 546,563
....................................................................................................
9,700 Minnesota Mining & Manufacturing Co. 689,913
....................................................................................................
18,800 Owens-Illinois, Inc. (NON) 575,750
- ----------------------------------------------------------------------------------------------------
1,812,226
- ----------------------------------------------------------------------------------------------------
Building and Construction (0.3%)
....................................................................................................
11,200 Sherwin Williams Co. 329,000
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (0.6%)
....................................................................................................
6,100 Xerox Corp. 719,800
- ----------------------------------------------------------------------------------------------------
Chemicals (1.5%)
....................................................................................................
5,600 Dow Chemical Co. 509,250
....................................................................................................
16,200 du Pont (E.I.) de Nemours & Co., Ltd. 859,613
....................................................................................................
8,200 Eastman Chemical Co. 366,950
- ----------------------------------------------------------------------------------------------------
1,735,813
- ----------------------------------------------------------------------------------------------------
Computers (0.9%)
....................................................................................................
24,700 Compaq Computer Corp. 1,035,856
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (1.9%)
....................................................................................................
12,300 Apple Computer, Inc. (NON) 503,531
....................................................................................................
13,100 Computer Associates International, Inc. 558,388
....................................................................................................
6,500 IBM Corp. 1,200,875
- ----------------------------------------------------------------------------------------------------
2,262,794
- ----------------------------------------------------------------------------------------------------
Conglomerates (0.7%)
....................................................................................................
13,300 Allied-Signal, Inc. 589,356
....................................................................................................
4,000 Temple Inland, Inc. 237,250
- ----------------------------------------------------------------------------------------------------
826,606
- ----------------------------------------------------------------------------------------------------
Consumer Durable Goods (0.5%)
....................................................................................................
16,300 Hasbro, Inc. 588,838
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (2.6%)
....................................................................................................
6,600 Colgate-Palmolive Co. 612,975
....................................................................................................
12,300 Kimberly-Clark Corp. 670,350
....................................................................................................
29,000 Philip Morris Cos., Inc. 1,551,500
....................................................................................................
1,800 Procter & Gamble Co. 164,363
- ----------------------------------------------------------------------------------------------------
2,999,188
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (1.9%)
....................................................................................................
10,000 Emerson Electric Co. 605,000
....................................................................................................
13,600 Motorola, Inc. 830,450
....................................................................................................
2,770 Rockwell International Corp. 134,518
....................................................................................................
7,000 Texas Instruments, Inc. 598,938
- ----------------------------------------------------------------------------------------------------
2,168,906
- ----------------------------------------------------------------------------------------------------
Food and Beverages (3.2%)
....................................................................................................
13,000 Anheuser-Busch Cos., Inc. 853,125
....................................................................................................
22,000 ConAgra, Inc. 693,000
....................................................................................................
9,500 Heinz (H.J.) Co. 537,938
....................................................................................................
9,200 Nabisco Holdings Corp. Class A 381,800
....................................................................................................
26,100 Sara Lee Corp. 735,694
....................................................................................................
17,400 Whitman Corp. 441,525
- ----------------------------------------------------------------------------------------------------
3,643,082
- ----------------------------------------------------------------------------------------------------
Health Care (0.8%)
....................................................................................................
20,000 Columbia/HCA Healthcare Corp. 495,000
....................................................................................................
24,500 HEALTHSOUTH Corp. (NON) 378,219
- ----------------------------------------------------------------------------------------------------
873,219
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (13.8%)
....................................................................................................
14,700 Allstate Corp. 567,788
....................................................................................................
12,300 American General Corp. 959,400
....................................................................................................
22,268 Bank One Corp. 1,137,060
....................................................................................................
30,206 BankAmerica Corp. 1,816,136
....................................................................................................
5,800 BankBoston Corp. 225,838
....................................................................................................
13,710 Charter One Financial, Inc. 380,453
....................................................................................................
1,800 Chase Manhattan Corp. 122,513
....................................................................................................
10,000 CIGNA Corp. 773,125
....................................................................................................
28,500 Citigroup, Inc. 1,410,750
....................................................................................................
11,600 Fannie Mae 858,400
....................................................................................................
11,200 First Union Corp. 681,100
....................................................................................................
6,800 Hartford Financial Services Group (ITT) 373,150
....................................................................................................
17,500 KeyCorp 560,000
....................................................................................................
7,100 Lincoln National Corp. 580,869
....................................................................................................
6,700 Mercantile Bancorpation, Inc. 309,038
....................................................................................................
8,300 Merrill Lynch & Co., Inc. 554,025
....................................................................................................
5,100 Morgan (J.P.) & Co., Inc. 535,819
....................................................................................................
11,400 Morgan Stanley, Dean Witter, Discover
and Co. 809,400
....................................................................................................
13,400 PNC Bank Corp. 725,275
....................................................................................................
12,950 Synovus Financial Corp. 315,656
....................................................................................................
10,000 The Equitable Companies, Inc. 578,750
....................................................................................................
16,300 Washington Mutual, Inc. 622,456
....................................................................................................
23,700 Wells Fargo Co. 946,519
- ----------------------------------------------------------------------------------------------------
15,843,520
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (0.8%)
....................................................................................................
14,300 Baxter International, Inc. 919,669
- ----------------------------------------------------------------------------------------------------
Oil and Gas (6.5%)
....................................................................................................
12,296 British Petroleum PLC ADR
(United Kingdom) 1,168,120
....................................................................................................
8,400 Chevron, Inc. 696,675
....................................................................................................
10,800 Conoco, Inc. (NON) 225,450
....................................................................................................
8,900 Elf Aquitane ADR (France) 503,963
....................................................................................................
10,700 Enron Corp. 610,569
....................................................................................................
19,000 Exxon Corp. 1,389,375
....................................................................................................
19,400 Halliburton Co. 574,725
....................................................................................................
12,500 Kerr-McGee Corp. 478,125
....................................................................................................
14,000 Mobil Corp. 1,219,750
....................................................................................................
8,200 Occidental Petroleum Corp. 138,375
....................................................................................................
18,000 Tosco Corp. 465,750
- ----------------------------------------------------------------------------------------------------
7,470,877
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (0.7%)
....................................................................................................
16,600 Weyerhaeuser Co. 843,488
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (4.5%)
....................................................................................................
20,700 American Home Products Corp. 1,165,669
....................................................................................................
12,200 Bristol-Myers Squibb Co. 1,632,513
....................................................................................................
7,400 Merck & Co., Inc. 1,092,888
....................................................................................................
23,200 Pharmacia & Upjohn, Inc. 1,313,700
- ----------------------------------------------------------------------------------------------------
5,204,770
- ----------------------------------------------------------------------------------------------------
Photography (0.5%)
....................................................................................................
7,200 Eastman Kodak Co. 518,400
- ----------------------------------------------------------------------------------------------------
Publishing (1.1%)
....................................................................................................
6,100 McGraw-Hill, Inc. 621,438
....................................................................................................
9,600 Tribune Co. 633,600
- ----------------------------------------------------------------------------------------------------
1,255,038
- ----------------------------------------------------------------------------------------------------
REIT's (Real Estate Investment Trust) (0.8%)
....................................................................................................
12,800 Equity Residential Properties Trust 517,600
....................................................................................................
19,000 Starwood Lodging Trust 431,063
- ----------------------------------------------------------------------------------------------------
948,663
- ----------------------------------------------------------------------------------------------------
Retail (2.5%)
....................................................................................................
10,300 Albertsons, Inc. 655,981
....................................................................................................
13,600 Federated Department Stores, Inc. (NON) 592,450
....................................................................................................
9,500 May Department Stores Co. 573,563
....................................................................................................
6,700 Penney (J.C.) Co., Inc. 314,063
....................................................................................................
17,300 Sears, Roebuck & Co. 735,250
- ----------------------------------------------------------------------------------------------------
2,871,307
- ----------------------------------------------------------------------------------------------------
Telecommunications (1.2%)
....................................................................................................
10,800 ALLTEL Corp. 645,975
....................................................................................................
16,400 MediaOne Group Inc. (NON) 770,800
- ----------------------------------------------------------------------------------------------------
1,416,775
- ----------------------------------------------------------------------------------------------------
Transportation (2.6%)
....................................................................................................
25,290 Burlington Northern Santa Fe Corp. 853,538
....................................................................................................
9,900 Delta Air Lines, Inc. 514,800
....................................................................................................
15,800 Norfolk Southern Corp. 500,663
....................................................................................................
19,200 Ryder System, Inc. 499,200
....................................................................................................
9,800 UAL Corp. (NON) 584,938
- ----------------------------------------------------------------------------------------------------
2,953,139
- ----------------------------------------------------------------------------------------------------
Utilities (9.1%)
....................................................................................................
15,900 American Telephone & Telegraph Corp. 1,196,475
....................................................................................................
17,800 Ameritech Corp. 1,128,075
....................................................................................................
13,300 Bell Atlantic Corp. 704,900
....................................................................................................
500 BellSouth Corp. 24,938
....................................................................................................
3,700 Consolidated Natural Gas Co. 199,800
....................................................................................................
12,600 Duke Energy Corp. 807,188
....................................................................................................
6,700 Edison International 186,763
....................................................................................................
18,300 Entergy Corp. 569,588
....................................................................................................
24,000 GTE Corp. 1,560,000
....................................................................................................
19,900 OGE Energy Corp. 577,100
....................................................................................................
12,800 P P & L Resources, Inc. 356,800
....................................................................................................
17,300 Potomac Electric Power Co. 455,206
....................................................................................................
18,800 SBC Communications, Inc. 1,008,150
....................................................................................................
20,099 Sempra Energy 510,012
....................................................................................................
8,100 Sprint Corp. 681,413
....................................................................................................
15,500 Western Resources, Inc. 515,375
- ----------------------------------------------------------------------------------------------------
10,481,783
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $67,393,019) $72,150,044
- ----------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (23.3%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
U.S. Government Agency Mortgage
Pass-through Certificates (7.6%)
....................................................................................................
$1,360,000 Federal National Mortgage Association
6s, TBA, January 15, 2029 $1,342,143
....................................................................................................
Federal National Mortgage Association
Pass-through Certificates
....................................................................................................
1,107,301 6 1/2s, with due dates from
June 1, 2028 to November 1, 2028 1,114,565
....................................................................................................
2,032,363 6s, Dwarf, with due dates from
January 1, 2013 to October 1, 2013 2,037,444
....................................................................................................
Government National Mortgage
Association Pass-through Certificates
....................................................................................................
824,308 8s, with due dates from
August 15, 2026 to July 15, 2027 856,762
....................................................................................................
2,570,956 7s, with due dates from
October 15, 2027 to
December 15, 2028 2,630,394
....................................................................................................
691,797 6 1/2s, with due dates from
December 15, 2027 to
December 15, 2028 698,714
- ----------------------------------------------------------------------------------------------------
8,680,022
- ----------------------------------------------------------------------------------------------------
U.S. Treasury Obligations (15.7%)
....................................................................................................
U.S. Treasury Bonds
....................................................................................................
950,000 6 1/8s, November 15, 2027 1,063,402
....................................................................................................
1,430,000 5 1/2s, August 15, 2028 1,496,810
....................................................................................................
1,900,000 5 1/4s, November 15, 2028 1,945,125
....................................................................................................
2,625,000 5 1/4s, August 15, 2003 2,691,859
....................................................................................................
U.S. Treasury Notes
....................................................................................................
1,915,000 5 1/2s, May 31, 2003 1,977,238
....................................................................................................
2,855,000 4 1/2s, September 30, 2000 2,848,748
....................................................................................................
3,480,000 4 1/4s, November 15, 2003 3,435,421
....................................................................................................
2,670,000 4s, October 31, 2000 2,641,217
- ----------------------------------------------------------------------------------------------------
18,099,820
- ----------------------------------------------------------------------------------------------------
Total U.S. Government and
Agency Obligations
(cost $26,673,633) $26,779,842
- ----------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES (5.9%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
Aerospace and Defense (0.3%)
....................................................................................................
$350,000 Boeing Co. deb. 6 5/8s, 2038 $351,579
- ----------------------------------------------------------------------------------------------------
Agriculture (0.1%)
....................................................................................................
60,000 IMC Global, Inc. notes 7.4s, 2002 60,786
- ----------------------------------------------------------------------------------------------------
Automotive (0.1%)
....................................................................................................
40,000 Chrysler Corp. deb. Ser. B, 7.45s, 2097 45,490
....................................................................................................
50,000 Ford Motor Co. bonds 6 5/8s, 2028 51,347
....................................................................................................
25,000 Hertz Corp. sr. notes 7s, 2028 25,684
- ----------------------------------------------------------------------------------------------------
122,521
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (--%)
....................................................................................................
45,000 Ball Corp. 144A sr. notes 7 3/4s, 2006 47,250
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (0.2%)
....................................................................................................
285,000 Xerox Corp. notes 5 1/2s, 2003 285,182
- ----------------------------------------------------------------------------------------------------
Cable Television (0.3%)
....................................................................................................
80,000 TCI Communications, Inc. sr. notes
8.65s, 2004 91,680
....................................................................................................
50,000 TCI Communications sr. notes
7 1/8s, 2028 54,488
....................................................................................................
140,000 Time Warner Entertainment sr. notes
8 3/8s, 2033 171,576
- ----------------------------------------------------------------------------------------------------
317,744
- ----------------------------------------------------------------------------------------------------
Chemicals (0.5%)
....................................................................................................
20,000 Arco Chemical Co. deb. 9.8s, 2020 20,011
....................................................................................................
590,000 Monsanto Co. 144A deb. 6.6s, 2028 588,065
- ----------------------------------------------------------------------------------------------------
608,076
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (0.1%)
....................................................................................................
60,000 Dell Computer Corp. deb. 7.1s, 2028 60,793
- ----------------------------------------------------------------------------------------------------
Conglomerates (0.1%)
....................................................................................................
20,000 Canadian Pacific Ltd. deb. 9.45s, 2021
(Canada) 24,741
....................................................................................................
45,000 Tyco International Ltd. company guaranty
6 3/8s, 2005 45,872
....................................................................................................
15,000 Tyco International Ltd. company guaranty
6 1/4s, 2003 15,153
- ----------------------------------------------------------------------------------------------------
85,766
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (0.1%)
....................................................................................................
95,000 Philip Morris Cos., Inc. notes 7 1/4s, 2003 100,582
- ----------------------------------------------------------------------------------------------------
Consumer Products (0.1%)
....................................................................................................
65,000 Diageo PLC company guaranty 6 1/8s,
2005 (United Kingdom) 67,124
- ----------------------------------------------------------------------------------------------------
Gaming (0.1%)
....................................................................................................
120,000 Mashantucket Pequot Tribe 144A bonds
Ser. A, FSA, 6.57s, 2013 119,550
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (1.9%)
....................................................................................................
25,000 AFC Capital Trust company guaranty
Ser. B, 8.207s, 2027 28,540
....................................................................................................
25,000 Allstate Financing II company guaranty
7.83s, 2045 27,686
....................................................................................................
35,000 American General Institute 144A
company guaranty Ser. B, 8 1/8s, 2046 40,171
....................................................................................................
180,000 Associates First Capital Corp. sr. notes
6 1/4s, 2008 186,586
....................................................................................................
25,000 Executive Risk Capital Trust company
guaranty Ser. B, 8.675s, 2027 24,440
....................................................................................................
75,000 Finova Capital Corp. notes 7.4s, 2007 78,080
....................................................................................................
10,000 Finova Capital Corp. notes 6 1/4s, 2002 10,089
....................................................................................................
25,000 First Financial Caribbean Corp. sr. notes
7.84s, 2006 26,234
....................................................................................................
21,000 Ford Motor Credit Corp. sr. notes
6s, 2003 21,352
....................................................................................................
10,000 Ford Motor Credit Corp. notes
5 1/8s, 2001 9,952
....................................................................................................
60,000 Household Finance Corp. notes
6 1/2s, 2008 62,431
....................................................................................................
715,000 Household Netherlands N.V. company
guaranty 6.2s, 2003 (Netherlands) 718,218
....................................................................................................
24,000 Lehman Brothers Holdings, Inc. notes
6 1/2s, 2002 24,025
....................................................................................................
25,000 Lehman Brothers Holdings, Inc. notes
6 1/4s, 2003 24,774
....................................................................................................
25,000 Markel Capital Trust I company guaranty
Ser. B, 8.71s, 2046 23,708
....................................................................................................
95,000 Newcourt Credit Group, Inc. 144A
company guaranty 7 1/8s, 2003 94,113
....................................................................................................
50,000 Paine Webber Group, Inc. sr. med. term
notes 6.52s, 2005 49,875
....................................................................................................
25,000 Peoples Bank- Bridgeport sub. notes
7.2s, 2006 23,555
....................................................................................................
25,000 Provident Companies, Inc. bonds
7.405s, 2038 25,688
....................................................................................................
50,000 Salomon, Inc. sr. notes 6 3/4s, 2003 51,375
....................................................................................................
110,000 Sears Roebuck Acceptance Corp. notes
6 1/2s, 2028 108,701
....................................................................................................
25,000 St. Paul Bancorp sr. notes 7 1/8s, 2004 26,519
....................................................................................................
95,000 The CIT Group, Inc. notes 5 1/2s, 2001 95,257
....................................................................................................
90,000 Toyota Motor Credit Corp. notes
5 5/8s, 2003 90,912
....................................................................................................
25,000 Trenwick Capital Trust I company guaranty
8.82s, 2037 27,365
....................................................................................................
370,000 UNUM Corp. notes 6 3/4s, 2028 370,000
- ----------------------------------------------------------------------------------------------------
2,269,646
- ----------------------------------------------------------------------------------------------------
Office Equipment (--%)
....................................................................................................
35,000 Newell Co. notes 6.35s, 2008 36,524
- ----------------------------------------------------------------------------------------------------
Oil and Gas (0.7%)
....................................................................................................
35,000 Coastal Corp. bonds 6.95s, 2028 35,045
....................................................................................................
15,000 Coastal Corp. deb. 6 1/2s, 2008 15,376
....................................................................................................
50,000 Enron Corp. notes 6.4s, 2006 50,068
....................................................................................................
50,000 K N Energy, Inc. sr. notes 6.8s, 2008 50,401
....................................................................................................
25,000 K N Energy, Inc. sr. notes 6.45s, 2003 25,144
....................................................................................................
210,000 Petro-Canada deb. 7s, 2028 (Canada) 207,085
....................................................................................................
375,000 Petro Geo-Services AS ADR notes 7 1/2s,
2007 (Norway) 388,193
- ----------------------------------------------------------------------------------------------------
771,312
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (0.1%)
....................................................................................................
105,000 Merck & Co., Inc. deb. 5.95s, 2028 106,019
- ----------------------------------------------------------------------------------------------------
Publishing (0.1%)
....................................................................................................
50,000 News America Holdings, Inc. deb. 7
3/4s, 2045 52,950
....................................................................................................
25,000 News America Holdings, Inc. deb.
7.7s, 2025 26,895
- ----------------------------------------------------------------------------------------------------
79,845
- ----------------------------------------------------------------------------------------------------
REIT's (0.2%)
....................................................................................................
205,000 EOP Operating L.P. sr. notes 6 3/4s, 2008 201,577
....................................................................................................
45,000 Equity Residential Properties notes
6.63s, 2005 44,404
....................................................................................................
30,000 OMEGA Healthcare Investors, Inc.
notes 6.95s, 2007 26,956
- ----------------------------------------------------------------------------------------------------
272,937
- ----------------------------------------------------------------------------------------------------
Specialty Consumer Products (--%)
....................................................................................................
30,000 US West Capital Funding, Inc. company
guaranty 6 1/4s, 2005 31,028
- ----------------------------------------------------------------------------------------------------
Telecommunications (0.5%)
....................................................................................................
20,000 AirTouch Communications, Inc. notes
6.65s, 2008 21,164
....................................................................................................
50,000 AT&T Capital Corp. med. term notes
6 1/4s, 2001 49,320
....................................................................................................
95,000 MCI WorldCom, Inc. sr. notes 6.4s, 2005 98,735
....................................................................................................
145,000 Sprint Capital Corp. company guaranty
6 7/8s, 2028 150,699
....................................................................................................
145,000 Sprint Capital Corp. company guaranty
5.7s, 2003 145,015
....................................................................................................
55,000 U S West, Inc. notes 5 5/8s, 2008 55,515
- ----------------------------------------------------------------------------------------------------
520,448
- ----------------------------------------------------------------------------------------------------
Transportation (0.3%)
....................................................................................................
85,000 Burlington Northern Santa Fe bonds
6 7/8s, 2027 88,646
....................................................................................................
24,026 Continental Airlines, Inc. pass-through
certificates Ser. 97CI, 7.42s, 2007 24,266
....................................................................................................
20,000 Continental Airlines, Inc. pass-through
certificates Ser. 974C, 6.8s, 2009 19,974
....................................................................................................
110,000 Continental Airlines, Inc. pass-through
certificates Ser. 98-2, 6.32s, 2008 109,450
....................................................................................................
100,000 CSX Corp. deb. 7.95s, 2027 113,855
- ----------------------------------------------------------------------------------------------------
356,191
- ----------------------------------------------------------------------------------------------------
Utilities (0.1%)
....................................................................................................
25,000 Edison Mission Energy 144A company
guaranty 7.33s, 2008 26,523
....................................................................................................
50,000 Public Service of New Mexico Co.
sr. notes Ser. B, 7 1/2s, 2018 49,783
....................................................................................................
25,000 Texas Utilities Electric Capital Trust V
company guaranty 8.175s, 2037 27,930
- ----------------------------------------------------------------------------------------------------
104,236
- ----------------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $6,743,742) $6,775,139
- ----------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (0.4%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$140,000 Commercial Mortgage Acceptance Corp.
Ser. 98-C2, Class A2, 6.03s, 2008 $141,444
....................................................................................................
85,000 First Union-Lehman Brothers
Commercial Mortgage 6.56s, 2008 88,241
....................................................................................................
70,000 GE Capital Mortgage Services
Ser. 98-11, Class 2A4, 6 3/4s, 2028 70,876
....................................................................................................
55,000 GMAC Commercial Mortgage Securities
Inc. Ser. 98-C2, Class A2, 6.42s, 2008 56,603
....................................................................................................
100,000 Residential Asset Securitization
Trust Ser. 98-A12, Class A14, 8s, 2028 104,656
- ----------------------------------------------------------------------------------------------------
Total Collateralized Mortgage Obligations
(cost $461,625) $461,820
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (0.3%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$200,000 HEALTHSOUTH Corp. cv. sub. deb.
3 1/4s, 2003 $170,250
....................................................................................................
140,000 Micron Technology, Inc. cv. sub. notes
7s, 2004 149,450
....................................................................................................
100,000 Western Digital Corp. cv. sub. deb.
zero %, 2018 30,500
....................................................................................................
100,000 Western Digital Corp. 144A cv. sub. deb.
zero %, 2018 29,875
- ----------------------------------------------------------------------------------------------------
Total Convertible Bonds and Notes
(cost $363,626) $380,075
- ----------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BONDS AND NOTES (0.3%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$185,000 Ontario (Province of) sr. unsub.
5 1/2s, 2008 $186,591
....................................................................................................
130,000 Quebec (Province of) deb. 7s, 2007 140,401
- ----------------------------------------------------------------------------------------------------
Total Foreign Government
Bonds and Notes
(cost $323,169) $326,992
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.2%) (a) (cost $242,209)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
4,300 K mart Financing I $3.875 cum. cv. pfd. $249,131
- ----------------------------------------------------------------------------------------------------
PREFERRED STOCKS (0.1%) (a) (cost $115,000)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
115 Centaur Funding Corp 144A 9.08% pfd. $118,121
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (10.7%) (a) (cost $12,327,643)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$12,326,000 Interest in $456,109,000 joint repurchase
agreement dated December 31, 1998 with
Merrill Lynch, Pierce, Fenner & Smith, Inc.
due January 4, 1998 with respect to
various U.S. Treasury obligations --
maturity value of $12,332,574 for
an effective yield of 4.80% $12,327,643
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $114,643,666) (b) $119,568,807
- ----------------------------------------------------------------------------------------------------
See page 240 for Notes to the Portfolios.
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
<TABLE>
Putnam VT Global Asset Allocation Fund
Portfolio of investments owned
December 31, 1998
<CAPTION>
COMMON STOCKS (62.4%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares
....................................................................................................
<S> <C> <C> <C> <C>
Advertising (--%)
....................................................................................................
13,050 Lamar Advertising Co. (NON) $486,113
- ----------------------------------------------------------------------------------------------------
Aerospace and Defense (0.3%)
....................................................................................................
28,715 Raytheon Co. Class A 1,484,207
....................................................................................................
9,300 Raytheon Co. Class B 495,225
....................................................................................................
53,536 Smiths Industries PLC (United Kingdom) 760,956
- ----------------------------------------------------------------------------------------------------
2,740,388
- ----------------------------------------------------------------------------------------------------
Agriculture (--%)
....................................................................................................
273,000 PPB Oil Palms Berhad (Malaysia) (NON) 186,925
- ----------------------------------------------------------------------------------------------------
Automotive (1.2%)
....................................................................................................
964 Bayerische Motoren Werke (BMW) AG
(Germany) 748,485
....................................................................................................
375 Bayerische Motoren Werke (BMW) AG
(Germany) NEW 277,732
....................................................................................................
16,000 Bridgestone Corp. (Japan) 362,608
....................................................................................................
12,400 CSK Auto Corp. (NON) 330,925
....................................................................................................
14,265 Dana Corp. 583,082
....................................................................................................
50,340 Ford Motor Co. 2,954,329
....................................................................................................
38,695 General Motors Corp. 2,769,111
....................................................................................................
26,095 Goodyear Tire & Rubber Co. (The) 1,316,167
....................................................................................................
23,000 Honda Motor Co., Ltd. (Japan)(NON) 753,932
....................................................................................................
24,984 Michelin Corp. Class B, (France) 999,145
....................................................................................................
11,204 Volkswagon AG (Germany) 894,813
....................................................................................................
14,961 Volvo AB Class B (Sweden) 342,703
- ----------------------------------------------------------------------------------------------------
12,333,032
- ----------------------------------------------------------------------------------------------------
Banks (3.6%)
....................................................................................................
21,214 ABN AMRO Holding N.V. (Netherlands) 445,838
....................................................................................................
85,165 Allied Irish Banks PLC (Ireland) 1,523,483
....................................................................................................
8,800 Banca Popolare di Bergamo SPA (Italy) 213,685
....................................................................................................
8,500 Banca Popolare di Brescia SPA (Italy) 207,430
....................................................................................................
26,600 Banca Popolare di Milano (Italy) 241,613
....................................................................................................
61,641 Bank of Ireland (Ireland) 1,370,324
....................................................................................................
56,498 Bank of Nova Scotia (Canada) 1,245,872
....................................................................................................
442 Bankers Trust New York Corp. (CUS) 37,763
....................................................................................................
20,533 Banque Nationale de Paris (France) 1,690,784
....................................................................................................
83,327 BankAmerica Corp. 5,009,976
....................................................................................................
61,170 BankBoston Corp. 2,381,807
....................................................................................................
66,836 Bank One Corp. 3,412,813
....................................................................................................
31,600 Fifth Third Bancorp 2,253,475
....................................................................................................
26,890 First Union Corp. 1,635,248
....................................................................................................
37,568 Firstar Corp. 3,503,216
....................................................................................................
9,256 ForeningsSparbanken AB (Sweden) 239,379
....................................................................................................
14,800 HSBC Holdings PLC (United Kingdom) 368,730
....................................................................................................
43,279 National Westminster Bancorp Inc.
(United Kingdom) 831,458
....................................................................................................
38,922 PNC Bank Corp. 2,106,653
....................................................................................................
188,000 Wells Fargo Co. 7,508,250
- ----------------------------------------------------------------------------------------------------
36,227,797
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (0.7%)
....................................................................................................
53,750 Deere (John) & Co. 1,780,469
....................................................................................................
541,750 International Container Terminal
Services, Inc. (Philippines) (NON) 45,437
....................................................................................................
31,310 Minnesota Mining & Manufacturing Co. 2,226,924
....................................................................................................
80,725 Owens-Illinois, Inc. (NON) 2,472,203
....................................................................................................
13,555 Sandvik AB Class B, (Sweden) 233,707
- ----------------------------------------------------------------------------------------------------
6,758,740
- ----------------------------------------------------------------------------------------------------
Biotechnology (--%)
....................................................................................................
3,800 Kendle International, Inc. (NON) 88,825
....................................................................................................
8,250 Serologicals Corp. (NON) 247,500
- ----------------------------------------------------------------------------------------------------
336,325
- ----------------------------------------------------------------------------------------------------
Broadcasting (0.7%)
....................................................................................................
16,500 Citadel Communications Corp. (NON) 426,938
....................................................................................................
28,600 Cumulus Media Inc. Class A (NON) 475,475
....................................................................................................
2,875 Grupo Televisa S.A.GDR (Mexico) (NON) 70,977
....................................................................................................
15,000 Heftel Broadcasting Corp. Class A (NON) 738,750
....................................................................................................
24,979 News Corp. Ltd. ADR (Australia) 660,382
....................................................................................................
13,250 SAGA Communications Inc. Class A (NON) 271,625
....................................................................................................
7,800 SBS Broadcasting SA (Luxembourg) (NON) 210,600
....................................................................................................
4,620 Sinclair Broadcast Group, Inc. Class A (NON) 90,379
....................................................................................................
64,600 Tele-Communications, Inc. Class A (NON) 3,573,188
- ----------------------------------------------------------------------------------------------------
6,518,314
- ----------------------------------------------------------------------------------------------------
Building and Construction (0.6%)
....................................................................................................
10,814 Cimpor-Cimentos de Portugal, SGPS,
S.A. (Portugal) 344,677
....................................................................................................
111,251 CRH PLC (Ireland) 1,918,995
....................................................................................................
10,200 Dycom Industries, Inc. (NON) 582,675
....................................................................................................
123,000 IJM Copr. Berhad (Malaysia) 69,169
....................................................................................................
9,779 Lafarge Coppee (France) 929,134
....................................................................................................
48,800 Masco Corp. 1,403,000
....................................................................................................
16,333 Pohang Iron & Steel Company, Ltd. ADR
(South Korea) 275,619
....................................................................................................
3,284 VA Technolgies AG (Austria) 284,810
- ----------------------------------------------------------------------------------------------------
5,808,079
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (2.1%)
....................................................................................................
14,800 ACT Networks, Inc. (NON) 181,300
....................................................................................................
9,500 Analytical Surveys, Inc. (NON) 292,719
....................................................................................................
5,100 Charles River Associates Inc. (NON) 111,563
....................................................................................................
30,500 Cisco Systems, Inc. (NON) 2,830,781
....................................................................................................
10,800 Cunningham Graphics International, Inc. (NON) 164,700
....................................................................................................
31,000 Dai Nippon Printing Co., Ltd. (Japan) (NON) 493,568
....................................................................................................
7,600 Data Processing Resources Corp. (NON) 222,300
....................................................................................................
5,700 F.Y.I., Inc. (NON) 182,400
....................................................................................................
113,836 HBO & Co. 3,265,670
....................................................................................................
11,900 Lason Holdings, Inc. (NON) 692,431
....................................................................................................
17,066 Mannesmann AG (Germany) 1,957,369
....................................................................................................
7,050 Metamor Worldwide, Inc. (NON) 176,250
....................................................................................................
17,800 NCO Group, Inc. (NON) 801,000
....................................................................................................
45,745 Pitney Bowes, Inc. 3,022,029
....................................................................................................
13,450 ProBusiness Services, Inc. (NON) 611,975
....................................................................................................
9,647 Provant, Inc. (NON) 209,822
....................................................................................................
5,800 RCM Technologies, Inc. (NON) 153,700
....................................................................................................
7,700 Rental Service Corp. (NON) 120,794
....................................................................................................
36,000 Ricoh Co., Ltd. (Japan) 331,437
....................................................................................................
5,800 Romac International, Inc. (NON) 129,050
....................................................................................................
15,039 Vedior NV (Netherlands) 296,055
....................................................................................................
43,765 Xerox Corp. 5,164,270
- ----------------------------------------------------------------------------------------------------
21,411,183
- ----------------------------------------------------------------------------------------------------
Cable Television (0.1%)
....................................................................................................
23,700 Jones Intercable, Inc. (NON) 844,313
- ----------------------------------------------------------------------------------------------------
Chemicals (0.8%)
....................................................................................................
29,234 Akzo-Nobel N.V. (Netherlands) (NON) 1,329,879
....................................................................................................
22,664 Bayer AG ADR (Germany) (NON) 946,545
....................................................................................................
56,918 du Pont (E.I.) de Nemours & Co., Ltd. 3,020,211
....................................................................................................
29,540 Eastman Chemical Co. 1,321,915
....................................................................................................
20,445 Hoechst AG (Germany) (NON) 848,345
....................................................................................................
10,000 Shin-Etsu Chemical Co. (Japan) 240,325
- ----------------------------------------------------------------------------------------------------
7,707,220
- ----------------------------------------------------------------------------------------------------
Communications (--%)
....................................................................................................
8,300 Advanced Communication Systems, Inc. (NON) 103,750
- ----------------------------------------------------------------------------------------------------
Computers (0.3%)
....................................................................................................
79,170 Compaq Computer Corp. 3,320,192
- ----------------------------------------------------------------------------------------------------
Computer Equipment (2.4%)
....................................................................................................
10,000 Apex PC Solutions, Inc. (NON) 288,750
....................................................................................................
23,700 Artesyn Technologies, Inc. (NON) 331,800
....................................................................................................
35,300 Computer Sciences Corp. 2,274,644
....................................................................................................
32,500 Dell Computer Corp. (NON) 2,378,594
....................................................................................................
50,400 EMC Corp. (NON) 4,284,000
....................................................................................................
2,800 Emulex Corp. (NON) 112,000
....................................................................................................
62,600 IBM Corp. 11,565,350
....................................................................................................
1,700 Insight Enterprises, Inc. (NON) 86,488
....................................................................................................
15,500 NeoMagic Corp. (NON) 342,938
....................................................................................................
27,660 Sun Microsystems, Inc. (NON) 2,368,388
- ----------------------------------------------------------------------------------------------------
24,032,952
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (2.5%)
....................................................................................................
22,700 3Com Corp. (NON) 1,017,244
....................................................................................................
14,600 Activision, Inc. (NON) 162,425
....................................................................................................
3,600 Aspect Development, Inc. (NON) 159,525
....................................................................................................
8,700 Aware, Inc. (NON) 236,531
....................................................................................................
13,300 Best Software, Inc. (NON) 315,875
....................................................................................................
57,880 BMC Software, Inc. (NON) 2,579,278
....................................................................................................
7,200 BroadVision, Inc. (NON) 230,400
....................................................................................................
10,800 Complete Business Solutions, Inc. (NON) 365,850
....................................................................................................
15,000 Computer Network Technology Corp. (NON) 187,500
....................................................................................................
5,800 Computer Task Group, Inc. 157,325
....................................................................................................
26,900 Compuware Corp. (NON) 2,101,563
....................................................................................................
1,800 Concord Communications, Inc. (NON) 102,150
....................................................................................................
3,100 Concur Technologies, Inc. (NON) 94,550
....................................................................................................
5,000 Dendrite International, Inc. (NON) 124,844
....................................................................................................
3,900 Digital River, Inc. (NON) 138,450
....................................................................................................
6,700 Exchange Applications, Inc. (NON) 131,488
....................................................................................................
119,000 Fujitsu Ltd. (Japan) (NON) 1,582,391
....................................................................................................
9,500 Fvc.com Inc. (NON) 149,625
....................................................................................................
15,012 GeoTel Communications Corp. (NON) 559,197
....................................................................................................
7,247 IMRglobal Corp. (NON) 213,334
....................................................................................................
29,200 IMS Health Inc. 2,202,775
....................................................................................................
18,000 Information Advantage, Inc. (NON) 136,125
....................................................................................................
10,263 Intelligroup, Inc. (NON) 183,451
....................................................................................................
6,000 Legato Systems, Inc. (NON) 395,625
....................................................................................................
8,700 Metro Information Services, Inc. (NON) 261,000
....................................................................................................
65,900 Microsoft Corp. (NON) 9,139,506
....................................................................................................
2,000 NCR Corp. (NON) 83,500
....................................................................................................
10,800 New Era of Networks, Inc. (NON) 475,200
....................................................................................................
14,700 Peregrine Systems, Inc. (NON) 681,713
....................................................................................................
4,500 Pervasive Software Inc. (NON) 86,625
....................................................................................................
4,100 Pinnacle Systems, Inc. (NON) 146,575
....................................................................................................
7,300 SPR Inc. (NON) 125,925
....................................................................................................
14,300 Spyglass, Inc. (NON) 314,600
....................................................................................................
17,300 Summit Design, Inc. (NON) 161,106
....................................................................................................
12,400 VideoServer, Inc. (NON) 227,850
....................................................................................................
9,100 Visual Networks, Inc. (NON) 341,250
- ----------------------------------------------------------------------------------------------------
25,572,371
- ----------------------------------------------------------------------------------------------------
Conglomerates (1.5%)
....................................................................................................
232,832 BTR PLC (United Kingdom) 478,568
....................................................................................................
71,347 Granada Group PLC (United Kingdom) 1,256,563
....................................................................................................
722 Lonrho PLC (United Kingdom) 3,932
....................................................................................................
93,073 Securicor Group PLC (United Kingdom) (NON) 777,560
....................................................................................................
229,540 Tomkins PLC (United Kingdom) 1,078,676
....................................................................................................
115,003 Tyco International Ltd. 8,675,539
....................................................................................................
22,900 United Technologies Corp. 2,490,375
- ----------------------------------------------------------------------------------------------------
14,761,213
- ----------------------------------------------------------------------------------------------------
Consumer Durable Goods (0.2%)
....................................................................................................
61,600 Hasbro, Inc. 2,225,300
....................................................................................................
6,421 Select Comfort Corp. (NON) 169,755
- ----------------------------------------------------------------------------------------------------
2,395,055
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (2.0%)
....................................................................................................
35,495 Clorox Co. 4,146,260
....................................................................................................
44,900 Colgate-Palmolive Co. 4,170,088
....................................................................................................
31,200 Estee Lauder Cos. Class A 2,667,600
....................................................................................................
16,000 French Fragrances Inc. (NON) 116,000
....................................................................................................
910 Hedstrom Holdings, Inc. 144A 910
....................................................................................................
29,000 KAO Corp. (Japan) 653,384
....................................................................................................
18,110 Kimberly-Clark Corp. 986,995
....................................................................................................
600 Onward Kashiyama Co. Ltd. (Japan) 8,047
....................................................................................................
125,855 Philip Morris Cos., Inc. 6,733,243
....................................................................................................
7,700 Wesley Jessen VisionCare, Inc. (NON) 213,675
- ----------------------------------------------------------------------------------------------------
19,696,202
- ----------------------------------------------------------------------------------------------------
Consumer Services (1.1%)
....................................................................................................
1,300 Ambassadors International, Inc. (NON) 19,175
....................................................................................................
9,600 America Online, Inc. 1,536,000
....................................................................................................
130 AmeriKing, Inc. (NON) 5,200
....................................................................................................
7,766 Bright Horizons, Inc. (NON) 209,682
....................................................................................................
11,100 Carey International, Inc. (NON) 194,250
....................................................................................................
13,800 Global Vacation Group, Inc. (NON) 119,025
....................................................................................................
47,100 Interpublic Group Cos. Inc. 3,756,225
....................................................................................................
12,500 Market Facts, Inc. (NON) 325,000
....................................................................................................
24,590 McDonald's Corp. 1,884,209
....................................................................................................
11,200 MemberWorks Inc. (NON) 330,400
....................................................................................................
13,950 On Assignment, Inc. (NON) 481,275
....................................................................................................
4,900 PJ America Inc. (NON) 88,813
....................................................................................................
5,050 Steiner Leisure Ltd. (NON) 161,600
....................................................................................................
7,203 Strayer Education, Inc. 253,906
....................................................................................................
9,700 Travel Services International, Inc. (NON) 295,850
....................................................................................................
31,200 Tricon Global Restaurants, Inc. (NON) 1,563,900
- ----------------------------------------------------------------------------------------------------
11,224,510
- ----------------------------------------------------------------------------------------------------
Cosmetics (--%)
....................................................................................................
11,000 Shiseido Co., Ltd. (Japan) (NON) 141,120
- ----------------------------------------------------------------------------------------------------
Education (0.1%)
....................................................................................................
9,000 Career Education Corp. (NON) 270,000
....................................................................................................
21,800 Education Management Corp. (NON) 515,025
- ----------------------------------------------------------------------------------------------------
785,025
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (4.0%)
....................................................................................................
8,700 Applied Micro Circuits Corp. (NON) 295,528
....................................................................................................
5,000 ASM Lithography Holding N.V.
(Netherlands) (NON) 152,500
....................................................................................................
14,700 ATMI, Inc. (NON) 371,175
....................................................................................................
80,802 Cookson Group PLC (United Kingdom) 175,458
....................................................................................................
15,600 Credence Systems Corp. (NON) 288,600
....................................................................................................
10,686 Delaware Global Technologies Corp. (NON) 122,889
....................................................................................................
18,700 DII Group Inc., (The) (NON) 430,100
....................................................................................................
4,800 DuPont Photomasks, Inc. (NON) 203,700
....................................................................................................
33,195 Emerson Electric Co. 2,008,298
....................................................................................................
104,615 General Electric Co. 10,677,268
....................................................................................................
15,900 Harmonic Lightwaves, Inc. (NON) 298,125
....................................................................................................
10,500 Helix Technology Corp. 136,500
....................................................................................................
29,000 Iberdola S.A. (Spain) 542,562
....................................................................................................
77,595 Intel Corp. 9,199,857
....................................................................................................
4,400 Kulicke and Soffa Industries, Inc. 78,100
....................................................................................................
5,200 Micrel, Inc. (NON) 286,000
....................................................................................................
25,300 Micron Technology, Inc. (NON) 1,279,231
....................................................................................................
46,290 Motorola, Inc. 2,826,583
....................................................................................................
4,000 Murata Manufacturing Co. Ltd. (Japan) 165,754
....................................................................................................
8,720 Nanometrics, Inc. (NON) 68,125
....................................................................................................
14,746 Philips Electronics N.V. (Netherlands) 988,559
....................................................................................................
9,400 Photronics, Inc. (NON) 225,306
....................................................................................................
5,930 Power Integrations, Inc. (NON) 148,621
....................................................................................................
4,200 QLogic Corp. (NON) 549,675
....................................................................................................
16,080 Rockwell International Corp. 780,885
....................................................................................................
4,800 Rohm Co. Ltd. (Japan) 436,402
....................................................................................................
9,200 Samsung Electronics Co. (South Korea) 618,700
....................................................................................................
177,244 Siebe PLC (United Kingdom) 696,305
....................................................................................................
7,800 Sipex Corp. (NON) 273,975
....................................................................................................
4,000 Sony Corp. (Japan) 290,864
....................................................................................................
15,183 STMicroelectronics N.V. ADR (France) (NON) 1,185,223
....................................................................................................
6,000 TDK Corp. (Japan) 547,623
....................................................................................................
48,060 Texas Instruments, Inc. 4,112,134
....................................................................................................
6,200 Veeco Instruments, Inc. (NON) 329,375
- ----------------------------------------------------------------------------------------------------
40,790,000
- ----------------------------------------------------------------------------------------------------
Energy-Related (--%)
....................................................................................................
3,200 Advanced Energy Industries, Inc. (NON) 80,000
....................................................................................................
10,800 KTI, Inc. (NON) 233,550
- ----------------------------------------------------------------------------------------------------
313,550
- ----------------------------------------------------------------------------------------------------
Entertainment (1.5%)
....................................................................................................
70,100 Carnival Corp. Class A 3,364,800
....................................................................................................
12,300 Cinar Films, Inc. Class B, (Canada) (NON) 312,113
....................................................................................................
49,700 EMI Group PLC (United Kingdom) (NON) 331,179
....................................................................................................
15,900 Sunterra Corp. (NON) 238,500
....................................................................................................
111,800 Time Warner, Inc. 6,938,588
....................................................................................................
52,700 Viacom, Inc. Class B (NON) 3,899,800
....................................................................................................
12,900 Vistana, Inc. (NON) 180,600
- ----------------------------------------------------------------------------------------------------
15,265,580
- ----------------------------------------------------------------------------------------------------
Environmental Control (0.6%)
....................................................................................................
6,500 Casella Waste Systems, Inc. (NON) 241,313
....................................................................................................
8,887 Vivendi (France) 2,305,751
....................................................................................................
86,285 Waste Management, Inc. 4,023,038
- ----------------------------------------------------------------------------------------------------
6,570,102
- ----------------------------------------------------------------------------------------------------
Food and Beverages (2.0%)
....................................................................................................
39,785 Anheuser-Busch Cos., Inc. 2,610,891
....................................................................................................
81,971 Bass PLC (United Kingdom) 1,188,907
....................................................................................................
6,600 Coca-Cola Femsa S.A. ADR (Mexico) 87,450
....................................................................................................
1,645 Danone (France) 470,950
....................................................................................................
23,530 General Mills, Inc. 1,829,458
....................................................................................................
96,295 Greencore Group PLC (Ireland) 443,891
....................................................................................................
12,700 Hain Food Group, Inc. (The) (NON) 317,500
....................................................................................................
33,150 Heinz (H.J.) Co. 1,877,119
....................................................................................................
10,326 Laurus N.V. (Netherlands) (NON) 260,426
....................................................................................................
15,700 Nabisco Holdings Corp. Class A 651,550
....................................................................................................
917 Nestle S.A. (Switzerland) 1,996,236
....................................................................................................
8,650 P.F. Chang's China Bistro, Inc. (NON) 196,788
....................................................................................................
120,120 Sara Lee Corp. 3,385,883
....................................................................................................
55,330 The Quaker Oats Co. 3,292,135
....................................................................................................
89,205 Whitman Corp. 2,263,577
- ----------------------------------------------------------------------------------------------------
20,872,761
- ----------------------------------------------------------------------------------------------------
Health Care (0.5%)
....................................................................................................
4,800 Alternative Living Services, Inc. (NON) 164,400
....................................................................................................
20,200 American Oncology Resources, Inc. (NON) 294,163
....................................................................................................
6,500 Brookdale Living Communities, Inc. (NON) 126,750
....................................................................................................
29,725 Cardinal Health, Inc. 2,255,384
....................................................................................................
8,200 Carematrix Corp. (NON) 251,125
....................................................................................................
5,100 NCS HealthCare, Inc. Class A (NON) 121,125
....................................................................................................
1,600 Pediatrix Medical Group, Inc. (NON) 95,900
....................................................................................................
7,600 Province Healthcare Co. (NON) 272,650
....................................................................................................
9,675 Renal Care Group, Inc. (NON) 278,761
....................................................................................................
10,100 SteriGenics International, Inc. (NON) 262,600
....................................................................................................
8,700 Sunrise Assisted Living, Inc. (NON) 451,313
- ----------------------------------------------------------------------------------------------------
4,574,171
- ----------------------------------------------------------------------------------------------------
Hospital Management and Medical Services (0.1%)
....................................................................................................
4,300 Advance Paradigm, Inc. (NON) 150,500
....................................................................................................
11,000 AmSurg Corp. (NON) 81,125
....................................................................................................
2,900 Eclipsys Corp. (NON) 84,100
....................................................................................................
8,300 First Consulting Group, Inc. (NON) 170,150
....................................................................................................
8,700 Medical Manager Corp. (NON) 272,963
....................................................................................................
17,200 Medquist, Inc. (NON) 679,400
- ----------------------------------------------------------------------------------------------------
1,438,238
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (8.3%)
....................................................................................................
18,030 Aetna Inc. 1,417,609
....................................................................................................
8,723 AGF (Assurances Generales de France)
(France) 521,004
....................................................................................................
1,609 Allianz Versicherungs AG (Germany) (NON) 590,343
....................................................................................................
130,201 Allied Zurich AG (United Kingdom) (NON) 1,934,837
....................................................................................................
51,090 Allstate Corp. 1,973,351
....................................................................................................
27,000 American Express Co. 2,760,750
....................................................................................................
64,800 American General Corp. 5,054,400
....................................................................................................
40,800 American International Group, Inc. 3,942,300
....................................................................................................
30,745 AON Corp. 1,702,504
....................................................................................................
34,000 Associates First Capital Corp. 1,440,750
....................................................................................................
6,016 Axa S.A. (France) (NON) 871,931
....................................................................................................
12,600 Charter One Financial, Inc. 349,650
....................................................................................................
40,370 Chase Manhattan Corp. 2,747,683
....................................................................................................
387 Cie Finance Richemont 547,182
....................................................................................................
40,930 CIGNA Corp. 3,164,401
....................................................................................................
104,285 Citigroup, Inc. 5,162,108
....................................................................................................
36,050 Comerica, Inc. 2,458,159
....................................................................................................
38,158 Commonwealth Bank of Australia
(Australia) 540,477
....................................................................................................
3,610 Credit Commercial de France (France) 335,246
....................................................................................................
30,000 Development Bank of Singapore Ltd.
(Singapore) 270,991
....................................................................................................
40,665 Fannie Mae 3,009,210
....................................................................................................
92,400 Federal Home Loan Mortgage Corp. 5,954,025
....................................................................................................
44,210 Fleet Financial Group, Inc. 1,975,634
....................................................................................................
11,900 Gilman & Ciocia, Inc. (NON) 116,769
....................................................................................................
19,150 Inspire Insurance Solutions, Inc. (NON) 351,881
....................................................................................................
28,167 Internationale Nederlanden Groep
(Netherlands) 1,715,947
....................................................................................................
165,300 Istituto Nazionale delle Assicurazioni
(Italy) 436,923
....................................................................................................
285 Julius Baer Holdings AG (Switzerland) 947,233
....................................................................................................
57,050 Lehman Brothers Holding, Inc. 2,513,766
....................................................................................................
1 Liberty Life Association of Africa Ltd.
(South Africa) 11
....................................................................................................
103,350 MBNA Corp. 2,577,291
....................................................................................................
32,415 Mercantile Bancorpation, Inc. 1,495,142
....................................................................................................
48,850 Merrill Lynch & Co., Inc. 3,260,738
....................................................................................................
27,362 Morgan (J.P.) & Co., Inc. 2,874,720
....................................................................................................
1,084 Munich Re (Germany) (NON) 525,304
....................................................................................................
28,100 National City Corp. 2,037,250
....................................................................................................
289,000 Nikko Securities Co. Ltd. (Japan) (NON) 804,338
....................................................................................................
46,689 Nordbanken Holding AG (Sweden) 298,994
....................................................................................................
46,000 Overseas Union Bank Ltd. (Singapore) 200,788
....................................................................................................
10,800 Promise Co., Ltd. (Japan) 561,089
....................................................................................................
24,765 Providian Financial Corp. 1,857,375
....................................................................................................
8,750 Reinsurance Group America, Inc. 612,500
....................................................................................................
83,380 Royal & Sun Alliance Insurance Group
PLC (United Kingdom) 678,269
....................................................................................................
5,115 Royal Bank of Canada (Canada) 255,834
....................................................................................................
4,035 Societe Generale (France) 653,403
....................................................................................................
30,700 SunAmerica, Inc. 2,490,538
....................................................................................................
14,373 Svenska Handelsbanken (Sweden) 605,365
....................................................................................................
112,900 Tele-Communications TCI Ventures
Group Class A (NON) 2,660,206
....................................................................................................
20,000 The Equitable Companies, Inc. 1,157,500
....................................................................................................
6,256 UBS AG (Switzerland) 1,922,120
....................................................................................................
4,113 Unidanmark AS (Denmark) 370,222
....................................................................................................
50,057 Washington Mutual, Inc. 1,911,552
- ----------------------------------------------------------------------------------------------------
84,617,613
- ----------------------------------------------------------------------------------------------------
Managed Services (--%)
....................................................................................................
8,400 Centennial HealthCare Corp. (NON) 130,200
- ----------------------------------------------------------------------------------------------------
Manufacturing (0.1%)
....................................................................................................
34,100 American Bank Note Holographics, Inc. (NON) 596,750
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (0.9%)
....................................................................................................
49,620 Baxter International, Inc. 3,191,186
....................................................................................................
27,800 Centocor, Inc. (NON) 1,254,475
....................................................................................................
5,000 Igen, Inc. (NON) 153,125
....................................................................................................
28,035 Johnson & Johnson 2,351,436
....................................................................................................
13,600 McKesson Corp. 1,075,250
....................................................................................................
4,500 Minimed, Inc. (NON) 471,375
....................................................................................................
11,200 Sabratek Corp. (NON) 183,400
....................................................................................................
15,900 Theargenics Corp. (NON) 267,319
....................................................................................................
18,350 Xomed Surgical Products Inc. (NON) 587,200
- ----------------------------------------------------------------------------------------------------
9,534,766
- ----------------------------------------------------------------------------------------------------
Oil and Gas (3.3%)
....................................................................................................
47,950 Atlantic Richfield Co. 3,128,738
....................................................................................................
25,017 British Petroleum PLC ADR
(United Kingdom) 2,376,615
....................................................................................................
65,986 Burmah Castrol PLC (United Kingdom) 940,654
....................................................................................................
36,835 Chevron, Inc. 3,055,003
....................................................................................................
53,000 Conoco, Inc. (NON) 1,106,375
....................................................................................................
10,752 Elf Aquitaine S.A. (France) 1,242,828
....................................................................................................
11,495 Enron Corp. 655,933
....................................................................................................
149,626 Ente Nazionale Idrocarburi (ENI) SPA
(Italy) (NON) 978,540
....................................................................................................
118,706 Exxon Corp. 8,680,376
....................................................................................................
46,850 Halliburton Co. 1,387,931
....................................................................................................
153,000 Hong Kong and China Gas Co., Ltd.
(Hong Kong) 194,543
....................................................................................................
45,160 Kerr-McGee Corp. 1,727,370
....................................................................................................
30,140 Mobil Corp. 2,625,948
....................................................................................................
61,595 Sonat, Inc. 1,666,915
....................................................................................................
32,745 Texaco, Inc. 1,731,392
....................................................................................................
51,100 Tosco Corp. 1,322,213
....................................................................................................
8,902 Total S.A. Class B, (France) 901,557
- ----------------------------------------------------------------------------------------------------
33,722,931
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (0.3%)
....................................................................................................
61,895 Boise Cascade Corp. 1,918,745
....................................................................................................
34,791 Svenska Cellulosa AB Class B, (Sweden) 758,375
- ----------------------------------------------------------------------------------------------------
2,677,120
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (5.4%)
....................................................................................................
72,285 American Home Products Corp. 4,070,549
....................................................................................................
73,500 Bristol-Myers Squibb Co. 9,835,219
....................................................................................................
14,400 Coulter Pharmaceutical, Inc. (NON) 432,000
....................................................................................................
8,000 Eisai Co. Ltd. (Japan) (NON) 155,505
....................................................................................................
18,612 Glaxo Wellcome PLC (United Kingdom) 638,004
....................................................................................................
49,100 Lilly (Eli) & Co. 4,363,763
....................................................................................................
10,200 Medicis Pharmaceutical Corp. Class A (NON) 608,175
....................................................................................................
30,000 Merck & Co., Inc. 4,430,625
....................................................................................................
1,307 Novartis AG ADR (Switzerland) 2,569,276
....................................................................................................
42,700 Pfizer, Inc. 5,356,181
....................................................................................................
101,922 Pharmacia & Upjohn, Inc. 5,771,333
....................................................................................................
37,146 Pharmacia & Upjohn, Inc. ADS (Sweden) 2,076,882
....................................................................................................
3,100 Priority Healthcare Corp. Class B (NON) 160,813
....................................................................................................
26,000 Sankyo Co., Ltd. (Japan) 567,415
....................................................................................................
118,400 Schering-Plough Corp. 6,541,600
....................................................................................................
83,600 Warner-Lambert Co. 6,285,675
....................................................................................................
27,000 Yamanouchi Pharmaceutical Co., Ltd.
(Japan) 868,351
- ----------------------------------------------------------------------------------------------------
54,731,366
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (0.1%)
....................................................................................................
26,800 Quintiles Transnational Corp. (NON) 1,430,450
- ----------------------------------------------------------------------------------------------------
Photography (0.3%)
....................................................................................................
41,200 Canon, Inc. (Japan) 879,113
....................................................................................................
29,260 Eastman Kodak Co. 2,106,720
- ----------------------------------------------------------------------------------------------------
2,985,833
- ----------------------------------------------------------------------------------------------------
Publishing (0.4%)
....................................................................................................
4,400 Consolidated Graphics, Inc. (NON) 297,275
....................................................................................................
14,235 McGraw-Hill, Inc. 1,450,191
....................................................................................................
38,000 Times Mirror Co. Class A 2,128,000
- ----------------------------------------------------------------------------------------------------
3,875,466
- ----------------------------------------------------------------------------------------------------
Real Estate (--%)
....................................................................................................
55,000 Cheung Kong Holdings Ltd. (Hong Kong) 395,819
....................................................................................................
165,300 Unione Immobiliare SPA (Italy) (NON) 86,284
- ----------------------------------------------------------------------------------------------------
482,103
- ----------------------------------------------------------------------------------------------------
Retail (5.2%)
....................................................................................................
8,462 99 Cents Only Stores (NON) 415,696
....................................................................................................
7,700 Bebe Stores, Inc. (NON) 272,388
....................................................................................................
7,400 Coldwater Creek Inc. (NON) 101,750
....................................................................................................
38,900 Coles Myer Ltd. (Australia) (NON) 203,382
....................................................................................................
7,900 Cost Plus, Inc. (NON) 247,863
....................................................................................................
65,600 Costco Companies, Inc. (NON) 4,735,500
....................................................................................................
113,654 CVS Corp. 6,250,970
....................................................................................................
63,875 Dixons Group PLC (United Kingdom) 895,209
....................................................................................................
29,900 Federated Department Stores, Inc. (NON) 1,302,519
....................................................................................................
25,200 Gap, Inc. (The) 1,417,500
....................................................................................................
8,500 Hibbett Sporting Goods, Inc. (NON) 206,125
....................................................................................................
78,800 Home Depot, Inc. (The) 4,821,575
....................................................................................................
122,110 K mart Corp. (NON) 1,869,809
....................................................................................................
33,400 Koninklijke Ahold N.V. (Netherlands) 1,233,285
....................................................................................................
20,200 Kroger Co. (NON) 1,222,100
....................................................................................................
19,000 Linens 'N Things, Inc. (NON) 752,875
....................................................................................................
53,970 Marks & Spencer PLC (United Kingdom) 368,802
....................................................................................................
32,405 Penney (J.C.) Co., Inc. 1,518,984
....................................................................................................
26,725 Rent-Way, Inc. (NON) 649,760
....................................................................................................
77,900 Safeway, Inc. (NON) 4,747,031
....................................................................................................
45,880 Sears, Roebuck & Co. 1,949,900
....................................................................................................
12,700 The Men's Wearhouse, Inc. (NON) 403,225
....................................................................................................
119,000 TJX Cos., Inc. (The) 3,451,000
....................................................................................................
68,120 Toys "R" Us, Inc. (NON) 1,149,525
....................................................................................................
12,722 Vendex International N.V.
(Netherlands) 308,658
....................................................................................................
103,900 Wal-Mart Stores, Inc. 8,461,356
....................................................................................................
75,600 Walgreen Co. 4,427,325
- ----------------------------------------------------------------------------------------------------
53,384,112
- ----------------------------------------------------------------------------------------------------
Satellite Services (0.1%)
....................................................................................................
24,199 Hellenic Telecommunication
Organization S.A. (Greece) 643,522
- ----------------------------------------------------------------------------------------------------
Specialty Consumer Products (0.1%)
....................................................................................................
7,500 Action Performance Cos., Inc. (NON) 265,313
....................................................................................................
6,338 Gucci Group N.V. (Netherlands) 308,185
....................................................................................................
14,000 Guitar Center, Inc. (NON) 344,750
- ----------------------------------------------------------------------------------------------------
918,248
- ----------------------------------------------------------------------------------------------------
Telecommunications (4.0%)
....................................................................................................
25,700 Airtouch Communications, Inc. (NON) 1,853,613
....................................................................................................
31,700 ALLTEL Corp. 1,896,056
....................................................................................................
36,700 Ascend Communications, Inc. (NON) 2,413,025
....................................................................................................
7,000 BCE, Inc. (Canada) (NON) 264,587
....................................................................................................
8,100 Black Box Corp. (NON) 306,788
....................................................................................................
60,800 Cable & Wireless Optus Ltd. 144A
(Australia) (NON) 127,525
....................................................................................................
108,801 Cable & Wireless PLC (United Kingdom) 1,332,776
....................................................................................................
22,360 Deutsche Telekom AG (Germany) (NON) 735,800
....................................................................................................
13,300 E. Spire Communications, Inc. (NON) 84,788
....................................................................................................
40,189 Ericsson Class B, (Sweden) 955,231
....................................................................................................
3,709 Excel Switching Corp. (NON) 140,942
....................................................................................................
3,600 Exodus Communications, Inc. (NON) 231,300
....................................................................................................
4,380 France Telecom S.A. (France) 347,974
....................................................................................................
31,300 General Instrument Corp. (NON) 1,062,244
....................................................................................................
6,900 Intermedia Communications, Inc. (NON) 119,025
....................................................................................................
71,900 Lucent Technologies, Inc. 7,909,000
....................................................................................................
50,175 MediaOne Group Inc. (NON) 2,358,225
....................................................................................................
91,300 MCI WorldCom, Inc. (NON) 6,550,775
....................................................................................................
33,800 Orange PLC ADR (United Kingdom) (NON) 391,396
....................................................................................................
12,886 Oy Nokia AB Class A, (Finland) 1,567,609
....................................................................................................
11,427 Portugal Telecom S.A. (Portugal) 523,133
....................................................................................................
11,307 Royal PTT (United Kingdom) 565,500
....................................................................................................
1,500 Swisscom AG 627,970
....................................................................................................
237,300 Telecom Italia SPA (Italy) 2,026,128
....................................................................................................
2 Telecomunicacoes de Sao Paulo S.A.
(Brazil) 80
....................................................................................................
3,285 Telesp Celular Participacoes S.A. ADR
(Brazil) (NON) 57,497
....................................................................................................
8,212 Telesp Participacoes S.A. ADR (Brazil) 181,691
....................................................................................................
34,753 Telfonica de Espana (Spain) (NON) 1,545,285
....................................................................................................
34,753 Telfonica S.A. (France) (NON) 30,857
....................................................................................................
58,681 U S West, Inc. 3,792,260
....................................................................................................
20,038 Vodafone Group PLC (United Kingdom) 324,178
....................................................................................................
6,400 WinStar Communications. Inc. (NON) 249,600
- ----------------------------------------------------------------------------------------------------
40,572,858
- ----------------------------------------------------------------------------------------------------
Transportation (0.8%)
....................................................................................................
44,200 Bombardier, Inc. (Canada) 635,348
....................................................................................................
103,709 British Airways PLC (United Kingdom) 696,657
....................................................................................................
53,018 Burlington Northern Santa Fe Corp. 1,789,358
....................................................................................................
10,887 Deutsche Lufthansa AG (Germany) 240,582
....................................................................................................
14,100 Eagle USA Airfreight, Inc. (NON) 345,450
....................................................................................................
7,750 Expeditors International of
Washington, Inc. 325,500
....................................................................................................
21,900 Mesaba Holdings, Inc. 451,688
....................................................................................................
43,333 Peninsular and Oriental Steam
Navigation Co. (United Kingdom) 510,343
....................................................................................................
12,000 Singapore Airlines Ltd. (Singapore) 88,027
....................................................................................................
9,800 SkyWest, Inc. 320,338
....................................................................................................
89,797 Southwest Airlines Co. 2,014,820
....................................................................................................
30,065 TNT Post Group N.V. (Netherlands) (NON) 967,775
- ----------------------------------------------------------------------------------------------------
8,385,886
- ----------------------------------------------------------------------------------------------------
Utilities (4.5%)
....................................................................................................
65,210 American Telephone & Telegraph Co. 4,907,053
....................................................................................................
22,280 Ameritech Corp. 1,411,995
....................................................................................................
11,800 Companhia Energetica de Minas Gerais
ADR (Brazil) 227,150
....................................................................................................
44,295 Consolidated Edison, Inc. 2,342,098
....................................................................................................
41,060 Dominion Resources, Inc. 1,919,555
....................................................................................................
32,085 Duke Energy Corp. 2,055,445
....................................................................................................
61,510 Edison International 1,714,591
....................................................................................................
29,977 Electricidade de Portugal S.A. (Portugal) 659,007
....................................................................................................
70,780 Entergy Corp. 2,203,028
....................................................................................................
52,900 GTE Corp. 3,438,500
....................................................................................................
16,200 Independent Energy Holdings PLC
(United Kingdom) (NON) 145,800
....................................................................................................
127 Nippon Telegraph and Telephone Corp.
(Japan) 978,477
....................................................................................................
55,400 Peco Energy Co. 2,306,025
....................................................................................................
155,356 SBC Communications, Inc. 8,330,966
....................................................................................................
161,115 Scottish Power PLC (United Kingdom) 1,649,122
....................................................................................................
81,355 Sprint Corp. 6,843,989
....................................................................................................
6,702 Telefonos de Mexico S.A. Class L, ADR
(Mexico) 326,304
....................................................................................................
42,220 Texas Utilities Co. 1,971,013
....................................................................................................
46,700 Tokyo Electric Power Co. (Japan) 1,151,202
....................................................................................................
18,407 Veba (Vereinigte Elektrizitaets Bergwerks)
AG (Germany) 1,102,010
- ----------------------------------------------------------------------------------------------------
45,683,330
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $475,816,457) $637,587,775
- ----------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (10.4%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
U.S. Government Agency Mortgage Obligations (7.2%)
....................................................................................................
$5,265,936 Federal Home Loan Mortgage Corp.
Pass-through Certificates 7 1/2s,
April 1, 2028 $5,407,432
....................................................................................................
Federal National Mortgage Association
....................................................................................................
3,895,000 6 1/2s, TBA January 15, 2029 3,920,551
....................................................................................................
3,910,000 6s, Dwarf, TBA, January 15, 2014 3,919,775
....................................................................................................
5,040,000 6s, TBA, January 15, 2029 4,973,844
....................................................................................................
120,040 Federal National Mortgage Association
Adjustable Rate Mortgage 7.346s,
July 1, 2025 121,241
....................................................................................................
Federal National Mortgage Association
Pass-through Certificates
....................................................................................................
364,000 7 1/2s, July 1, 2007 377,249
....................................................................................................
3,080,317 7s, Dwarf, October 1, 2011 3,145,774
....................................................................................................
4,487,150 6 1/2s, with due dates from
June 1, 2028 to November 1, 2028 4,516,587
....................................................................................................
4,590,403 6 1/2s, Dwarf, with due dates from
July 1, 2010 to September 1, 2013 4,654,944
....................................................................................................
3,210,000 6s, May 15, 2008 3,388,540
....................................................................................................
5,352,130 6s, Dwarf, with due dates from
March 1, 2013 to October 1, 2013 5,365,510
....................................................................................................
1,370,000 5 3/4s, April 15, 2003 1,406,387
....................................................................................................
4,437,857 5 1/2s, Dwarf, with due dates from
February 1, 2011 to June 1, 2011 4,394,854
....................................................................................................
Government National Mortgage
Association
....................................................................................................
2,385,000 8s, TBA, January 15, 2029 2,478,897
....................................................................................................
90,394 Government National Mortgage
Association Adjustable Rate Mortgage
7s, September 20, 2024 91,722
....................................................................................................
Government National Mortgage
Association Pass-through Certificates
....................................................................................................
57,874 11s, December 15, 2015 64,360
....................................................................................................
828,343 10s, June 15, 2013 903,929
....................................................................................................
2,003,640 8s, with due dates from
September15, 2020 to June 15, 2027 2,084,713
....................................................................................................
2,799,522 7 1/2s, with due dates from
January 15, 2023 to January 15, 2024 2,888,742
....................................................................................................
9,701,074 7s, with due dates from
October 15, 2023 to
December 15, 2028 9,925,821
....................................................................................................
7,031,977 6 1/2s, with due dates from
December 15, 2027 to
December 15, 2028 7,102,297
- ----------------------------------------------------------------------------------------------------
71,133,169
- ----------------------------------------------------------------------------------------------------
U.S. Treasury Obligations (3.2%)
....................................................................................................
U.S. Treasury Bonds
....................................................................................................
2,105,000 6 3/8s, August 15, 2027 (SEG) 2,419,424
....................................................................................................
3,015,000 6 1/8s, November 15, 2027 3,374,901
....................................................................................................
5,000 5 1/2s, August 15, 2028 5,234
....................................................................................................
728,000 5 5/8s, May 15, 2008 (SEG) 776,798
....................................................................................................
2,505,000 5 1/4s, November 15, 2028 2,564,494
....................................................................................................
6,100,000 5 1/4s, August 15, 2003 (SEG) 6,255,367
....................................................................................................
3,805,000 4 3/4s, November 15, 2008 3,834,717
....................................................................................................
2,480,000 4 5/8s, November 30, 2000 2,481,538
....................................................................................................
7,265,000 4 1/2s, September 30, 2000 7,249,090
....................................................................................................
3,515,000 4 1/4s, November 15, 2003 3,469,973
....................................................................................................
550,000 4s, October 31, 2000 544,071
- ----------------------------------------------------------------------------------------------------
32,975,607
- ----------------------------------------------------------------------------------------------------
Total U.S. Government and
Agency Obligations
(cost $104,303,966) $104,108,776
- ----------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES (8.7%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
Advertising (0.1%)
....................................................................................................
$100,000 Adams Outdoor Advertising sr. notes
10 3/4s, 2006 $107,500
....................................................................................................
255,000 Lamar Advertising Co. sr. sub. notes
9 5/8s, 2006 275,400
....................................................................................................
20,000 Lamar Advertising Co. company
guaranty 8 5/8s, 2007 21,200
....................................................................................................
225,000 Outdoor Communications Inc. sr. sub.
notes 9 1/4s, 2007 238,500
....................................................................................................
15,000 Outdoor Systems, Inc. sr. sub. notes
9 3/8s, 2006 16,200
....................................................................................................
100,000 Outdoor Systems, Inc. company
guaranty 8 7/8s, 2007 106,750
- ----------------------------------------------------------------------------------------------------
765,550
- ----------------------------------------------------------------------------------------------------
Aerospace and Defense (0.2%)
....................................................................................................
20,000 Argo-Tech Corp. company guaranty
8 5/8s, 2007 18,900
....................................................................................................
60,000 Argo-Tech Corp. 144A sr. sub. notes
8 5/8s, 2007 56,700
....................................................................................................
110,000 Aviation Sales Co. company guaranty
8 1/8s, 2008 108,900
....................................................................................................
200,000 BE Aerospace, Inc. sr. sub. notes
Ser. B, 9 7/8s, 2006 208,500
....................................................................................................
40,000 BE Aerospace, Inc. 144A sr. sub.
notes 9 1/2s, 2008 42,200
....................................................................................................
60,000 BE Aerospace, Inc. sr. sub. notes
Ser. B, 8s, 2008 58,800
....................................................................................................
125,000 Derlan Industries Ltd. sr. notes 10s,
2007 (Canada) 101,250
....................................................................................................
25,000 K&F Industries, Inc. sr. sub. notes Ser. B,
9 1/4s, 2007 25,250
....................................................................................................
50,000 L-3 Communications Corp. sr. sub.
notes Ser. B, 10 3/8s, 2007 54,875
....................................................................................................
50,000 L-3 Communications Corp. sr. sub.
notes 8 1/2s, 2008 51,500
....................................................................................................
50,000 L-3 Communications Corp. 144A
sr. sub. notes 8s, 2008 50,375
....................................................................................................
275,000 Lockheed Martin Corp. company
guaranty 7 1/4s, 2006 297,525
....................................................................................................
460,000 Raytheon Co notes 6.45s, 2002 471,785
....................................................................................................
5,000 Sequa Corp. sr. sub. notes 9 3/8s, 2003 5,088
- ----------------------------------------------------------------------------------------------------
1,551,648
- ----------------------------------------------------------------------------------------------------
Agriculture (0.1%)
....................................................................................................
579,913 Premium Standard Farms, Inc. sr. sec.
notes 11s, 2003 (acquired various
dates from 10/11/96 to 4/7/97
cost $594,783) (PIK) (RES) 579,913
....................................................................................................
100,000 Purina Mills, Inc. 144A sr. sub. notes
9s, 2010 99,500
- ----------------------------------------------------------------------------------------------------
679,413
- ----------------------------------------------------------------------------------------------------
Apparel (--%)
....................................................................................................
50,000 Sassco Fashions Ltd. sr. notes
12 3/4s, 2004 49,500
....................................................................................................
50,000 William Carter Holdings Co. sr. sub.
notes Ser. A, 12s, 2008 53,750
....................................................................................................
125,000 William Carter Holdings Co. sr. sub.
notes Ser. A, 10 3/8s, 2006 134,375
- ----------------------------------------------------------------------------------------------------
237,625
- ----------------------------------------------------------------------------------------------------
Automotive (0.3%)
....................................................................................................
40,000 Aftermarket Technology Corp. sr. sub.
notes 12s, 2004 42,000
....................................................................................................
380,000 Chrysler Corp. deb. Ser. B, 7.45s, 2097 432,151
....................................................................................................
170,000 Hayes Lemmerz International, Inc.
144A company guaranty 8 1/4s, 2008 169,150
....................................................................................................
1,810,000 Hertz Corp. sr. notes 7s, 2028 1,859,485
....................................................................................................
75,000 Lear Corp. sub. notes 9 1/2s, 2006 82,688
....................................................................................................
180,000 Navistar International Corp. sr. notes
Ser. B, 8s, 2008 183,150
....................................................................................................
250,000 Navistar International Corp. sr. notes
Ser. B, 7s, 2003 251,250
....................................................................................................
45,000 Safety Components International, Inc.
sr. sub. notes Ser. B, 10 1/8s, 2007 44,100
....................................................................................................
160,000 Talon Automotive Group sr. sub. notes
Ser. B, 9 5/8s, 2008 153,600
- ----------------------------------------------------------------------------------------------------
3,217,574
- ----------------------------------------------------------------------------------------------------
Banks (0.1%)
....................................................................................................
385,000 Firstar Bank Milwaukee sr. bank notes
6 1/4s, 2002 394,544
....................................................................................................
835,000 Fuji JGB Inv. LLC 144A FLIRB 9.87s,
2049 (Japan) 597,250
....................................................................................................
5,000 North Fork Capital Trust I company
guaranty 8.7s, 2026 5,564
....................................................................................................
15,000 Ocwen Capital Trust I company
guaranty 10 7/8s, 2027 12,000
....................................................................................................
5,000 Ocwen Federal Bank FSB sub. deb.
12s, 2005 3,750
....................................................................................................
10,000 Ocwen Financial Corp. notes
11 7/8s, 2003 7,500
....................................................................................................
30,000 Peoples Heritage Capital Trust
company guaranty Ser. B, 9.06s, 2027 31,150
....................................................................................................
70,000 Provident Capital Trust company
guaranty 8.6s, 2026 79,465
....................................................................................................
80,000 Riggs Capital Trust 144A bonds
8 5/8s, 2026 81,314
....................................................................................................
50,000 Sovereign Capital Trust company
guaranty 9s, 2027 47,636
....................................................................................................
5,000 Webster Capital Trust I 144A bonds
9.36s, 2027 5,214
- ----------------------------------------------------------------------------------------------------
1,265,387
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (--%)
....................................................................................................
65,000 Owens-Illinois, Inc. sr. notes 8.1s, 2007 68,828
....................................................................................................
125,000 W. R. Carpenter North America, Inc.
company guaranty 10 5/8s, 2007 126,563
- ----------------------------------------------------------------------------------------------------
195,391
- ----------------------------------------------------------------------------------------------------
Broadcasting (0.3%)
....................................................................................................
115,000 Affinity Group Holdings sr. notes
11s, 2007 117,300
....................................................................................................
390,000 Benedek Broadcasting sr. notes
11 7/8s, 2005 425,100
....................................................................................................
175,000 Capstar Broadcasting sr. disc. notes
stepped-coupon zero % (12 3/4s,
2/1/02), 2009 (STP) 143,500
....................................................................................................
110,000 Capstar Broadcasting sr. sub. notes
9 1/4s, 2007 114,400
....................................................................................................
1,300 CBS Corp. sub. deb. 11 3/8s, 2009 (PIK) 1,521
....................................................................................................
70,000 CBS Corp. notes 6 7/8s, 2003 72,353
....................................................................................................
10,000 Central European Media Enterprises
Ltd. sr. notes 9 3/8s, 2004 (Bermuda) 8,350
....................................................................................................
40,000 Chancellor Media Corp. sr. sub notes
Ser. B, 8 1/8s, 2007 40,000
....................................................................................................
320,000 Chancellor Media Corp. 144A sr. notes
8s, 2008 327,200
....................................................................................................
40,000 Citadel Broadcasting, Inc. sr. sub. notes
10 1/4s, 2007 43,600
....................................................................................................
90,000 Citadel Broadcasting, Inc. 144A sr. sub.
notes 9 1/4s, 2008 94,050
....................................................................................................
100,000 Comcast Corp. sr. sub. notes 9 1/2s, 2008 104,618
....................................................................................................
100,000 Comcast UK Cable, Ltd. deb.
stepped-coupon zero % (11.2s,
11/15/00), 2007 (Bermuda) (STP) 84,000
....................................................................................................
55,000 Fox Family Worldwide, Inc. sr. disc.
notes stepped-coupon zero % (10 1/4s,
11/1/02), 2007 (STP) 34,650
....................................................................................................
130,000 Fox Family Worldwide, Inc. sr. notes
9 1/4s, 2007 128,700
....................................................................................................
60,000 Fox/Liberty Networks LLC sr. notes
8 7/8s, 2007 61,200
....................................................................................................
225,000 Granite Broadcasting Corp. sr. sub.
notes 9 3/8s, 2005 221,625
....................................................................................................
15,000 Gray Communications Systems, Inc.
sr. sub. notes 10 5/8s, 2006 16,125
....................................................................................................
75,000 Jacor Communications, Inc. company
guaranty Ser. B, 8 3/4s, 2007 81,375
....................................................................................................
30,000 Pegasus Communications Corp. 144A
sr. notes 9 3/4s, 2006 30,075
....................................................................................................
10,000 Radio One Inc. company guaranty
stepped-coupon Ser. B, 7s, (12s,
5/15/00), 2004 (STP) 10,000
....................................................................................................
100,000 Sinclair Broadcast Group, Inc. sr. sub.
notes 8 3/4s, 2007 101,000
....................................................................................................
80,000 Spanish Broadcasting Systems sr. notes
Ser. B, 11s, 2004 84,800
....................................................................................................
200,000 Time Warner Telecom Inc. sr. notes
9 3/4s, 2008 209,000
....................................................................................................
100,000 Young Broadcasting Inc. company
guaranty Ser. B, 8 3/4s, 2007 100,500
- ----------------------------------------------------------------------------------------------------
2,655,042
- ----------------------------------------------------------------------------------------------------
Building and Construction (--%)
....................................................................................................
90,000 Albecca Inc. 144A sr. sub. notes
10 3/4s, 2008 88,650
....................................................................................................
25,000 American Architectural Products Corp.
company guaranty 11 3/4s, 2007 21,250
....................................................................................................
10,000 Building Materials Corp. sr. notes
Ser. B, 8 5/8s, 2006 10,350
....................................................................................................
50,000 Building Materials Corp. 144A sr. notes
8s, 2008 50,188
....................................................................................................
25,000 Cia Latino Americana 144A company
guaranty 11 5/8s, 2004 (Argentina) 16,250
....................................................................................................
80,000 D.R. Horton Inc. company guaranty
10s, 2006 82,400
....................................................................................................
155,000 GS Superhighway Holdings sr. notes
9 7/8s, 2004 83,700
....................................................................................................
40,000 Jackson Products, Inc. company
guaranty Ser. B, 9 1/2s, 2005 40,000
....................................................................................................
90,000 Morris Material Handling, Inc.
company guaranty 9 1/2s, 2008 66,600
....................................................................................................
35,000 Presley Cos. sr. notes 12 1/2s, 2001 29,575
....................................................................................................
10,000 Waxman Industries Inc. sr. notes
stepped-coupon Ser. B, zero %
(12 3/4s, 6/1/99), 2004 (STP) 5,000
- ----------------------------------------------------------------------------------------------------
493,963
- ----------------------------------------------------------------------------------------------------
Building Products (--%)
....................................................................................................
75,000 Southdown, Inc. sr. sub. notes
Ser. B, 10s, 2006 81,000
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (0.1%)
....................................................................................................
80,000 Cendant Corp. notes 7 1/2s, 2000 80,496
....................................................................................................
80,000 Cex Holdings, Inc. company guaranty
Ser. B, 9 5/8s, 2008 72,000
....................................................................................................
175,000 Iron Mountain, Inc. company guaranty
10 1/8s, 2006 189,875
....................................................................................................
50,000 Iron Mountain, Inc. company guaranty
8 3/4s, 2009 51,500
....................................................................................................
50,000 Outsourcing Solutions, Inc. sr. sub. notes
Ser. B, 11s, 2006 48,250
....................................................................................................
110,000 U.S. Office Products Co. company
guaranty 9 3/4s, 2008 69,300
....................................................................................................
153,000 United Stationer Supply, Inc. sr. sub. notes
12 3/4s, 2005 170,595
....................................................................................................
20,000 United Stationer Supply, Inc. sr. sub. notes
8 3/8s, 2008 19,956
- ----------------------------------------------------------------------------------------------------
701,972
- ----------------------------------------------------------------------------------------------------
Cable Television (0.3%)
....................................................................................................
40,000 Acme Television sr. disc. notes
stepped-coupon zero % (10 7/8s,
9/30/00), 2004 (STP) 31,900
....................................................................................................
10,000 Adelphia Communications Corp.
sr. notes Ser. B, 10 1/4s, 2000 10,375
....................................................................................................
200,000 Adelphia Communications Corp.
sr. notes Ser. B, 9 7/8s, 2007 221,250
....................................................................................................
160,000 Adelphia Communications Corp. 144A
sr. notes 8 3/8s, 2008 165,600
....................................................................................................
300,000 CSC Holdings, Inc. sr. sub. deb.
9 7/8s, 2013 334,500
....................................................................................................
10,000 CSC Holdings, Inc. sr. sub. notes
9 1/4s, 2005 10,750
....................................................................................................
30,000 CSC Holdings, Inc. deb. 7 7/8s, 2018 30,541
....................................................................................................
80,000 CSC Holdings, Inc. sr. notes 7 1/4s, 2008 81,096
....................................................................................................
225,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(11 3/4s, 12/15/00), 2005 (United
Kingdom) (STP) 185,063
....................................................................................................
70,000 Globo Communicacoes 144A sr. notes
10 5/8s, 2008 (Brazil) 44,188
....................................................................................................
200,000 Grupo Televisa S.A. sr. disc. notes
stepped-coupon zero % (13 1/4s,
5/15/01), 2008 (Mexico) (STP) 147,500
....................................................................................................
200,000 Grupo Televisa S.A. 144A sr. notes
11 7/8s, 2006 (Mexico) 197,000
....................................................................................................
125,000 Jones Intercable, Inc. sr. sub. deb.
10 1/2s, 2008 136,250
....................................................................................................
20,000 Jones Intercable, Inc. sr. notes 9 5/8s, 2002 21,550
....................................................................................................
75,000 Marcus Cable Co. (L.P.) sr. sub.
disc. notes stepped-coupon zero %
(13 1/2s, 8/1/99), 2004 (STP) 75,188
....................................................................................................
90,000 RCN Corp. sr. disc. notes
stepped-coupon zero %,
(11 1/8s, 10/15/02), 2007 (STP) 52,200
....................................................................................................
30,000 Rogers Cablesystems Ltd. sr. notes
Ser. B, 10s, 2005 33,600
....................................................................................................
181,000 SFX Broadcasting, Inc. sr. sub. notes
Ser. B, 10 3/4s, 2006 200,910
....................................................................................................
1,050,000 TCI Communications, Inc. sr. notes
8.65s, 2004 1,203,300
....................................................................................................
30,000 TeleWest Communications PLC 144A
sr. notes 11 1/4s, 2008 (United Kingdom) 33,750
....................................................................................................
120,000 United International Holdings
sr. disc. notes stepped-coupon Ser. B,
zero % (10 3/4s, 2/15/03), 2008 (STP) 63,600
- ----------------------------------------------------------------------------------------------------
3,280,111
- ----------------------------------------------------------------------------------------------------
Chemicals (0.4%)
....................................................................................................
60,000 Geo Specialty Chemicals, Inc. 144A
sr. sub. notes 10 1/8s, 2008 58,200
....................................................................................................
70,000 Huntsman Corp. 144A sr. sub. notes
9 1/2s, 2007 69,650
....................................................................................................
110,000 Huntsman Corp. 144A sr. sub. notes
FRN 9.031s, 2007 103,950
....................................................................................................
105,000 ISP Holdings, Inc. sr. notes Ser. B,
9 3/4s, 2002 109,463
....................................................................................................
430,000 Lubrizol Corp. notes 5 7/8s, 2008 428,534
....................................................................................................
1,310,000 Monsanto Co. 144A deb. 6.6s, 2028 1,305,703
....................................................................................................
30,000 Pioneer Americas Acquisition 144A
sr. notes 9 1/4s, 2007 23,400
....................................................................................................
47,298 Polytama International notes
11 1/4s, 2007 (Indonesia) 9,460
....................................................................................................
1,710,000 Solutia Inc. bonds 6.72s, 2037 1,754,888
....................................................................................................
100,000 Sterling Chemicals Holdings sr. disc. notes
stepped-coupon zero %
(13 1/2s, 8/15/01), 2008 (STP) 40,000
....................................................................................................
90,000 Trikem S.A. 144A bonds 10 5/8s, 2007
(Brazil) 40,500
....................................................................................................
80,000 Union Carbide Global Enterprises
sr. sub. notes Ser. B, 12s, 2005 84,000
- ----------------------------------------------------------------------------------------------------
4,027,748
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (0.1%)
....................................................................................................
20,000 Concentric Network Corp. sr. notes
12 3/4s, 2007 20,400
....................................................................................................
885,000 Dell Computer Corp. deb. 7.1s, 2028 896,700
....................................................................................................
110,000 PSINet, Inc. 144A sr. notes 11 1/2s, 2008 114,950
....................................................................................................
60,000 PSINet, Inc. sr. notes Ser. B, 10s, 2005 58,800
....................................................................................................
30,000 Unisys Corp. sr. notes 7 7/8s, 2008 31,800
....................................................................................................
50,000 Verio Inc. 144A sr. notes 11 1/4s, 2008 50,500
- ----------------------------------------------------------------------------------------------------
1,173,150
- ----------------------------------------------------------------------------------------------------
Computers (--%)
....................................................................................................
195,000 IPC Information Systems sr. disc. notes
stepped-coupon zero % (10 7/8s,
11/1/01), 2008 (STP) 122,850
- ----------------------------------------------------------------------------------------------------
Conglomerates (0.1%)
....................................................................................................
110,000 Axia, Inc. company guaranty
10 3/4s, 2008 111,375
....................................................................................................
650,000 Tyco International Ltd. company
guaranty 6 3/8s, 2005 662,597
....................................................................................................
455,000 Tyco International Ltd. company
guaranty 6 1/4s, 2003 459,655
- ----------------------------------------------------------------------------------------------------
1,233,627
- ----------------------------------------------------------------------------------------------------
Consumer Durable Goods (--%)
....................................................................................................
15,000 Hedstrom Holdings, Inc. 144A
sr. disc. notes stepped-coupon zero %
(12s, 6/1/02), 2009 (STP) 6,750
....................................................................................................
160,000 Iron Age Corp. company guaranty
9 7/8s, 2008 136,000
....................................................................................................
30,000 Sealy Mattress Co. company guaranty
stepped-coupon Ser. B, zero %
(10 7/8s, 12/15/02), 2007 (STP) 18,000
- ----------------------------------------------------------------------------------------------------
160,750
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (0.3%)
....................................................................................................
20,000 Amscan Holdings, Inc. sr. sub. notes
9 7/8s, 2007 18,400
....................................................................................................
50,000 Chattem, Inc. company guaranty
Ser. B, 8 7/8s, 2008 51,500
....................................................................................................
15,000 Doane Products Co. 144A sr. sub.
notes 9 3/4s, 2007 15,338
....................................................................................................
30,000 French Fragrances, Inc. sr. notes
Ser. B, 10 3/8s, 2007 29,625
....................................................................................................
30,000 French Fragrances, Inc. company
guaranty Ser. D, 10 3/8s, 2007 29,550
....................................................................................................
110,000 Guess Jeans, Inc. sr. sub. notes
9 1/2s, 2003 107,800
....................................................................................................
1,020,000 Philip Morris Cos., Inc. notes
7 1/2s, 2004 1,102,171
....................................................................................................
1,340,000 Philip Morris Cos., Inc. notes
7 1/2s, 2002 1,413,311
....................................................................................................
450,000 Revlon Consumer Products sr. sub.
notes 8 5/8s, 2008 409,500
....................................................................................................
50,000 Revlon, Inc. 144A sr. notes 9s, 2006 49,500
- ----------------------------------------------------------------------------------------------------
3,226,695
- ----------------------------------------------------------------------------------------------------
Consumer Services (0.1%)
....................................................................................................
220,000 Century Communications Corp.
sr. notes 9 1/2s, 2005 248,600
....................................................................................................
160,000 Coinmach Corp. sr. notes 11 3/4s, 2005 175,200
....................................................................................................
55,000 FRD Acquisition Co. sr. notes Ser. B,
12 1/2s, 2004 53,625
....................................................................................................
250,000 HMH Properties, Inc. company guaranty
Ser. B, 7 7/8s, 2008 243,125
....................................................................................................
280,000 Host Marriott Travel Plaza sr. notes
Ser. B, 9 1/2s, 2005 293,300
....................................................................................................
200,000 John Q Hammons Hotels, Inc. 1st mtge.
8 7/8s, 2004 186,000
....................................................................................................
40,000 Protection One, Inc. sr. disc. notes
13 5/8s, 2005 45,400
....................................................................................................
150,000 Sun International Hotels Ltd. sr. sub.
notes 8 5/8s, 2007 153,750
....................................................................................................
60,000 Tricon Global Restaurants, Inc. sr. notes
7.45s, 2005 61,575
- ----------------------------------------------------------------------------------------------------
1,460,575
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (0.1%)
....................................................................................................
$35,000 Celestica International Ltd. 144A
sr. sub. notes 10 1/2s, 2006 (Canada) $38,150
....................................................................................................
51,630 Cirent Semiconductor sr. sub. notes
10.22s, 2002 50,856
....................................................................................................
59,260 Cirent Semiconductor 144A sr. sub.
notes 10.14s, 2004 58,148
....................................................................................................
30,000 Details, Inc. sr. sub. notes Ser. B, 10s, 2005 28,500
....................................................................................................
40,000 DII Group, Inc. (The) sr. sub. notes
8 1/2s, 2007 39,200
....................................................................................................
210,000 Dobson Communications Corp. sr. notes
11 3/4s, 2007 208,950
....................................................................................................
172,351 Fairchild Semiconductor Corp. 144A
sr. sub. notes 11.74s, 2008 144,774
....................................................................................................
200,000 Fairchild Semiconductor Corp. sr. sub.
notes 10 1/8s, 2007 200,000
....................................................................................................
35,000 Flextronics International Ltd. sr. sub. notes
Ser. B, 8 3/4s, 2007 35,963
....................................................................................................
40,000 HCC Industries, Inc. company guaranty
10 3/4s, 2007 38,400
....................................................................................................
200,000 Metromedia Fiber Network, Inc. 144A
sr. notes 10s, 2008 205,000
....................................................................................................
95,000 Motors and Gears, Inc. sr. notes Ser. B,
10 3/4s, 2006 96,900
....................................................................................................
20,000 Samsung Electronics 144A company
guaranty 9 3/4s, 2003 19,000
....................................................................................................
180,000 Viasystems, Inc. 144A sr. notes
9 3/4s, 2007 167,400
....................................................................................................
20,000 Wavetek Corp. company guaranty
10 1/8s, 2007 19,000
....................................................................................................
150,000 Zilog, Inc. company guaranty Ser. B,
9 1/2s, 2005 120,000
- ----------------------------------------------------------------------------------------------------
1,470,241
- ----------------------------------------------------------------------------------------------------
Electric Utilities (--%)
....................................................................................................
100,000 York Power Funding 144A company
guaranty 12s, 2007 (Cayman Islands) 102,000
- ----------------------------------------------------------------------------------------------------
Energy-Related (0.1%)
....................................................................................................
300,000 Calpine Corp. sr. notes 10 1/2s, 2006 321,750
....................................................................................................
110,000 Calpine Corp. sr. notes 7 7/8s, 2008 107,250
....................................................................................................
70,000 Gothic Production Corp. company
guaranty Ser. B, 11 1/8s, 2005 53,900
....................................................................................................
5,000 Panda Global Energy Co. company
guaranty 12 1/2s, 2004 2,100
....................................................................................................
300,000 PP&L Capital Funding, Inc. company
guaranty 5.9s, 2000 295,500
....................................................................................................
60,000 RAM Energy Inc. sr. notes 11 1/2s, 2008 39,600
- ----------------------------------------------------------------------------------------------------
820,100
- ----------------------------------------------------------------------------------------------------
Entertainment (0.3%)
....................................................................................................
95,000 AMC Entertainment, Inc. sr. sub. notes
9 1/2s, 2009 96,900
....................................................................................................
135,000 Cinemark USA, Inc. sr. sub. notes
9 5/8s, 2008 141,413
....................................................................................................
50,000 Coast Hotels & Casinos, Inc. 1st mtge.
company guaranty Ser. B, 13s, 2002 56,250
....................................................................................................
185,150 Colorado Gaming & Entertainment Co.
sr. notes 12s, 2003 198,111
....................................................................................................
140,000 Fitzgeralds Gaming Corp. company
guaranty Ser. B, 12 1/4s, 2004 75,600
....................................................................................................
10,000 Isle of Capri Black Hawk LLC 144A
1st mortgage Ser. B, 13s, 2004 11,000
....................................................................................................
100,000 Premier Parks, Inc. sr. notes Ser. A,
12s, 2003 108,250
....................................................................................................
165,000 Premier Parks, Inc. sr. notes 9 1/4s, 2006 172,013
....................................................................................................
90,000 PRT Funding Corp. sr. notes
11 5/8s, 2004 (In Default) (NON) 49,725
....................................................................................................
70,000 SFX Entertainment, Inc. 144A company
guaranty Ser. B, 9 1/8s, 2008 70,350
....................................................................................................
80,000 SFX Entertainment, Inc. 144A sr. sub.
notes 9 1/8s, 2008 80,000
....................................................................................................
90,000 Silver Cinemas Inc. sr. sub. notes
10 1/2s, 2005 61,200
....................................................................................................
225,000 Six Flags Corp. sr. sub. notes 12 1/4s, 2005 248,625
....................................................................................................
365,000 Time Warner Entertainment Inc. notes
8 7/8s, 2012 452,425
....................................................................................................
80,000 Trump A.C. company guaranty
11 1/4s, 2006 70,400
....................................................................................................
190,000 Trump Castle Funding 144A sub. notes
10 1/4s, 2003 191,900
....................................................................................................
110,000 United Artists Theatre Ser. B sr.
sub. notes 9 3/4s, 2008 105,600
....................................................................................................
835,000 Walt Disney Co. med. term notes
5.62s, 2008 827,485
- ----------------------------------------------------------------------------------------------------
3,017,247
- ----------------------------------------------------------------------------------------------------
Environmental Control (0.2%)
....................................................................................................
240,000 Allied Waste Industries, Inc. 144A
sr. notes 7 7/8s, 2009 243,000
....................................................................................................
120,000 Allied Waste Industries, Inc. 144A
sr. notes 7 5/8s, 2006 121,500
....................................................................................................
30,000 ATC Group Services, Inc. company
guaranty 12s, 2008 3,000
....................................................................................................
1,705,000 WMX Technologies Inc. notes 7.1s, 2026 1,815,143
- ----------------------------------------------------------------------------------------------------
2,182,643
- ----------------------------------------------------------------------------------------------------
Food and Beverages (0.1%)
....................................................................................................
30,000 Ameriserve Food Co. company guaranty
10 1/8s, 2007 26,850
....................................................................................................
50,000 Ameriserve Food Co. company guaranty
8 7/8s, 2006 47,000
....................................................................................................
45,000 Aurora Foods, Inc. sr. sub. notes Ser. B,
9 7/8s, 2007 49,050
....................................................................................................
80,000 Aurora Foods, Inc. 144A ser. sub. notes
Ser. D, 9 7/8s, 2007 87,200
....................................................................................................
250,000 Canandaigua Wine Co. sr. sub. notes
8 3/4s, 2003 256,250
....................................................................................................
5,000 Canandaigua Wine Co. sr. sub. notes
Ser. C, 8 3/4s, 2003 5,150
....................................................................................................
65,000 Fleming Companies, Inc. company
guaranty Ser. B, 10 1/2s, 2004 61,100
....................................................................................................
140,000 RAB Enterprises, Inc. 144A sr. notes
10 1/2s, 2005 105,000
....................................................................................................
200,000 Signature Brands Ltd. sr. sub. notes
13s, 2002 (Canada) 224,000
....................................................................................................
100,000 Stater Brothers Holdings 144A sr. sub.
notes 9s, 2004 97,000
- ----------------------------------------------------------------------------------------------------
958,600
- ----------------------------------------------------------------------------------------------------
Gaming (0.1%)
....................................................................................................
150,000 Argosy Gaming Co. company guaranty
13 1/4s, 2004 168,188
....................................................................................................
50,000 Circus Circus Enterprises, Inc. sr. sub.
notes 9 1/4s, 2005 51,000
....................................................................................................
20,000 Circus Circus Enterprises, Inc. sr. notes
6.45s, 2006 17,974
....................................................................................................
100,000 Harrahs Entertainment, Inc. company
guaranty 7 7/8s, 2005 99,500
....................................................................................................
150,000 Mohegan Tribal Gaming Auth. sr. notes
Ser. B, 13 1/2s, 2002 180,750
....................................................................................................
150,000 Park Place Entertainment sr. sub. notes
7 7/8s, 2005 150,750
- ----------------------------------------------------------------------------------------------------
668,162
- ----------------------------------------------------------------------------------------------------
Health Care (0.2%)
....................................................................................................
60,000 Conmed Corp. company guaranty
9s, 2008 60,000
....................................................................................................
250,000 Extendicare Health Services, Inc.
company guaranty 9.35s, 2007 239,688
....................................................................................................
110,000 Global Health Sciences company
guaranty 11s, 2008 73,700
....................................................................................................
90,000 Hudson Respiratory Care, Inc. sr. sub.
notes 9 1/8s, 2008 70,200
....................................................................................................
110,000 Integrated Health Services, Inc. sr. sub.
notes Ser. A, 9 1/2s, 2007 104,500
....................................................................................................
110,000 Integrated Health Services, Inc. sr. sub.
notes Ser. A, 9 1/4s, 2008 103,400
....................................................................................................
630,000 Manor Care, Inc. sr. notes 7 1/2s, 2006 629,011
....................................................................................................
80,000 Mariner Post-Acute Network, Inc.
sr. sub. notes stepped-coupon Ser. B,
zero % (10 1/2s, 11/1/02), 2007 (STP) 38,800
....................................................................................................
130,000 Mariner Post-Acute Network, Inc.
sr. sub. notes Ser. B, 9 1/2s, 2007 105,950
....................................................................................................
260,000 Multicare Cos., Inc. sr. sub. notes 9s, 2007 239,200
....................................................................................................
60,000 Paracelsus Healthcare sr. sub. notes
10s, 2006 54,750
....................................................................................................
50,000 Paragon Corp. Holdings, Inc. company
guaranty Ser. B, 9 5/8s, 2008 42,000
....................................................................................................
125,000 Tenet Healthcare Corp. sr. sub. notes
8 5/8s, 2007 130,625
....................................................................................................
40,000 Tenet Healthcare Corp. 144A sr. sub.
notes 8 1/8s, 2008 41,000
....................................................................................................
90,000 Tenet Healthcare Corp.144A sr. notes
7 5/8s, 2008 91,350
- ----------------------------------------------------------------------------------------------------
2,024,174
- ----------------------------------------------------------------------------------------------------
Hospital Management and Medical Services (--%)
....................................................................................................
175,000 MedPartners, Inc. sr. notes 7 3/8s, 2006 138,033
....................................................................................................
150,000 Magellan Health Services, Inc. sr.
sub. notes 9s, 2008 138,000
- ----------------------------------------------------------------------------------------------------
276,033
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (2.0%)
....................................................................................................
100,000 Aames Financial Corp. sr. notes
9 1/8s, 2003 60,000
....................................................................................................
970,000 AFC Capital Trust company guaranty
Ser. B, 8.207s, 2027 1,107,362
....................................................................................................
1,515,000 American General Institute 144A
company guaranty Ser. B, 8 1/8s, 2046 1,738,841
....................................................................................................
805,000 Banponce Financial Corp. med. term
note 7 1/8s, 2002 821,623
....................................................................................................
115,000 Chevy Chase Savings Bank Inc. sub. deb.
9 1/4s, 2005 115,000
....................................................................................................
80,000 Colonial Capital I 144A company
guaranty 8.92s, 2027 81,960
....................................................................................................
40,000 Delta Financial Corp. sr. notes
9 1/2s, 2004 33,600
....................................................................................................
35,000 Dime Capital Trust I bank guaranty
Ser. A, 9.33s, 2027 37,803
....................................................................................................
30,000 Dine S.A. de C.V. company guaranty
8 3/4s, 2007 (Luxembourg) 24,600
....................................................................................................
45,000 Dollar Financial Group Inc. sr. notes
Ser. A, 10 7/8s, 2006 45,450
....................................................................................................
430,000 DTI Holdings Inc. sr. disc. notes,
stepped-coupon Ser. B, zero %
(12 1/2s, 3/01/03), 2008 (STP) 109,650
....................................................................................................
325,000 First Financial Caribbean Corp. sr. notes
7.84s, 2006 341,045
....................................................................................................
80,000 Fleet Financial Group, Inc. sub. deb.
6 7/8s, 2028 83,978
....................................................................................................
30,000 Greenpoint Capital Trust I company
guaranty 9.1s, 2027 31,678
....................................................................................................
175,000 Imperial Credit Capital Trust I 144A
company guaranty 10 1/4s, 2002 133,000
....................................................................................................
85,000 Imperial Credit Industries, Inc. sr. notes
9 7/8s, 2007 65,450
....................................................................................................
10,000 Investors Capital Trust I company
guaranty Ser. B, 9.77s, 2027 10,800
....................................................................................................
DEM 3,445,000 Kreditanstalt Fuer Wiederauf bonds
5s, 2009 (Germany) 2,209,223
....................................................................................................
1,290,000 Merita Bank Ltd. sub. notes 6 1/2s,
2006 (Finland) 1,313,452
....................................................................................................
500,000 Money Store, Inc. notes 8.05s, 2002 537,575
....................................................................................................
1,950,000 NationsBank Corp. sub. notes
6 7/8s, 2005 2,071,115
....................................................................................................
30,000 Nationwide Credit Inc. sr. notes Ser. A,
10 1/4s, 2008 24,000
....................................................................................................
275,000 Orange Cogen Funding 144A company
guaranty 8.175s, 2022 292,078
....................................................................................................
1,500,000 Paine Webber Group, Inc. sr. notes
6.55s, 2008 1,501,440
....................................................................................................
705,000 Peoples Bank- Bridgeport sub. notes
7.2s, 2006 664,244
....................................................................................................
765,000 Phoenix Home Life Mutual Insurance
Co. 144A notes 6.95s, 2006 807,702
....................................................................................................
1,040,000 Popular, Inc. med. term notes 6.4s, 2000 1,042,704
....................................................................................................
1,270,000 Provident Companies, Inc. bonds
7.405s, 2038 1,304,925
....................................................................................................
755,000 Sampoerna International Finance Co.
144A company guaranty 8 3/8s, 2006
(Indonesia) 385,050
....................................................................................................
720,000 Sears Roebuck Acceptance Corp. notes
6 1/2s, 2028 711,497
....................................................................................................
650,000 St. Paul Bancorp sr. notes 7 1/8s, 2004 689,494
....................................................................................................
890,000 The CIT Group, Inc. notes 5 1/2s, 2001 892,412
....................................................................................................
865,000 TIG Holdings, Inc. notes 8 1/8s, 2005 934,624
- ----------------------------------------------------------------------------------------------------
20,223,375
- ----------------------------------------------------------------------------------------------------
Lodging (--%)
....................................................................................................
70,000 Epic Resorts LLC company guaranty
Ser. B, 13s, 2005 67,900
....................................................................................................
145,000 Prime Hospitality Corp. sub. notes
9 3/4s, 2007 145,725
....................................................................................................
40,000 Raintree Resorts International, Inc.
sr. notes Ser. B, 13s, 2004 22,000
- ----------------------------------------------------------------------------------------------------
235,625
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (--%)
....................................................................................................
120,000 ALARIS Medical Systems, Inc. company
guaranty 9 3/4s, 2006 122,400
....................................................................................................
105,000 Graphic Controls Corp. sr. sub. notes
Ser. A, 12s, 2005 120,750
....................................................................................................
100,000 Kinetic Concepts, Inc. company guaranty
Ser. B, 9 5/8s, 2007 96,000
....................................................................................................
110,000 Mediq, Inc. company guaranty 11s, 2008 105,600
....................................................................................................
80,000 Mediq, Inc. deb. stepped-coupon
zero %, (13s, 6/1/03) 2009 (STP) 36,000
- ----------------------------------------------------------------------------------------------------
480,750
- ----------------------------------------------------------------------------------------------------
Metals and Mining (0.1%)
....................................................................................................
155,000 AK Steel Corp. sr. notes 9 1/8s, 2006 162,363
....................................................................................................
110,000 Ameristeel Corp. company guaranty
Ser. B, 8 7/8s, 2008 105,600
....................................................................................................
40,000 Anker Coal Group, Inc. sr. notes Ser. B,
9 3/4s, 2007 21,200
....................................................................................................
65,000 Continental Global Group sr. notes
Ser. B, 11s, 2007 55,575
....................................................................................................
40,000 Kaiser Aluminum & Chemical Corp.
sr. sub. notes 12 3/4s, 2003 39,200
....................................................................................................
10,000 Kaiser Aluminum & Chemical Corp.
sr. notes Ser. B, 10 7/8s, 2006 10,050
....................................................................................................
70,000 Lodestar Holdings, Inc. company guaranty
11 1/2s, 2005 56,000
....................................................................................................
110,000 Weirton Steel Co. sr. notes 11 3/8s, 2004 97,900
....................................................................................................
70,000 WHX Corp. sr. notes 10 1/2s, 2005 64,050
- ----------------------------------------------------------------------------------------------------
611,938
- ----------------------------------------------------------------------------------------------------
Oil and Gas (0.7%)
....................................................................................................
95,000 Abraxas Petroleum Corp. 144A
11 1/2s, 2004 72,200
....................................................................................................
155,000 American Eco Corp. company guaranty
Ser. B, 9 5/8s, 2008 77,500
....................................................................................................
10,000 Benton Oil & Gas Co. sr. notes
9 3/8s, 2007 4,500
....................................................................................................
175,000 Chesapeake Energy Corp. sr. notes
9 1/8s, 2006 129,500
....................................................................................................
150,000 Cliffs Drilling Co. company guaranty
Ser. D, 10 1/4s, 2003 153,750
....................................................................................................
995,000 Coastal Corp. bonds 6.95s, 2028 996,284
....................................................................................................
30,000 Coho Energy, Inc. sr. sub. notes
8 7/8s, 2007 24,000
....................................................................................................
1,000,000 Columbia Gas System, Inc. notes Ser. E,
7.32s, 2010 1,063,990
....................................................................................................
20,000 Costilla Energy, Inc. sr. notes 10 1/4s, 2006 15,200
....................................................................................................
70,000 Dailey Petroleum Services Corp.
company guaranty 9 1/2s, 2008 32,200
....................................................................................................
65,000 Eagle Geophysical, Inc. company
guaranty Ser. B, 10 3/4s, 2008 54,600
....................................................................................................
30,000 Flores & Rucks, Inc. sr. sub. notes
9 3/4s, 2006 30,900
....................................................................................................
10,000 Gothic Energy Corp. sr. disc. notes,
stepped-coupon Ser. B, zero %
(14 1/8s, 5/1/03), 2006 (STP) 3,300
....................................................................................................
70,000 Gulf Canada Resources, Ltd. sr. notes
8 3/8s, 2005 (Canada) 69,300
....................................................................................................
280,000 K N Energy, Inc. sr. notes 6.8s, 2008 282,246
....................................................................................................
695,000 K N Energy, Inc. sr. notes 6.45s, 2003 698,989
....................................................................................................
60,000 Michael Petroleum Corp. sr. notes Ser. B,
11 1/2s, 2005 47,100
....................................................................................................
80,000 Northern Offshore 144A company
guaranty 10s, 2005 41,600
....................................................................................................
10,000 Ocean Energy, Inc. company guaranty
Ser. B, 8 7/8s, 2007 9,700
....................................................................................................
140,000 Ocean Energy, Inc. company guaranty
Ser. B, 8 3/8s, 2008 130,900
....................................................................................................
150,000 Panaco, Inc. company guaranty Ser. B,
10 5/8s, 2004 112,500
....................................................................................................
400,000 Petro Geo-Services AS notes 7 1/2s,
2007 ADR (Norway) 414,072
....................................................................................................
730,000 Petro-Canada deb. 7s, 2028 (Canada) 719,868
....................................................................................................
290,000 Pogo Producing Co. sr. sub. notes Ser. B,
8 3/4s, 2007 268,250
....................................................................................................
50,000 Seven Seas Petroleum sr. notes Ser. B,
12 1/2s, 2005 25,000
....................................................................................................
30,000 Snyder Oil Corp. sr. sub. notes
8 3/4s, 2007 28,800
....................................................................................................
655,000 Statoil 144A notes 6 1/2s, 2028
(Norway) 641,442
....................................................................................................
800,000 Transamerican Energy sr. disc. notes
stepped-coupon Ser. B, zero % (13s,
6/15/99), 2002 (STP) 224,000
....................................................................................................
250,000 Transamerican Energy sr. notes Ser. B,
11 1/2s, 2002 72,500
....................................................................................................
360,000 TransTexas Gas Corp. sr. sub. notes
Ser. D, 13 3/4s, 2001 288,000
- ----------------------------------------------------------------------------------------------------
6,732,191
- ----------------------------------------------------------------------------------------------------
Packaging and Containers (--%)
....................................................................................................
20,000 AEP Industries, Inc. sr. sub. notes
9 7/8s, 2007 20,200
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (0.1%)
....................................................................................................
100,000 APP Finance II Mauritius Ltd. bonds
stepped-coupon 12s, (16s, 2/15/04),
2049 (Indonesia) (STP) 60,000
....................................................................................................
10,000 Boise Cascade Co. med. term notes
Ser. A, 7.43s, 2005 9,880
....................................................................................................
5,000 Consumers International 144A sr. notes
10 1/4s, 2005 5,225
....................................................................................................
35,000 Huntsman Packaging Corp. company
guaranty 9 1/8s, 2007 34,650
....................................................................................................
190,000 Indah Kiat Financial Mauritius Ltd.
company guaranty 10s, 2007 (Indonesia) 100,700
....................................................................................................
65,000 Pindo Deli Finance Mauritius Ltd.
company guaranty 10 3/4s, 2007
(Indonesia) 34,450
....................................................................................................
150,000 PT Pabrik Kertas Tjiwi Kimia company
guaranty 10s, 2004 (Indonesia) 79,500
....................................................................................................
145,000 Repap New Brunswick sr. notes 10 5/8s,
2005 (Canada) 97,150
....................................................................................................
45,000 Repap New Brunswick sr. notes 9s,
2004 (Canada) 40,500
....................................................................................................
40,000 Republic Group Inc. sr. sub. notes
9 1/2s, 2008 39,100
....................................................................................................
190,000 Riverwood International Corp. company
guaranty 10 7/8s, 2008 172,900
....................................................................................................
110,000 Riverwood International Corp. company
guaranty 10 1/4s, 2006 107,800
- ----------------------------------------------------------------------------------------------------
781,855
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (0.1%)
....................................................................................................
150,000 ICN Pharmaceuticals, Inc. 144A sr. notes
9 1/4s, 2005 153,750
....................................................................................................
680,000 Merck & Co., Inc. deb. 5.95s, 2028 686,596
- ----------------------------------------------------------------------------------------------------
840,346
- ----------------------------------------------------------------------------------------------------
Photography (--%)
....................................................................................................
30,000 PX Escrow Corp. sr. disc. notes
stepped-coupon zero % (9 5/8s,
2/1/02), 2006 (STP) 16,500
- ----------------------------------------------------------------------------------------------------
Publishing (0.1%)
....................................................................................................
100,000 American Media Operation, Inc. sr. sub.
notes 11 5/8s, 2004 102,500
....................................................................................................
150,000 Garden State Newspapers, Inc. sr. sub.
notes Ser. B, 8 3/4s, 2009 150,750
....................................................................................................
580,000 News America Holdings, Inc. deb.
7 3/4s, 2045 614,220
....................................................................................................
80,000 News America Holdings, Inc. deb.
7.7s, 2025 86,062
....................................................................................................
100,000 Perry-Judd company guaranty
10 5/8s, 2007 104,500
....................................................................................................
24,650 Von Hoffman Press, Inc. 144A sr. sub.
notes 13 1/2s, 2009 24,650
....................................................................................................
35,000 Von Hoffman Press Inc. 144A sr. sub.
notes 10 3/8s, 2007 36,050
- ----------------------------------------------------------------------------------------------------
1,118,732
- ----------------------------------------------------------------------------------------------------
REIT's (Real Estate Investment Trust) (0.1%)
....................................................................................................
1,020,000 EOP Operating L.P. notes 6.763s, 2007 1,004,751
- ----------------------------------------------------------------------------------------------------
Recreation (--%)
....................................................................................................
90,000 Empress River Casino sr. notes
10 3/4s, 2002 96,413
....................................................................................................
75,000 Hollywood Casino Corp. sr. notes
12 3/4s, 2003 79,500
- ----------------------------------------------------------------------------------------------------
175,913
- ----------------------------------------------------------------------------------------------------
Retail (0.2%)
....................................................................................................
120,000 Amazon.com Inc. sr. disc. notes
stepped-coupon zero % (10s, 5/01/03),
2008 (STP) 77,400
....................................................................................................
50,000 Eye Care Centers of America 144A
sr. sub. notes 9 1/8s, 2008 48,000
....................................................................................................
1,405,000 Federated Department Stores sr. notes
8 1/2s, 2003 1,549,687
....................................................................................................
40,000 Home Interiors & Gifts, Inc. 144A
sr. sub. notes 10 1/8s, 2008 39,600
....................................................................................................
10,000 K mart Corp. med. term notes
8.19s, 2003 10,302
....................................................................................................
10,000 K mart Corp. med. term notes 8s, 2001 10,154
....................................................................................................
10,000 K mart Corp. med. term notes
6.88s, 1999 10,028
....................................................................................................
5,000 Specialty Retailers, Inc. company
guaranty Ser. B, 8 1/2s, 2005 4,350
....................................................................................................
50,000 Zale Corp. sr. notes Ser. B, 8 1/2s, 2007 48,500
- ----------------------------------------------------------------------------------------------------
1,798,021
- ----------------------------------------------------------------------------------------------------
Satellite Services (--%)
....................................................................................................
110,000 Golden Sky Systems 144A sr. sub. notes
12 3/8s, 2006 112,750
....................................................................................................
250,000 ICG Communications, Inc. sr. disc. notes
stepped-coupon zero % (10s, 2/15/03),
2008 (STP) 127,500
....................................................................................................
27,000 TCI Satellite Entertainment, Inc. sr. sub.
notes 10 7/8s, 2007 8,640
- ----------------------------------------------------------------------------------------------------
248,890
- ----------------------------------------------------------------------------------------------------
Shipping (--%)
....................................................................................................
30,000 International Shipholding Corp. sr. notes
7 3/4s, 2007 28,500
- ----------------------------------------------------------------------------------------------------
Specialty Consumer Products (--%)
....................................................................................................
100,000 Decora Industries, Inc. sec. Ser. B, 11s, 2005 95,500
- ----------------------------------------------------------------------------------------------------
Telecommunications (1.0%)
....................................................................................................
150,000 Allbritton Communications Co. sr. sub.
deb. Ser. B, 9 3/4s, 2007 158,250
....................................................................................................
20,000 Allbritton Communications Co. sr. sub.
notes Ser. B, 8 7/8s, 2008 20,150
....................................................................................................
50,000 Allegiance Telecom, Inc. sr. notes
12 7/8s, 2008 49,000
....................................................................................................
270,000 Allegiance Telecom, Inc. sr. disc. notes
stepped-coupon Ser. B, zero %
(11 3/4s, 2/15/03), 2008 (STP) 126,900
....................................................................................................
1,020,000 AT&T Capital Corp. med. term notes
6 1/4s, 2001 1,006,118
....................................................................................................
55,000 Barak ITC sr. disc. notes stepped-coupon
Ser. B, zero % (12 1/2s, 11/15/02),
2007 (Israel) (STP) 28,050
....................................................................................................
70,000 Bestel S.A. de C.V. sr. disc. notes
stepped-coupon zero % (12 3/4s,
5/15/03), 2005 (Mexico) (STP) 38,500
....................................................................................................
220,000 BTI Telecom Corp. sr. notes
10 1/2s, 2007 166,100
....................................................................................................
30,000 Call-Net Enterprises, Inc. sr. disc. notes
stepped-coupon zero % (8.94s, 8/15/03),
2008 (Canada) (STP) 17,250
....................................................................................................
70,000 CapRock Communications Corp.
sr. notes Ser. B, 12s, 2008 67,200
....................................................................................................
175,000 Celcaribe S.A. sr. notes 13 1/2s,
2004 (Colombia) 166,250
....................................................................................................
360,000 CellNet Data Systems, Inc. sr. disc.
notes stepped-coupon zero %
(14s, 10/1/02), 2007 (STP) 79,200
....................................................................................................
50,000 Centennial Cellular Corp. sr. notes
8 7/8s, 2001 53,000
....................................................................................................
50,000 Charter Communications International,
Inc. disc. notes stepped-coupon
Ser. B, zero % (14s, 3/15/01), 2007 (STP) 44,750
....................................................................................................
225,000 Colt Telecommunications Group PLC
sr. disc. notes stepped-coupon zero %,
(12s,12/15/01), 2006 (United Kingdom) (STP) 187,875
....................................................................................................
235,000 Comcast Cellular Holdings sr. notes
Ser. B, 9 1/2s, 2007 249,688
....................................................................................................
45,000 Conecel Holdings 144A notes Ser. A,
14s, 2000 18,000
....................................................................................................
80,000 Covad Communications Group sr. disc.
notes stepped-coupon Ser. B, zero %
(13 1/2s, 3/15/03), 2008 (STP) 44,000
....................................................................................................
60,000 CTI Holdings S.A. sr. notes
stepped-coupon zero % (11 1/2s,
4/15/03), 2008 (Argentina) (STP) 26,400
....................................................................................................
90,000 Dobson Wireline Co. sr. notes
12 1/4s, 2008 83,700
....................................................................................................
45,000 E. Spire Communications, Inc. sr. notes
13 3/4s, 2007 42,300
....................................................................................................
190,000 E. Spire Communications, Inc. sr. disc.
notes stepped-coupon zero %
(13s, 11/1/00), 2005 (STP) 121,600
....................................................................................................
40,000 E. Spire Communications, Inc. sr. disc.
notes stepped-coupon zero %
(12 3/4s, 4/1/01), 2006 (STP) 24,000
....................................................................................................
220,000 Econophone, Inc. 144A notes
stepped-coupon zero % (11s, 2/15/03),
2008 (STP) 110,000
....................................................................................................
30,000 Esprit Telecom Group PLC sr. notes
11 1/2s, 2007 (United Kingdom) 30,600
....................................................................................................
50,000 Facilicom International sr. notes Ser. B.,
10 1/2s, 2008 39,500
....................................................................................................
300,000 Firstworld Communication Corp.
sr. disc. notes stepped-coupon
zero % (13s, 4/15/03), 2008 (STP) 90,000
....................................................................................................
90,000 Flag Ltd. 144A sr. notes 8 1/4s, 2008
(Bermuda) 88,200
....................................................................................................
180,000 Focal Communications Corp. sr. disc.
notes, stepped-coupon Ser. B, zero %
(12 1/8s, 2/15/03), 2008 (STP) 95,400
....................................................................................................
430,000 Global Crossing Holdings, Ltd.
company guaranty 9 5/8s, 2008 449,350
....................................................................................................
240,000 GST Telecommunications, Inc. company
guaranty stepped-coupon zero %
(13 7/8s, 12/15/00), 2005 (STP) 171,600
....................................................................................................
340,000 GST Telecommunications, Inc. 144A
sr. disc. notes stepped-coupon zero %
(10 1/2s, 5/1/03), 2008 (STP) 149,600
....................................................................................................
20,000 Hermes Europe Railtel 144A sr. notes
11 1/2s, 2007 (Netherlands) 21,000
....................................................................................................
60,000 Hyperion Telecommunications Corp.,
Inc. sr. disc. notes stepped-coupon
Ser. B, zero % (13s, 4/15/01), 2003 (STP) 43,200
....................................................................................................
90,000 Hyperion Telecommunications Corp.,
Inc. sr. notes Ser. B, 12 1/4s, 2004 90,900
....................................................................................................
130,000 ICG Holdings, Inc. sr. disc. notes
stepped-coupon zero % (13 1/2s,
9/15/00), 2005 (Canada) (STP) 107,900
....................................................................................................
280,000 ICG Services, Inc. sr. disc. notes
stepped-coupon zero % (9 7/8s,
5/1/03), 2008 (STP) 140,000
....................................................................................................
130,000 Intelcom Group (USA), Inc. company
guaranty stepped-coupon zero %
(12 1/2s, 5/1/01), 2006 (STP) 93,600
....................................................................................................
20,000 Intercel, Inc. sr. disc. notes stepped-coupon
zero % (12s, 2/1/01), 2006 (STP) 14,600
....................................................................................................
140,000 Intermedia Communications, Inc.
sr. notes Ser. B, 8.6s, 2008 133,700
....................................................................................................
335,000 Intermedia Communications, Inc.
sr. notes Ser. B, 8 1/2s, 2008 318,250
....................................................................................................
745,000 International Cabletel, Inc. sr. notes
stepped-coupon Ser. B, zero %
(11 1/2s, 2/01/01), 2006 (STP) 625,800
....................................................................................................
55,001 ITC Deltacom, Inc. sr. notes 11s, 2007 60,226
....................................................................................................
110,000 IXC Communications, Inc. sr. sub. notes
9s, 2008 110,825
....................................................................................................
170,000 KMC Telecom Holdings, Inc. sr. disc.
notes stepped-coupon zero % (12 1/2s,
2/15/03), 2008 (STP) 83,300
....................................................................................................
240,000 Knology Holdings, Inc. sr. disc. notes
stepped-coupon zero %, (11 7/8s,
10/15/02), 2007 (STP) 118,200
....................................................................................................
100,000 Level 3 Communication, Inc. sr. notes
9 1/8s, 2008 99,125
....................................................................................................
10,000 McCaw International Ltd sr. disc.
notes stepped coupon zero % (13s,
4/15/02), 2007 (STP) 5,450
....................................................................................................
80,000 Metrocall, Inc. 144A sr. sub. notes
11s, 2008 80,000
....................................................................................................
210,000 MetroNet Communications Corp. 144A
sr. notes 10 5/8s, 2008 (Canada) 222,600
....................................................................................................
25,000 MetroNet Communications Corp.
sr. disc. notes stepped-coupon zero %
(10 3/4s, 11/1/02), 2007 (Canada) (STP) 16,500
....................................................................................................
120,000 MetroNet Communications Corp.
sr. disc. stepped-coupon notes zero %
(9.95s, 6/15/03), 2008 (Canada) (STP) 72,000
....................................................................................................
60,000 Microcell Telecommunications sr. disc.
notes stepped-coupon Ser. B, zero %
(14s, 12/1/01), 2006 (Canada) (STP) 45,300
....................................................................................................
315,000 Millicom International Cellular S.A.
sr. disc. notes stepped-coupon zero %
(13 1/2s, 6/1/01), 2006 (Luxembourg) (STP) 220,500
....................................................................................................
40,000 MJD Communications, Inc. notes Ser. B,
FRN, 9.16s, 2008 38,400
....................................................................................................
60,000 Mobile Telecommunications Tech.
sr. notes 13 1/2s, 2002 67,200
....................................................................................................
10,000 Netia Holdings B.V. 144A company
guaranty stepped-coupon zero %
(11 1/4s, 11/1/01), 2007 (Poland) (STP) 5,700
....................................................................................................
20,000 Netia Holdings B.V. 144A company
guaranty 10 1/4s, 2007 (Poland) 17,000
....................................................................................................
480,000 NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero % (12 1/8s,
4/15/03), 2008 (STP) 230,400
....................................................................................................
180,000 NEXTEL Communications, Inc. 144A
sr. notes 12s, 2008 199,800
....................................................................................................
40,000 NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero % (10.65s,
9/15/02), 2007 (STP) 25,700
....................................................................................................
560,000 NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero % (9 3/4s,
2/15/99), 2004 (STP) 543,200
....................................................................................................
120,000 NorthEast Optic Network, Inc. sr. notes
12 3/4s, 2008 120,000
....................................................................................................
90,000 NTL Inc. 144A sr. notes 11 1/2s, 2008 98,100
....................................................................................................
110,000 NTL Inc. sr. notes Ser. B, 10s, 2007 112,200
....................................................................................................
5,000 Paging Network Do Brasil sr. notes
13 1/2s, 2005 (Brazil) 2,450
....................................................................................................
140,000 Pathnet, Inc. sr. notes 12 1/4s, 2008 98,000
....................................................................................................
10,000 Price Communications Wireless, Inc.
144A sr. notes 9 1/8s, 2006 10,050
....................................................................................................
70,000 Primus Telecommunications Group, Inc.
sr. notes Ser. B, 9 7/8s, 2008 66,675
....................................................................................................
65,000 Qwest Communications International,
Inc. sr. disc. notes stepped-coupon
zero % (9.47s, 10/15/02), 2007 (STP) 50,538
....................................................................................................
30,000 Qwest Communications International,
Inc. sr. disc. notes stepped-coupon
zero % (8.29s, 2/1/03), 2008 (STP) 22,500
....................................................................................................
180,000 Qwest Communications International,
Inc. 144A sr. notes 7 1/4s, 2008 184,500
....................................................................................................
200,000 Rhythms Netconnections, Inc. sr.
disc. notes stepped-coupon Ser. B,
zero % (13 1/2s, 5/15/03), 2008 (STP) 98,000
....................................................................................................
123,000 RSL Communications, Ltd. company
guaranty 12 1/4s, 2006 129,150
....................................................................................................
80,000 RSL Communications, Ltd. company
guaranty, stepped-coupon zero %
(10 1/8s, 3/1/03), 2008 (STP) 45,600
....................................................................................................
60,000 RSL Communications, Ltd. company
guaranty 9 1/8s, 2008 54,600
....................................................................................................
70,000 RSL Communications PLC. 144A
sr. notes 10 1/2s, 2008 (United Kingdom) 69,300
....................................................................................................
60,000 Satelites Mexicanos S.A. de C.V. 144A
10 1/8s, 2004 48,000
....................................................................................................
45,000 Sprint Spectrum L.P. sr. notes 11s, 2006 51,750
....................................................................................................
80,000 Startec Global Communications Corp.
sr. notes 12s, 2008 69,600
....................................................................................................
50,000 Telecommunications Techniques, Inc.
company guaranty 9 3/4s, 2008 48,500
....................................................................................................
25,000 Telesystem International Wireless Inc.
sr. disc. notes stepped-coupon Ser. C,
zero %, (10 1/2s, 11/1/02), 2007
(Canada) (STP) 9,125
....................................................................................................
200,000 Teligent, Inc. sr. disc. notes
stepped-coupon Ser. B, zero %
(11 1/2s, 3/1/03), 2008 (STP) 99,000
....................................................................................................
70,000 Teligent, Inc. sr. notes 11 1/2s, 2007 65,450
....................................................................................................
20,000 Transtel S.A. 144A pass-through
certificates 12 1/2s, 2007 (Colombia) 7,600
....................................................................................................
60,000 US Xchange LLC sr. notes 15s, 2008 61,500
....................................................................................................
200,000 Viatel, Inc. sr. notes 11 1/4s, 2008 198,000
....................................................................................................
65,000 WinStar Communications, Inc. sr. sub.
notes stepped-coupon zero % (15s,
3/1/02), 2007 (STP) 60,450
....................................................................................................
30,000 WinStar Communications, Inc. 144A
sr. disc. notes stepped-coupon zero %
(14s, 10/15/00), 2005 (STP) 21,713
- ----------------------------------------------------------------------------------------------------
35,000 WinStar Equipment Corp. company
guaranty 12 1/2s, 2004 35,175
....................................................................................................
9,830,433
- ----------------------------------------------------------------------------------------------------
Telephone Services (0.1%)
....................................................................................................
110,000 Long Distance International, Inc.
144A sr. notes 12 1/4s, 2008 88,000
....................................................................................................
40,000 OnePoint Communications, Corp. 144A
sr. notes 14 1/2s, 2008 21,200
....................................................................................................
110,000 Sprint Spectrum L.P. sr. disc. notes
stepped-coupon zero % (12 1/2s,
8/15/01), 2006 (STP) 99,000
....................................................................................................
370,000 U S West, Inc. notes 5 5/8s, 2008 373,467
....................................................................................................
80,000 Versatel Teleco sr. notes 13 1/4s, 2008 78,800
- ----------------------------------------------------------------------------------------------------
660,467
- ----------------------------------------------------------------------------------------------------
Textiles (--%)
....................................................................................................
130,000 Day International Group, Inc. company
guaranty 9 1/2s, 2008 127,725
....................................................................................................
30,000 Glenoit Corp. company guaranty
11s, 2007 28,800
....................................................................................................
50,000 Polymer Group, Inc. company guaranty
Ser. B, 9s, 2007 49,500
....................................................................................................
60,000 Polymer Group, Inc. company guaranty
Ser. B, 8 3/4s, 2008 58,950
- ----------------------------------------------------------------------------------------------------
264,975
- ----------------------------------------------------------------------------------------------------
Transportation (0.3%)
....................................................................................................
70,000 Calair LLC company guaranty
8 1/8s, 2008 64,925
....................................................................................................
75,000 Canadian Airlines Corp. sr. notes
12 1/4s, 2006 (Canada) 52,500
....................................................................................................
120,000 Canadian Airlines Corp. sr. sec.
notes 10s, 2005 (Canada) 104,400
....................................................................................................
150,000 Cathay International Ltd. 144A sr. notes
13s, 2008 (China) 55,500
....................................................................................................
150,000 Continental Airlines, Inc. sr. notes
9 1/2s, 2001 157,500
....................................................................................................
1,790,000 Continental Airlines, Inc. pass-through
certificates Ser. 981C, 6.541s, 2008 1,747,362
....................................................................................................
125,000 Johnstown America Industries, Inc.
company guaranty Ser. C, 11 3/4s, 2005 131,875
....................................................................................................
50,000 Kitty Hawk, Inc. company guaranty
9.95s, 2004 48,250
....................................................................................................
50,000 MC Shipping, Inc. sr. notes Ser. B,
11 1/4s, 2008 31,000
....................................................................................................
60,000 MCII Holdings sec. notes 12s, 2002 51,000
....................................................................................................
115,000 Newport News Shipbuilding sr. notes
8 5/8s, 2006 122,763
....................................................................................................
390,000 Norfolk Southern Corp. bonds
7.05s, 2037 421,914
....................................................................................................
130,000 TFM S.A. de C.V. company guaranty
stepped-coupon zero %, (11 3/4s,
6/15/02), 2009 (Mexico) (STP) 70,850
....................................................................................................
25,000 TFM S.A. de C.V. company guaranty
10 1/4s, 2007 (Mexico) 21,000
....................................................................................................
130,000 Trans World Airlines, Inc. sr. notes
11 1/2s, 2004 109,850
....................................................................................................
70,000 Trans World Airlines, Inc. sr. notes
11 3/8s, 2006 46,900
- ----------------------------------------------------------------------------------------------------
3,237,589
- ----------------------------------------------------------------------------------------------------
Utilities (0.3%)
....................................................................................................
5,000 AES China Generating Co. sr. notes
10 1/8s, 2006 (China) 3,400
....................................................................................................
715,000 Arizona Public Service Co. sr. notes
6 3/4s, 2006 754,354
....................................................................................................
60,000 Cleveland Electric Illuminating Co.
1st mtge. Ser. B, 9 1/2s, 2005 65,521
....................................................................................................
150,000 Cleveland Electric Illuminating Co.
144A bonds 6.86s, 2008 151,500
....................................................................................................
485,000 Connecticut Light & Power Co.
1st mtge. Ser. A, 7 7/8s, 2001 501,422
....................................................................................................
10,000 El Paso Electric Co. 1st mtge. Ser. E,
9.4s, 2011 11,471
....................................................................................................
275,000 Jersey Central Power & Light Co.
1st mtge. med. term note 6.85s, 2006 293,387
....................................................................................................
295,000 Midland Funding Corp. deb. Ser. A,
11 3/4s, 2005 342,171
....................................................................................................
136,614 Midland Funding Corp. I deb. Ser. C-94,
10.33s, 2002 145,721
....................................................................................................
100,000 Niagara Mohawk Power Corp. med. term
notes 9.95s, 2000 104,947
....................................................................................................
220,000 Niagara Mohawk Power Corp. sr. notes
Ser. G, 7 3/4s, 2008 240,414
....................................................................................................
50,000 Niagara Mohawk Power Corp. sr. notes
Ser. F, 7 5/8s, 2005 52,670
....................................................................................................
50,000 Niagara Mohawk Power Corp. sr. notes
Ser. E, 7 3/8s, 2003 51,322
....................................................................................................
28,886 Northeast Utilities System notes Ser. A,
8.58s, 2006 30,848
....................................................................................................
133,333 Northeast Utilities System notes Ser. B,
8.38s, 2005 139,049
- ----------------------------------------------------------------------------------------------------
2,888,197
- ----------------------------------------------------------------------------------------------------
Wireless Communications (--%)
....................................................................................................
90,000 Orbital Imaging Corp. sr. notes Ser. B,
11 5/8s, 2005 93,600
- ----------------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $91,748,634) $89,437,619
- ----------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BONDS AND NOTES (5.9%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
USD 105,000 Banco Nacional Comercio Exterior
sovereign eurobond 11 1/4s, 2006
(Mexico) $106,575
....................................................................................................
CAD 845,000 Canada (Government of) bonds
Ser. VW17, 8s, 2027 775,711
....................................................................................................
CAD 3,430,000 Canada (Government of) bonds
5 1/4s, 2003 2,286,368
....................................................................................................
FRF 16,596,000 France (Government of) bonds
5 1/2s, 2007 3,327,396
....................................................................................................
FRF 7,040,000 France (Government of) bonds
5 1/4s, 2008 1,388,802
....................................................................................................
DEM 5,020,000 Germany (Federal Republic of) bonds
Ser. 98, 5 5/8s, 2028 3,398,817
....................................................................................................
GRD 232,600,000 Hellenic Greece (Republic of) bonds
9.2s, 2002 858,914
....................................................................................................
GRD 132,600,000 Hellenic Greece (Republic of) bonds
8.6s, 2008 525,383
....................................................................................................
ITL 1,815,000,000 Italy (Government of) bonds
10 1/2s, 2005 1,519,571
....................................................................................................
ITL 6,450,000,000 Italy (Government of) bonds
5 3/4s, 2002 4,208,475
....................................................................................................
NLG 10,185,000 Netherlands (Government of) bonds
Ser. 1 & 2, 9s, 2000 5,828,128
....................................................................................................
NLG 6,920,000 Netherlands (Government of) bonds
7s, 2003 4,173,355
....................................................................................................
NLG 3,895,000 Netherlands (Government of) bonds
5 3/4s, 2007 2,336,586
....................................................................................................
NZD 3,845,000 New Zealand (Government of) bonds
8s, 2004 2,257,811
....................................................................................................
NZD 2,740,000 New Zealand (Government of) bonds
Ser. 200, 6 1/2s, 2000 1,462,024
....................................................................................................
USD 750,000 Quebec (Province of) deb. 7s, 2007 810,008
....................................................................................................
ESP 254,670,000 Spain (Government of) bonds
5 1/4s, 2003 1,926,490
....................................................................................................
SEK 39,900,000 Sweden(Government of) bonds
Ser. 1039, 5 1/2s, 2002 5,188,474
....................................................................................................
RUB 4,830,000 U.S. Dollar GKO Pass Through Structured
Note (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) 34,716
....................................................................................................
GBP 5,115,000 United Kingdom Treasury bonds Ser. 85,
9 3/4s, 2002 9,911,511
....................................................................................................
GBP 430,000 United Kingdom Treasury bonds 9s, 2012 1,037,790
....................................................................................................
GBP 3,710,000 United Kingdom Treasury bonds 7s, 2002 6,620,148
- ----------------------------------------------------------------------------------------------------
Total Foreign Government
Bonds and Notes
(cost $59,840,641) $59,983,053
- ----------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (2.8%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$1,214,022 Amresco Commercial Mortgage
Funding I Ser. 97-C1, Class A1, 6.73s, 2029 $1,239,867
....................................................................................................
992,981 Chase Mortgage Finance Corp. Ser. 94-1,
Class B2, 6.601s, 2025 974,983
....................................................................................................
3,274,353 Collateralized Mortgage Obligation
Trust Ser. 64, Class Z, 9s, 2020 3,441,140
....................................................................................................
Commercial Mortgage Acceptance Corp.
....................................................................................................
350,000 Ser. 97-ML1, Class A3, 6.57s, 2007 366,242
....................................................................................................
125,000 Ser. 97-ML1, Class A2, 6.53s, 2007 129,961
....................................................................................................
1,029,380 Ser. 98-C2, Class A1, 5.8s, 2006 1,030,828
....................................................................................................
6,606,033 Ser. 97-ML1, Class Interest Only
(IO), 0.962s, 2017 363,332
....................................................................................................
1,000,000 Criimi Mae Commercial Mortgage Trust
Ser. 98-C1, Class A2, 7s, 2011 979,063
....................................................................................................
7,883,062 Deutsche Mortgage & Asset Receiving
Corp. Ser. 98-C1, Class X, IO, 1.254s,
2031 486,225
....................................................................................................
Fannie Mae
....................................................................................................
1,695,000 Ser. 1989-71, Class J, 8 1/2s, 2019 1,795,839
....................................................................................................
681,978 Ser. 1998-61, Class ZC, 7s, 2027 695,256
....................................................................................................
882,603 Ser. 1993-240, Class B, 6 1/4s, 2013 886,258
....................................................................................................
1,257,995 First Union-Lehman Brothers --
Bank of America Ser. 98-C2, Class A1,
6.28s 2007 1,281,877
....................................................................................................
First Union-Lehman Brothers
Commercial Mortgage Co.
....................................................................................................
430,000 Ser. 97-C2, Class A3, 6.65s, 2008 448,594
....................................................................................................
2,425,785 Ser. 97-C2, IO, 1.092s, 2027 199,369
....................................................................................................
Freddie Mac
....................................................................................................
2,045,000 Ser. 1439, Class I, 7 1/2s, 2022 2,179,043
....................................................................................................
380,000 Ser. 2080, Class PC, 6s, 2028 383,681
....................................................................................................
129,215 GE Capital Mortgage Services Inc.
Ser. 94-8A2, Class A2, 6s, 2024 129,134
....................................................................................................
GMAC Commercial Mortgage
Securities Inc.
....................................................................................................
720,000 Ser. 98-C2, Class A2, 6.42s, 2008 740,981
....................................................................................................
550,322 Ser. 98-C2, Class A1, 6.15s, 2031 557,953
....................................................................................................
3,290,000 Government National Mortgage
Association Ser. 1997-8 Class PE,
7 1/2s, 2027 3,476,605
....................................................................................................
375,000 GS Mortgage Securities Corp. II
Ser. 98-GLII, Class A2, 6.562s, 2031 389,180
....................................................................................................
397,238 Independent National Mortgage Corp.
Ser. 94-V, Class A1, 8.373s, 2024 401,707
....................................................................................................
Merrill Lynch Mortgage Investors, Inc.
....................................................................................................
2,260,000 Ser. 97-C2, Class A2, 6.54s, 2029 2,363,113
....................................................................................................
1,639,220 Ser. 98-C2, Class A1, 6.22s, 2030 1,670,211
....................................................................................................
1,280,000 Morgan Stanley Capital I Ser. 96-WF1,
Class A2, 7.218s, 2006 1,359,600
....................................................................................................
738,779 PNC Mortgage Securities Corp.
Ser. 97-6, Class A2, 6.6s, 2027 741,550
- ----------------------------------------------------------------------------------------------------
Total Collateralized Mortgage Obligations
(cost $27,944,415) $28,711,592
- ----------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (1.6%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$1,560,000 Advanta Mortgage Loan Trust Ser. 97-2,
Class A2, 7.05s, 2021 $1,564,875
....................................................................................................
1,340,000 Advanta Mortgage Loan Trust Ser. 97-3,
Class A3, 6.69s, 2017 1,342,198
....................................................................................................
1,355,000 Advanta Mortgage Loan Trust Ser. 97-4,
Class A7, 6.63s, 2029 1,361,563
....................................................................................................
885,000 Amresco Residential Securities
Mortgage Loan Ser. 97-3, Class A3,
6.6s, 2018 885,000
....................................................................................................
420,000 Capita Equipment Receivables Trust
Ser. 96-1, Class A4, 6.28s, 2000 421,772
....................................................................................................
581,388 First Plus Ser. 98-A, Class A,
8 1/2s, 2023 587,111
....................................................................................................
350,000 GE Capital Mortgage Services, Inc.
Ser. 1996-HE2, Class A4, 7.65s, 2012 358,367
....................................................................................................
1,195,000 Green Tree Financial Corp. Ser. 97-2,
Class A6, 7.24s, 2028 1,241,677
....................................................................................................
2,125,000 Green Tree Financial Corp. Ser. 97-3,
Class A-4, 6.93s, 2028 2,164,761
....................................................................................................
1,990,000 Green Tree Financial Corp. Ser. 98-2,
Class A5, 6.24s, 2016 2,009,900
....................................................................................................
1,300,824 Green Tree Recreational Equipment &
Cons Ser. 97-B, Class A1, 6.55s, 2028 1,325,672
....................................................................................................
1,567,632 Green Tree Recreational Equipment
& Cons. Ser. 98-A, Class A1C, 6.18s, 2019 1,587,166
....................................................................................................
425,000 Provident Bank Home Equity Loan Trust
Ser. 97-4, Class A3, 6.91s, 2029 432,803
....................................................................................................
590,000 The Money Store Home Equity Trust
Ser. 96-A, Class A5, 6.85s, 2019 593,411
- ----------------------------------------------------------------------------------------------------
Total Asset-Backed Securities
(cost $15,703,729) $15,876,276
- ----------------------------------------------------------------------------------------------------
PREFERRED STOCKS (0.3%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
6,497 AmeriKing, Inc. $3.25 pfd. (PIK) $165,674
....................................................................................................
58 Anvil Holdings Ser. B, $3.25 pfd. (PIK) 580
....................................................................................................
10,000 California Federal Bancorp Inc. Ser. A,
$2.281 pfd. 251,250
....................................................................................................
563 Capstar Broadcasting Inc. 144A
$12.00 pfd. 64,182
....................................................................................................
681 Citadel Broadcasting Inc. 144A
$13.25 pfd. (PIK) 77,634
....................................................................................................
52 Concentric Network Corp. Ser. B,
13.50% pfd. (PIK) 44,460
....................................................................................................
785 CSC Holdings, Inc. Ser. M, $11.125
cum. pfd. (PIK) 86,743
....................................................................................................
20 Dobson Communications 144A
$12.25 pfd. (PIK) 18,400
....................................................................................................
30 Echostar Communications, Inc. Ser. B
12.125% pfd. (PIK) 34,640
....................................................................................................
27 El Paso Electric Co. $11.40 pfd (PIK) 2,889
....................................................................................................
110 Fresenius Medical Capital Trust I Ser. D,
9.00% pfd. (Germany) 115,088
....................................................................................................
130 Fresenius Medical Capital Trust II
company guaranty 7.875% , pfd.
(Germany) 129,025
....................................................................................................
2,200 Global Crossing Holdings Ltd. 144A
$10.50 pfd. (PIK) 212,850
....................................................................................................
237 ICG Holdings, Inc., 144A $14.00 pfd.
(Canada) (PIK) 229,890
....................................................................................................
205 Intermedia Communication Ser. B,
13.50% pfd. (PIK) 206,538
....................................................................................................
45 IXC Communications, Inc. $12.50 pfd. (PIK) 45,451
....................................................................................................
738 Nebco Evans Holding Co. 144A
11.25% pfd. (PIK) 36,900
....................................................................................................
58 NEXTEL Communications, Inc. Ser. D,
13.00% cum. pfd. (PIK) 57,710
....................................................................................................
520 NEXTEL Communications, Inc. Ser. E,
$11.125 pfd. (PIK) 462,800
....................................................................................................
5,307 Nextlink Communications, Inc. 144A
$7.00 cum. pfd. (PIK) 270,657
....................................................................................................
16 Paxson Communications Corp.
13.25% cum. pfd. (PIK) 140,000
....................................................................................................
779 SFX Broadcasting, Inc. Ser. E,
$12.625 pfd. (PIK) 95,817
....................................................................................................
154 Spanish Broadcasting Systems
14.25% cum. pfd. (PIK) 157,080
....................................................................................................
11,269 TCR Holding Corp. Class E, zero % pfd. 710
....................................................................................................
86 Viatel, Inc. Ser. A, $10.00 cv. pfd. (PIK) 5,160
....................................................................................................
110 WinStar Communications, Inc. 144A
$14.25 pfd. (PIK) 88,000
- ----------------------------------------------------------------------------------------------------
Total Preferred Stocks
(cost $3,266,808) $3,000,128
- ----------------------------------------------------------------------------------------------------
UNITS (--%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Units
....................................................................................................
70 Birch Telecom, Inc. 144A units 14s, 2008 $64,400
....................................................................................................
370 Diva Systems Corp. 144A units
stepped-coupon zero % (12 5/8s,
3/1/03), 2008 (STP) 151,700
....................................................................................................
80 Mediq Inc. Units 144A units
stepped-coupon zero % (13s, 6/1/03),
2009 (STP) 1
....................................................................................................
60 Telehub Communications Corp. units
stepped-coupon zero %, (13 7/8s,
7/31/02), 2005 (STP) 33,600
....................................................................................................
90 Transam Refinance, Inc. 144A units
16s, 2003 28,350
....................................................................................................
30 Versatel Teleco 144A units 13 1/4s, 2008 29,850
- ----------------------------------------------------------------------------------------------------
Total Units
(cost $447,105) $307,901
- ----------------------------------------------------------------------------------------------------
PURCHASED OPTIONS OUTSTANDING (--%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Expiration Date/Strike Price Value
....................................................................................................
$300,000 Japanese Government
Bond Future Contracts
(Call) Feb. 99/117 JPY $288,920
....................................................................................................
600,000 Japanese Government
Bond Future Contracts
(Call) Feb. 99/127 JPY 132,002
- ----------------------------------------------------------------------------------------------------
Total Purchased Options
Outstanding
(cost $838,375) $420,922
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (--%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$70,000 HEALTHSOUTH Corp. cv. sub. deb.
3 1/4s, 2003 $59,662
....................................................................................................
50,000 Integrated Device Technology, Inc.
cv. sub. notes 5 1/2s, 2002 34,313
....................................................................................................
110,000 Jacor Communications, Inc. cv. sr. notes
zero %, 2011 98,175
....................................................................................................
20,000 NTL Inc., 144A cv. sub. notes 7s, 2008 21,600
....................................................................................................
85,000 WinStar Communications. Inc. 144A cv.
sr. disc. notes stepped-coupon zero %
(14s, 10/15/00), 2005 (STP) 106,250
- ----------------------------------------------------------------------------------------------------
Total Convertible Bonds and Notes
(cost $364,774) $320,000
- ----------------------------------------------------------------------------------------------------
WARRANTS (--%) (a) (NON)
- ----------------------------------------------------------------------------------------------------
Number of Warrants Expiration Date Value
....................................................................................................
160 Allegiance Telecom, Inc. 2/3/08 $2,560
....................................................................................................
70 Bestel SA (Mexico) 5/15/05 140
....................................................................................................
275 Cellnet Data Systems, Inc. 9/15/07 5,500
....................................................................................................
40 Club Regina, Inc. 144A 4/15/06 40
....................................................................................................
225 Colt Telecommunications
Group PLC 12/31/06 54,000
....................................................................................................
20 Concentric Network Corp. 12/15/07 2,978
....................................................................................................
607 Consorcio Ecuatoriano
144A (Ecuador) 10/1/00 304
....................................................................................................
80 Covad Communications
Group 144A 3/15/08 4,000
....................................................................................................
2,150 DTI Holdings Inc. 3/1/08 108
....................................................................................................
1,020 EOP Operating Ltd. Partnership 6/15/08 2,040
....................................................................................................
70 Epic Resorts 6/15/05 1
....................................................................................................
175 Esat Holdings, Inc. (Ireland) 2/1/07 11,638
....................................................................................................
300 Firstworld Communication 4/15/08 3,000
....................................................................................................
80 Globalstar Telecom 144A 2/15/04 4,800
....................................................................................................
425 Hyperion Telecommunications
144A 4/15/01 31,862
....................................................................................................
150 KMC Telecom Holdings, Inc. 4/15/08 375
....................................................................................................
210 Knology Holdings, Inc. 144A 10/15/07 315
....................................................................................................
110 Long Distance International, Inc.
144A 4/13/08 275
....................................................................................................
10 McCaw International Ltd. 4/15/07 40
....................................................................................................
20 MGC Communications, Inc.
144A 10/1/04 617
....................................................................................................
40 Onepoint Communications, Inc. 6/1/08 40
....................................................................................................
90 Orbital Imaging Corp. 144A 3/1/05 3,600
....................................................................................................
120 Orion Network Systems 1/15/07 1,380
....................................................................................................
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 6,000
....................................................................................................
80 Spanish Broadcasting Systems
144A 6/30/99 16,400
....................................................................................................
80 STARTEC Global
Communications Corp. 5/15/08 80
....................................................................................................
150 UIH Australia/Pacific, Inc.
144A 5/15/06 150
....................................................................................................
80 Versatel Teleco 144A 5/15/08 $800
- ----------------------------------------------------------------------------------------------------
Total Warrants
(cost $112,296) 162,123
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (--%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
600 Chancellor Media Corp. .
$3.00 cv. cum pfd. $55,875
....................................................................................................
515 Chesapeake Energy Corp. 144A
$3.50 cv. cum. pfd. 5,279
- ----------------------------------------------------------------------------------------------------
Total Convertible Preferred Stocks
(cost $89,076) $61,154
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (5.3%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
ITL 4,620,000,000 Italy (Government of) deb. 8 1/2s, 1999 $2,863,930
....................................................................................................
$12,990,000 U.S. Treasury Bills zero %, March 4, 1999 (SEG) 12,893,131
....................................................................................................
37,975,000 Interest in $502,458,000 joint repurchase
agreement dated December 31, 1998
with SBC Warburg Securities due
January 4, 1999 with respect to various
U.S. Treasury obligations - maturity value
of $37,995,042 for an effective yield
of 4.75% 37,980,011
- ----------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $53,546,271) $53,737,072
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $834,022,547) (b) $993,714,391
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Buy at December 31, 1998
(aggregate face value $90,198,171)
- ----------------------------------------------------------------------------------------------------
<CAPTION>
Unrealized
Aggregate Delivery Appreciation/
Market Value Face Value Date (Depreciation)
....................................................................................................
<S> <C> <C> <C> <C>
Australian Dollars $731,097 $764,420 Mar-99 $(33,323)
....................................................................................................
Danish Krone 1,994,886 2,008,847 Mar-99 (13,961)
....................................................................................................
Deutschemarks 23,228,551 23,129,724 Feb-99 98,827
....................................................................................................
Finnish Marka 607,348 604,841 Feb-99 2,507
....................................................................................................
French Franc 4,131,288 4,099,292 Feb-99 31,996
....................................................................................................
Japanese Yen 61,223,193 58,103,088 Mar-99 3,120,105
....................................................................................................
Spanish Peseta 1,502,291 1,487,959 Feb-99 14,332
- ----------------------------------------------------------------------------------------------------
$3,220,483
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell at December 31, 1998
(aggregate face value $83,896,204)
- ----------------------------------------------------------------------------------------------------
Unrealized
Market Aggregate Delivery Appreciation/
Value Face Value Date (Depreciation)
....................................................................................................
<S> <C> <C> <C> <C>
British Pounds $12,659,724 $12,663,787 Mar-99 $4,063
....................................................................................................
Canadian Dollar 324,080 323,062 Mar-99 (1,018)
....................................................................................................
Deutschemarks 13,610,483 13,543,405 Feb-99 (67,078)
....................................................................................................
Dutch Guilder 12,680,980 12,620,516 Feb-99 (60,464)
....................................................................................................
Italian Lira 1,250,052 1,238,626 Feb-99 (11,426)
....................................................................................................
Japanese Yen 39,855,242 37,805,961 Mar-99 (2,049,281)
....................................................................................................
New Zealand Dollar 2,159,614 2,174,730 Mar-99 15,116
....................................................................................................
Swedish Krona 3,498,410 3,526,117 Mar-99 27,707
- ----------------------------------------------------------------------------------------------------
$(2,142,381)
- ----------------------------------------------------------------------------------------------------
Futures Contracts Outstanding at December 31, 1998
- ----------------------------------------------------------------------------------------------------
Unrealized
Aggregate Expiration Appreciation/
Total Value Face Value Date (Depreciation)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
CAC40 Index
(Long) $8,325,554 $7,774,526 Jan-99 $551,028
....................................................................................................
DAX Index (Long) 10,947,217 10,231,755 Mar-99 715,462
....................................................................................................
FT-SE 100 Index
(Long) 11,672,156 11,165,925 Mar-99 506,23
....................................................................................................
German 10 Yr
(Long) 10,602,564 10,611,103 Mar-99 (8,539)
....................................................................................................
Gilt (Short) 15,593,574 15,392,794 Mar-99 (200,780)
....................................................................................................
Japanese
Government Bonds
10 Yr (Long) 17,536,440 18,598,449 Mar-99 (1,062,009)
....................................................................................................
U.S. Treasury Note
10 Yr (Short) 7,149,375 7,140,079 Mar-99 (9,296)
....................................................................................................
U.S. Treasury Bond
20 Yr (Long) 1,916,719 1,952,910 Mar-99 (36,191)
....................................................................................................
Municipal Bond
Index (Long) 19,512,147 17,997,947 Mar-99 1,514,200
....................................................................................................
NASDAQ 100
(Long) 2,595,600 2,412,791 Mar-99 182,809
....................................................................................................
Nikkei 225 SMX
(Long) 8,367,420 8,934,151 Mar-99 (566,731)
....................................................................................................
Russell 2000IDX
(Long) 2,551,500 2,402,265 Mar-99 149,235
....................................................................................................
S&P 500 Index
(Short) 24,287,250 22,924,668 Mar-99 (1,362,582)
....................................................................................................
SPI Futures (Long) 7,000,452 6,805,659 Mar-99 194,793
- ----------------------------------------------------------------------------------------------------
$567,630
- ----------------------------------------------------------------------------------------------------
Diversification by Country
- ----------------------------------------------------------------------------------------------------
Distribution of investments by country of issue at
December 31, 1998: (as percentage of Market Value)
- ----------------------------------------------------------------------------------------------------
Canada 0.8%
....................................................................................................
France 1.7
....................................................................................................
Germany 1.5
....................................................................................................
Ireland 0.5
....................................................................................................
Italy 1.3
....................................................................................................
Japan 1.3
....................................................................................................
Netherlands 2.0
....................................................................................................
Sweden 1.0
....................................................................................................
Switzerland 0.8
....................................................................................................
United Kingdom 4.0
....................................................................................................
United States 82.7
....................................................................................................
Other 2.4
- ----------------------------------------------------------------------------------------------------
Total 100.0%
- ----------------------------------------------------------------------------------------------------
See page 240 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT Global Growth Fund
Portfolio of investments owned
December 31, 1998
<CAPTION>
COMMON STOCKS (99.3%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares
....................................................................................................
<S> <C> <C> <C> <C>
Aerospace and Defense (0.2%)
....................................................................................................
328,800 Smiths Industries PLC (United Kingdom) $4,673,537
- ----------------------------------------------------------------------------------------------------
Automotive (--%)
....................................................................................................
1 Bayerische Motoren Werke (BMW) AG
(Germany) 371
....................................................................................................
50 Telco (Tata Engineering and
Locomotive Co., Ltd.) (India) 192
- ----------------------------------------------------------------------------------------------------
563
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (0.7%)
....................................................................................................
843,950 International Container Terminal
Services, Inc. (Philippines) (NON) 70,783
....................................................................................................
584 Larsen & Toubro Ltd. GDR (India) 2,210
....................................................................................................
172,562 Sidel S.A. (France) 14,635,673
- ----------------------------------------------------------------------------------------------------
14,708,666
- ----------------------------------------------------------------------------------------------------
Broadcasting (0.8%)
....................................................................................................
84,693 Societe Television Francaise 1 (France) 15,078,558
- ----------------------------------------------------------------------------------------------------
Building and Construction (0.6%)
....................................................................................................
412,600 CRH PLC (Ireland) 7,117,020
....................................................................................................
178,100 Masco Corp. 5,120,375
- ----------------------------------------------------------------------------------------------------
12,237,395
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (3.9%)
....................................................................................................
407,100 CGI Group, Inc. (Canada) (NON) 8,046,243
....................................................................................................
115,600 Cisco Systems, Inc. (NON) 10,729,125
....................................................................................................
328,500 HBO & Co. 9,423,844
....................................................................................................
194,060 Mannesmann AG (Germany) 22,257,527
....................................................................................................
128,800 Pitney Bowes, Inc. 8,508,850
....................................................................................................
90,800 Wolters Kluwer N.V. (Netherlands) 19,411,248
- ----------------------------------------------------------------------------------------------------
78,376,837
- ----------------------------------------------------------------------------------------------------
Communications (0.5%)
....................................................................................................
379,900 BCE Mobile Communications, Inc.
(Canada) (NON) 10,301,111
- ----------------------------------------------------------------------------------------------------
Computer Equipment (3.3%)
....................................................................................................
135,000 Computer Sciences Corp. (NON) 8,699,063
....................................................................................................
119,400 Dell Computer Corp. (NON) 8,738,588
....................................................................................................
189,800 EMC Corp. (NON) 16,133,000
....................................................................................................
140,200 IBM Corp. 25,901,950
....................................................................................................
69,400 Sun Microsystems, Inc. (NON) 5,942,375
- ----------------------------------------------------------------------------------------------------
65,414,976
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (6.1%)
....................................................................................................
86,100 3Com Corp. (NON) 3,858,356
....................................................................................................
205,100 BMC Software, Inc. (NON) 9,139,769
....................................................................................................
87,618 Cap Gemini S.A. (France) 14,062,903
....................................................................................................
264,000 CMG PLC (United Kingdom) (NON) 6,673,498
....................................................................................................
102,800 Compuware Corp. (NON) 8,031,250
....................................................................................................
105,260 Equant N.V. (Netherlands) (NON) 7,324,711
....................................................................................................
382,700 Fujitsu Ltd. (Japan) (NON) 5,088,916
....................................................................................................
108,100 IMS Health Inc. 8,154,794
....................................................................................................
251,000 Microsoft Corp. (NON) 34,810,563
....................................................................................................
2,079,300 Misys PLC (United Kingdom) (NON) 15,087,700
....................................................................................................
933,200 SEMA Group PLC (United Kingdom) 9,142,015
- ----------------------------------------------------------------------------------------------------
121,374,475
- ----------------------------------------------------------------------------------------------------
Conglomerates (2.1%)
....................................................................................................
87,400 United Technologies Corp. 9,504,750
....................................................................................................
432,500 Tyco International Ltd. 32,626,719
- ----------------------------------------------------------------------------------------------------
42,131,469
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (4.1%)
....................................................................................................
152,090 Benckiser NV Class B, (Netherlands) 9,953,216
....................................................................................................
493,250 Centros Comerciales Continente, S.A.
(Spain) 16,718,572
....................................................................................................
52,500 Clorox Co. 6,132,656
....................................................................................................
95,300 Colgate-Palmolive Co. 8,850,988
....................................................................................................
50,900 Estee Lauder Cos. Class A 4,351,950
....................................................................................................
832,680 KAO Corp. (Japan) 18,760,675
....................................................................................................
11,587 L'OREAL (France) 8,376,095
....................................................................................................
148,400 Philip Morris Cos., Inc. (NON) 7,939,400
- ----------------------------------------------------------------------------------------------------
81,083,552
- ----------------------------------------------------------------------------------------------------
Consumer Services (2.1%)
....................................................................................................
36,600 America Online, Inc. 5,856,000
....................................................................................................
1,318,400 Compass Group PLC (United Kingdom) 15,046,340
....................................................................................................
177,000 Interpublic Group Cos. Inc. 14,115,750
....................................................................................................
119,600 Tricon Global Restaurants, Inc. (NON) 5,994,950
- ----------------------------------------------------------------------------------------------------
41,013,040
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (4.5%)
....................................................................................................
247,300 General Electric Co. 25,240,056
....................................................................................................
185,800 Intel Corp. 22,028,913
....................................................................................................
96,000 Micron Technology, Inc. 4,854,000
....................................................................................................
182,000 Murata Manufacturing Co. Ltd. (Japan) 7,541,789
....................................................................................................
157,000 Secom Co. (Japan) 12,983,915
....................................................................................................
143,200 STMicroelectronics (France) (NON) 11,274,178
....................................................................................................
49,000 TDK Corp. (Japan) 4,472,255
....................................................................................................
600 Tokyo Electron Ltd. (Japan) 22,743
- ----------------------------------------------------------------------------------------------------
88,417,849
- ----------------------------------------------------------------------------------------------------
Entertainment (2.7%)
....................................................................................................
267,500 Carnival Corp. Class A 12,840,000
....................................................................................................
427,200 Time Warner, Inc. 26,513,100
....................................................................................................
198,500 Viacom, Inc. Class B (NON) 14,689,000
- ----------------------------------------------------------------------------------------------------
54,042,100
- ----------------------------------------------------------------------------------------------------
Environmental Control (1.6%)
....................................................................................................
84,022 Vivendi (France) 21,799,685
....................................................................................................
227,900 Waste Management, Inc. (NON) 10,625,838
- ----------------------------------------------------------------------------------------------------
32,425,523
- ----------------------------------------------------------------------------------------------------
Food and Beverages (4.0%)
....................................................................................................
4,431,095 Coca-Cola Beverages PLC
(United Kingdom) (NON) 7,785,682
....................................................................................................
241,100 Heineken NV (Netherlands) 14,495,504
....................................................................................................
72,700 Itoen, Ltd. (Japan) 3,744,840
....................................................................................................
165,300 Koninlijke Numico N.V. (Netherlands) 7,871,429
....................................................................................................
21,883 Promodes (France) 15,912,916
....................................................................................................
95,300 The Quaker Oats Co. 5,670,350
....................................................................................................
232,600 Sara Lee Corp. 6,556,413
....................................................................................................
75,282 Sodexho Alliance S.A. (France) 16,837,995
- ----------------------------------------------------------------------------------------------------
78,875,129
- ----------------------------------------------------------------------------------------------------
Health Care (0.5%)
....................................................................................................
132,450 Cardinal Health, Inc. 10,049,662
- ----------------------------------------------------------------------------------------------------
Hotels (0.4%)
....................................................................................................
32,411 Accor S.A. (France) 7,017,251
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (20.2%)
....................................................................................................
112,600 Aegon N.V. (Netherlands) 13,815,142
....................................................................................................
131,500 Aiful Corp. (Japan) 7,970,398
....................................................................................................
1,170,830 Alleanza Assicurazioni SPA (Italy) 16,555,059
....................................................................................................
34,200 Allianz Versicherungs AG (Germany) 12,548,009
....................................................................................................
723,400 Allied Irish Banks PLC (Ireland) 12,940,620
....................................................................................................
44,200 American Express Co. 4,519,450
....................................................................................................
82,500 American General Corp. 6,435,000
....................................................................................................
156,950 American International Group, Inc. 15,165,294
....................................................................................................
777,700 AMP Ltd. (Australia) (NON) 9,832,276
....................................................................................................
408,700 AMP Ltd.144A (Australia) (NON) 5,167,097
....................................................................................................
416,500 Assicurazioni Generali (Italy) 17,402,499
....................................................................................................
116,200 Associates First Capital Corp. (NON) 4,923,975
....................................................................................................
112,955 Axa S.A. (France) 16,371,169
....................................................................................................
1,662,800 Banca Intesa SPA (Italy) 9,983,446
....................................................................................................
375,800 Banco Comercial Portugues, S.A.
(Portugal) 11,536,206
....................................................................................................
234,450 Banco Portugues Do Atlantico
(Portugal) 4,797,594
....................................................................................................
86,200 Banco Portugues Do Atlantico 144A
(Portugal) 1,763,927
....................................................................................................
160 Bank of Greece S.A. (Greece) 35,981
....................................................................................................
137,800 Bankinter, S.A. (Spain) 5,078,529
....................................................................................................
232,296 Bayerische Vereinsbank AG (Germany) 18,203,704
....................................................................................................
48,800 Charter One Financial, Inc. 1,354,200
....................................................................................................
138,300 Comerica, Inc. 9,430,331
....................................................................................................
3,150,300 Credito Italiano SPA (Italy) 18,685,570
....................................................................................................
351,400 Federal Home Loan Mortgage Corp. 22,643,338
....................................................................................................
107,800 Fifth Third Bancorp 7,687,488
....................................................................................................
137,384 Firstar Corp. 12,811,058
....................................................................................................
197,300 Fortis Amev NV (Netherlands) (NON) 16,334,068
....................................................................................................
363,600 HSBC Holdings PLC (United Kingdom) 9,058,787
....................................................................................................
1,467 Julius Baer Holdings AG (Switzerland) 4,875,759
....................................................................................................
394,300 MBNA Corp. 9,832,856
....................................................................................................
814,200 Mediolanum SPA (Italy) 6,039,694
....................................................................................................
68,400 Merrill Lynch & Co., Inc. 4,565,700
....................................................................................................
166,000 Promise Co., Ltd. (Japan) 8,624,135
....................................................................................................
88,860 Providian Financial Corp. 6,664,500
....................................................................................................
27,100 Shohkoh Fund & Co., Ltd. (Japan) 8,715,677
....................................................................................................
117,100 SunAmerica, Inc. (NON) 9,499,738
....................................................................................................
138,200 Takefuji Corp. (Japan) 10,073,776
....................................................................................................
26,100 Takefuji Corp. 144A (Japan) (NON) 1,902,500
....................................................................................................
412,900 Tele-Communications TCI Ventures
Group Class A (NON) 9,728,956
....................................................................................................
1 UBS AG (Switzerland) (NON) 307
....................................................................................................
431,100 Wells Fargo Co. (NON) 17,217,056
....................................................................................................
14,530 Zurich Allied AG (Switzerland) (NON) 10,758,653
- ----------------------------------------------------------------------------------------------------
401,549,522
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (1.8%)
....................................................................................................
234,300 Centocor, Inc. (NON) 10,572,788
....................................................................................................
52,200 McKesson Corp. (NON) 4,127,063
....................................................................................................
21,294 Synthelabo (France) 4,507,453
....................................................................................................
438,000 Takeda Chemical Industries (Japan) 16,834,246
- ----------------------------------------------------------------------------------------------------
36,041,550
- ----------------------------------------------------------------------------------------------------
Oil and Gas (0.9%)
....................................................................................................
241,400 Exxon Corp. 17,652,375
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (10.5%)
....................................................................................................
161,100 Bristol-Myers Squibb Co. (NON) 21,557,194
....................................................................................................
269,300 Elan Corp. PLC ADR (Ireland) (NON) 18,733,181
....................................................................................................
557,738 Glaxo Wellcome PLC (United Kingdom) 19,118,801
....................................................................................................
187,700 Lilly (Eli) & Co. 16,681,838
....................................................................................................
7,545 Novartis AG ADR (Switzerland) 14,831,817
....................................................................................................
162,500 Pfizer, Inc. 20,383,594
....................................................................................................
209,200 Quintiles Transnational Corp. (NON) 11,166,050
....................................................................................................
56,806 Sanofi S.A. (France) 9,351,284
....................................................................................................
445,300 Schering-Plough Corp. 24,602,825
....................................................................................................
1,040,838 Smithkline Beecham PLC ADR
(United Kingdom) 14,492,462
....................................................................................................
314,250 Warner-Lambert Co. 23,627,672
....................................................................................................
456,000 Yamanouchi Pharmaceutical Co., Ltd.
(Japan) 14,665,483
- ----------------------------------------------------------------------------------------------------
209,212,201
- ----------------------------------------------------------------------------------------------------
Publishing (0.5%)
....................................................................................................
269,300 VNU N.V. (Netherlands) 10,144,421
- ----------------------------------------------------------------------------------------------------
Retail (10.6%)
....................................................................................................
1,447,800 Coles Myer Ltd. (Australia) 7,569,569
....................................................................................................
250,400 Costco Companies, Inc. (NON) 18,075,750
....................................................................................................
433,700 CVS Corp. 23,853,500
....................................................................................................
96,100 Gap, Inc. (The) 5,405,625
....................................................................................................
300,900 Home Depot, Inc. (The) 18,411,319
....................................................................................................
478,894 Koninklijke Ahold N.V. (Netherlands) 17,683,024
....................................................................................................
77,000 Kroger Co. 4,658,500
....................................................................................................
1,390,400 La Rinascente SPA (Italy) 14,309,054
....................................................................................................
293,000 Safeway, Inc. (NON) 17,854,688
....................................................................................................
182,000 Seven-Eleven Japan Co., Ltd. (Japan) 14,633,327
....................................................................................................
455,500 TJX Cos., Inc. (The) 13,209,500
....................................................................................................
390,000 Wal-Mart Stores, Inc. 31,760,625
....................................................................................................
280,800 Walgreen Co. 16,444,350
....................................................................................................
1,770,942 Woolworth Ltd. (Australia) 6,016,765
- ----------------------------------------------------------------------------------------------------
209,885,596
- ----------------------------------------------------------------------------------------------------
Satellite Services (0.8%)
....................................................................................................
610,666 Hellenic Telecommunication Organization
S.A. (Greece) 16,239,408
- ----------------------------------------------------------------------------------------------------
Telecommunications (12.7%)
....................................................................................................
140,400 Ascend Communications, Inc. (NON) 9,231,300
....................................................................................................
2,173,300 Cable & Wireless Communications
(United Kingdom) (NON) 19,777,517
....................................................................................................
5,320,400 Cable & Wireless Optus Ltd. (Australia) (NON) 11,159,246
....................................................................................................
120,100 General Instrument Corp. (NON) 4,075,894
....................................................................................................
275,000 Lucent Technologies, Inc. 30,250,000
....................................................................................................
376,000 Matsushita Communication Industrial
Co., Ltd. (Japan) 17,707,015
....................................................................................................
349,600 MCI WorldCom, Inc. (NON) 25,083,800
....................................................................................................
392 Northern Telecom Ltd. (Canada) 19,619
....................................................................................................
1,118,000 Orange PLC ADR (United Kingdom) (NON) 12,944,580
....................................................................................................
225,500 Oy Nokia AB Class A, (Finland) 27,432,552
....................................................................................................
213,400 Sonera Group OYJ (Finland) (NON) 3,768,469
....................................................................................................
139,800 Tele Danmark AS (Denmark) 18,799,029
....................................................................................................
71,846 Telecel-Comunicacaoes Pessoais, S.A.
(Portugal) (NON) 14,664,164
....................................................................................................
2,749,500 Telecom Italia Mobile SPA (Italy) 20,312,402
....................................................................................................
246,900 Tele-Communications, Inc. Class A (NON) 13,656,656
....................................................................................................
1,487,500 Vodafone Group PLC (United Kingdom) 24,065,037
- ----------------------------------------------------------------------------------------------------
252,947,280
- ----------------------------------------------------------------------------------------------------
Transportation (0.5%)
....................................................................................................
645,100 Bombardier, Inc. (Canada) 9,272,917
- ----------------------------------------------------------------------------------------------------
Utilities (2.7%)
....................................................................................................
97,300 Airtouch Communications, Inc. 7,017,763
....................................................................................................
642 Nippon Telegraph and Telephone Corp.
(Japan) (NON) 4,946,316
....................................................................................................
210,700 Peco Energy Co. 8,770,388
....................................................................................................
306,300 SBC Communications, Inc. (NON) 16,425,202
....................................................................................................
200,000 Sprint Corp. 16,825,000
- ----------------------------------------------------------------------------------------------------
53,984,669
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $1,572,813,581) $1,974,151,632
- ----------------------------------------------------------------------------------------------------
INVESTMENT COMPANIES (--%) (a) (cost $63,432)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
1,358 India Magnum Fund Class A (acquired
11/1/96, cost $63,432) (India) (NON) (RES) $33,950
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (0.2%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$283,000 Delaware Funding Corp., effective
yield of 5.73%, January 20,1999 $282,144
....................................................................................................
4,100,000 U.S. Treasury Bill, 4.47s, March 4, 1999 4,069,248
....................................................................................................
382,000 Windmill Funding, effective yield 5.45%,
January 27,1999 380,496
- ----------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $4,731,888) $4,731,888
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $1,577,608,901) (b) $1,978,917,470
- ----------------------------------------------------------------------------------------------------
Diversification by Country
- ----------------------------------------------------------------------------------------------------
Distribution of investments by country of issue at
December 31, 1998: (as percentage of Market Value)
- ----------------------------------------------------------------------------------------------------
Australia 2.0%
....................................................................................................
Canada 1.4
....................................................................................................
Denmark 1.0
....................................................................................................
Finland 1.6
....................................................................................................
France 7.8
....................................................................................................
Germany 2.7
....................................................................................................
Ireland 2.0
....................................................................................................
Italy 5.2
....................................................................................................
Japan 8.0
....................................................................................................
Netherlands 5.9
....................................................................................................
Portugal 1.7
....................................................................................................
Spain 1.1
....................................................................................................
Switzerland 1.5
....................................................................................................
United Kingdom 8.0
....................................................................................................
United States 49.3
....................................................................................................
Other 0.8
- ----------------------------------------------------------------------------------------------------
Total 100.0%
- ----------------------------------------------------------------------------------------------------
See page 240 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
December 31, 1998
<CAPTION>
COMMON STOCKS (97.1%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Aerospace and Defense (0.8%)
....................................................................................................
271,088 Lockheed Martin Corp. $22,974,708
....................................................................................................
515,000 Raytheon Co. Class A 26,619,063
....................................................................................................
514,200 Raytheon Co. Class B 27,381,150
- ----------------------------------------------------------------------------------------------------
76,974,921
- ----------------------------------------------------------------------------------------------------
Automotive (2.3%)
....................................................................................................
2,536,600 Ford Motor Co. 148,866,713
....................................................................................................
965,100 General Motors Corp. 69,064,969
....................................................................................................
225,000 Goodyear Tire & Rubber Co. (The) 11,348,438
....................................................................................................
1 Meritor Automotive, Inc. (NON) 21
- ----------------------------------------------------------------------------------------------------
229,280,141
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (1.5%)
....................................................................................................
758,570 Cooper Industries, Inc. 36,174,307
....................................................................................................
1,042,762 Deere (John) & Co. 34,541,491
....................................................................................................
734,415 Minnesota Mining & Manufacturing Co. 52,235,267
....................................................................................................
875,000 Owens-Illinois, Inc. (NON) 26,796,875
- ----------------------------------------------------------------------------------------------------
149,747,940
- ----------------------------------------------------------------------------------------------------
Broadcasting (0.2%)
....................................................................................................
380,000 Comcast Corp. Class A 22,301,250
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (1.0%)
....................................................................................................
851,049 Xerox Corp. 100,423,782
- ----------------------------------------------------------------------------------------------------
Chemicals (2.1%)
....................................................................................................
525,000 Avery Dennison Corp. 23,657,813
....................................................................................................
346,400 Dow Chemical Co. 31,500,750
....................................................................................................
2,015,980 du Pont (E.I.) de Nemours & Co., Ltd. 106,972,939
....................................................................................................
813,965 Eastman Chemical Co. 36,424,934
....................................................................................................
692,588 Witco Chemical Corp. 11,038,121
- ----------------------------------------------------------------------------------------------------
209,594,557
- ----------------------------------------------------------------------------------------------------
Computer Equipment (0.9%)
....................................................................................................
1,907,800 Seagate Technology, Inc. (NON) 57,710,950
....................................................................................................
346,600 Sun Microsystems, Inc. (NON) 29,677,625
- ----------------------------------------------------------------------------------------------------
87,388,575
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (3.9%)
....................................................................................................
1,391,800 3Com Corp. (NON) 62,370,037
....................................................................................................
1,155,001 Computer Associates International, Inc. 49,231,917
....................................................................................................
1,263,958 IBM Corp. 233,516,231
....................................................................................................
850,000 NCR Corp. (NON) 35,487,500
....................................................................................................
135,000 Apple Computer, Inc. 5,526,563
- ----------------------------------------------------------------------------------------------------
386,132,248
- ----------------------------------------------------------------------------------------------------
Computer Equipment (1.7%)
....................................................................................................
4,063,400 Compaq Computer Corp. 170,408,838
- ----------------------------------------------------------------------------------------------------
Conglomerates (1.1%)
....................................................................................................
1,124,200 Allied-Signal, Inc. 49,816,113
....................................................................................................
350,000 Ogden Corp. 8,771,875
....................................................................................................
205,000 Temple Inland, Inc. 12,159,063
....................................................................................................
357,700 United Technologies Corp. 38,899,875
- ----------------------------------------------------------------------------------------------------
109,646,926
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (4.9%)
....................................................................................................
210,000 Clorox Co. 24,530,625
....................................................................................................
934,288 Colgate-Palmolive Co. 86,771,998
....................................................................................................
1,137,201 Kimberly-Clark Corp. 61,977,455
....................................................................................................
3,915,537 Philip Morris Cos., Inc. 209,481,230
....................................................................................................
275,000 Procter & Gamble Co. 25,110,937
....................................................................................................
2,663,273 RJR Nabisco Holdings Corp. 79,065,917
- ----------------------------------------------------------------------------------------------------
486,938,162
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (7.0%)
....................................................................................................
1,262,600 Emerson Electric Co. 76,387,300
....................................................................................................
2,799,009 General Electric Co. 285,673,856
....................................................................................................
1,121,000 Intel Corp. 132,908,563
....................................................................................................
1,786,100 Motorola, Inc. 109,063,731
....................................................................................................
168,850 Rockwell International Corp. 8,199,778
....................................................................................................
921,600 Texas Instruments, Inc. 78,854,400
- ----------------------------------------------------------------------------------------------------
691,087,628
- ----------------------------------------------------------------------------------------------------
Entertainment (0.6%)
....................................................................................................
813,386 Viacom, Inc. Class B (NON) 60,190,564
- ----------------------------------------------------------------------------------------------------
Food and Beverages (4.1%)
....................................................................................................
1,598,188 Anheuser-Busch Cos., Inc. 104,881,088
....................................................................................................
1,319,200 ConAgra, Inc. 41,554,800
....................................................................................................
350,000 General Mills, Inc. 27,212,500
....................................................................................................
1,463,500 Heinz (H.J.) Co. 82,870,688
....................................................................................................
506,000 Nabisco Holdings Corp. Class A 20,999,000
....................................................................................................
867,600 Quaker Oats Co. (The) 51,622,200
....................................................................................................
2,775,062 Sara Lee Corp. 78,222,060
- ----------------------------------------------------------------------------------------------------
407,362,336
- ----------------------------------------------------------------------------------------------------
Health Care (0.9%)
....................................................................................................
1,031,600 Columbia/HCA Healthcare Corp. 25,532,100
....................................................................................................
1,805,300 Tenet Healthcare Corp. (NON) 47,389,125
....................................................................................................
200,000 Wellpoint Health Networks, Inc. (NON) 17,400,000
- ----------------------------------------------------------------------------------------------------
90,321,225
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (22.7%)
....................................................................................................
608,390 Aetna Inc. 47,834,664
....................................................................................................
1,156,700 Allstate Corp. 44,677,538
....................................................................................................
874,000 American Express Co. 89,366,500
....................................................................................................
1,611,587 American General Corp. 125,703,786
....................................................................................................
1,294,590 AON Corp. 71,687,921
....................................................................................................
3,014,289 Bank One Corp. 153,917,132
....................................................................................................
3,727,127 BankAmerica Corp. 224,093,511
....................................................................................................
2,136,022 BankBoston Corp. 83,171,357
....................................................................................................
195,000 Bankers Trust New York Corp. (CUS) 16,660,313
....................................................................................................
1,135,000 Chase Manhattan Corp. 77,250,938
....................................................................................................
1,374,442 CIGNA Corp. 106,261,547
....................................................................................................
3,948,700 Citigroup, Inc. 195,460,650
....................................................................................................
1,629,969 Fannie Mae 120,617,706
....................................................................................................
77,900 First American Corp. 3,456,813
....................................................................................................
195,000 First Tennessee National Corp. 7,422,188
....................................................................................................
1,105,900 First Union Corp. 67,252,544
....................................................................................................
1,324,000 Fleet Financial Group, Inc. 59,166,250
....................................................................................................
606,800 Hartford Financial Services Group (ITT) 33,298,150
....................................................................................................
301,820 Huntington Bancshares, Inc. 9,073,464
....................................................................................................
1,680,000 KeyCorp 53,760,000
....................................................................................................
725,000 Lehman Brothers Holding, Inc. 31,945,313
....................................................................................................
295,000 Lincoln National Corp. 24,134,688
....................................................................................................
820,000 Mercantile Bancorpation, Inc. 37,822,500
....................................................................................................
853,100 Merrill Lynch & Co., Inc. 56,944,425
....................................................................................................
909,140 Morgan (J.P.) & Co., Inc. 95,516,521
....................................................................................................
420,000 Morgan Stanley, Dean Witter, Discover
and Co. 29,820,000
....................................................................................................
497,800 National City Corp. 36,090,500
....................................................................................................
1,075,000 PNC Bank Corp. 58,184,375
....................................................................................................
210,826 Summit Bancorp 9,210,461
....................................................................................................
371,700 SunTrust Banks, Inc. 28,435,050
....................................................................................................
151,600 Synovus Financial Corp. 3,695,250
....................................................................................................
585,000 The Equitable Companies, Inc. 33,856,875
....................................................................................................
2,494,800 Washington Mutual, Inc. 95,270,175
....................................................................................................
3,223,100 Wells Fargo Co. 128,722,556
- ----------------------------------------------------------------------------------------------------
2,259,781,661
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (1.3%)
....................................................................................................
2,063,938 Baxter International, Inc. 132,737,013
- ----------------------------------------------------------------------------------------------------
Metals and Mining (0.4%)
....................................................................................................
385,500 Aluminum Co. of America 28,743,844
....................................................................................................
900,000 Freeport-McMoRan Copper &
Gold Co., Inc. Class A 8,718,750
....................................................................................................
610,000 Freeport-McMoRan Copper &
Gold Co., Inc. Class B 6,366,875
- ----------------------------------------------------------------------------------------------------
43,829,469
- ----------------------------------------------------------------------------------------------------
Oil and Gas (10.3%)
....................................................................................................
1,504,588 Amoco Corp. 88,770,692
....................................................................................................
1,282,878 Atlantic Richfield Co. 83,707,790
....................................................................................................
487,000 British Petroleum PLC ADR
(United Kingdom) 46,265,000
....................................................................................................
1,153,300 Chevron, Inc. 95,651,819
....................................................................................................
992,000 Conoco, Inc. (NON) 20,708,000
....................................................................................................
815,300 Elf Aquitane ADR (France) 46,166,363
....................................................................................................
584,700 Enron Corp. 33,364,444
....................................................................................................
2,677,768 Exxon Corp. 195,811,785
....................................................................................................
850,000 Halliburton Co. 25,181,250
....................................................................................................
1,247,544 Mobil Corp. 108,692,271
....................................................................................................
1,300,000 Occidental Petroleum Corp. 21,937,500
....................................................................................................
850,000 Royal Dutch Petroleum Co. PLC ADR
(Netherlands) 40,693,750
....................................................................................................
1,228,100 Schlumberger Ltd. 56,646,113
....................................................................................................
1,513,100 Sonat, Inc. 40,948,269
....................................................................................................
1,410,900 Texaco, Inc. 74,601,338
....................................................................................................
960,000 Tosco Corp. 24,840,000
....................................................................................................
716800 Williams Cos., Inc. 22,355,200
- ----------------------------------------------------------------------------------------------------
1,026,341,584
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (1.1%)
....................................................................................................
685,700 Fort James Corp. 27,428,000
....................................................................................................
1,514,476 Weyerhaeuser Co. 76,954,312
- ----------------------------------------------------------------------------------------------------
104,382,312
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (7.6%)
....................................................................................................
2,795,838 American Home Products Corp. 157,440,627
....................................................................................................
1,349,547 Bristol-Myers Squibb Co. 180,586,258
....................................................................................................
1,171,133 Merck & Co., Inc. 172,961,705
....................................................................................................
4,293,287 Pharmacia & Upjohn, Inc. 243,107,376
- ----------------------------------------------------------------------------------------------------
754,095,966
- ----------------------------------------------------------------------------------------------------
Photography (0.8%)
....................................................................................................
1,139,283 Eastman Kodak Co. 82,028,376
- ----------------------------------------------------------------------------------------------------
Publishing (1.3%)
....................................................................................................
527,000 McGraw-Hill, Inc. 53,688,125
....................................................................................................
920,000 Times Mirror Co. Class A 51,520,000
....................................................................................................
378,400 Tribune Co. 24,974,400
- ----------------------------------------------------------------------------------------------------
130,182,525
- ----------------------------------------------------------------------------------------------------
REIT's (Real Estate Investment Trusts) (0.5%)
....................................................................................................
700,000 Equity Residential Properties Trust 28,306,250
....................................................................................................
1,100,000 Starwood Lodging Trust 24,956,250
- ----------------------------------------------------------------------------------------------------
53,262,500
- ----------------------------------------------------------------------------------------------------
Restaurants (0.2%)
....................................................................................................
320,000 McDonald's Corp. 24,520,000
- ----------------------------------------------------------------------------------------------------
Retail (3.1%)
....................................................................................................
1,253,280 Dayton Hudson Corp. 67,990,440
....................................................................................................
4,393,547 K mart Corp. (NON) 67,276,188
....................................................................................................
916,890 May Department Stores Co. 55,357,234
....................................................................................................
476,775 Penney (J.C.) Co., Inc. 22,348,828
....................................................................................................
1,311,100 Sears, Roebuck & Co. 55,721,750
....................................................................................................
2,223,821 Toys R Us (NON) 37,526,979
- ----------------------------------------------------------------------------------------------------
306,221,419
- ----------------------------------------------------------------------------------------------------
Specialty Consumer Products (0.3%)
....................................................................................................
1,091,232 Mattel, Inc. 24,893,730
- ----------------------------------------------------------------------------------------------------
Telecommunications (1.3%)
....................................................................................................
621,600 MediaOne Group Inc. (NON) 29,215,200
....................................................................................................
1,573,896 U S West, Inc. 101,713,028
- ----------------------------------------------------------------------------------------------------
130,928,228
- ----------------------------------------------------------------------------------------------------
Transportation (1.5%)
....................................................................................................
2,531,577 Burlington Northern Santa Fe Corp. 85,440,724
....................................................................................................
470,000 Delta Air Lines, Inc. 24,440,000
....................................................................................................
800,000 Norfolk Southern Corp. 25,350,000
....................................................................................................
600,000 Ryder System, Inc. 15,600,000
- ----------------------------------------------------------------------------------------------------
150,830,724
- ----------------------------------------------------------------------------------------------------
Utilities (11.7%)
....................................................................................................
2,458,811 American Telephone & Telegraph Co. 185,025,528
....................................................................................................
1,552,000 Ameritech Corp. 98,358,000
....................................................................................................
2,281,400 Bell Atlantic Corp. 120,914,200
....................................................................................................
620,000 BellSouth Corp. 30,922,500
....................................................................................................
1,077,200 Consolidated Edison, Inc. 56,956,950
....................................................................................................
1,506,300 Duke Energy Corp. 96,497,344
....................................................................................................
790,000 Edison International 22,021,250
....................................................................................................
1,700,000 Entergy Corp. 52,912,500
....................................................................................................
1,320,700 GTE Corp. 85,845,500
....................................................................................................
585,000 Public Service Enterprise Group, Inc. 23,400,000
....................................................................................................
2,960,438 SBC Communications, Inc. 158,753,487
....................................................................................................
977,470 Sempra Energy 24,803,301
....................................................................................................
1,851,400 Southern Co. 53,806,312
....................................................................................................
1,098,309 Sprint Corp. 92,395,245
....................................................................................................
1,370,200 Texas Utilities Co. 63,971,212
- ----------------------------------------------------------------------------------------------------
1,166,583,329
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $7,835,550,274) $9,668,417,929
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (0.2%) (a) (cost $16,029,234)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$15,000,000 Apple Computer, Inc. cv. sub. notes
6s, 2001 $21,656,250
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.2%) (a) (cost $20,394,668)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
350,000 K mart Financing I $3.875 cum. cv. pfd. $20,278,125
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (2.8%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$2,640,000 Commonwealth Bank of Australia,
effective yield of 5.25%, January 4, 1999 $2,638,845
....................................................................................................
25,000,000 Cxc Inc., effective yield of 5.60%,
January 21, 1999 24,922,222
....................................................................................................
25,000,000 Eureka Securitization, effective
yield of 5.45%, January 29, 1999 24,894,028
....................................................................................................
32,000,000 Federal National Mortgage, effective
yield of 5.02%, March 5, 1999 31,718,880
....................................................................................................
25,000,000 General Electric Capital Corp., effective
yield of 5.50%, February 3, 1999 24,873,958
....................................................................................................
50,000,000 National Australia Funding, effective
yield of 6.24%, January 5, 1999 49,965,333
....................................................................................................
25,000,000 National Australia Funding, effective
yield of 5.04%, March 3, 1999 24,786,500
....................................................................................................
25,000,000 Sheffield Receivables Corp., effective
yield of 5.46%, February 5, 1999 24,867,292
....................................................................................................
71,787,000 Interest in $500,000,000 joint tri-party
repurchase agreement dated
December 31, 1998 with Lehman
Brothers, Inc. due January 4, 1999 with
respect to various U.S. Treasury
obligations -- maturity value of
$71,825,685 for an effective yield
of 4.85%. 71,796,671
- ----------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $280,463,729) $280,463,729
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $8,152,437,905) (b) $9,990,816,033
- ----------------------------------------------------------------------------------------------------
See page 240 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
December 31, 1998
<CAPTION>
COMMON STOCKS (95.6%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Biotechnology (1.6%)
....................................................................................................
37,600 IDEXX Laboratories, Inc. (NON) $1,011,675
....................................................................................................
16,300 Guilford Pharmaceuticals, Inc. (NON) 232,275
....................................................................................................
20,100 Millennium Pharmaceuticals, Inc. (NON) 520,088
....................................................................................................
12,700 Pharmacylics, Inc. 323,850
....................................................................................................
7,800 ViroPharma Inc. (NON) 72,638
- ----------------------------------------------------------------------------------------------------
2,160,526
- ----------------------------------------------------------------------------------------------------
Business Services (2.0%)
....................................................................................................
19,800 Applied Analytical Industries, Inc. (NON) 344,025
....................................................................................................
3,500 ChiRex Inc. (NON) 74,813
....................................................................................................
13,400 On Assignment, Inc. (NON) 462,300
....................................................................................................
18,700 Pharmaceutical Product
Development, Inc. (NON) 562,169
....................................................................................................
23,200 Quintiles Transnational Corp. (NON) 1,238,300
- ----------------------------------------------------------------------------------------------------
2,681,607
- ----------------------------------------------------------------------------------------------------
Conglomerates (2.5%)
....................................................................................................
46,200 Tyco International Ltd. 3,485,213
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (0.5%)
....................................................................................................
26,330 Wesley Jessen VisionCare, Inc. (NON) 730,658
- ----------------------------------------------------------------------------------------------------
Health Care Information Systems (4.3%)
....................................................................................................
27,600 Cerner Corp. (NON) 738,300
....................................................................................................
93,740 HBO & Co. 2,689,166
....................................................................................................
14,800 IMS Health Inc. 1,116,475
....................................................................................................
15,300 Incyte Pharmaceuticals, Inc. (NON) 571,838
....................................................................................................
20,700 Medquist, Inc. (NON) 817,650
- ----------------------------------------------------------------------------------------------------
5,933,429
- ----------------------------------------------------------------------------------------------------
Hospital Management (1.0%)
....................................................................................................
30,700 Health Management Assoc., Inc. (NON) 663,888
....................................................................................................
13,200 Universal Health Services, Inc. (NON) 684,750
- ----------------------------------------------------------------------------------------------------
1,348,638
- ----------------------------------------------------------------------------------------------------
Managed Health Care (0.3%)
....................................................................................................
10,200 Trigon Healthcare, Inc. (NON) 380,588
- ----------------------------------------------------------------------------------------------------
Medical Management Services (0.7%)
....................................................................................................
24,000 American Oncology Resources, Inc. (NON) 349,500
....................................................................................................
5,000 Pediatrix Medical Group, Inc. (NON) 299,688
....................................................................................................
23,600 Physician Reliance Network, Inc. (NON) 309,750
- ----------------------------------------------------------------------------------------------------
958,938
- ----------------------------------------------------------------------------------------------------
Medical Services (4.4%)
....................................................................................................
46,400 Cardinal Health, Inc. 3,520,600
....................................................................................................
5,800 Express Scripts, Inc. Class A (NON) 389,325
....................................................................................................
20,600 Lincare Holdings, Inc. (NON) 835,588
....................................................................................................
23,900 Omnicare, Inc. 830,525
....................................................................................................
13,500 Total Renal Care Holdings, Inc. (NON) 399,094
- ----------------------------------------------------------------------------------------------------
5,975,132
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (16.9%)
....................................................................................................
25,600 Ballard Medical Products 622,400
....................................................................................................
21,100 Baxter International, Inc. 1,356,994
....................................................................................................
52,900 Bergen Brunswig Corp. Class A 1,844,888
....................................................................................................
21,800 Biomet, Inc. 877,450
....................................................................................................
24,700 Cytyc Corp. (NON) 636,025
....................................................................................................
15,000 Guidant Corp. 1,653,750
....................................................................................................
25,800 Henry Schein, Inc. (NON) 1,154,550
....................................................................................................
25,890 Johnson & Johnson 2,171,524
....................................................................................................
20,200 Mallinckrodt Inc. 622,413
....................................................................................................
13,800 McKesson Corp. 1,091,063
....................................................................................................
34,100 Medtronic, Inc. 2,531,925
....................................................................................................
5,400 Minimed, Inc. (NON) 565,650
....................................................................................................
17,300 Molecular Devices Corp. (NON) 376,275
....................................................................................................
22,700 Perclose, Inc. (NON) 751,938
....................................................................................................
33,200 PSS World Medical, Inc. (NON) 763,600
....................................................................................................
9,400 ResMed Inc. (NON) 426,525
....................................................................................................
13,200 Sabratek Corp. (NON) 216,150
....................................................................................................
14,300 Sofamor Danek Group, Inc. (NON) 1,741,025
....................................................................................................
49,800 Sybron International Corp. (NON) 1,353,938
....................................................................................................
26,400 Theragenics Corp. (NON) 443,850
....................................................................................................
10,500 Ventana Medical Systems, Inc. (NON) 227,063
....................................................................................................
14,000 Waters Corp. (NON) 1,221,500
....................................................................................................
12,500 Xomed Surgical Products Inc. (NON) 400,000
- ----------------------------------------------------------------------------------------------------
23,050,496
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (19.2%)
....................................................................................................
12,730 Agouron Pharmaceuticals, Inc. (NON) 747,888
....................................................................................................
26,600 Alpharma, Inc. Class A 939,313
....................................................................................................
4,300 Biogen, Inc. (NON) 356,900
....................................................................................................
18,100 Coulter Pharmaceutical, Inc. (NON) 543,000
....................................................................................................
11,100 GelTex Pharmaceuticals, Inc. (NON) 251,138
....................................................................................................
74,400 Glaxo Wellcome PLC ADR
(United Kingdom) 5,170,800
....................................................................................................
25,100 Inhale Therapeutic Systems (NON) 828,300
....................................................................................................
40,500 Merck & Co., Inc. 5,981,344
....................................................................................................
13,400 PathoGenesis Corp. (NON) 777,200
....................................................................................................
142,500 Schering-Plough Corp. 7,873,125
....................................................................................................
16,800 Sepracor, Inc. (NON) 1,480,500
....................................................................................................
8,600 Shire Pharmaceuticals Group PLC ADR
(United Kingdom) (NON) 174,150
....................................................................................................
17,300 Watson Pharmaceuticals, Inc. (NON) 1,087,738
- ----------------------------------------------------------------------------------------------------
26,211,396
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (38.1%)
....................................................................................................
60,400 American Home Products Corp. 3,401,275
....................................................................................................
11,000 Amgen Inc. (NON) 1,150,188
....................................................................................................
44,200 Bristol-Myers Squibb Co. 5,914,513
....................................................................................................
42,300 Centocor, Inc. (NON) 1,908,788
....................................................................................................
25,100 Elan Corp. PLC ADR (Ireland) (NON) 1,746,019
....................................................................................................
20,300 Genentech, Inc. (NON) 1,617,656
....................................................................................................
28,800 ICN Pharmaceuticals, Inc. 651,600
....................................................................................................
82,600 Lilly (Eli) & Co. 7,341,075
....................................................................................................
8,000 Medicis Pharmaceutical Corp. Class A (NON) 477,000
....................................................................................................
7,500 Medimmune, Inc. (NON) 745,781
....................................................................................................
1,400 Novartis AG ADR (Switzerland) 2,752,093
....................................................................................................
65,300 Pfizer, Inc. 8,191,069
....................................................................................................
9,700 Perkin-Elmer Corp. (The) 946,356
....................................................................................................
51,500 Pharmacia & Upjohn, Inc. 2,916,188
....................................................................................................
17,000 SEQUUS Pharmaceuticals, Inc. (NON) 344,250
....................................................................................................
46,500 Smithkline Beecham PLC ADR
(United Kingdom) 3,231,750
....................................................................................................
13,530 Transkaryotic Therapies, Inc. (Malaysia) (NON) 343,324
....................................................................................................
17,340 Trimeris, Inc. (NON) 203,745
....................................................................................................
99,800 Warner-Lambert Co. 7,503,713
....................................................................................................
19,000 Yamanouchi Pharmaceutical Co., Ltd.
(Japan) 611,048
- ----------------------------------------------------------------------------------------------------
51,997,431
- ----------------------------------------------------------------------------------------------------
Retail (4.1%)
....................................................................................................
43,900 CVS Corp. 2,414,500
....................................................................................................
65,600 Rite Aid Corp. 3,251,300
- ----------------------------------------------------------------------------------------------------
5,665,800
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $112,631,762) $130,579,852
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (9.0%) (a) (cost $12,279,637)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$12,278,000 Interest in $456,109,000 joint repurchase
agreement dated December 31, 1998 with
Merrill Lynch, Pierce, Fenner and Smith, Inc.
due January 4, 1999 with respect to various
U.S. Treasury obligations -- maturity value
of $12,284,548 for an effective yield
of 4.80% $12,279,637
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $124,911,399) (b) $142,859,489
- ----------------------------------------------------------------------------------------------------
See page 240 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT High Yield Fund
Portfolio of investments owned
December 31, 1998
<CAPTION>
CORPORATE BONDS AND NOTES (81.9%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
<S> <C> <C> <C> <C>
Advertising (0.4%)
....................................................................................................
$1,895,000 Adams Outdoor Advertising sr. notes
10 3/4s, 2006 $2,037,125
....................................................................................................
1,660,000 Outdoor Communications Inc. sr. sub.
notes 9 1/4s, 2007 1,759,600
- ----------------------------------------------------------------------------------------------------
3,796,725
- ----------------------------------------------------------------------------------------------------
Aerospace and Defense (1.4%)
....................................................................................................
920,000 Argo-Tech Corp. company guaranty
8 5/8s, 2007 869,400
....................................................................................................
1,220,000 Argo-Tech Corp. 144A sr. sub. notes
8 5/8s, 2007 1,152,900
....................................................................................................
2,020,000 Aviation Sales Co. company guaranty
8 1/8s, 2008 1,999,800
....................................................................................................
2,790,000 BE Aerospace, Inc. sr. sub. notes Ser. B,
9 7/8s, 2006 2,908,575
....................................................................................................
810,000 BE Aerospace, Inc. 144A sr. sub. notes
9 1/2s, 2008 854,550
....................................................................................................
1,320,000 BE Aerospace, Inc. sr. sub. notes Ser. B,
8s, 2008 1,293,600
....................................................................................................
2,520,000 L-3 Communications Corp. sr. sub. notes
Ser. B, 10 3/8s, 2007 2,765,700
....................................................................................................
690,000 L-3 Communications Corp. 144A
sr. sub. notes 8s, 2008 695,175
....................................................................................................
1,750,000 Sequa Corp. sr. sub. notes 9 3/8s, 2003 1,780,625
- ----------------------------------------------------------------------------------------------------
14,320,325
- ----------------------------------------------------------------------------------------------------
Agriculture (0.5%)
....................................................................................................
2,907,861 Premium Standard Farms, Inc. sr. sec.
notes 11s, 2003 (acquired various dates
from 9/17/96 to 4/7/97, cost
$2,882,570) (PIK) (RES) 2,907,861
....................................................................................................
2,200,000 Purina Mills, Inc. 144A sr. sub. notes
9s, 2010 2,189,000
- ----------------------------------------------------------------------------------------------------
5,096,861
- ----------------------------------------------------------------------------------------------------
Airlines (0.9%)
....................................................................................................
1,580,000 Calair LLC company guaranty
8 1/8s, 2008 1,465,450
....................................................................................................
1,750,000 Canadian Airlines Corp. sr. notes
12 1/4s, 2006 (Canada) 1,225,000
....................................................................................................
2,710,000 Canadian Airlines Corp. sr. sec. notes
10s, 2005 (Canada) 2,357,700
....................................................................................................
3,450,000 Cathay International Ltd. 144A sr. notes
13s, 2008 (China) 1,276,500
....................................................................................................
2,600,000 Trans World Airlines, Inc. sr. notes
11 1/2s, 2004 2,197,000
....................................................................................................
1,750,000 Trans World Airlines, Inc. sr. notes
11 3/8s, 2006 1,172,500
- ----------------------------------------------------------------------------------------------------
9,694,150
- ----------------------------------------------------------------------------------------------------
Apparel (0.9%)
....................................................................................................
1,190,000 GFSI, Inc. sr. disc. notes stepped-coupon
Ser. B, zero % (11 3/8s, 9/15/04), 2009 (STP) 999,600
....................................................................................................
3,017,000 Guess Jeans, Inc. sr. sub. notes 9 1/2s, 2003 2,956,660
....................................................................................................
2,085,000 Sassco Fashions Ltd. sr. notes
12 3/4s, 2004 2,064,150
....................................................................................................
1,040,000 William Carter Holdings Co. sr. sub.
notes Ser. A, 12s, 2008 1,118,000
....................................................................................................
1,750,000 William Carter Holdings Co. sr. sub.
notes Ser. A, 10 3/8s, 2006 1,881,250
- ----------------------------------------------------------------------------------------------------
9,019,660
- ----------------------------------------------------------------------------------------------------
Automotive (1.1%)
....................................................................................................
2,380,000 Lear Corp. sub. notes 9 1/2s, 2006 2,623,950
....................................................................................................
3,930,000 Navistar International Corp. sr. notes
Ser. B, 8s, 2008 3,998,775
....................................................................................................
4,370,000 Oxford Automotive, Inc. company
guaranty Ser. B, 10 1/8s, 2007 4,370,000
- ----------------------------------------------------------------------------------------------------
10,992,725
- ----------------------------------------------------------------------------------------------------
Automotive Parts (1.0%)
....................................................................................................
821,000 Aftermarket Technology Corp. sr. sub.
notes 12s, 2004 862,050
....................................................................................................
2,100,000 Aftermarket Technology Corp. sr. sub.
notes Ser. D, 12s, 2004 2,205,000
....................................................................................................
575,000 Cambridge Industries, Inc. company
guaranty Ser. B, 10 1/4s, 2007 460,000
....................................................................................................
910,000 Hayes Wheels International, Inc.
company guaranty Ser. B, 9 1/8s, 2007 948,675
....................................................................................................
3,500,000 Hayes Wheels International, Inc. 144A
sr. sub. notes 9 1/8s, 2007 3,657,500
....................................................................................................
1,945,000 Walbro Corp. sr. notes Ser. B, 9 7/8s, 2005 1,925,550
- ----------------------------------------------------------------------------------------------------
10,058,775
- ----------------------------------------------------------------------------------------------------
Banks (1.6%)
....................................................................................................
3,532,000 Chevy Chase Savings Bank Inc. sub. deb.
9 1/4s, 2005 3,532,000
....................................................................................................
1,950,000 Dime Capital Trust I bank guaranty
Ser. A, 9.33s, 2027 2,106,156
....................................................................................................
1,490,000 Fuji JGB Inv. LLC 144A FLIRB 9.87s,
2049 (Japan) 1,065,752
....................................................................................................
1,390,000 Greenpoint Capital Trust I company
guaranty 9.1s, 2027 1,467,757
....................................................................................................
895,000 North Fork Capital Trust I company
guaranty 8.7s, 2026 995,965
....................................................................................................
650,000 Ocwen Capital Trust I company
guaranty 10 7/8s, 2027 520,000
....................................................................................................
1,080,000 Ocwen Federal Bank FSB sub. deb.
12s, 2005 810,000
....................................................................................................
1,085,000 Peoples Heritage Capital Trust
company guaranty Ser. B, 9.06s, 2027 1,126,588
....................................................................................................
1,330,000 Provident Capital Trust company
guaranty 8.6s, 2026 1,509,843
....................................................................................................
610,000 Riggs Capital Trust 144A bonds
8 5/8s, 2026 620,016
....................................................................................................
1,965,000 Sovereign Capital Trust company
guaranty 9s, 2027 1,872,075
....................................................................................................
795,000 Webster Capital Trust I 144A bonds
9.36s, 2027 829,042
- ----------------------------------------------------------------------------------------------------
16,455,194
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (0.4%)
....................................................................................................
1,000,000 Owens-Illinois, Inc. sr. notes 8.1s, 2007 1,058,890
....................................................................................................
520,000 Owens-Illinois, Inc. deb. 7.8s, 2018 518,773
....................................................................................................
2,720,000 Roller Bearing Co. company guaranty
Ser. B, 9 5/8s, 2007 2,611,200
- ----------------------------------------------------------------------------------------------------
4,188,863
- ----------------------------------------------------------------------------------------------------
Broadcasting (6.1%)
....................................................................................................
1,750,000 Ackerly Group, Inc. 144A sr. sub. notes
9s, 2009 1,771,875
....................................................................................................
2,295,000 Affinity Group Holdings sr. notes
11s, 2007 2,340,900
....................................................................................................
1,400,216 Australis Media, Ltd. sr. sec. disc. notes
zero %, 2000 (In Default) (Australia) (NON) 1,090,488
....................................................................................................
3,770,000 Benedek Communications Corp.
sr. disc. notes stepped-coupon zero %
(13 1/4s, 5/15/01), 2006 (STP) 2,690,838
....................................................................................................
5,690,000 Capstar Broadcasting sr. disc. notes
stepped-coupon zero % (12 3/4s,
2/1/02), 2009 (STP) 4,665,800
....................................................................................................
1,460,000 Capstar Broadcasting sr. sub. notes
9 1/4s, 2007 1,518,400
....................................................................................................
780,000 Central European Media Enterprises
Ltd. sr. notes 9 3/8s, 2004 (Bermuda) 651,300
....................................................................................................
1,000,000 Chancellor Media Corp. sr. sub notes
Ser. B, 8 1/8s, 2007 1,000,000
....................................................................................................
6,880,000 Chancellor Media Corp. 144A sr. notes
8s, 2008 7,034,800
....................................................................................................
1,401,820 Citadel Broadcasting Co. sr. sub. notes
10 1/4s, 2007 1,527,984
....................................................................................................
770,000 Citadel Broadcasting, Inc. 144A sr. sub.
notes 9 1/4s, 2008 804,650
....................................................................................................
6,834,000 Comcast UK Cable, Ltd. deb.
stepped-coupon zero % (11.2s,
11/15/00), 2007 (Bermuda) (STP) 5,740,560
....................................................................................................
4,070,000 Echostar Satellite Broadcast Corp.
sr. disc. notes stepped-coupon zero %
(13 1/8s, 3/15/00), 2004 (STP) 4,059,825
....................................................................................................
1,525,000 Fox Family Worldwide, Inc. sr. disc.
notes stepped-coupon zero % (10 1/4s,
11/1/02), 2007 (STP) 960,750
....................................................................................................
2,710,000 Fox Family Worldwide, Inc. sr. notes
9 1/4s, 2007 2,682,900
....................................................................................................
2,070,000 Fox/Liberty Networks LLC sr. notes
8 7/8s, 2007 2,111,400
....................................................................................................
1,590,000 Granite Broadcasting Corp. sr. sub.
notes 8 7/8s, 2008 1,510,500
....................................................................................................
1,325,000 Heritage Media Services Corp. sr. sub.
notes 8 3/4s, 2006 1,391,250
....................................................................................................
2,590,000 Interact Systems, Inc. sr. disc. notes
stepped-coupon zero % (14s,
8/1/00), 2003 (STP) 103,600
....................................................................................................
930,000 Jacor Communications, Inc. company
guaranty Ser. B, 8 3/4s, 2007 1,009,050
....................................................................................................
610,000 Pegasus Communications Corp. 144A
sr. notes 9 3/4s, 2006 611,525
....................................................................................................
4,932,000 PHI Holdings, Inc. zero %, 2001 3,873,100
....................................................................................................
1,815,000 Radio One Inc. company guaranty
stepped-coupon Ser. B, 7s, (12s,
5/15/00), 2004 (STP) 1,815,000
....................................................................................................
3,000,000 Sinclair Broadcast Group, Inc.
company guaranty 9s, 2007 3,060,000
....................................................................................................
2,375,000 Spanish Broadcasting Systems sr. notes
Ser. B, 11s, 2004 2,517,500
....................................................................................................
4,500,000 Time Warner Telecom Inc. sr. notes
9 3/4s, 2008 4,702,500
....................................................................................................
2,025,000 TV Azteca S.A. de C.V. sr. notes 10 1/2s,
2007 (Mexico) 1,650,375
....................................................................................................
500,000 TV Azteca S.A. De C.V. sr. notes Ser. A,
10 1/8s, 2004 (Mexico) 425,000
- ----------------------------------------------------------------------------------------------------
63,321,870
- ----------------------------------------------------------------------------------------------------
Building and Construction (0.6%)
....................................................................................................
1,035,000 Cia Latino Americana 144A company
guaranty 11 5/8s, 2004 (Argentina) 672,750
....................................................................................................
4,100,000 GS Superhighway Holdings sr. notes
9 7/8s, 2004 (China) 2,214,000
....................................................................................................
940,000 Jackson Products, Inc. company guaranty
Ser. B, 9 1/2s, 2005 940,000
....................................................................................................
2,500,000 Terex bank term loan Series B, 8.18s,
2005 2,475,000
- ----------------------------------------------------------------------------------------------------
6,301,750
- ----------------------------------------------------------------------------------------------------
Building Products (0.5%)
....................................................................................................
1,930,000 Albecca Inc. 144A sr. sub. notes
10 3/4s, 2008 1,901,050
....................................................................................................
1,130,000 Building Materials Corp. 144A sr. notes
8s, 2008 1,134,238
....................................................................................................
2,170,000 Decora Industries, Inc. sec. Ser. B,
11s, 2005 2,072,350
....................................................................................................
1,070,000 Waxman Industries Inc. sr. notes
stepped-coupon Ser. B, zero %
(12 3/4s, 6/1/99), 2004 (STP) 535,000
- ----------------------------------------------------------------------------------------------------
5,642,638
- ----------------------------------------------------------------------------------------------------
Buses (0.4%)
....................................................................................................
4,985,000 MCII Holdings sec. notes 12s, 2002 4,237,250
- ----------------------------------------------------------------------------------------------------
Business Services (0.8%)
....................................................................................................
1,650,000 Cendant Corp. notes 7 1/2s, 2000 1,660,230
....................................................................................................
1,820,000 Cex Holdings, Inc. company guaranty
Ser. B, 9 5/8s, 2008 1,638,000
....................................................................................................
3,750,000 Outsourcing Solutions, Inc. sr. sub. notes
Ser. B, 11s, 2006 3,618,750
....................................................................................................
946,237 Outsourcing Solutions, Inc. bank
term loan 8 5/8s, 2000 932,043
- ----------------------------------------------------------------------------------------------------
7,849,023
- ----------------------------------------------------------------------------------------------------
Cable Television (3.1%)
....................................................................................................
4,225,000 Acme Television sr. disc. notes
stepped-coupon zero % (10 7/8s,
9/30/00), 2004 (STP) 3,369,438
....................................................................................................
2,765,000 Adelphia Communications Corp.
sr. notes Ser. B, 9 7/8s, 2007 3,058,781
....................................................................................................
3,400,000 Adelphia Communications Corp. 144A
sr. notes 8 3/8s, 2008 3,519,000
....................................................................................................
520,000 CSC Holdings, Inc. sr. sub. deb.
9 7/8s, 2013 579,800
....................................................................................................
710,000 CSC Holdings, Inc. deb. 7 7/8s, 2018 722,801
....................................................................................................
5,220,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(11 3/4s, 12/15/00), 2005 (United
Kingdom) (STP) 4,293,450
....................................................................................................
3,520,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(10 3/4s, 2/15/02), 2007 (United
Kingdom) (STP) 2,499,200
....................................................................................................
1,180,000 Globo Communicacoes 144A sr. notes
10 5/8s, 2008 (Brazil) 744,875
....................................................................................................
1,400,000 Globo Communicacoes 144A company
guaranty 10 1/2s, 2006 (Brazil) 910,000
....................................................................................................
3,425,000 Grupo Televisa S.A. 144A sr. notes
11 7/8s, 2006 (Mexico) 3,373,625
....................................................................................................
1,000,000 Lenfest Communications, Inc. sr. sub.
notes 10 1/2s, 2006 1,170,000
....................................................................................................
2,675,000 Marcus Cable Co. (L.P.) sr. disc. notes
stepped-coupon zero % (14 1/4s,
6/15/00), 2005 (STP) 2,554,625
....................................................................................................
3,175,000 RCN Corp. sr. disc. notes stepped-coupon
zero %, (11 1/8s, 10/15/02), 2007 (STP) 1,841,500
....................................................................................................
1,930,000 Supercanal Holdings S.A. 144A sr. notes
11 1/2s, 2005 (Argentina) 1,061,500
....................................................................................................
670,000 TeleWest Communications PLC 144A
sr. notes 11 1/4s, 2008 (United Kingdom) 753,750
....................................................................................................
2,650,000 United International Holdings sr. disc.
notes stepped-coupon Ser. B, zero %
(10 3/4s, 2/15/03), 2008 (STP) 1,404,500
- ----------------------------------------------------------------------------------------------------
31,856,845
- ----------------------------------------------------------------------------------------------------
Cellular Communications (4.2%)
....................................................................................................
6,540,000 Allegiance Telecom, Inc. sr. disc.
notes stepped-coupon Ser. B, zero %
(11 3/4s, 2/15/03), 2008 (STP) 3,073,800
....................................................................................................
8,177,000 CellNet Data Systems, Inc. sr. disc.
notes stepped-coupon zero %
(14s, 10/1/02), 2007 (STP) 1,798,940
....................................................................................................
6,730,000 Cencall Communications Corp. sr disc. .
notes stepped-coupon zero %
(10 1/8s, 1/15/99), 2004 (STP) 6,595,400
....................................................................................................
1,840,000 Conecel Holdings 144A notes Ser. A,
16 1/2s, 2000 736,000
....................................................................................................
5,500,000 Dial Call Communications, Inc. sr. disc.
notes stepped-coupon Ser. B, 10 1/4s,
(10 1/4s, 12/15/98), 2005 (STP) 5,417,500
....................................................................................................
5,160,000 Dobson Communications Corp. sr. notes
11 3/4s, 2007 5,134,200
....................................................................................................
6,920,000 McCaw International Ltd sr. disc. notes
stepped coupon zero % (13s, 4/15/02),
2007 (STP) 3,771,400
....................................................................................................
10,360,000 Millicom International Cellular S.A.
sr. disc. notes stepped-coupon zero %
(13 1/2s, 6/1/01), 2006 (Luxembourg) (STP) 7,252,000
....................................................................................................
2,050,000 Mobile Telecommunications Tech. sr.
notes 13 1/2s, 2002 2,296,000
....................................................................................................
1,290,000 NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero % (12 1/8s,
4/15/03), 2008 (STP) 619,200
....................................................................................................
3,980,000 NEXTEL Communications, Inc. 144A
sr. notes 12s, 2008 4,417,800
....................................................................................................
2,580,000 NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero % (10.65s,
9/15/02), 2007 (STP) 1,657,650
....................................................................................................
280,000 Price Communications Wireless, Inc.
144A sr. notes 9 1/8s, 2006 281,400
- ----------------------------------------------------------------------------------------------------
43,051,290
- ----------------------------------------------------------------------------------------------------
Chemicals (1.5%)
....................................................................................................
2,300,000 Acetex Corp. sr. notes 9 3/4s, 2003
(Canada) 2,277,000
....................................................................................................
1,510,000 Geo Specialty Chemicals, Inc. 144A
sr. sub. notes 10 1/8s, 2008 1,464,700
....................................................................................................
1,490,000 Huntsman Corp. 144A sr. sub. notes
9 1/2s, 2007 1,482,550
....................................................................................................
1,450,000 Huntsman Corp. 144A sr. sub. notes
FRN 9.188s, 2007 1,370,250
....................................................................................................
2,000,000 Lyondell Petrochem bank term loan
7 1/4s, 1999 1,950,000
....................................................................................................
1,500,000 PCI Chemicals & Pharmaceuticals
company guaranty 9 1/4s, 2007 (India) 1,170,000
....................................................................................................
660,000 Pioneer Americas Acquisition 144A
sr. notes 9 1/4s, 2007 514,800
....................................................................................................
987,500 Pioneer Americas Acquisition 144A bank
loan notes FRN 8.428s, 2006 819,625
....................................................................................................
2,609,984 Polytama International notes 11 1/4s,
2007 (Indonesia) 521,997
....................................................................................................
1,900,000 Sterling Chemicals Holdings sr. disc.
notes stepped-coupon zero %
(13 1/2s, 8/15/01), 2008 (STP) 760,000
....................................................................................................
2,360,000 Trikem S.A. 144A bonds 10 5/8s, 2007
(Brazil) 1,062,000
....................................................................................................
1,670,000 Union Carbide Global Enterprises
sr. sub. notes Ser. B, 12s, 2005 1,753,500
- ----------------------------------------------------------------------------------------------------
15,146,422
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (0.7%)
....................................................................................................
660,000 Concentric Network Corp. sr. notes
12 3/4s, 2007 673,200
....................................................................................................
4,460,000 IPC Information Systems sr. disc.
notes stepped-coupon zero %
(10 7/8s, 11/1/01), 2008 (STP) 2,809,800
....................................................................................................
2,470,000 PSINet, Inc. 144A sr. notes 11 1/2s, 2008 2,581,150
....................................................................................................
1,200,000 Verio Inc. 144A sr. notes 11 1/4s, 2008 1,212,000
- ----------------------------------------------------------------------------------------------------
7,276,150
- ----------------------------------------------------------------------------------------------------
Conglomerates (0.2%)
....................................................................................................
2,540,000 Axia, Inc. company guaranty
10 3/4s, 2008 2,571,750
- ----------------------------------------------------------------------------------------------------
Consumer Durable Goods (0.1%)
....................................................................................................
330,000 Hedstrom Holdings, Inc. 144A sr. disc.
notes stepped-coupon zero %
(12s, 6/1/02), 2009 (STP) 148,500
....................................................................................................
1,400,000 Sealy Mattress Co. company guaranty
stepped-coupon Ser. B, zero %
(10 7/8s, 12/15/02), 2007 (STP) 840,000
- ----------------------------------------------------------------------------------------------------
988,500
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (0.7%)
....................................................................................................
2,230,000 Doane Products Co. 144A sr. sub. notes
9 3/4s, 2007 2,280,175
....................................................................................................
5,570,000 Samsonite Corp. sr. sub. notes
10 3/4s, 2008 4,790,200
- ----------------------------------------------------------------------------------------------------
7,070,375
- ----------------------------------------------------------------------------------------------------
Consumer Services (0.1%)
....................................................................................................
950,000 Protection One, Inc. sr. disc. notes
stepped-coupon 13 5/8s, (13 5/8s,
6/30/00), 2005 (STP) 1,078,250
- ----------------------------------------------------------------------------------------------------
Cosmetics (0.6%)
....................................................................................................
1,140,000 Chattem, Inc. company guaranty Ser. B,
8 7/8s, 2008 1,174,200
....................................................................................................
1,470,000 French Fragrances, Inc. company
guaranty Ser. D, 10 3/8s, 2007 1,447,950
....................................................................................................
3,000,000 Revlon Consumer Products sr. sub. notes
8 5/8s, 2008 2,730,000
....................................................................................................
1,200,000 Revlon, Inc. 144A sr. notes 9s, 2006 1,188,000
- ----------------------------------------------------------------------------------------------------
6,540,150
- ----------------------------------------------------------------------------------------------------
Electric Utilities (3.1%)
....................................................................................................
9,700,000 AES China Generating Co. sr. notes
10 1/8s, 2006 (China) 6,596,000
....................................................................................................
7,775,000 Midland Funding Corp. deb. Ser. A,
11 3/4s, 2005 9,018,223
....................................................................................................
4,043,748 Midland Funding Corp. I deb. Ser. C-94,
10.33s, 2002 4,313,304
....................................................................................................
2,480,000 Midland Funding Corp. deb. Ser. B,
13 1/4s, 2006 3,176,954
....................................................................................................
5,735,000 Niagara Mohawk Power Corp. sr. disc.
notes Ser. H, zero % (8 1/2s, 7/1/03),
2010 (STP) 4,415,950
....................................................................................................
436,000 North Atlantic Energy Corp. 1st mtge.
Ser. A, 9.05s, 2002 453,000
....................................................................................................
1,613,464 Northeast Utilities System notes Ser. A,
8.58s, 2006 1,723,067
....................................................................................................
2,290,000 York Power Funding 144A company
guaranty 12s, 2007 2,335,800
- ----------------------------------------------------------------------------------------------------
32,032,298
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (1.8%)
....................................................................................................
670,000 Celestica International Ltd. 144A
sr. sub. notes 10 1/2s, 2006 (Canada) 730,300
....................................................................................................
684,179 Cirent Semiconductor sr. sub. notes
10.22s, 2002 673,916
....................................................................................................
785,293 Cirent Semiconductor 144A sr. sub. notes
10.14s, 2004 770,569
....................................................................................................
915,000 Details, Inc. sr. discount notes
stepped-coupon Ser. B, zero %,
(12 1/2s, 11/15/02), 2007 (STP) 503,250
....................................................................................................
1,340,000 DII Group, Inc. (The) sr. sub. notes
8 1/2s, 2007 1,313,200
....................................................................................................
785,000 HCC Industries, Inc. company guaranty
10 3/4s, 2007 753,600
....................................................................................................
4,330,000 Metromedia Fiber Network, Inc. 144A
sr. notes 10s, 2008 4,438,250
....................................................................................................
770,000 Moog, Inc. sr. sub. notes Ser. B, 10s, 2006 789,250
....................................................................................................
3,225,000 Motors and Gears, Inc. sr. notes Ser. D,
10 3/4s, 2006 3,289,500
....................................................................................................
190,000 Samsung Electronics 144A company
guaranty 9 3/4s, 2003 180,500
....................................................................................................
920,000 Viasystems Inc. sr. sub notes 9 3/4s, 2007 915,400
....................................................................................................
2,690,000 Viasystems, Inc. 144A sr. notes
9 3/4s, 2007 2,501,700
....................................................................................................
2,315,000 Wavetek Corp. company guaranty
10 1/8s, 2007 2,199,250
- ----------------------------------------------------------------------------------------------------
19,058,685
- ----------------------------------------------------------------------------------------------------
Energy-Related (0.8%)
....................................................................................................
1,350,000 Calpine Corp. sr. notes 10 1/2s, 2006 1,447,875
....................................................................................................
1,520,000 Calpine Corp. sr. notes 9 1/4s, 2004 1,542,800
....................................................................................................
3,190,000 Gothic Production Corp. company
guaranty Ser. B, 11 1/8s, 2005 2,456,300
....................................................................................................
5,700,000 Panda Global Energy Co. company
guaranty 12 1/2s, 2004 (China) 2,394,000
....................................................................................................
1,270,000 RAM Energy Inc. sr. notes 11 1/2s, 2008 838,200
- ----------------------------------------------------------------------------------------------------
8,679,175
- ----------------------------------------------------------------------------------------------------
Entertainment (1.9%)
....................................................................................................
2,125,000 AMC Entertainment, Inc. sr. sub. notes
9 1/2s, 2009 2,167,500
....................................................................................................
2,150,000 Premier Parks, Inc.144A sr. disc. notes
stepped-coupon zero %, (10s, 4/1/03),
2008 (STP) 1,462,000
....................................................................................................
1,630,000 SFX Entertainment, Inc. 144A company
guaranty Ser. B, 9 1/8s, 2008 1,638,150
....................................................................................................
1,690,000 SFX Entertainment Inc. 144A sr. sub.
notes 9 1/8s, 2008 1,690,000
....................................................................................................
1,500,000 Six Flags Corp. sr. sub. notes Ser. A
stepped-coupon zero % (12 1/4s,
6/15/00), 2005 (STP) 1,657,500
....................................................................................................
2,450,000 Six Flags Corp. sr. notes 8 7/8s, 2006 2,538,813
....................................................................................................
4,230,000 Trump Castle Funding 144A sub. notes
10 1/4s, 2003 4,272,300
....................................................................................................
1,815,000 Trump Holdings & Funding Corp.
sr. notes 15 1/2s, 2005 1,887,600
....................................................................................................
2,540,000 United Artists Theatre sr. sub. notes
Ser. B 9 3/4s, 2008 2,438,400
- ----------------------------------------------------------------------------------------------------
19,752,263
- ----------------------------------------------------------------------------------------------------
Environmental Control (0.5%)
....................................................................................................
5,320,000 Allied Waste Industries, Inc. 144A
sr. notes 7 7/8s, 2009 5,386,500
....................................................................................................
940,000 ATC Group Services, Inc. company
guaranty 12s, 2008 94,000
- ----------------------------------------------------------------------------------------------------
5,480,500
- ----------------------------------------------------------------------------------------------------
Financial Services (2.8%)
....................................................................................................
4,000,000 Aames Financial Corp. sr. notes
9 1/8s, 2003 2,400,000
....................................................................................................
1,550,000 Advanta Corp. company guaranty
Ser. B, 8.99s, 2026 465,000
....................................................................................................
1,250,000 Advanta Corp. med. term notes Ser. B,
7s, 2001 1,124,513
....................................................................................................
1,500,000 Advanta Corp. med. term notes Ser. C,
7.02s, 1999 1,487,415
....................................................................................................
1,165,000 Colonial Capital II 144A company
guaranty 8.92s, 2027 1,193,547
....................................................................................................
2,000,000 Contifinancial Corp. sr. notes
8 3/8s, 2003 1,460,000
....................................................................................................
790,000 CSBI Capital Trust I 144A company
guaranty 11 3/4, 2027 829,500
....................................................................................................
3,730,000 Delta Financial Corp. sr. notes
9 1/2s, 2004 3,133,200
....................................................................................................
1,010,000 Dine S.A. de C.V. company guaranty
8 3/4s, 2007 (Mexico) 828,200
....................................................................................................
10,180,000 DTI Holdings Inc. sr. disc. notes,
stepped-coupon Ser. B, zero %
(12 1/2s, 03/01/03), 2008 (STP) 2,595,900
....................................................................................................
2,230,000 Imperial Credit Capital Trust I 144A
company guaranty 10 1/4s, 2002 1,694,800
....................................................................................................
1,655,000 Imperial Credit Industries, Inc. sr. notes
9 7/8s, 2007 1,274,350
....................................................................................................
1,275,000 Investors Capital Trust I company
guaranty Ser. B, 9.77s, 2027 1,377,000
....................................................................................................
830,000 Nationwide Credit Inc. sr. notes Ser. A,
10 1/4s, 2008 664,000
....................................................................................................
2,000,000 Reliance Group Holdings, Inc. sr. notes
9s, 2000 2,083,100
....................................................................................................
3,090,000 Resource America Inc. 144A sr. notes
12s, 2004 2,502,900
....................................................................................................
2,250,000 SRI Receivables Purchase 144A notes
12 1/2s, 2000 2,295,000
....................................................................................................
1,350,000 Superior Financial 144A sr. notes
8.65s, 2003 1,312,875
- ----------------------------------------------------------------------------------------------------
28,721,300
- ----------------------------------------------------------------------------------------------------
Food and Beverages (1.7%)
....................................................................................................
2,165,000 Ameriserve Food Co. company guaranty
10 1/8s, 2007 1,937,675
....................................................................................................
1,950,000 Ameriserve Food Co. company guaranty
8 7/8s, 2006 1,833,000
....................................................................................................
3,725,000 Aurora Foods, Inc. 144A ser. sub. notes
Ser. D, 9 7/8s, 2007 4,060,250
....................................................................................................
1,320,000 Canandaigua Wine Co. sr. sub. notes
Ser. C, 8 3/4s, 2003 1,359,600
....................................................................................................
1,500,000 Eagle Family Foods company guaranty
Ser. B, 8 3/4s, 2008 1,425,000
....................................................................................................
2,560,000 Fleming Companies, Inc. company
guaranty Ser. B, 10 5/8s, 2007 2,406,400
....................................................................................................
1,246,795 Imperial Holly bank term loan Ser. A,
7.656s, 2003 1,203,157
....................................................................................................
1,200,000 Nebco Evans Holding Co. sr. disc. notes
stepped-coupon zero % (12 3/8s,
7/15/02), 2007 (STP) 576,000
....................................................................................................
1,600,000 RAB Enterprises, Inc. 144A sr. notes
10 1/2s, 2005 1,200,000
....................................................................................................
1,940,000 RAB Food Holdings, Inc. 144A sr. notes
13s, 2008 1,358,000
- ----------------------------------------------------------------------------------------------------
17,359,082
- ----------------------------------------------------------------------------------------------------
Gaming (3.3%)
....................................................................................................
3,275,000 Argosy Gaming Co. company guaranty
13 1/4s, 2004 3,672,094
....................................................................................................
2,650,000 Autotote Corp. company guaranty
Ser. B, 10 7/8s, 2004 2,749,375
....................................................................................................
940,000 Circus Circus Enterprises, Inc. sr. sub.
notes 9 1/4s, 2005 958,800
....................................................................................................
700,000 Circus Circus Enterprises, Inc. sr. notes
6.45s, 2006 629,076
....................................................................................................
4,095,000 Coast Hotels & Casinos, Inc. 1st mtge.
company guaranty Ser. B, 13s, 2002 4,606,875
....................................................................................................
5,061,328 Colorado Gaming & Entertainment Co.
sr. notes 12s, 2003 5,415,621
....................................................................................................
3,700,000 Fitzgeralds Gaming Corp. company
guaranty Ser. B, 12 1/4s, 2004 1,998,000
....................................................................................................
2,290,000 Harrahs Entertainment, Inc. company
guaranty 7 7/8s, 2005 2,278,550
....................................................................................................
4,570,000 Hollywood Casino Corp. sr. notes
12 3/4s, 2003 4,844,200
....................................................................................................
2,500,000 Isle of Capri Black Hawk LLC 144A 1st
mortgage Ser. B, 13s, 2004 2,750,000
....................................................................................................
3,210,000 Park Place Entertainment sr. sub. notes
7 7/8s, 2005 3,226,050
....................................................................................................
2,275,000 PRT Funding Corp. sr. notes 11 5/8s, 2004 1,256,938
- ----------------------------------------------------------------------------------------------------
34,385,579
- ----------------------------------------------------------------------------------------------------
Health Care (3.6%)
....................................................................................................
560,000 Conmed Corp. company guaranty
9s, 2008 560,000
....................................................................................................
5,070,000 Extendicare Health Services, Inc.
company guaranty 9.35s, 2007 4,860,863
....................................................................................................
3,240,000 Global Health Sciences company
guaranty 11s, 2008 2,170,800
....................................................................................................
2,060,000 Integrated Health Services, Inc. sr. sub.
notes Ser. A, 9 1/2s, 2007 1,957,000
....................................................................................................
3,130,000 Integrated Health Services, Inc. sr. sub.
notes Ser. A, 9 1/4s, 2008 2,942,200
....................................................................................................
2,370,000 Magellan Health Services, Inc. sr. sub.
notes 9s, 2008 2,180,400
....................................................................................................
1,000,000 Magellan Health Services, Inc. sr. sub.
notes 8s, 2005 972,500
....................................................................................................
6,090,000 Mariner Post-Acute Network, Inc. sr. sub.
notes stepped-coupon Ser. B,
zero % (10 1/2s, 11/1/02), 2007 (STP) 2,953,650
....................................................................................................
4,060,000 MedPartners, Inc. sr. notes 7 3/8s, 2006 3,202,366
....................................................................................................
1,360,000 MedPartners, Inc. sr. notes 6 7/8s, 2000 1,170,375
....................................................................................................
5,480,000 Multicare Cos., Inc. sr. sub. notes 9s, 2007 5,041,600
....................................................................................................
4,580,000 Paracelsus Healthcare sr. sub. notes
10s, 2006 4,179,250
....................................................................................................
1,130,000 Paragon Corp. Holdings, Inc. company
guaranty Ser. B, 9 5/8s, 2008 949,200
....................................................................................................
3,570,000 Sun Healthcare Group, Inc. sr. sub. notes
Ser. B, 9 1/2s, 2007 2,891,700
....................................................................................................
1,560,000 Tenet Healthcare Corp. sr. notes 8s, 2005 1,583,400
- ----------------------------------------------------------------------------------------------------
37,615,304
- ----------------------------------------------------------------------------------------------------
Lodging (1.1%)
....................................................................................................
1,560,000 Epic Resorts LLC company guaranty
Ser. B, 13s, 2005 1,513,200
....................................................................................................
4,860,000 HMH Properties, Inc. company guaranty
Ser. B, 7 7/8s, 2008 4,726,350
....................................................................................................
1,998,333 Patriot American Hospital bank term
loan Ser. B, 8 1/8s, 2003 1,928,392
....................................................................................................
2,175,000 Raintree Resorts International, Inc.
sr. notes Ser. B, 13s, 2004 1,196,250
....................................................................................................
2,000,000 Starwood Hotels Resorts bank term
loan 7.861s, 2003 1,980,000
- ----------------------------------------------------------------------------------------------------
11,344,192
- ----------------------------------------------------------------------------------------------------
Manufacturing (0.1%)
....................................................................................................
1,880,000 Insilco Holding Co. sr. disc. notes stepped-
coupon zero % (14s, 8/15/03), 2008 (STP) 846,000
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (1.4%)
....................................................................................................
2,885,000 ALARIS Medical Systems, Inc. company
guaranty 9 3/4s, 2006 2,942,700
....................................................................................................
1,990,000 Dade International, Inc. sr. sub. notes
Ser. B, 11 1/8s, 2006 2,189,000
....................................................................................................
2,748,000 Graphic Controls Corp. sr. sub. notes
Ser. A, 12s, 2005 3,160,200
....................................................................................................
1,275,000 Kinetic Concepts, Inc. company guaranty
Ser. B, 9 5/8s, 2007 1,224,000
....................................................................................................
1,850,000 Lodestar Holdings, Inc. company
guaranty 11 1/2s, 2005 1,480,000
....................................................................................................
2,410,000 Mediq, Inc. company guaranty 11s, 2008 2,313,600
....................................................................................................
1,850,000 Mediq, Inc. deb. zero %, 2009 832,500
- ----------------------------------------------------------------------------------------------------
14,142,000
- ----------------------------------------------------------------------------------------------------
Metals and Mining (1.0%)
....................................................................................................
3,020,000 Anker Coal Group, Inc. sr. notes Ser. B,
9 3/4s, 2007 1,600,600
....................................................................................................
1,270,000 Continental Global Group sr. notes
Ser. B, 11s, 2007 1,085,850
....................................................................................................
930,000 Kaiser Aluminum & Chemical Corp.
sr. sub. notes 12 3/4s, 2003 911,400
....................................................................................................
230,000 Kaiser Aluminum & Chemical Corp.
sr. notes Ser. B, 10 7/8s, 2006 231,150
....................................................................................................
2,560,000 Weirton Steel Co. sr. notes 11 3/8s, 2004 2,278,400
....................................................................................................
4,810,000 WHX Corp. sr. notes 10 1/2s, 2005 4,401,150
- ----------------------------------------------------------------------------------------------------
10,508,550
- ----------------------------------------------------------------------------------------------------
Motion Picture Distribution (0.1%)
....................................................................................................
1,305,000 Cinemark USA, Inc. sr. sub. notes
9 5/8s, 2008 1,366,988
- ----------------------------------------------------------------------------------------------------
Office Equipment (0.3%)
....................................................................................................
2,640,000 U.S. Office Products Co. company
guaranty 9 3/4s, 2008 1,663,200
....................................................................................................
1,098,000 United Stationer Supply, Inc. sr. sub. notes
12 3/4s, 2005 1,224,270
- ----------------------------------------------------------------------------------------------------
2,887,470
- ----------------------------------------------------------------------------------------------------
Oil and Gas (4.0%)
....................................................................................................
5,670,000 Abraxas Petroleum Corp. 144A
11 1/2s, 2004 4,309,200
....................................................................................................
310,000 American Eco Corp. company guaranty
Ser. B, 9 5/8s, 2008 155,000
....................................................................................................
3,210,000 Chesapeake Energy Corp. company
guaranty Ser. B, 9 5/8s, 2005 2,471,700
....................................................................................................
700,000 Coho Energy, Inc. sr. sub. notes
8 7/8s, 2007 560,000
....................................................................................................
1,755,000 Costilla Energy, Inc. sr. notes 10 1/4s, 2006 1,333,800
....................................................................................................
1,620,000 Dailey Petroleum Services Corp.
company guaranty 9 1/2s, 2008 745,200
....................................................................................................
1,590,000 Eagle Geophysical, Inc. company
guaranty Ser. B, 10 3/4s, 2008 1,335,600
....................................................................................................
330,000 Gothic Energy Corp. sr. disc. notes,
stepped-coupon Ser. B, zero %
(14 1/8s, 5/1/03), 2006 (STP) 108,900
....................................................................................................
1,510,000 Gulf Canada Resources, Ltd. sr. notes
8 3/8s, 2005 (Canada) 1,494,900
....................................................................................................
1,630,000 HS Resources, Inc. sr. sub. notes Ser. B,
9 1/4s, 2006 1,548,500
....................................................................................................
1,430,000 Michael Petroleum Corp. sr. notes Ser. B,
11 1/2s, 2005 1,122,550
....................................................................................................
1,770,000 Northern Offshore 144A company
guaranty 10s, 2005 920,400
....................................................................................................
1,120,000 Ocean Energy, Inc. company guaranty
Ser. B, 8 7/8s, 2007 1,086,400
....................................................................................................
2,260,000 Ocean Energy, Inc. company guaranty
Ser. B, 8 3/8s, 2008 2,113,100
....................................................................................................
1,880,000 Panaco, Inc. company guaranty Ser. B,
10 5/8s, 2004 1,410,000
....................................................................................................
1,240,000 Seven Seas Petroleum sr. notes Ser. B,
12 1/2s, 2005 620,000
....................................................................................................
850,000 Southwest Royalties, Inc. company
guaranty 10 1/2s, 2004 340,000
....................................................................................................
2,280,000 Stone Energy Corp. company guaranty
8 3/4s, 2007 2,234,400
....................................................................................................
27,430,000 Transamerican Energy sr. disc. notes
stepped-coupon Ser. B, zero %
(13s, 6/15/99), 2002 (STP) 7,680,400
....................................................................................................
2,310,000 Transamerican Energy sr. notes Ser. B,
11 1/2s, 2002 669,900
....................................................................................................
3,494,000 TransTexas Gas Corp. sr. sub. notes
Ser. D, 13 3/4s, 2001 2,795,200
....................................................................................................
1,410,000 Triton Energy Ltd. sr. notes 9 1/4s, 2005 1,307,183
....................................................................................................
4,775,000 Triton Energy Ltd. sr. notes 8 3/4s, 2002 4,653,429
- ----------------------------------------------------------------------------------------------------
41,015,762
- ----------------------------------------------------------------------------------------------------
Packaging and Containers (0.6%)
....................................................................................................
2,245,000 AEP Industries, Inc. sr. sub. notes
9 7/8s, 2007 2,267,450
....................................................................................................
3,000,000 Jefferson Smurfit Bank Term Loan
8.65s, 2006 2,992,500
....................................................................................................
590,000 Radnor Holdings Inc. sr. notes 10s, 2003 601,800
- ----------------------------------------------------------------------------------------------------
5,861,750
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (2.5%)
....................................................................................................
2,158,404 Alabama River Newsprint bank loan
notes FRN s, 2002 1,618,803
....................................................................................................
2,350,000 APP Finance II Mauritius Ltd. bonds
stepped-coupon 12s, (16s, 2/15/04),
2049 (Indonesia) (STP) 1,410,000
....................................................................................................
190,000 Boise Cascade Co. med. term notes
Ser. A, 7.43s, 2005 187,711
....................................................................................................
1,600,000 Huntsman Packaging Corp. company
guaranty 9 1/8s, 2007 1,584,000
....................................................................................................
6,595,000 Indah Kiat Financial Mauritius Ltd.
company guaranty 10s, 2007 (Indonesia) 3,495,350
....................................................................................................
4,405,000 Pindo Deli Finance Mauritius Ltd.
company guaranty 10 3/4s, 2007
(Indonesia) 2,334,650
....................................................................................................
5,180,000 PT Pabrik Kertas Tjiwi Kimia company
guaranty 10s, 2004 (Indonesia) 2,745,400
....................................................................................................
3,345,000 Repap New Brunswick sr. notes
10 5/8s, 2005 (Canada) 2,241,150
....................................................................................................
995,000 Repap New Brunswick sr. notes 9s,
2004 (Canada) 895,500
....................................................................................................
870,000 Republic Group Inc. sr. sub. notes
9 1/2s, 2008 850,425
....................................................................................................
5,350,000 Riverwood International Corp. company
guaranty 10 7/8s, 2008 4,868,500
....................................................................................................
3,360,000 Riverwood International Corp. company
guaranty 10 1/4s, 2006 3,292,800
- ----------------------------------------------------------------------------------------------------
25,524,289
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (0.4%)
....................................................................................................
860,000 Biovail Corp. International 144A
sr. notes 10 7/8s, 2005 864,300
....................................................................................................
3,300,000 ICN Pharmaceuticals, Inc. 144A
sr. notes 9 1/4s, 2005 3,382,500
- ----------------------------------------------------------------------------------------------------
4,246,800
- ----------------------------------------------------------------------------------------------------
Photography (--%)
....................................................................................................
650,000 PX Escrow Corp. sr. disc. notes stepped-
coupon zero % (9 5/8s, 2/1/02), 2006 (STP) 357,500
- ----------------------------------------------------------------------------------------------------
Publishing (0.9%)
....................................................................................................
4,750,000 American Media Operation, Inc. sr. sub.
notes 11 5/8s, 2004 4,868,750
....................................................................................................
2,775,000 Perry-Judd company guaranty
10 5/8s, 2007 2,899,875
....................................................................................................
492,236 Von Hoffman Press, Inc. 144A sr. sub.
notes 13 1/2s, 2009 492,236
....................................................................................................
1,505,000 Von Hoffman Press Inc. 144A sr. sub.
notes 10 3/8s, 2007 1,550,150
- ----------------------------------------------------------------------------------------------------
9,811,011
- ----------------------------------------------------------------------------------------------------
Railroads (0.3%)
....................................................................................................
2,545,000 TFM S.A. de C.V. company guaranty
stepped-coupon zero %, (11 3/4s,
6/15/02), 2009 (Mexico) (STP) 1,387,025
....................................................................................................
2,105,000 TFM S.A. de C.V. company guaranty
10 1/4s, 2007 (Mexico) 1,768,200
- ----------------------------------------------------------------------------------------------------
3,155,225
- ----------------------------------------------------------------------------------------------------
Restaurants (0.1%)
....................................................................................................
1,000,000 FRD Acquisition Co. sr. notes Ser. B,
12 1/2s, 2004 975,000
- ----------------------------------------------------------------------------------------------------
Retail (1.5%)
....................................................................................................
2,540,000 Amazon.com Inc. sr. disc. notes stepped-
coupon zero % (10s,05/01/03), 2008 (STP) 1,638,300
....................................................................................................
1,400,000 Home Interiors & Gifts, Inc. 144A
sr. sub. notes 10 1/8s, 2008 1,386,000
....................................................................................................
4,000,000 K mart Corp. pass-thru certificates
Ser. 95K4, 9.35s, 2020 4,211,040
....................................................................................................
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 3,280,875
....................................................................................................
100,000 North Atlantic Trading Co. company
guaranty Ser. B, 11s, 2004 101,000
....................................................................................................
890,000 Pathmark Stores sr. sub. notes 9 5/8s, 2003 863,300
- ----------------------------------------------------------------------------------------------------
13,586,740
- ----------------------------------------------------------------------------------------------------
Satellite Services (0.3%)
....................................................................................................
2,410,000 Golden Sky Systems 144A sr. sub. notes
12 3/8s, 2006 2,470,250
....................................................................................................
2,288,248 Primestar bank term loan 8 5/8s, 2004 800,887
....................................................................................................
665,000 TCI Satellite Entertainment, Inc. sr. sub.
notes 10 7/8s, 2007 212,800
- ----------------------------------------------------------------------------------------------------
3,483,937
- ----------------------------------------------------------------------------------------------------
Semiconductors (0.9%)
....................................................................................................
3,928,395 Fairchild Semiconductor Corp. 144A
sr. sub. notes 11.74s, 2008 3,299,852
....................................................................................................
3,040,000 Fairchild Semiconductor Corp. sr. sub.
notes 10 1/8s, 2007 3,040,000
....................................................................................................
3,300,000 Zilog, Inc. company guaranty Ser. B,
9 1/2s, 2005 2,640,000
- ----------------------------------------------------------------------------------------------------
8,979,852
- ----------------------------------------------------------------------------------------------------
Steel (0.2%)
....................................................................................................
2,400,000 WCI Steel, Inc. sr. notes Ser. B,
10s, 2004 2,376,000
- ----------------------------------------------------------------------------------------------------
Telecommunications (11.0%)
....................................................................................................
5,200,000 21st Century Telecom Group, Inc.
sr. disc. notes stepped-coupon zero %
(12 1/4s, 2/15/03), 2008 (STP) 2,184,000
....................................................................................................
930,000 Allegiance Telecom, Inc. sr. notes
12 7/8s, 2008 911,400
....................................................................................................
3,200,000 Barak I.T.C. sr. disc. notes stepped-coupon
Ser. B, zero % (12 1/2s, 11/15/02),
2007 (Israel) (STP) 1,632,000
....................................................................................................
1,680,000 Bestel S.A. de C.V. sr. disc. notes
stepped-coupon zero % (12 3/4s,
5/15/03), 2005 (Mexico) (STP) 924,000
....................................................................................................
1,570,000 CapRock Communications Corp.
sr. notes Ser. B, 12s, 2008 1,507,200
....................................................................................................
2,200,000 Charter Communications International,
Inc. disc. notes stepped-coupon Ser. B,
zero % (14s, 3/15/01), 2007 (STP) 1,969,000
....................................................................................................
1,750,000 Charter Communications International,
Inc. sr. notes Ser. B, 11 1/4s, 2006 1,960,000
....................................................................................................
6,910,000 Covad Communications Group sr. disc.
notes stepped-coupon Ser. B, zero %
(13 1/2s, 03/15/03), 2008 (STP) 3,800,500
....................................................................................................
4,700,000 Econophone Inc. company guaranty
13 1/2s, 2007 4,747,000
....................................................................................................
3,350,000 Econophone, Inc. 144A notes stepped-
coupon zero % (11s, 2/15/03), 2008 (STP) 1,675,000
....................................................................................................
1,190,000 Esprit Telecom Group PLC sr. notes
11 1/2s, 2007 (United Kingdom) 1,213,800
....................................................................................................
6,930,000 Firstworld Communication Corp. sr.
disc. notes stepped-coupon zero %
(13, 4/15/03), 2008 (STP) 2,079,000
....................................................................................................
4,040,000 Focal Communications Corp. sr. disc.
notes, stepped-coupon Ser. B, zero %
(12 1/8s, 02/15/03), 2008 (STP) 2,141,200
....................................................................................................
9,720,000 Global Crossing Holdings, Ltd.
company guaranty 9 5/8s, 2008 10,157,400
....................................................................................................
3,125,000 GST Equipment Funding sr. notes
13 1/4s, 2007 3,078,125
....................................................................................................
6,876,000 GST Telecommunications, Inc. company
guaranty stepped-coupon zero %
(13 7/8s, 12/15/00), 2005 (STP) 4,916,340
....................................................................................................
2,600,000 GST Telecommunications, Inc. 144A
sr. disc. notes stepped-coupon zero %
(10 1/2s, 5/1/03), 2008 (STP) 1,144,000
....................................................................................................
2,895,000 Hyperion Telecommunications Corp.,
Inc. sr. notes Ser. B, 12 1/4s, 2004 2,923,950
....................................................................................................
9,050,000 ICG Communications, Inc. sr. disc.
notes stepped-coupon zero %
(10s, 02/15/03), 2008 (STP) 4,615,500
....................................................................................................
2,925,000 ICG Holdings, Inc. sr. disc. notes
stepped-coupon zero % (13 1/2s,
9/15/00), 2005 (Canada) (STP) 2,427,750
....................................................................................................
330,000 Intercel, Inc. sr. disc. notes stepped-coupon
zero % (12s, 2/1/01), 2006 (STP) 240,900
....................................................................................................
2,590,000 IXC Communications, Inc. sr. sub. notes
9s, 2008 2,609,425
....................................................................................................
7,234,000 KMC Telecom Holdings, Inc. sr. disc.
notes stepped-coupon zero %
(12 1/2s, 2/15/03), 2008 (STP) 3,544,660
....................................................................................................
6,360,000 Knology Holdings, Inc. sr. disc. notes
stepped-coupon zero %,
(11 7/8s, 10/15/02), 2007 (STP) 3,132,300
....................................................................................................
1,740,000 Metrocall, Inc. 144A sr. sub. notes
11s, 2008 1,740,000
....................................................................................................
765,000 MetroNet Communications Corp.
sr. notes 12s, 2007 (Canada) 849,150
....................................................................................................
1,030,000 MetroNet Communications Corp.
sr. disc. notes stepped-coupon zero %
(10 3/4s, 11/1/02), 2007 (Canada) (STP) 679,800
....................................................................................................
4,130,000 MetroNet Communications Corp. 144A
sr. notes 10 5/8s, 2008 (Canada) 4,377,800
....................................................................................................
2,410,000 MetroNet Communications Corp.
sr. disc. stepped-coupon notes zero %
(9.95s, 6/15/03), 2008 (Canada) (STP) 1,446,000
....................................................................................................
4,290,000 Microcell Telecommunications sr. disc.
notes stepped-coupon Ser. B, zero %
(14s, 12/1/01), 2006 (Canada) (STP) 3,238,950
....................................................................................................
430,000 Netia Holdings B.V. 144A company
guaranty stepped-coupon zero %
(11 1/4s, 11/1/01), 2007 (Poland) (STP) 245,100
....................................................................................................
755,000 Netia Holdings B.V. 144A company
guaranty 10 1/4s, 2007 (Poland) 641,750
....................................................................................................
2,650,000 NorthEast Optic Network, Inc. sr.
notes 12 3/4s, 2008 2,650,000
....................................................................................................
2,020,000 NTL Inc. 144A sr. notes 11 1/2s, 2008 2,201,800
....................................................................................................
4,740,000 NTL Inc. sr. notes, stepped-coupon
Ser. B, zero % (9 3/4s, 4/1/03), 2008 (STP) 2,891,400
....................................................................................................
3,170,000 Pathnet, Inc. sr. notes 12 1/4s, 2008 2,219,000
....................................................................................................
3,760,000 Qwest Communications International,
Inc. sr. disc. notes stepped-coupon
zero % (9.47s, 10/15/02), 2007 (STP) 2,923,400
....................................................................................................
4,620,000 Rhythms Netconnections, Inc. sr. disc.
notes Ser. B, zero % (13 1/2s, 5/15/03),
2008 (STP) 2,263,800
....................................................................................................
810,000 Rogers Cantel, Inc. sr. sub. notes 8.8s,
2007 (Canada) 816,075
....................................................................................................
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 1,222,200
....................................................................................................
2,640,000 Teligent, Inc. sr. notes 11 1/2s, 2007 2,468,400
....................................................................................................
4,350,000 Teligent, Inc. sr. disc. notes stepped-coupon
Ser. B, zero % (11 1/2s, 3/1/03), 2008 (STP) 2,153,250
....................................................................................................
1,972,000 USN Communications, Inc. sr. disc.
notes stepped-coupon Ser. B, zero %
(14 5/8s, 8/15/00), 2004 (STP) 197,200
....................................................................................................
590,000 Vialog Corp. company guaranty
12 3/4s, 2001 354,000
....................................................................................................
5,370,000 WinStar Communications, Inc. sr. sub.
notes stepped-coupon zero %
(15s, 3/1/02), 2007 (STP) 4,994,100
....................................................................................................
7,800,000 WinStar Communications. Inc. sr. sub.
notes 11s, 2008 5,616,000
....................................................................................................
875,000 WinStar Equipment Corp. company
guaranty 12 1/2s, 2004 879,375
- ----------------------------------------------------------------------------------------------------
114,160,300
- ----------------------------------------------------------------------------------------------------
Telephone Services (5.7%)
....................................................................................................
5,230,000 BTI Telecom Corp. sr. notes 10 1/2s, 2007 3,948,650
....................................................................................................
790,000 Call-Net Enterprises, Inc. sr. disc. notes
stepped-coupon zero % (8.94s, 8/15/03),
2008 (Canada) (STP) 454,250
....................................................................................................
1,000,000 Celcaribe S.A. sr. notes 13 1/2s,
2004 (Colombia) 950,000
....................................................................................................
8,805,000 Colt Telecommunications Group PLC
sr. disc. notes stepped-coupon zero %,
(12s, 12/15/01), 2006 (United Kingdom) (STP) 7,352,175
....................................................................................................
1,305,000 E. Spire Communications, Inc. sr. notes
13 3/4s, 2007 1,226,700
....................................................................................................
3,165,000 E. Spire Communications, Inc. sr. disc.
notes stepped-coupon zero %
(12 3/4s, 4/1/01), 2006 (STP) 1,899,000
....................................................................................................
1,370,000 Facilicom International sr. notes Ser. B.,
10 1/2s, 2008 1,082,300
....................................................................................................
4,875,000 Flag Ltd. 144A sr. notes 8 1/4s, 2008
(Bermuda) 4,777,500
....................................................................................................
510,000 Hermes Europe Railtel 144A sr. notes
11 1/2s, 2007 (Netherlands) 535,500
....................................................................................................
5,690,000 ICG Services, Inc. sr. disc. notes
stepped-coupon zero % (9 7/8s,
5/1/03), 2008 (STP) 2,845,000
....................................................................................................
3,310,000 Intermedia Communications, Inc. sr. disc.
notes stepped-coupon Ser. B, zero %
(11 1/4s, 7/15/02), 2007 (STP) 2,250,800
....................................................................................................
2,990,000 Intermedia Communications, Inc.
sr. notes Ser. B, 8.6s, 2008 2,855,450
....................................................................................................
3,750,000 Intermedia Communications, Inc.
sr. notes Ser. B, 8 1/2s, 2008 3,562,500
....................................................................................................
3,609,000 ITC Deltacom, Inc. sr. notes 11s, 2007 3,951,855
....................................................................................................
2,410,000 Long Distance International, Inc. 144A
sr. notes 12 1/4s, 2008 1,928,000
....................................................................................................
830,000 MJD Communications, Inc. notes Ser. B,
FRN, 1s, 2008 796,800
....................................................................................................
970,000 OnePoint Communications, Corp. 144A
sr. notes 14 1/2s, 2008 514,100
....................................................................................................
1,610,000 Primus Telecommunications Group, Inc.
sr. notes Ser. B, 9 7/8s, 2008 1,533,525
....................................................................................................
4,045,000 RSL Communications, Ltd. company
guaranty 12 1/4s, 2006 4,247,250
....................................................................................................
1,020,000 RSL Communications, Ltd. company
guaranty, stepped-coupon zero %
(10 1/8s, 3/1/03), 2008 (STP) 581,400
....................................................................................................
1,310,000 RSL Communications, Ltd. company
guaranty 9 1/8s, 2008 1,192,100
....................................................................................................
1,480,000 RSL Communications PLC. 144A
sr. notes 10 1/2s, 2008 (United Kingdom) 1,465,200
....................................................................................................
1,865,000 Transtel S.A. 144A pass through
certificates 12 1/2s, 2007 (Colombia) 708,700
....................................................................................................
1,290,000 US Xchange LLC sr. notes 15s, 2008 1,322,250
....................................................................................................
1,770,000 Versatel Teleco sr. notes 13 1/4s, 2008 1,743,450
....................................................................................................
3,500,000 Viatel, Inc. sr. disc. notes stepped-coupon
zero % (12 1/2s, 4/15/03), 2008 (STP) 1,995,000
....................................................................................................
4,370,000 Viatel, Inc. sr. notes 11 1/4s, 2008 4,326,300
- ----------------------------------------------------------------------------------------------------
60,045,755
- ----------------------------------------------------------------------------------------------------
Textiles (0.2%)
....................................................................................................
1,260,000 Polymer Group, Inc. company guaranty
Ser. B, 9s, 2007 1,247,400
....................................................................................................
1,190,000 Polymer Group, Inc. company guaranty
Ser. B, 8 3/4s, 2008 1,169,175
- ----------------------------------------------------------------------------------------------------
2,416,575
- ----------------------------------------------------------------------------------------------------
Transportation (0.1%)
....................................................................................................
1,170,000 Kitty Hawk, Inc. company guaranty
9.95s, 2004 1,129,050
- ----------------------------------------------------------------------------------------------------
Trucking (0.2%)
....................................................................................................
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
- ----------------------------------------------------------------------------------------------------
Utilities (0.2%)
....................................................................................................
1,800,000 CMS Energy Corp. pass through
certificates 7s, 2005 1,784,610
- ----------------------------------------------------------------------------------------------------
Wireless Communications (1.5%)
....................................................................................................
4,500,000 Allbritton Communications Co. sr. sub.
deb. Ser. B, 9 3/4s, 2007 4,747,500
....................................................................................................
350,000 Allbritton Communications Co. sr. sub.
notes Ser. B, 8 7/8s, 2008 352,625
....................................................................................................
2,600,000 American Mobile Satellite Corp.
company guaranty 12 1/4s, 2008 1,612,000
....................................................................................................
1,830,000 Comcast Cellular Holdings sr. notes
Ser. B, 9 1/2s, 2007 1,944,375
....................................................................................................
1,360,000 CTI Holdings S.A. sr. notes stepped-
coupon zero % (11 1/2s,4/15/03), 2008
(Argentina) (STP) 598,400
....................................................................................................
2,110,000 Dobson Wireline Co. sr. notes
12 1/4s, 2008 1,962,300
....................................................................................................
1,990,000 Orbital Imaging Corp. sr. notes Ser. B,
11 5/8s, 2005 2,069,600
....................................................................................................
1,300,000 Paging Network Do Brasil sr. notes
13 1/2s, 2005 (Brazil) 637,000
....................................................................................................
1,000,000 Telesystem International Wireless Inc.
sr. disc. notes stepped-coupon Ser. C,
zero %, (10 1/2s, 11/1/02), 2007
(Canada) (STP) 365,000
....................................................................................................
1,430,000 WAM!NET, Inc. company guaranty
stepped-coupon Ser. B, zero %
(13 1/4s, 3/1/02), 2005 (STP) 786,500
- ----------------------------------------------------------------------------------------------------
15,075,300
- ----------------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $953,771,924) $847,189,083
- ----------------------------------------------------------------------------------------------------
PREFERRED STOCKS (9.1%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
Banks (0.9%)
....................................................................................................
230,000 California Federal Bancorp Inc. Ser. A,
$2.281 pfd. $5,778,750
....................................................................................................
56,820 Chevy Chase Capital Corp. Ser. A,
$5.188 pfd. 2,841,000
....................................................................................................
20,000 Chevy Chase Savings Bank $3.25 pfd. 595,000
- ----------------------------------------------------------------------------------------------------
9,214,750
- ----------------------------------------------------------------------------------------------------
Broadcasting (1.9%)
....................................................................................................
27,423 Capstar Broadcasting Inc. 144A
$12.00 pfd. (PIK) 3,126,222
....................................................................................................
21,642 Citadel Broadcasting Inc. 144A
$13.25 cum. pfd. (PIK) 2,467,188
....................................................................................................
807 Echostar Communications, Inc.
12.125% pfd. (PIK) 933,094
....................................................................................................
3,494 Granite Broadcasting 144A $12.75 pfd. (PIK) 3,144,600
....................................................................................................
369 Paxson Communications Corp.
13.25% cum. pfd. (PIK) 3,228,750
....................................................................................................
12,500 Sinclair Capital $11.625 cum. pfd. 1,321,875
....................................................................................................
5,546 Spanish Broadcasting Systems
14.25% cum. pfd. (PIK) 5,656,920
- ----------------------------------------------------------------------------------------------------
19,878,649
- ----------------------------------------------------------------------------------------------------
Building and Construction (0.1%)
....................................................................................................
21,620 Brand Scaffold Services, Inc. 144A
$3.625 pfd. 648,600
- ----------------------------------------------------------------------------------------------------
Cable Television (0.8%)
....................................................................................................
617 CSC Holding Inc. Ser. H,
$11.75 cum. pfd. (PIK) 70,338
....................................................................................................
61,263 CSC Holdings, Inc. Ser. M,
$11.125 cum. pfd. (PIK) 6,769,562
....................................................................................................
13,788 SFX Broadcasting, Inc. Ser. E,
$12.625 pfd. (PIK) 1,695,924
- ----------------------------------------------------------------------------------------------------
8,535,824
- ----------------------------------------------------------------------------------------------------
Cellular Communications (1.1%)
....................................................................................................
8,709 NEXTEL Communications, Inc. Ser. D,
13.00% cum. pfd. (PIK) 8,665,455
....................................................................................................
2,510 NEXTEL Communications, Inc. Ser. E,
$11.125 pfd. (PIK) 2,233,900
- ----------------------------------------------------------------------------------------------------
10,899,355
- ----------------------------------------------------------------------------------------------------
Computer Services (0.1%)
....................................................................................................
1,246 Concentric Network Corp. Ser. B,
$13.50 pfd. (PIK) 1,065,330
- ----------------------------------------------------------------------------------------------------
Electric Utilities (0.1%)
....................................................................................................
23,997 Public Service Co. of New Hampshire
$2.65 1st mtge. pfd. 623,922
- ----------------------------------------------------------------------------------------------------
Food and Beverages (0.1%)
....................................................................................................
17,685 Nebco Evans Holding Co. 144A
11.25% pfd. (PIK) 884,250
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (0.3%)
....................................................................................................
122,819 CGA Group Ltd. 144A Ser. A,
$13.75 pfd. (PIK) 3,438,932
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (0.3%)
....................................................................................................
2,405,000 Fresenius Medical Capital Trust I Ser. D,
9.00% pfd. (Germany) 2,516,231
....................................................................................................
2,830,000 Fresenius Medical Capital Trust II
company guaranty 7.875% pfd
(Germany) 2,808,775
- ----------------------------------------------------------------------------------------------------
5,325,006
- ----------------------------------------------------------------------------------------------------
Motion Picture Distribution (0.1%)
....................................................................................................
91,670 Diva Systems Corp. Ser. C, $6.00 pfd. 550,020
- ----------------------------------------------------------------------------------------------------
Restaurants (0.1%)
....................................................................................................
38,716 AmeriKing, Inc. $3.25 pfd. (PIK) 987,258
- ----------------------------------------------------------------------------------------------------
Telecommunications (3.1%)
....................................................................................................
214 21st Century Telecom Group 144A
$13.75 cum. pfd. (PIK) 139,050
....................................................................................................
3,400 Centaur Funding Corp 144A 9.08% pfd.
(Cayman Islands) 3,492,276
....................................................................................................
3,419 ICG Holdings, Inc. $14.25 pfd. (Canada) 3,384,810
....................................................................................................
8,454 ICG Holdings, Inc., 144A $14.00 pfd.
(Canada) (PIK) 8,200,380
....................................................................................................
4,897 Intermedia Communication Ser. B,
13.50% pfd. (PIK) 4,933,728
....................................................................................................
3,998 IXC Communications, Inc. $12.50 pfd. (PIK) 4,037,980
....................................................................................................
101,288 Nextlink Communications, Inc. 144A
$7.00 cum. pfd. (PIK) 5,165,688
....................................................................................................
319,195 TCR Holding Corp. Class E, zero % pfd. 20,109
....................................................................................................
2,990 WinStar Communications, Inc. 144A
$14.25 pfd. (PIK) 2,392,000
- ----------------------------------------------------------------------------------------------------
31,766,021
- ----------------------------------------------------------------------------------------------------
Telephone Services (0.1%)
....................................................................................................
803 E. Spire Communications, Inc.
12.75% pfd. (PIK) 393,470
....................................................................................................
3,639 Viatel, Inc. Ser. A, $10.00 cv. pfd. (PIK) 218,340
- ----------------------------------------------------------------------------------------------------
611,810
- ----------------------------------------------------------------------------------------------------
Total Preferred Stocks
(cost $98,389,579) $94,429,727
- ----------------------------------------------------------------------------------------------------
UNITS (1.8%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Units Value
....................................................................................................
1,600 Birch Telecom, Inc. 144A units 14s, 2008 $1,472,000
....................................................................................................
273 Celcaribe S.A. 144A units stepped-coupon
zero % (13 1/2s, 2/19/99), 2004
(Colombia) (STP) 4,368,000
....................................................................................................
7,007 Diva Systems Corp. 144A units
stepped-coupon zero % (12 5/8s,
3/1/03), 2008 (STP) 2,872,870
....................................................................................................
3,950 Network Plus Corp. units pfd.
13 1/2s, 2009 (PIK) 3,950,000
....................................................................................................
1,290 Telehub Communications Corp. units
stepped-coupon zero %, (13 7/8s,
7/31/02), 2005 (STP) 722,400
....................................................................................................
2,580 Transam Refinance, Inc. 144A units
16s, 2003 812,700
....................................................................................................
720 Versatel Teleco units 13 1/4s, 2008 716,400
....................................................................................................
2,695 XCL Ltd. units sr. sec. notes 13 1/2s, 2004 2,748,900
....................................................................................................
13,850 XCL Ltd. 144A units cv. cum. pfd.
9 1/2s, 2006 (PIK) 1,108,000
- ----------------------------------------------------------------------------------------------------
Total Units
(cost $19,946,530) $18,771,270
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (1.0%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$930,000 APP Global Finance Ltd. 144A cv.
company guaranty 3 1/2s, 2003
(United Kingdom) $526,613
....................................................................................................
665,000 Argosy Gaming cv. sub. notes 12s, 2001 654,194
....................................................................................................
652,000 GST Telecommunications, Inc. cv. sr. disc.
notes stepped-coupon zero %
(13 7/8s, 12/15/00), 2005 (STP) 652,000
....................................................................................................
1,030,000 Integrated Device Technology, Inc.
cv. sub. notes 5 1/2s, 2002 706,838
....................................................................................................
2,670,000 Jacor Communications, Inc. cv. sr. notes
zero %, 2011 2,382,975
....................................................................................................
1,000,000 Lam Research Corp. cv. sub. notes
5s, 2002 785,000
....................................................................................................
900,000 LAM Research Corp. 144A cv. sub. notes
5s, 2002 706,500
....................................................................................................
4,070,000 NovaCare, Inc. cv. sub. deb. 5 1/2s, 2000 3,291,613
....................................................................................................
1,604,000 Plolymax 144A cv. notes 2s, 2006 681,700
- ----------------------------------------------------------------------------------------------------
Total Convertible Bonds and Notes
(cost $12,113,345) $10,387,433
- ----------------------------------------------------------------------------------------------------
WARRANTS (0.6%) (a) (NON)
- ----------------------------------------------------------------------------------------------------
Number of Warrants Expiration Date Value
....................................................................................................
200 21st Century Telecom Group
144A 2/15/10 $6,000
....................................................................................................
4,640 Allegiance Telecom, Inc. 2/3/08 74,240
....................................................................................................
2,600 American Mobile Satellite Corp. 4/1/08 10,088
....................................................................................................
40,000 Becker Gaming Corp. 144A 11/15/00 4
....................................................................................................
1,680 Bestel SA (Mexico) 5/15/05 3,360
....................................................................................................
8,867 Cellnet Data Systems, Inc. 9/15/07 177,340
....................................................................................................
122,500 CGA Group Ltd. 144A 2/11/07 2,450
....................................................................................................
2,175 Club Regina, Inc. 144A 4/15/06 2,175
....................................................................................................
8,805 Colt Telecommunications
Group PLC 12/31/06 2,113,200
....................................................................................................
660 Concentric Network Corp. 12/15/07 98,281
....................................................................................................
24,840 Consorcio Ecuatoriano 144A
(Ecuador) 10/1/00 12,420
....................................................................................................
6,910 Covad Communications
Group 144A 3/15/08 345,500
....................................................................................................
2,145 Diva Systems Corp. 5/15/06 519,090
....................................................................................................
48,150 DTI Holdings Inc. 3/1/08 2,408
....................................................................................................
30 E. Spire Communications, Inc. 11/1/05 180
....................................................................................................
4,700 Econophone, Inc. 144A 7/1/07 235,000
....................................................................................................
1,560 Epic Resorts 6/15/05 16
....................................................................................................
1,345 Esat Holdings, Inc. (Ireland) 2/1/07 89,443
....................................................................................................
6,930 Firstworld Communication 4/15/08 69,300
....................................................................................................
1,890 Globalstar Telecom 144A 2/15/04 113,400
....................................................................................................
4,735 Hyperion Telecommunications
144A 4/15/01 354,983
....................................................................................................
24,750 Intelcom Group 144A 10/15/05 519,750
....................................................................................................
2,590 Interact Systems, Inc. 8/1/03 26
....................................................................................................
3,240 Intermedia Communications, Inc. 6/1/00 138,478
....................................................................................................
1,360 International Wireless
Communications Holdings 144A 8/15/01 14
....................................................................................................
1,500 Iridium World Com 144A 7/15/05 187,500
....................................................................................................
6,794 KMC Telecom Holdings, Inc. 4/15/08 16,985
....................................................................................................
6,100 Knology Holdings, Inc. 144A 10/15/07 9,150
....................................................................................................
2,410 Long Distance International, Inc.
144A 4/13/08 6,025
....................................................................................................
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 22,950
....................................................................................................
500 MGC Communications, Inc. 144A 10/1/04 15,420
....................................................................................................
970 Onepoint Communications, Inc. 6/1/08 970
....................................................................................................
1,990 Orbital Imaging Corp. 144A 3/1/05 79,600
....................................................................................................
3,895 Orion Network Systems 1/14/03 44,793
....................................................................................................
7,130 Pagemart, Inc. 144A 12/31/03 57,040
....................................................................................................
3,170 Pathnet, Inc. 144A 4/15/08 31,700
....................................................................................................
3,200 Paxson Communications Corp.
144A 6/30/03 32
....................................................................................................
14,880 Powertel, Inc. 2/1/06 59,520
....................................................................................................
18,480 Rhythms Netcon 144A 5/15/08 138,600
....................................................................................................
1,625 Spanish Broadcasting Systems
144A 6/30/99 333,125
....................................................................................................
1,790 STARTEC Global
Communications Corp. 5/15/08 1,790
....................................................................................................
960 Sterling Chemicals Holdings 8/15/08 14,400
....................................................................................................
6,950 UIH Australia/Pacific, Inc. 144A 5/15/06 6,950
....................................................................................................
19,720 USN Communications Inc. 8/15/04 4,141
....................................................................................................
1,770 Versatel Teleco 144A 5/15/08 17,700
....................................................................................................
590 Vialog Corp. 11/15/01 2,950
....................................................................................................
3,950 WAM!NET, Inc. 3/1/05 31,600
....................................................................................................
1,650 Wireless One, Inc. 10/19/00 17
- ----------------------------------------------------------------------------------------------------
Total Warrants
(cost $4,152,417) $5,997,803
- ----------------------------------------------------------------------------------------------------
COMMON STOCKS (0.4%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
25,000 American Mobile Satellite Corp. (NON) $131,250
....................................................................................................
750 AmeriKing, Inc. (NON) 30,000
....................................................................................................
4,275 Axia Holding Inc. 144A (PIK) 59,850
....................................................................................................
162,600 Celcaribe S.A. 144A (Colombia) (NON) 650,400
....................................................................................................
50,680 CellNet Data Systems, Inc. (NON) 253,400
....................................................................................................
16,000 French Fragrances Inc. (NON) 116,000
....................................................................................................
20,016 Hedstrom Holdings, Inc. 144A 20,016
....................................................................................................
592 Mothers Work, Inc. (NON) 7,400
....................................................................................................
1,500 Paging Do Brazil Holdings Co., LLC
144A Class B, (Brazil) 15
....................................................................................................
665 Premium Holdings L.P. 144A (NON) 2,659
....................................................................................................
157,853 PSF Holdings LLC Class A (acquired
various dates from 2/8/93 to 4/3/95,
cost $5,779,844) (NON) 2,012,626
....................................................................................................
13,912 RSL Communications, Ltd. Class A (NON) 410,404
....................................................................................................
15,000 Specialty Foods Acquisition Corp. (NON) 750
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $8,184,713) $3,694,770
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.2%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
12,800 Chancellor Media Corp.
$3.00 cv. cum. pfd. $1,192,000
....................................................................................................
11,670 Chesapeake Energy Corp. 144A
$3.50 cv. cum. pfd. 119,618
....................................................................................................
103 Paxson Communications Corp. 144A
$9.75 cv. pfd. (PIK) 1,009,400
....................................................................................................
1,985 XCL Ltd $8.075 cv. pfd. 158,800
- ----------------------------------------------------------------------------------------------------
Total Convertible Preferred Stocks
(cost $3,255,569) $2,479,818
- ----------------------------------------------------------------------------------------------------
BRADY BONDS (0.1%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
FRF 6,680,000 Ivory Coast - FLIRB collateralized
FRB 2s, 2018 $286,865
....................................................................................................
FRF 6,596,500 Ivory Coast - PDI bonds FRB 1.9s, 2018 318,689
- ----------------------------------------------------------------------------------------------------
Total Brady Bonds
(cost $891,626) $605,554
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (3.4%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$14,000,000 General Electric Capital, effective
yield of 5.05%, February 19, 1999 $13,901,005
....................................................................................................
21,073,000 Interest in $456,109,000 joint repurchase
agreement dated December 31, 1998
with Merrill Lynch, Pierce, Fenner and
Smith, Inc. due January 4, 1999
with respect to various U.S. Treasury
obligations -- maturity value of
$21,084,239 for an effective yield
of 4.80% 21,075,810
- ----------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $34,976,815) $34,976,815
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $1,135,682,518) (b) $1,018,532,273
- ----------------------------------------------------------------------------------------------------
<CAPTION>
Forward Currency Contracts to Sell at December 31, 1998
- ----------------------------------------------------------------------------------------------------
Market Aggregate Delivery Unrealized
Value Face Value Date Depreciation
....................................................................................................
<S> <C> <C> <C> <C>
French Franc $985,264 $977,633 2/17/99 $(7,631)
- ----------------------------------------------------------------------------------------------------
See page 240 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT International Growth Fund
Portfolio of investments owned
December 31, 1998
<CAPTION>
COMMON STOCKS (96.7%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C>
Australia (1.2%)
....................................................................................................
186,600 Cable & Wireless Optus Ltd. 144A (NON) $391,384
....................................................................................................
212,600 Coles Myer Ltd. (NON) 1,111,542
....................................................................................................
81,450 News Corp. Ltd. ADR 2,153,334
- ----------------------------------------------------------------------------------------------------
3,656,260
- ----------------------------------------------------------------------------------------------------
Brazil (0.9%)
....................................................................................................
81,300 Companhia Energetica de Minas
Gerais ADR 1,565,025
....................................................................................................
93,650 Telesp Celular Participacoes S.A. (NON) 689,971
....................................................................................................
21,300 Telesp Participacoes S.A. (NON) 484,892
- ----------------------------------------------------------------------------------------------------
2,739,888
- ----------------------------------------------------------------------------------------------------
Canada (3.9%)
....................................................................................................
167,733 Bank of Nova Scotia (NON) 3,698,784
....................................................................................................
58,347 BCE Mobile Communications, Inc. (NON) 1,582,098
....................................................................................................
1,900 BCE Mobile Communications, Inc. 144A (NON) 51,519
....................................................................................................
134,009 BCE, Inc. (NON) 5,065,286
....................................................................................................
129,388 Bombardier, Inc. (NON) 1,859,873
....................................................................................................
6,100 Royal Bank of Canada (NON) 305,100
- ----------------------------------------------------------------------------------------------------
12,562,660
- ----------------------------------------------------------------------------------------------------
Finland (2.6%)
....................................................................................................
43,828 Huhtamaki I Free (NON) 1,668,328
....................................................................................................
43,223 Oy Nokia AB Class A 5,258,169
....................................................................................................
35,100 Sampo Insurance Co., Ltd. Class A (NON) 1,332,650
- ----------------------------------------------------------------------------------------------------
8,259,147
- ----------------------------------------------------------------------------------------------------
France (15.0%)
....................................................................................................
633 AGF (Assurances Generales de France) 37,808
....................................................................................................
29,152 Axa S.A. (NON) 4,225,154
....................................................................................................
64,568 Banque Nationale de Paris 5,316,835
....................................................................................................
16,879 Bouygues S. A. 3,479,272
....................................................................................................
11,932 Credit Commercial de France 1,108,077
....................................................................................................
5,366 Danone 1,536,243
....................................................................................................
17,311 Elf Aquitaine S.A. (NON) 2,000,985
....................................................................................................
13,570 France Telecom S.A. 1,078,083
....................................................................................................
1,110 ISIS Holdings 79,247
....................................................................................................
31,120 Lafarge Coppee 2,956,809
....................................................................................................
54,955 Michelin Corp. Class B 2,197,728
....................................................................................................
53,701 Scor 3,550,471
....................................................................................................
18,802 Societe Generale (NON) 3,044,681
....................................................................................................
18,084 Societe Television Francaise 1 3,219,636
....................................................................................................
64,500 STMicroelectronics N.V. ADR (NON) 5,035,031
....................................................................................................
83,694 Telfonica S.A. (NON) 74,311
....................................................................................................
16,369 Total S.A. Class B 1,657,783
....................................................................................................
27,917 Vivendi 7,243,125
- ----------------------------------------------------------------------------------------------------
47,841,279
- ----------------------------------------------------------------------------------------------------
Germany (6.7%)
....................................................................................................
1,916 Bayerische Motoren Werke (BMW) AG 1,487,653
....................................................................................................
772 Bayerische Motoren Werke (BMW) 572,521
....................................................................................................
72,980 Deutsche Telekom AG (NON) 2,401,552
....................................................................................................
103,576 Hoechst AG 4,297,785
....................................................................................................
61,108 Mannesmann AG 7,008,724
....................................................................................................
41,334 Veba (Vereinigte Elektrizitaets
Bergwerks) AG 2,474,629
....................................................................................................
39,714 Volkswagon AG 3,171,778
- ----------------------------------------------------------------------------------------------------
21,414,642
- ----------------------------------------------------------------------------------------------------
Greece (0.6%)
....................................................................................................
58,822 Hellenic Telecommunication
Organization S.A. 1,564,247
....................................................................................................
28,200 Hellenic Telecommunication
Organization SA ADR (NON) 373,650
- ----------------------------------------------------------------------------------------------------
1,937,897
- ----------------------------------------------------------------------------------------------------
Hong Kong (0.5%)
....................................................................................................
96,000 China Telecom Ltd. (NON) 166,060
....................................................................................................
470,000 Hong Kong and China Gas Co., Ltd. 597,617
....................................................................................................
268,500 Smartone Telecommunications 745,198
....................................................................................................
80,000 Smartone Telecommunications (NON) 222,033
- ----------------------------------------------------------------------------------------------------
1,730,908
- ----------------------------------------------------------------------------------------------------
Ireland (4.0%)
....................................................................................................
185,889 Allied Irish Banks PLC 3,325,296
....................................................................................................
202,778 Bank of Ireland 4,507,887
....................................................................................................
276,216 CRH PLC 4,764,505
- ----------------------------------------------------------------------------------------------------
12,597,688
- ----------------------------------------------------------------------------------------------------
Italy (2.9%)
....................................................................................................
27,800 Banca Popolare di Brescia SPA 678,418
....................................................................................................
956,130 Telecom Italia SPA 8,163,639
....................................................................................................
860,800 Unione Immobiliare SPA (NON) 449,322
- ----------------------------------------------------------------------------------------------------
9,291,379
- ----------------------------------------------------------------------------------------------------
Japan (10.2%)
....................................................................................................
21,000 Canon, Inc. 448,092
....................................................................................................
41,400 Chubu Electric Power, Inc. 833,999
....................................................................................................
29,000 Eisai Co. Ltd. 563,704
....................................................................................................
208,200 Fujitsu Ltd. 2,768,519
....................................................................................................
36,000 Honda Motor Co., Ltd. 1,180,067
....................................................................................................
1,200 Kita Kyushu Coca-Cola Bottling 37,533
....................................................................................................
21,600 Mabuchi Motor 1,650,822
....................................................................................................
60,000 Matsushita-Kotobuki Electronics
Industries, Ltd. 1,293,515
....................................................................................................
69,900 Mitsumi Electric Company, Ltd. (NON) 1,476,065
....................................................................................................
6,000 Murata Manufacturing Co. Ltd. 248,631
....................................................................................................
1,026,000 Nikko Securities Co. Ltd. (NON) 2,855,540
....................................................................................................
431 Nippon Telegraph and Telephone Corp. 3,320,657
....................................................................................................
5,170 Nippon Television Network Corp. 1,521,126
....................................................................................................
26,800 Promise Co., Ltd. 1,392,331
....................................................................................................
96,000 Ricoh Co., Ltd. 883,831
....................................................................................................
2,000 Rohm Co. Ltd. 181,834
....................................................................................................
135,000 Sankyo Co., Ltd. 2,946,192
....................................................................................................
14,000 Shin-Etsu Chemical Co. 336,455
....................................................................................................
47,000 Shiseido Co., Ltd. (NON) 602,969
....................................................................................................
24,300 Sony Corp. 1,766,999
....................................................................................................
15,000 TDK Corp. 1,369,058
....................................................................................................
44,400 Tokyo Electric Power Co. 1,094,504
....................................................................................................
116,000 Yamanouchi Pharmaceutical Co., Ltd. 3,730,694
- ----------------------------------------------------------------------------------------------------
32,503,137
- ----------------------------------------------------------------------------------------------------
Mexico (2.1%)
....................................................................................................
102,100 Coca-Cola Femsa S.A. ADR 1,352,825
....................................................................................................
660,441 Fomento Economico Mexicano, S.A.
de C.V. 1,801,203
....................................................................................................
46,100 Grupo Televisa S.A.GDR (NON) 1,138,094
....................................................................................................
48,513 Telefonos de Mexico S.A. ADR Class L 2,361,977
- ----------------------------------------------------------------------------------------------------
6,654,099
- ----------------------------------------------------------------------------------------------------
Netherlands (8.4%)
....................................................................................................
115,483 Akzo-Nobel N.V. (NON) 5,253,417
....................................................................................................
16,300 ASM Lithography Holding N.V. (NON) 497,150
....................................................................................................
3,010 Benckiser NV Class B (NON) 196,983
....................................................................................................
6,880 Equant N.V. (NON) 478,757
....................................................................................................
24,893 Gucci Group N.V. 1,210,422
....................................................................................................
144,371 Internationale Nederlanden Groep 8,795,147
....................................................................................................
125,205 Koninklijke Ahold N.V. 4,623,159
....................................................................................................
22,940 Laurus N.V. (NON) 578,545
....................................................................................................
26,806 Philips Electronics N.V. (NON) 1,797,050
....................................................................................................
49,681 TNT Post Group N.V. (NON) 1,599,202
....................................................................................................
41,560 Vedior NV (NON) 818,154
....................................................................................................
38,149 Vendex International N.V. 925,562
- ----------------------------------------------------------------------------------------------------
26,773,548
- ----------------------------------------------------------------------------------------------------
Poland (0.1%)
....................................................................................................
17,289 Bank Handlowy 144A 213,585
- ----------------------------------------------------------------------------------------------------
Portugal (1.5%)
....................................................................................................
25,323 Cimpor-Cimentos de Portugal, SGPS, S.A. 807,125
....................................................................................................
92,771 Electricidade de Portugal S.A. 2,039,454
....................................................................................................
44,206 Portugal Telecom S.A. 2,023,771
- ----------------------------------------------------------------------------------------------------
4,870,350
- ----------------------------------------------------------------------------------------------------
Singapore (1.4%)
....................................................................................................
424,000 Oversea Chinese Banking Corp. 2,878,933
....................................................................................................
238,000 United Overseas Bank Ltd. 1,529,433
- ----------------------------------------------------------------------------------------------------
4,408,366
- ----------------------------------------------------------------------------------------------------
South Korea (2.1%)
....................................................................................................
147,394 Korea Electric Power Corp. (NON) 3,660,284
....................................................................................................
38,600 Pohang Iron & Steel Company, Ltd. ADR 651,375
....................................................................................................
37,520 Samsung Electronics Co. (NON) 2,523,220
- ----------------------------------------------------------------------------------------------------
6,834,879
- ----------------------------------------------------------------------------------------------------
Spain (1.2%)
....................................................................................................
83,694 Telfonica de Espana 3,721,437
- ----------------------------------------------------------------------------------------------------
Sweden (5.3%)
....................................................................................................
127,935 Ericsson Class B 3,040,820
....................................................................................................
45,609 ForeningsSparbanken AB 1,179,543
....................................................................................................
141,573 Nordbanken Holding AG (NON) 906,625
....................................................................................................
157,809 Pharmacia & Upjohn, Inc. 8,823,311
....................................................................................................
16,300 Sandvik AB Class B (NON) 281,034
....................................................................................................
44,550 SKF AB Class B (NON) 518,470
....................................................................................................
26,434 Svenska Handelsbanken 1,113,354
....................................................................................................
50,859 Volvo AB (NON) 1,164,998
- ----------------------------------------------------------------------------------------------------
17,028,155
- ----------------------------------------------------------------------------------------------------
Switzerland (9.7%)
....................................................................................................
1,673 Cie Finance Richemont 2,365,465
....................................................................................................
1,933 Edipresse S.A. 555,905
....................................................................................................
3,711 Georg Fischer AG 1,255,012
....................................................................................................
1,309 Julius Baer Holdings AG 4,350,627
....................................................................................................
223 Kuoni Reisen AG 884,857
....................................................................................................
2,990 Nestle S.A. 6,508,993
....................................................................................................
4,080 Novartis AG ADR (NON) 8,020,387
....................................................................................................
5,080 Swisscom AG (NON) 2,126,684
....................................................................................................
304 Publicitas Holding S.A. 92,960
....................................................................................................
15,929 UBS AG (NON) 4,894,095
- ----------------------------------------------------------------------------------------------------
31,054,985
- ----------------------------------------------------------------------------------------------------
United Kingdom (15.6%)
....................................................................................................
303,566 Allied Zurich AG (NON) 4,511,108
....................................................................................................
118,666 Avis Europe PLC 144A ADR 493,719
....................................................................................................
173,947 Bass PLC 2,522,928
....................................................................................................
323,650 British Airways PLC 2,174,095
....................................................................................................
399,026 Cable & Wireless PLC 4,887,935
....................................................................................................
208,460 Dixons Group PLC 2,921,569
....................................................................................................
207,063 EMI Group PLC (NON) 1,379,775
....................................................................................................
250,275 Granada Group PLC 4,407,844
....................................................................................................
306,415 Marks & Spencer PLC 2,093,874
....................................................................................................
194,561 National Westminster Bancorp Inc. 3,737,825
....................................................................................................
237,938 Orange PLC ADR (NON) 2,754,927
....................................................................................................
55,540 Royal PTT 2,777,739
....................................................................................................
3,300 Scottish Power PLC 33,778
....................................................................................................
572,073 Securicor Group PLC (NON) 4,779,273
....................................................................................................
873,440 Siebe PLC 3,431,320
....................................................................................................
199,776 Smithkline Beecham PLC ADR 2,781,649
....................................................................................................
169,594 Smiths Industries PLC 2,410,597
....................................................................................................
97,118 Vodafone Group PLC 1,571,192
- ----------------------------------------------------------------------------------------------------
49,671,147
- ----------------------------------------------------------------------------------------------------
United States (0.8%)
....................................................................................................
54,905 AFLAC Inc. 2,415,820
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $265,043,002) $308,181,256
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (4.3%) (a) (cost $13,801,840)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$13,800,000 Interest in $456,109,000 joint repurchase
agreement dated December 31,1998
with Merrill Lynch, Pierce , Fenner &
Smith, Inc., due January 4, 1999 with
respect to various U.S. Treasury
obligations -- maturity value of
$13,807,360 for an effective yield
of 4.80%. $13,801,840
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $278,844,842) (b) $321,983,096
- ----------------------------------------------------------------------------------------------------
The fund had the following industry concentrations greater than 10% at December 31, 1998
(as a percentage of market value):
Insurance and Finance 21.8%
Telecommunications 14.8
See page 240 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT International Growth and Income Fund
Portfolio of investments owned
December 31, 1998
<CAPTION>
COMMON STOCKS (96.8%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C>
Airlines (0.5%)
....................................................................................................
222,060 British Airways PLC (United Kingdom) (NON) $1,491,671
- ----------------------------------------------------------------------------------------------------
Apparel (0.1%)
....................................................................................................
6,300 Gucci Group (Netherlands) 298,324
- ----------------------------------------------------------------------------------------------------
Automobiles (2.2%)
....................................................................................................
125,000 Honda Motor Co., Ltd. (Japan) 4,097,454
....................................................................................................
109,806 Volvo AB (Sweden) 2,515,261
- ----------------------------------------------------------------------------------------------------
6,612,715
- ----------------------------------------------------------------------------------------------------
Banks (12.1%)
....................................................................................................
278,631 Bank of Nova Scotia (Canada) 6,144,264
....................................................................................................
602,685 Den Norske Bank A.S.A. (Norway) 2,077,407
....................................................................................................
39,087 Deutsche Bank AG (Germany) 2,301,375
....................................................................................................
463,600 Development Bank of Singapore Ltd.
(Singapore) 4,187,718
....................................................................................................
73,917 ForeningsSparbanken AB (Sweden) 1,911,647
....................................................................................................
213,287 HSBC Holdings PLC (United Kingdom) 5,313,866
....................................................................................................
1,281 Julius Baer Holdings AG (Switzerland) 4,257,565
....................................................................................................
222,006 National Bank (Canada) 3,597,353
....................................................................................................
201,179 National Westminster Bancorp Inc.
(United Kingdom) (NON) 3,864,967
....................................................................................................
20,517 Societe Generale (France) 3,322,398
- ----------------------------------------------------------------------------------------------------
36,978,560
- ----------------------------------------------------------------------------------------------------
Brewing (4.2%)
....................................................................................................
398,971 Bass PLC (United Kingdom) (NON) 5,786,675
....................................................................................................
354,000 Kirin Brewery Co. Ltd. 4,503,974
....................................................................................................
234,047 Scottish & Newcastle PLC
(United Kingdom) (NON) 2,707,935
- ----------------------------------------------------------------------------------------------------
12,998,584
- ----------------------------------------------------------------------------------------------------
Broadcasting (0.3%)
....................................................................................................
4,453 Societe Television Francaise 1 (France) 792,802
- ----------------------------------------------------------------------------------------------------
Building Products (4.0%)
....................................................................................................
732,538 Cemex, S.A. de C.V. (Mexico) 1,579,766
....................................................................................................
371,809 CRH PLC (Ireland) 6,413,408
....................................................................................................
1,534,300 Pioneer International Ltd. (Australia) 3,236,874
....................................................................................................
51,936 Pohang Iron & Steel Company, Ltd. ADR
(South Korea) (NON) 876,420
- ----------------------------------------------------------------------------------------------------
12,106,468
- ----------------------------------------------------------------------------------------------------
Business Equipment (1.0%)
....................................................................................................
332,000 Ricoh Co., Ltd. (Japan) 3,056,581
- ----------------------------------------------------------------------------------------------------
Business Services (1.5%)
....................................................................................................
1,685,761 Fomento Economico Mexicano, S.A.
de C.V. (Mexico) 4,597,530
- ----------------------------------------------------------------------------------------------------
Chemicals (5.4%)
....................................................................................................
162,177 Akzo-Nobel N.V. (Netherlands) 7,377,565
....................................................................................................
55,291 Bayer AG ADR (Germany) 2,309,187
....................................................................................................
166,903 Hoechst AG (Germany) 6,925,477
- ----------------------------------------------------------------------------------------------------
16,612,229
- ----------------------------------------------------------------------------------------------------
Conglomerates (3.2%)
....................................................................................................
2,220,398 BTR PLC (United Kingdom) (NON) 4,563,859
....................................................................................................
1,094,515 Tomkins PLC (United Kingdom) (NON) 5,143,450
- ----------------------------------------------------------------------------------------------------
9,707,309
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (--%)
....................................................................................................
1,240 Christian Dior (France) 137,120
- ----------------------------------------------------------------------------------------------------
Consumer Products (0.6%)
....................................................................................................
160,739 Unilever Group (United Kingdom) (NON) 1,795,812
- ----------------------------------------------------------------------------------------------------
Electric Utilities (2.8%)
....................................................................................................
271,982 Scottish Power PLC (United Kingdom) (NON) 2,783,921
....................................................................................................
98,833 Veba (Vereinigte Elektrizitaets Bergwerks)
AG (Germany) 5,917,042
- ----------------------------------------------------------------------------------------------------
8,700,963
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (7.2%)
....................................................................................................
1,487,527 Cookson Group PLC (United Kingdom) (NON) 3,230,099
....................................................................................................
123,541 Philips Electronics N.V. (Netherlands) 8,281,995
....................................................................................................
1,314,744 Siebe PLC (United Kingdom) (NON) 5,164,988
....................................................................................................
73,300 Sony Corp. (Japan) 5,330,083
- ----------------------------------------------------------------------------------------------------
22,007,165
- ----------------------------------------------------------------------------------------------------
Energy-Related (1.8%)
....................................................................................................
184,515 Iberdrola S.A. (Spain) 3,452,099
....................................................................................................
101,900 Iberdrola II (Spain) (NON) 1,906,451
- ----------------------------------------------------------------------------------------------------
5,358,550
- ----------------------------------------------------------------------------------------------------
Environmental Control (1.9%)
....................................................................................................
22,373 Vivendi (France) 5,804,722
- ----------------------------------------------------------------------------------------------------
Financial Services (6.6%)
....................................................................................................
59,888 ABN AMRO Holding N.V. (Netherlands) 1,258,620
....................................................................................................
2,298,000 Nikko Securities Co. Ltd. (Japan) 6,395,739
....................................................................................................
114,600 Promise Co., Ltd. (Japan) 5,953,771
....................................................................................................
8,165 Suez Lyonnaise Eaux Finance (France) 1,677,209
....................................................................................................
16,258 UBS AG (Switzerland) 4,995,177
- ----------------------------------------------------------------------------------------------------
20,280,516
- ----------------------------------------------------------------------------------------------------
Food and Beverages (1.9%)
....................................................................................................
8,417 Danone (France) 2,409,720
....................................................................................................
78,500 Diageo PLC (United Kingdom) (NON) 890,032
....................................................................................................
1,156 Nestle S.A. (Switzerland) 2,516,520
- ----------------------------------------------------------------------------------------------------
5,816,272
- ----------------------------------------------------------------------------------------------------
Insurance (5.7%)
....................................................................................................
29,834 AGF (Assurances Generales de France)
(France) 1,781,915
....................................................................................................
323,319 Allied Zurich AG (United Kingdom) (NON) 4,804,637
....................................................................................................
98,147 Internationale Nederlanden Groep
(Netherlands) (NON) 5,979,160
....................................................................................................
1,260,938 Istituto Nazionale delle
Assicurazioni (Italy) 3,332,944
....................................................................................................
23,065 Scor (France) 1,524,955
- ----------------------------------------------------------------------------------------------------
17,423,611
- ----------------------------------------------------------------------------------------------------
Machinery (0.7%)
....................................................................................................
174,753 SKF AB Class B, (Sweden) 2,033,763
- ----------------------------------------------------------------------------------------------------
Oil and Gas (6.8%)
....................................................................................................
239,887 British Petroleum Co. PLC
(United Kingdom) (NON) 3,568,791
....................................................................................................
59,497 Elf Aquitaine S.A. (France) 6,877,281
....................................................................................................
1,019,852 Ente Nazionale Idrocarburi (ENI)
SPA (Italy) 6,669,771
....................................................................................................
135,257 YPF S.A. ADR (Argentina) (NON) 3,778,742
- ----------------------------------------------------------------------------------------------------
20,894,585
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (2.1%)
....................................................................................................
361,962 Abitibi-Consolidated Inc. (Canada) (NON) 3,358,288
....................................................................................................
139,387 Svenska Cellulosa AB Class B, (Sweden) 3,038,362
- ----------------------------------------------------------------------------------------------------
6,396,650
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (4.6%)
....................................................................................................
948 Novartis AG ADR (Switzerland) 1,863,560
....................................................................................................
126,435 Pharmacia & Upjohn, Inc. (Sweden) 7,069,149
....................................................................................................
135,000 Sankyo Co., Ltd. (Japan) 2,946,191
....................................................................................................
64,000 Yamanouchi Pharmaceutical Co., Ltd.
(Japan) 2,058,313
- ----------------------------------------------------------------------------------------------------
13,937,213
- ----------------------------------------------------------------------------------------------------
Photography (1.8%)
....................................................................................................
99,000 Canon, Inc. (Japan) 2,112,431
....................................................................................................
96,000 Fuji Photo Film Co. (Japan) 3,562,466
- ----------------------------------------------------------------------------------------------------
5,674,897
- ----------------------------------------------------------------------------------------------------
Satellite Services (1.2%)
....................................................................................................
134,764 Hellenic Telecommunication
Organization S.A. (Greece) 3,583,769
- ----------------------------------------------------------------------------------------------------
Semiconductors (2.1%)
....................................................................................................
81,261 STMicroelectronics (France) 6,397,703
- ----------------------------------------------------------------------------------------------------
Telecommunications (4.6%)
....................................................................................................
190,100 Cable & Wireless Optus Ltd. 144A
(Australia) (NON) 398,724
....................................................................................................
888,685 Telecom Italia SPA (Italy) 7,587,819
....................................................................................................
352,100 Telecom Corp. of New Zealand Ltd.
(New Zealand) D 1,527,067
....................................................................................................
777,174 Telecom New Zealand Ltd.
(New Zealand) I/R 1,695,526
....................................................................................................
67,231 Telfonica de Espana (Spain) (NON) 2,989,413
....................................................................................................
67,231 Telfonica S.A. (France) 59,694
- ----------------------------------------------------------------------------------------------------
14,258,243
- ----------------------------------------------------------------------------------------------------
Telephone Utilities (6.9%)
....................................................................................................
148,339 Deutsche Telekom AG (Germany) 4,881,389
....................................................................................................
318,200 Mahanager Telephone GDR 144A (NON) 3,939,316
....................................................................................................
558 Nippon Telegraph and Telephone Corp.
(Japan) 4,299,133
....................................................................................................
70,776 Portugal Telecom S.A. (Portugal) 3,240,160
....................................................................................................
11,317 Swisscom AG 4,737,732
- ----------------------------------------------------------------------------------------------------
21,097,730
- ----------------------------------------------------------------------------------------------------
Tire and Rubber (0.9%)
....................................................................................................
72,248 Michelin Corp. Class B, (France) 2,889,299
- ----------------------------------------------------------------------------------------------------
Tobacco (0.5%)
....................................................................................................
164,216 BAT Industries PLC (United Kingdom) (NON) 1,438,596
- ----------------------------------------------------------------------------------------------------
Transportation (0.5%)
....................................................................................................
129,851 Peninsular and Oriental Steam
Navigation Co. (United Kingdom) (NON) 1,529,288
- ----------------------------------------------------------------------------------------------------
Utilities (1.1%)
....................................................................................................
8,004 Electrabel S.A. (Belgium) 3,512,873
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $275,397,490) $296,222,113
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.5%) (a) (cost $1,715,000)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
34,700 St George Bank Ltd. 144A $4.50 cv.
pfd. (Australia) $1,661,263
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (4.4%) (a) (cost $13,500,800)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$13,499,000 Interest in $456,109,000 joint repurchase
agreement dated December 31, 1998 with
Merrill Lynch, Pierce, Fenner, & Smith, Inc.
due January 4, 1999 with respect to
various U.S. Treasury obligations --
maturity value of $13,506,200 for an
effective yield of 4.80% $13,500,800
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $290,613,340) (b) $311,384,176
- ----------------------------------------------------------------------------------------------------
Diversification by Country
- ----------------------------------------------------------------------------------------------------
Distribution of investments by country of issue at
December 31, 1998: (as percentage of Market Value)
- ----------------------------------------------------------------------------------------------------
Argentina 1.2%
....................................................................................................
Australia 1.7
....................................................................................................
Belgium 1.1
....................................................................................................
Canada 4.2
....................................................................................................
France 10.8
....................................................................................................
Germany 7.2
....................................................................................................
Greece 1.1
....................................................................................................
India 1.3
....................................................................................................
Ireland 2.1
....................................................................................................
Italy 5.7
....................................................................................................
Japan 14.2
....................................................................................................
Mexico 2.0
....................................................................................................
Netherlands 7.5
....................................................................................................
New Zealand 1.0
....................................................................................................
Portugal 1.0
....................................................................................................
Singapore 1.3
....................................................................................................
Spain 2.7
....................................................................................................
Sweden 5.3
....................................................................................................
Switzerland 5.9
....................................................................................................
United Kingdom 17.4
....................................................................................................
United States 4.3
....................................................................................................
Other 1.0
- ----------------------------------------------------------------------------------------------------
Total 100.0%
- ----------------------------------------------------------------------------------------------------
See page 240 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT International New Opportunities Fund
Portfolio of investments owned
December 31, 1998
<CAPTION>
COMMON STOCKS (97.7%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C>
Advertising (0.3%)
....................................................................................................
2,058 Publicis S.A. (France) $368,243
- ----------------------------------------------------------------------------------------------------
Airlines (0.3%)
....................................................................................................
9,500 Ryanair Holdings, PLC ADR (Ireland) (NON) 358,625
- ----------------------------------------------------------------------------------------------------
Apparel (1.3%)
....................................................................................................
21,700 Hennes & Mauritz AB Class B, (Sweden) 1,769,138
- ----------------------------------------------------------------------------------------------------
Banks (5.0%)
....................................................................................................
304,100 Banca di Roma (Italy) (NON) 515,614
....................................................................................................
100,000 Banca San Paolo di Brescia SPA (Italy) 520,167
....................................................................................................
54,000 Banco Bradesco S.A. BRC (Brazil) 299,503
....................................................................................................
2,238 Banco Bradesco S.A. BRC Rights (Brazil) --
....................................................................................................
40,800 Banco de Bilbao Vizcaya (BBV) (Spain) 639,701
....................................................................................................
16,100 Banco Frances del Rio de la Plata ADR
(Argentina) 334,075
....................................................................................................
2,700 Bank of Greece S.A. (Greece) 607,175
....................................................................................................
149,700 Credito Italiano SPA (Italy) 887,925
....................................................................................................
58,900 HSBC Holdings PLC (United Kingdom) 1,591,425
....................................................................................................
230,000 Thai Farmers Bank Public Co. Ltd.
(Thailand) 406,630
....................................................................................................
28,700 Turkey Is Bankasi GDR (Turkey) (NON) 73,185
....................................................................................................
211 Verwaltungs-und Privat-Bank AG
(Switzerland) 779,632
....................................................................................................
12,636 Yapi ve Kredi Bankasi A.S. GDR (Turkey) (NON) 140,576
- ----------------------------------------------------------------------------------------------------
6,795,608
- ----------------------------------------------------------------------------------------------------
Brewing (0.6%)
....................................................................................................
48,800 Cia Cervejaria Brahma ADR (Brazil) 460,550
....................................................................................................
18,900 South African Breweries, Ltd.
(South Africa) 318,238
- ----------------------------------------------------------------------------------------------------
778,788
- ----------------------------------------------------------------------------------------------------
Broadcasting (3.6%)
....................................................................................................
257,000 Aegis Group 144A (United Kingdom) 370,623
....................................................................................................
5,177 EM TV & Merchandising AG (Germany) 2,971,964
....................................................................................................
15,200 Grupo Televisa S.A.GDR (Mexico) (NON) 375,250
....................................................................................................
6,838 Societe Television Francaise (France) 1,217,423
- ----------------------------------------------------------------------------------------------------
4,935,260
- ----------------------------------------------------------------------------------------------------
Building Products (0.6%)
....................................................................................................
44,900 CRH PLC (Ireland) 774,489
- ----------------------------------------------------------------------------------------------------
Business Equipment (0.2%)
....................................................................................................
2,600 Prolion Holding N.V. (Netherlands) (NON) 242,777
- ----------------------------------------------------------------------------------------------------
Business Services (3.9%)
....................................................................................................
116,800 CGI Group, Inc. (Canada) (NON) 2,308,527
....................................................................................................
102,600 Fomento Economico Mexicano, S.A. de
C.V. (Mexico) 279,818
....................................................................................................
100,860 Securitas AB Class B, (Sweden) 1,565,069
....................................................................................................
62,400 Serco Group PLC (United Kingdom) (NON) 1,192,080
- ----------------------------------------------------------------------------------------------------
5,345,494
- ----------------------------------------------------------------------------------------------------
Cellular Communications (3.7%)
....................................................................................................
10,487 Mobistar S.A. (Belgium) (NON) 528,846
....................................................................................................
13,300 Mobistar S.A. 144A (Belgium) (NON) 670,702
....................................................................................................
11,318 Telecel-Comunicacaoes Pessoais, S.A.
(Portugal) 2,310,066
....................................................................................................
172,800 Telecom Italia Mobile SPA (Italy) 1,276,596
....................................................................................................
35,000 Telesp Celular Participacoes S.A. (Brazil) (NON) 257,864
- ----------------------------------------------------------------------------------------------------
5,044,074
- ----------------------------------------------------------------------------------------------------
Chemicals (0.7%)
....................................................................................................
16,000 Shin-Etsu Chemical Co. (Japan) 384,520
....................................................................................................
16,000 Takeda Chemical Industries (Japan) 614,949
- ----------------------------------------------------------------------------------------------------
999,469
- ----------------------------------------------------------------------------------------------------
Computer Equipment (0.3%)
....................................................................................................
3,500 Nidec Corp. (Japan) 427,681
- ----------------------------------------------------------------------------------------------------
Computer Services (4.6%)
....................................................................................................
111,400 Capita Group PLC (United Kingdom) 1,022,998
....................................................................................................
41,600 CMG PLC (United Kingdom) 1,095,611
....................................................................................................
44,997 Equant N.V. (Netherlands) (NON) 3,131,199
....................................................................................................
45,900 Logica PLC (United Kingdom) 397,918
....................................................................................................
84,700 Misys PLC (United Kingdom) (NON) 614,595
- ----------------------------------------------------------------------------------------------------
6,262,321
- ----------------------------------------------------------------------------------------------------
Computer Software (4.5%)
....................................................................................................
7,201 Brokat Infosystems AG (Germany) (NON) 1,081,036
....................................................................................................
3,950 Formula Systems Ltd. (Israel) (NON) 97,965
....................................................................................................
52,500 Fuji Soft AB, Inc. (Japan) 2,667,211
....................................................................................................
2,331 IXOS Software AG ADR (Germany) (NON) 516,507
....................................................................................................
30,500 Meitec (Japan) 759,940
....................................................................................................
10,200 NIIT Ltd. (India) 390,435
....................................................................................................
1,324 SAP AG (Germany) 572,437
- ----------------------------------------------------------------------------------------------------
6,085,531
- ----------------------------------------------------------------------------------------------------
Conglomerates (1.2%)
....................................................................................................
56,400 Power Corporation of Canada (Canada) (NON) 1,223,443
....................................................................................................
779 Preussag AG (Germany) 352,241
- ----------------------------------------------------------------------------------------------------
1,575,684
- ----------------------------------------------------------------------------------------------------
Consumer Durable Goods (0.5%)
....................................................................................................
16,300 Hindustan Lever Ltd. (India) 639,204
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (3.2%)
....................................................................................................
72,360 Centros Comerciales Continente, S.A.
(Spain) 2,452,622
....................................................................................................
69,100 Gruppo Editoriale L'Espresso (Italy) 606,731
....................................................................................................
41,000 KAO Corp. (Japan) 923,749
....................................................................................................
129,700 Kimberly-Clark de Mexico, S.A. de C.V.
Class A, (Mexico) 413,992
- ----------------------------------------------------------------------------------------------------
4,397,094
- ----------------------------------------------------------------------------------------------------
Consumer Services (3.6%)
....................................................................................................
11,100 Bellsystem 24, Inc. (Japan) 2,471,460
....................................................................................................
208,400 Compass Group PLC (United Kingdom) 2,378,381
- ----------------------------------------------------------------------------------------------------
4,849,841
- ----------------------------------------------------------------------------------------------------
Cosmetics (0.9%)
....................................................................................................
6,000 Fancl Corp. (Japan) 513,695
....................................................................................................
1,058 L'OREAL (France) 764,815
- ----------------------------------------------------------------------------------------------------
1,278,510
- ----------------------------------------------------------------------------------------------------
Electric Utilities (0.3%)
....................................................................................................
20,948 Companhia Energetica de Minas Gerais
ADR (Brazil) 403,249
- ----------------------------------------------------------------------------------------------------
Electronic Components (1.4%)
....................................................................................................
13,600 ARM Holdings PLC (United Kingdom) (NON) 293,064
....................................................................................................
39,600 ASM Lithography Holding N.V.
(Netherlands) (NON) 1,209,385
....................................................................................................
82,600 Hon Hai Precision Industry (Taiwan) 457,034
- ----------------------------------------------------------------------------------------------------
1,959,483
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (2.4%)
....................................................................................................
16,600 Assa Abloy AB Class B, (Sweden) 633,744
....................................................................................................
18,592 Samsung Electronics Co. (South Korea) 1,250,307
....................................................................................................
698,000 Singapore Tech Engineering 651,664
....................................................................................................
8,000 TDK Corp. (Japan) 730,164
- ----------------------------------------------------------------------------------------------------
3,265,879
- ----------------------------------------------------------------------------------------------------
Financial Services (2.7%)
....................................................................................................
6,700 Housing Development Finance
Corporation Ltd. (India) 344,082
....................................................................................................
47,800 Lend Lease Corp. Ltd. (Australia) 643,053
....................................................................................................
1,067 Marschollek, Lautenschlaeger und
Partner AG (Germany) 612,533
....................................................................................................
8,400 Promise Co., Ltd. (Japan) 436,402
....................................................................................................
217,600 Sanlam Ltd. (South Africa) (NON) 216,287
....................................................................................................
4,300 Shohkoh Fund & Co., Ltd. (Japan) 1,382,929
- ----------------------------------------------------------------------------------------------------
3,635,286
- ----------------------------------------------------------------------------------------------------
Food and Beverages (6.8%)
....................................................................................................
21,700 Coca-Cola Femsa S.A. ADR (Mexico) 287,525
....................................................................................................
8,346 Danone (France) 2,389,393
....................................................................................................
26,300 Itoen, Ltd. (Japan) 1,354,735
....................................................................................................
1,194 Nestle S.A. (Switzerland) 2,599,243
....................................................................................................
91,296 Superdiplo S.A. (Spain) (NON) 2,570,133
- ----------------------------------------------------------------------------------------------------
9,201,029
- ----------------------------------------------------------------------------------------------------
Gaming (0.1%)
....................................................................................................
111,000 Berjaya Sports Toto Berhad (Malaysia) 123,798
- ----------------------------------------------------------------------------------------------------
Insurance (5.2%)
....................................................................................................
11,022 Aegon N.V. (Netherlands) 1,352,313
....................................................................................................
92,900 Alleanza Assicurazioni SPA (Italy) 1,313,568
....................................................................................................
4,572 Axa S.A. (France) (NON) 662,644
....................................................................................................
15,800 Liberty Life Association of Africa
Ltd. (South Africa) 217,450
....................................................................................................
3,367 Mapfre Vida Seguros (Spain) 126,698
....................................................................................................
109,600 Skandia Forsakrings AB (Sweden) 1,673,695
....................................................................................................
2,232 Zurich Allied AG (Switzerland) (NON) 1,652,671
- ----------------------------------------------------------------------------------------------------
6,999,039
- ----------------------------------------------------------------------------------------------------
Machinery (2.6%)
....................................................................................................
22,378 Mannesmann AG (Germany) 2,566,623
....................................................................................................
15,400 Shinko Electric Co., Ltd. (Japan) 612,299
....................................................................................................
4,090 Sidel S.A. (France) 346,889
- ----------------------------------------------------------------------------------------------------
3,525,811
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (0.9%)
....................................................................................................
51,000 Terumo Corp. (Japan) 1,198,621
- ----------------------------------------------------------------------------------------------------
Metals and Mining (0.2%)
....................................................................................................
66,860 Sasol Ltd. (South Africa) 252,763
- ----------------------------------------------------------------------------------------------------
Oil and Gas (0.9%)
....................................................................................................
15,700 MOL Magyar Olaj-es Gazipari GDR
(Hungary) 431,750
....................................................................................................
13,300 MOL Magyar Olaj-es Gazipari 144A
GDR (Hungary) 365,750
....................................................................................................
14,600 YPF S.A. ADR (Argentina) 407,888
- ----------------------------------------------------------------------------------------------------
1,205,388
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (6.8%)
....................................................................................................
67,000 Banyu Pharmaceutical Co., Ltd. (Japan) 1,243,152
....................................................................................................
22,900 Gehe AG (Germany) 1,581,397
....................................................................................................
53,900 Glaxo Wellcome PLC (United Kingdom) 1,847,647
....................................................................................................
4,076 Sanofi S.A. (France) 670,983
....................................................................................................
93,782 Smithkline Beecham PLC ADR
(United Kingdom) 1,305,806
....................................................................................................
40,000 Yamanouchi Pharmaceutical Co., Ltd.
(Japan) 1,286,446
....................................................................................................
118,000 Yoshitomi Pharmaceutical Industries, Ltd.
(Japan) 1,240,678
- ----------------------------------------------------------------------------------------------------
9,176,109
- ----------------------------------------------------------------------------------------------------
Publishing (3.7%)
....................................................................................................
1,028,900 Seat Pagine Gialle SPA (Italy) (NON) 971,959
....................................................................................................
37,128 VNU N.V. (Netherlands) 1,398,597
....................................................................................................
12,649 Wolters Kluwer N.V. (Netherlands) 2,704,107
- ----------------------------------------------------------------------------------------------------
5,074,663
- ----------------------------------------------------------------------------------------------------
Recreation (0.2%)
....................................................................................................
2,860 DEAG Deutsche Entertainment AG
(Germany) (NON) 257,611
- ----------------------------------------------------------------------------------------------------
Restaurants (1.1%)
....................................................................................................
187,900 Autogrill SPA (Italy) 1,511,036
- ----------------------------------------------------------------------------------------------------
Retail (2.8%)
....................................................................................................
31,916 Koninklijke Ahold N.V. (Netherlands) 1,178,489
....................................................................................................
69,300 La Rinascente SPA (Italy) 713,189
....................................................................................................
392,800 Migros Turk T.A.S. (Turkey) 392,230
....................................................................................................
77,500 Next PLC (United Kingdom) 634,612
....................................................................................................
193,000 President Chain Store Corp. (Taiwan) 608,937
....................................................................................................
77,500 Woolworth Ltd. (Australia) 263,306
- ----------------------------------------------------------------------------------------------------
3,790,763
- ----------------------------------------------------------------------------------------------------
Satellite Services (0.4%)
....................................................................................................
50,000 Asia Satellite Telecommunications
Holdings Ltd. (Hong Kong) 89,071
....................................................................................................
8,600 Hellenic Telecommunication
Organization S.A. (Greece) 228,699
....................................................................................................
14,500 Hellenic Telecommunication
Organization SA ADR (Greece) (NON) 192,125
- ----------------------------------------------------------------------------------------------------
509,895
- ----------------------------------------------------------------------------------------------------
Semiconductors (2.4%)
....................................................................................................
20,800 Advantest Corp. (Japan) 1,315,850
....................................................................................................
6,900 Ase Test Limited (Taiwan) (NON) 223,388
....................................................................................................
7,900 Rohm Co. Ltd. (Japan) 718,245
....................................................................................................
6,400 STMicroelectronics N.V. ADR (France) (NON) 499,600
....................................................................................................
254,000 Taiwan Semiconductor Manufacturing Co.
(Taiwan) (NON) 560,584
- ----------------------------------------------------------------------------------------------------
3,317,667
- ----------------------------------------------------------------------------------------------------
Steel (0.2%)
....................................................................................................
27,700 Gerdau S.A. (Brazil) 206,374
- ----------------------------------------------------------------------------------------------------
Supermarkets (0.8%)
....................................................................................................
1,587 Promodes (France) 1,154,037
- ----------------------------------------------------------------------------------------------------
Telecommunications (9.4%)
....................................................................................................
18,900 BCE, Inc. (Canada) (NON) 714,384
....................................................................................................
111,400 Cable & Wireless Communications
(United Kingdom) (NON) 1,013,765
....................................................................................................
172,300 Cable & Wireless Optus Ltd. (Australia) (NON) 361,390
....................................................................................................
59,100 Colt Telecom Group PLC
(United Kingdom) (NON) 878,249
....................................................................................................
20,700 Energis PLC (United Kingdom) (NON) 459,785
....................................................................................................
57,600 Global TeleSystems Group, Inc. (NON) 3,211,200
....................................................................................................
17,780 Helsingin Puhelin Oyj (Helsinki
Telephone Corp.) Class E, (Finland) 1,057,067
....................................................................................................
200 Mahanagar Telephone Nigam Ltd. (India) 864
....................................................................................................
23,000 Matsushita Communication Industrial
Co., Ltd. (Japan) 1,083,141
....................................................................................................
129,200 Orange PLC ADR (United Kingdom) (NON) 1,495,921
....................................................................................................
26,400 Portugal Telecom S.A. (Portugal) 1,208,605
....................................................................................................
37,900 Sonera Group OYJ (Finland) (NON) 669,283
....................................................................................................
9,000 STET Hellas Telecommunications S.A.
ADR (Greece) (NON) 291,375
....................................................................................................
1,975 Teles AG (Germany) (NON) 330,293
- ----------------------------------------------------------------------------------------------------
12,775,322
- ----------------------------------------------------------------------------------------------------
Telecommunication Equipment (3.1%)
....................................................................................................
12,601 Northern Telecom Ltd. (Canada) (NON) 630,667
....................................................................................................
29,100 Oy Nokia AB Class A, (Finland) 3,540,077
- ----------------------------------------------------------------------------------------------------
4,170,744
- ----------------------------------------------------------------------------------------------------
Telephone Services (3.8%)
....................................................................................................
16,500 Cia de Telecomunicationes de Chile S.A.
ADR (Chile) 341,344
....................................................................................................
3,033 MobileCom AG (Germany) 966,196
....................................................................................................
6,400 Panafon Hellenic Telecom SA (Greece) (NON) 171,337
....................................................................................................
24,700 Tele Centro Oeste Celular Participacoes
S.A. (Brazil) (NON) 214,489
....................................................................................................
9,000 Telefonos de Mexico S.A. ADR Class L,
(Mexico) 438,188
....................................................................................................
11,200 Telesp Participacoes S.A. (Brazil) (NON) 254,967
....................................................................................................
171,300 Vodafone Group PLC (United Kingdom) 2,771,328
- ----------------------------------------------------------------------------------------------------
5,157,849
- ----------------------------------------------------------------------------------------------------
Transportation (0.5%)
....................................................................................................
43,900 Bombardier, Inc. (Canada) (NON) 631,036
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $106,432,683) $132,431,283
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (2.1%) (a) (cost $2,779,371)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$2,779,000 Interest in $456,109,000 joint repurchase
agreement dated December 31, 1998 with
Merrill Lynch, Pierce, Fenner & Smith, Inc.
due January 4, 1999 with respect to
various U.S. Treasury obligations --
maturity value of $2,780,482 for an
effective yield of 4.80% $2,779,371
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $109,212,054) (b) $135,210,654
- ----------------------------------------------------------------------------------------------------
Diversification by Country
- ----------------------------------------------------------------------------------------------------
Distribution of investments by country of issue at December 31, 1998:
(as percentage of Market Value)
- ----------------------------------------------------------------------------------------------------
Australia 0.9%
....................................................................................................
Belgium 0.9
....................................................................................................
Brazil 1.6
....................................................................................................
Canada 4.1
....................................................................................................
Finland 3.9
....................................................................................................
France 6.0
....................................................................................................
Germany 8.7
....................................................................................................
Greece 1.1
....................................................................................................
India 1.0
....................................................................................................
Ireland 0.8
....................................................................................................
Italy 6.2
....................................................................................................
Japan 16.3
....................................................................................................
Mexico 1.3
....................................................................................................
Netherlands 8.3
....................................................................................................
Portugal 2.6
....................................................................................................
South Korea 0.9
....................................................................................................
Spain 4.3
....................................................................................................
Sweden 4.2
....................................................................................................
Switzerland 3.7
....................................................................................................
Taiwan 1.4
....................................................................................................
United Kingdom 14.3
....................................................................................................
United States 4.4
....................................................................................................
Other 3.1
- ----------------------------------------------------------------------------------------------------
Total 100.0%
- ----------------------------------------------------------------------------------------------------
See page 240 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
December 31, 1998
<CAPTION>
COMMON STOCKS (95.8%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C>
Banks (3.7%)
....................................................................................................
26,300 Fifth Third Bancorp $1,875,519
....................................................................................................
33,596 Firstar Corp. 3,132,827
....................................................................................................
105,000 Wells Fargo Co. 4,193,438
- ----------------------------------------------------------------------------------------------------
9,201,784
- ----------------------------------------------------------------------------------------------------
Biotechnology (0.4%)
....................................................................................................
21,800 Centocor, Inc. (NON) 983,725
- ----------------------------------------------------------------------------------------------------
Building and Construction (0.5%)
....................................................................................................
42,100 Masco Corp. 1,210,375
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (0.8%)
....................................................................................................
31,400 Pitney Bowes, Inc. 2,074,363
- ----------------------------------------------------------------------------------------------------
Computer Equipment (5.6%)
....................................................................................................
29,100 Dell Computer Corp. (NON) 2,129,756
....................................................................................................
46,400 EMC Corp. (NON) 3,944,000
....................................................................................................
33,900 IBM Corp. 6,263,025
....................................................................................................
18,100 Sun Microsystems, Inc. (NON) 1,549,813
- ----------------------------------------------------------------------------------------------------
13,886,594
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (8.6%)
....................................................................................................
9,000 America Online, Inc. 1,440,000
....................................................................................................
46,600 BMC Software, Inc. (NON) 2,076,613
....................................................................................................
32,900 Computer Sciences Corp. (NON) 2,119,994
....................................................................................................
25,100 Compuware Corp. (NON) 1,960,938
....................................................................................................
105,700 HBO & Co. 3,032,269
....................................................................................................
26,300 IMS Health Inc. 1,984,006
....................................................................................................
61,200 Microsoft Corp. (NON) 8,487,675
- ----------------------------------------------------------------------------------------------------
21,101,495
- ----------------------------------------------------------------------------------------------------
Conglomerates (4.2%)
....................................................................................................
105,400 Tyco International Ltd. 7,951,113
....................................................................................................
21,400 United Technologies Corp. 2,327,250
- ----------------------------------------------------------------------------------------------------
10,278,363
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (3.3%)
....................................................................................................
12,800 Clorox Co. 1,495,200
....................................................................................................
26,200 Colgate-Palmolive Co. 2,433,325
....................................................................................................
26,000 Estee Lauder Cos. Class A 2,223,000
....................................................................................................
37,300 Philip Morris Cos., Inc. 1,995,550
- ----------------------------------------------------------------------------------------------------
8,147,075
- ----------------------------------------------------------------------------------------------------
Consumer Services (1.4%)
....................................................................................................
43,100 Interpublic Group Cos. Inc. 3,437,225
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (2.5%)
....................................................................................................
60,300 General Electric Co. 6,154,369
- ----------------------------------------------------------------------------------------------------
Entertainment (6.3%)
....................................................................................................
65,200 Carnival Corp. Class A 3,129,600
....................................................................................................
104,100 Time Warner, Inc. 6,460,706
....................................................................................................
100,600 Tele-Communications TCI Ventures
Group Class A (NON) 2,370,388
....................................................................................................
48,000 Viacom, Inc. Class B (NON) 3,552,000
- ----------------------------------------------------------------------------------------------------
15,512,694
- ----------------------------------------------------------------------------------------------------
Environmental Control (1.1%)
....................................................................................................
55,400 Waste Management, Inc. (NON) 2,583,025
- ----------------------------------------------------------------------------------------------------
Food and Beverages (1.2%)
....................................................................................................
56,700 Sara Lee Corp. 1,598,231
....................................................................................................
23,200 The Quaker Oats Co. 1,380,400
- ----------------------------------------------------------------------------------------------------
2,978,631
- ----------------------------------------------------------------------------------------------------
Health Care Services (1.7%)
....................................................................................................
27,900 Cardinal Health, Inc. 2,116,913
....................................................................................................
12,600 McKesson Corp. 996,188
....................................................................................................
21,400 Quintiles Transnational Corp. (NON) 1,142,225
- ----------------------------------------------------------------------------------------------------
4,255,326
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (9.5%)
....................................................................................................
12,000 American Express Co. 1,227,000
....................................................................................................
20,100 American General Corp. 1,567,800
....................................................................................................
37,100 American International Group, Inc. 3,584,788
....................................................................................................
28,300 Associates First Capital Corp. 1,199,213
....................................................................................................
11,800 Charter One Financial, Inc. 327,450
....................................................................................................
33,700 Comerica, Inc. 2,297,919
....................................................................................................
85,600 Federal Home Loan Mortgage Corp. 5,515,850
....................................................................................................
96,100 MBNA Corp. 2,396,494
....................................................................................................
16,700 Merrill Lynch & Co., Inc. 1,114,725
....................................................................................................
23,195 Providian Financial Corp. 1,739,625
....................................................................................................
28,500 SunAmerica, Inc. 2,312,063
- ----------------------------------------------------------------------------------------------------
23,282,927
- ----------------------------------------------------------------------------------------------------
Networking (2.4%)
....................................................................................................
21,100 3Com Corp. (NON) 945,544
....................................................................................................
34,200 Ascend Communications, Inc. (NON) 2,248,650
....................................................................................................
28,150 Cisco Systems, Inc. (NON) 2,612,672
- ----------------------------------------------------------------------------------------------------
5,806,866
- ----------------------------------------------------------------------------------------------------
Oil and Gas (1.8%)
....................................................................................................
58,800 Exxon Corp. 4,299,750
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (10.6%)
....................................................................................................
39,300 Bristol-Myers Squibb Co. 5,258,831
....................................................................................................
46,000 Lilly (Eli) & Co. 4,088,250
....................................................................................................
39,600 Pfizer, Inc. 4,967,325
....................................................................................................
108,500 Schering-Plough Corp. 5,994,625
....................................................................................................
76,600 Warner-Lambert Co. 5,759,363
- ----------------------------------------------------------------------------------------------------
26,068,394
- ----------------------------------------------------------------------------------------------------
Restaurants (0.6%)
....................................................................................................
29200 Tricon Global Restaurants, Inc. (NON) 1,463,650
- ----------------------------------------------------------------------------------------------------
Retail (14.8%)
....................................................................................................
61,000 Costco Companies, Inc. (NON) 4,403,438
....................................................................................................
105,700 CVS Corp. 5,813,500
....................................................................................................
23,450 Gap, Inc. (The) 1,319,063
....................................................................................................
73,700 Home Depot, Inc. (The) 4,509,519
....................................................................................................
18,800 Kroger Co. (NON) 1,137,400
....................................................................................................
71,400 Safeway, Inc. (NON) 4,350,938
....................................................................................................
111,000 TJX Cos., Inc. (The) 3,219,000
....................................................................................................
95,000 Wal-Mart Stores, Inc. 7,736,563
....................................................................................................
68,400 Walgreen Co. 4,005,675
- ----------------------------------------------------------------------------------------------------
36,495,096
- ----------------------------------------------------------------------------------------------------
Semiconductors (2.7%)
....................................................................................................
45,300 Intel Corp. 5,370,881
....................................................................................................
23,600 Micron Technology, Inc. (NON) 1,193,275
- ----------------------------------------------------------------------------------------------------
6,564,156
- ----------------------------------------------------------------------------------------------------
Telecommunications (4.5%)
....................................................................................................
23,700 Airtouch Communications, Inc. (NON) 1,709,363
....................................................................................................
85,300 MCI WorldCom, Inc. (NON) 6,120,275
....................................................................................................
60,500 Tele-Communications, Inc. Class A (NON) 3,346,406
- ----------------------------------------------------------------------------------------------------
11,176,044
- ----------------------------------------------------------------------------------------------------
Telecommunication Equipment (3.4%)
....................................................................................................
28,900 General Instrument Corp. (NON) 980,794
....................................................................................................
67,200 Lucent Technologies, Inc. 7,392,000
- ----------------------------------------------------------------------------------------------------
8,372,794
- ----------------------------------------------------------------------------------------------------
Utilities (4.2%)
....................................................................................................
51,300 Peco Energy Co. 2,135,363
....................................................................................................
74,600 SBC Communications, Inc. 4,000,414
....................................................................................................
48,700 Sprint Corp. 4,096,888
- ----------------------------------------------------------------------------------------------------
10,232,665
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $196,474,321) $235,567,386
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (6.2%) (a) (cost $15,207,027)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$15,205,000 Interest in $456,109,000 joint repurchase
agreement dated December 31, 1998 with
Merrill Lynch, Pierce, Fenner and Smith, Inc.
due January 4, 1999 with respect to various
U.S. Treasury obligations -- maturity value
of $15,213,109 for an effective yield
of 4.80% $15,207,027
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $211,681,348) (b) $250,774,413
- ----------------------------------------------------------------------------------------------------
See page 240 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT Money Market Fund
Portfolio of investments owned
December 31, 1998
<CAPTION>
COMMERCIAL PAPER (86.6%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Maturity Date Value
....................................................................................................
<S> <C> <C> <C> <C>
Domestic (62.3%)
....................................................................................................
$4,000,000 Asset Securitization
Cooperative Corp. 5.22s 3/12/99 $3,958,820
....................................................................................................
4,000,000 Asset Securitization
Cooperative Corp. 5.11s 3/19/99 3,955,713
....................................................................................................
5,000,000 Asset Securitization
Cooperative Corp. 5.1s 3/10/99 4,950,358
....................................................................................................
2,000,000 Asset Securitization
Cooperative Corp. 5.1s 2/12/99 1,987,100
....................................................................................................
8,000,000 Asset Securitization
Cooperative Corp. 5.04s 4/16/99 7,881,516
....................................................................................................
24,100,000 Associates First
Capital Corp. 5.1s 1/4/99 24,086,343
....................................................................................................
8,000,000 Chase Manhattan Corp. 5.09s 2/25/99 7,936,658
....................................................................................................
4,000,000 Chevron Transport Corp. 5.1s 2/18/99 3,972,233
....................................................................................................
4,000,000 Ciesco L.P. 5.45s 2/3/99 3,979,411
....................................................................................................
16,274,000 Ciesco L.P. 5.1s 1/4/99 16,264,778
....................................................................................................
5,000,000 Commerzbank U.S.
Finance Inc. 5 1/2s 1/22/99 4,983,194
....................................................................................................
7,000,000 Corporate Asset
Funding Corp. 5.1s 2/5/99 6,964,300
....................................................................................................
5,000,000 Corporate Asset
Funding Corp. 5.07s 2/4/99 4,975,354
....................................................................................................
7,000,000 Corporate Receivables
Corp. 5.4s 1/28/99 6,970,600
....................................................................................................
3,400,000 Corporate Receivables
Corp. 5.35s 2/3/99 3,382,821
....................................................................................................
4,000,000 Corporate Receivables
Corp. 5.32s 2/11/99 3,975,173
....................................................................................................
10,000,000 Corporate Receivables
Corp. 5.3s 1/12/99 9,981,833
....................................................................................................
5,222,000 CXC Inc. 5.63s 1/7/99 5,216,283
....................................................................................................
3,033,000 Delaware Funding Corp. 5.7s 1/28/99 3,019,554
....................................................................................................
2,633,000 Delaware Funding Corp. 5 1/2s 1/5/99 2,630,989
....................................................................................................
5,000,000 Delaware Funding Corp. 5.22s 2/16/99 4,965,925
....................................................................................................
5,000,000 Eureka Securitization Inc. 5.45s 1/21/99 4,984,250
....................................................................................................
5,000,000 Falcon Asset
Securitization Corp. 5.6s 1/4/99 4,996,889
....................................................................................................
6,000,000 Falcon Asset
Securitization Corp. 5.2s 2/18/99 5,957,533
....................................................................................................
6,235,000 Falcon Asset
Securitization Corp. 5.17s 1/11/99 6,224,617
....................................................................................................
5,000,000 Ford Motor Credit Co. 5.11s 3/5/99 4,954,578
....................................................................................................
3,000,000 Formosa Plastics Corp
(Bank of America NT & SA
(LOC)) 4.95s 6/29/99 2,925,750
....................................................................................................
11,000,000 General Electric
Capital Corp.5.36s 1/26/99 10,957,418
....................................................................................................
7,000,000 General Electric
Capital Corp. 5.08s 3/8/99 6,933,819
....................................................................................................
7,000,000 Goldman Sachs Group 5.24s 2/25/99 6,942,942
....................................................................................................
10,000,000 Goldman Sachs Group 5.24s 2/24/99 9,919,944
....................................................................................................
20,000,000 Household Finance Corp. 5 1/8s 1/4/99 19,988,611
....................................................................................................
5,000,000 International Business
Machines Corp. 5.24s 2/8/99 4,971,617
....................................................................................................
10,000,000 International Business
Machines Corp. 5.05s 3/9/99 9,904,611
....................................................................................................
5,000,000 J. P. Morgan & Co., Inc. 5.546s 7/799 4,998,461
....................................................................................................
6,000,000 Metlife Funding 5.35s 1/29/99 5,974,142
....................................................................................................
6,000,000 Morgan Stanley Dean Witter
& Co. 5.3s 2/26/99 5,949,650
....................................................................................................
7,000,000 Morgan Stanley Dean Witter
& Co. 5 1/4s 3/10/99 6,929,563
....................................................................................................
6,000,000 National Rural Utilities
Cooperative Finance Corp. 5.14s 1/25/99 5,978,583
....................................................................................................
5,000,000 National Rural Utilities
Cooperative Finance Corp. 5.03s 3/19/99 4,945,508
....................................................................................................
14,000,000 National Rural Utilities
Cooperative Finance Corp. 5.02s 3/25/99 13,836,013
....................................................................................................
4,000,000 Orix America (Bank of
America (LOC)) 5 1/2s 1/6/99 3,996,333
....................................................................................................
7,000,000 PNC Funding Corp. 5.67s 1/22/99 6,975,745
....................................................................................................
7,000,000 Preferred Receivables
Funding Corp. 5.2s 2/23/99 6,945,400
....................................................................................................
5,000,000 Preferred Receivables
Funding Corp. 5.15s 3/5/99 4,954,222
....................................................................................................
4,000,000 Preferred Receivables
Funding Corp. 5s 4/29/99 3,933,889
....................................................................................................
5,000,000 Sheffield Receivables Corp. 5.26s 1/13/99 4,990,503
....................................................................................................
4,000,000 Sheffield Receivables Corp. 5.11s 2/16/99 3,973,314
....................................................................................................
17,000,000 Sheffield Receivables Corp. 5.11s 2/12/99 16,895,164
....................................................................................................
6,749,000 USAA Capital Corp. 5s 3/31/99 6,664,638
....................................................................................................
10,000,000 Walt Disney Co. 5s 2/25/99 9,922,222
....................................................................................................
2,000,000 Windmill Funding Corp. 5.6s 1/8/99 1,997,511
....................................................................................................
11,000,000 Windmill Funding Corp. 5.575s 1/14/99 10,976,151
....................................................................................................
2,243,000 Windmill Funding Corp. 5.55s 1/20/99 2,236,084
....................................................................................................
3,009,000 Windmill Funding Corp. 5.45s 2/1/99 2,994,423
....................................................................................................
4,290,000 Windmill Funding Corp. 5.4s 2/19/99 4,257,829
....................................................................................................
1,700,000 Windmill Funding Corp. 5.3s 2/9/99 1,689,989
....................................................................................................
1,234,000 Windmill Funding Corp. 5.2s 1/15/99 1,231,121
- ----------------------------------------------------------------------------------------------------
378,947,993
- ----------------------------------------------------------------------------------------------------
Foreign (24.3%)
....................................................................................................
8,000,000 Abbey National North
America Corp. 4.735s
(United Kingdom) 4/21/99 7,883,203
....................................................................................................
4,500,000 Banco de Credito Nacional S.A.
(Barlcays Bank (LOC)) 4.96s
(United Kingdom) 5/7/99 4,421,260
....................................................................................................
8,000,000 Banco Nacional De Commercio
(Barclays Bank (LOC)) 4 7/8s
(United Kingdom) 4/12/99 7,889,500
....................................................................................................
6,000,000 Bancomer, S.A.(Bank Of Montreal
(LOC)) 5.05s (Canada) 4/7/99 5,918,358
....................................................................................................
8,000,000 Bancomer, S.A.(Bank Of Montreal
(LOC)) 4.95s (Canada) 6/16/99 7,816,300
....................................................................................................
4,000,000 Commonwealth Bank Of
Australia 5.7s (Australia) 1/11/99 3,993,033
....................................................................................................
3,000,000 Commonwealth Bank Of
Australia 5.09s (Australia) 4/12/99 2,956,735
....................................................................................................
8,000,000 ContiFinancial Corp. (Dresdner
Bank AG (LOC)) 5.2s (Germany) 1/29/99 7,966,489
....................................................................................................
8,000,000 ContiFinancial Corp. (Dresdner
Bank AG (LOC)) 5.15s
(Germany) 4/29/99 7,863,811
....................................................................................................
7,000,000 Corporacion Andina de
Fomento (Barclays Bank (LOC))
5.7s (United Kingdom) 1/8/99 6,991,133
....................................................................................................
3,584,000 Corporacion Andina de
Fomento (Barclays Bank (LOC))
5.55s (United Kingdom) 1/19/99 3,573,502
....................................................................................................
10,000,000 Credit Suisse First Boston 5.2s
(Switzerland) 2/22/99 9,923,444
....................................................................................................
6,000,000 Den Danske Corp. Inc. 4.845s
(Denmark) 6/17/99 5,864,340
....................................................................................................
4,000,000 Diageo Capital PLC 5.07s
(United Kingdom) 3/11/99 3,960,567
....................................................................................................
10,300,000 Formosa Plastics Corp,
(ABN AMRO Bank N. V. (LOC))
5.05s (Netherlands) 3/26/99 10,177,187
....................................................................................................
4,000,000 Galicia Buenos Aires
Funding Corp. (Dresdner Bank
AG (LOC)) 5.14s (Germany) 3/9/99 3,961,164
....................................................................................................
8,000,000 Girsa Funding Corp. (Societe
General (LOC)) 5 1/2s (France) 1/27/99 7,967,000
....................................................................................................
5,000,000 Girsa Funding Corp. (Societe
General (LOC)) 5.48s (France) 1/27/99 4,979,450
....................................................................................................
4,000,000 Glencore Finance Ltd.
(Union Bank (LOC)) 5.45s
(Switzerland) 2/12/99 3,973,961
....................................................................................................
10,000,000 Glencore Finance Ltd.
(Union Bank (LOC)) 5.4s
(Switzerland) 2/10/99 9,938,500
....................................................................................................
4,000,000 Pemex Capital, Inc.(Societe
Generale (LOC)) 5.27s (France) 2/17/99 3,971,893
....................................................................................................
2,000,000 Scotiabanc Inc. 5.15s (Canada) 3/1/99 1,982,833
....................................................................................................
4,000,000 Transportation de Gas del
Sur S. A. (Dresdner Bank (LOC))
5.2s (Germany) 3/22/99 3,953,200
....................................................................................................
10,000,000 UBS Finance 4.86s (Switzerland) 6/11/99 9,781,300
- ----------------------------------------------------------------------------------------------------
147,708,163
- ----------------------------------------------------------------------------------------------------
Total Commercial Paper
(cost $526,656,156) $526,656,156
- ----------------------------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT (9.7%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Maturity Date Value
....................................................................................................
Domestic (4.9%)
....................................................................................................
$5,000,000 Bank Of New York Co. 5 1/2s 2/17/99 $4,997,963
....................................................................................................
9,000,000 Fleet National Bank 4.87s 4/20/99 9,000,000
....................................................................................................
6,000,000 Fleet National Bank 5.22s 2/3/99 6,000,000
....................................................................................................
10,000,000 NationsBank 4.96s 6/9/99 10,000,000
- ----------------------------------------------------------------------------------------------------
29,997,963
- ----------------------------------------------------------------------------------------------------
Foreign (4.8%)
....................................................................................................
6,000,000 Barclays Bank 5.37s
(United Kingdom) 2/24/99 6,001,964
....................................................................................................
5,000,000 Canadian Imperial Bank Of
Commerce 5.66s (Canada) 2/26/99 4,999,624
....................................................................................................
6,000,000 Commerzbank AG 5.68s
(Germany) 3/4/99 5,999,031
....................................................................................................
4,000,000 Societe Generale 5.785s
(France) 5/12/99 3,999,494
....................................................................................................
3,000,000 Societe Generale 5.7s (France) 3/3/99 2,998,563
....................................................................................................
5,000,000 Toronto Dominion Bank 5.71s
(Canada) 5/24/99 4,998,253
- ----------------------------------------------------------------------------------------------------
28,996,929
- ----------------------------------------------------------------------------------------------------
Total Certificates of Deposit
(cost $58,994,892) $58,994,892
- ----------------------------------------------------------------------------------------------------
U. S. GOVERNMENT & AGENCY OBLIGATIONS (4.3%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Maturity Date Value
....................................................................................................
$6,064,000 Federal Home Loan
Mortgage Corp. 5.09s 2/11/99 $6,027,990
....................................................................................................
20,000,000 Federal National Mortgage
Association 5.12s 3/4/99 19,820,800
- ----------------------------------------------------------------------------------------------------
Total U.S. Government &
Agency Obligations
(cost $25,848,790) $25,848,790
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $611,499,838) (b) $611,499,838
- ----------------------------------------------------------------------------------------------------
Diversification by Country
- ----------------------------------------------------------------------------------------------------
Distribution of investments by country of issue at
December 31, 1998: (as percentage of Market Value)
- ----------------------------------------------------------------------------------------------------
Australia 5.4%
....................................................................................................
Canada 4.2
....................................................................................................
Denmark 1.0
....................................................................................................
France 3.9
....................................................................................................
Germany 4.8
....................................................................................................
Netherlands 1.7
....................................................................................................
Switzerland 5.5
....................................................................................................
United Kingdom 6.6
....................................................................................................
United States 66.9
- ----------------------------------------------------------------------------------------------------
Total 100.0%
- ----------------------------------------------------------------------------------------------------
See page 240 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT New Opportunities Fund
Portfolio of investments owned
December 31, 1998
<CAPTION>
COMMON STOCKS (96.8%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C>
Advertising (1.7%)
....................................................................................................
427,650 Lamar Advertising Co. (NON) $15,929,963
....................................................................................................
1,453,700 Outdoor Systems, Inc. (NON) 43,611,000
- ----------------------------------------------------------------------------------------------------
59,540,963
- ----------------------------------------------------------------------------------------------------
Airlines (0.2%)
....................................................................................................
157,600 Ryanair Holdings, PLC ADR (Ireland) (NON) 5,949,400
- ----------------------------------------------------------------------------------------------------
Apparel (0.3%)
....................................................................................................
207,900 Gap, Inc. (The) 11,694,375
- ----------------------------------------------------------------------------------------------------
Banks (0.7%)
....................................................................................................
87,800 Firstar Corp. 8,187,350
....................................................................................................
398,100 TCF Financial Corp. 9,629,044
....................................................................................................
127,300 Zions Bancorp 7,940,338
- ----------------------------------------------------------------------------------------------------
25,756,732
- ----------------------------------------------------------------------------------------------------
Broadcasting (7.1%)
....................................................................................................
1,831,100 CBS Corp. 59,968,525
....................................................................................................
918,300 Chancellor Media Corp. (NON) 43,963,613
....................................................................................................
1,587,800 Clear Channel Communications, Inc. (NON) 86,535,100
....................................................................................................
160,600 Heftel Broadcasting Corp. Class A (NON) 7,909,550
....................................................................................................
615,100 Infinity Broadcasting Corp. Class A (NON) 16,838,363
....................................................................................................
855,300 Sinclair Broadcast Group, Inc. Class A (NON) 16,731,806
....................................................................................................
448,600 Univision Communications Inc. Class A (NON) 16,233,713
....................................................................................................
253,000 WestWood One, Inc. (NON) 7,716,500
- ----------------------------------------------------------------------------------------------------
255,897,170
- ----------------------------------------------------------------------------------------------------
Business Services (6.4%)
....................................................................................................
333,200 Affiliated Computer Services, Inc.
Class A (NON) 14,994,000
....................................................................................................
171,600 Applied Graphics Technologies, Inc. (NON) 2,831,400
....................................................................................................
1,190,200 Cendant Corp. (NON) 22,688,188
....................................................................................................
289,000 Interim Services Inc. (NON) 6,755,375
....................................................................................................
129,600 Lason Holdings, Inc. (NON) 7,541,100
....................................................................................................
296,100 Metamor Worldwide, Inc. (NON) 7,402,500
....................................................................................................
371,200 Modis Professional Services, Inc. (NON) 5,382,400
....................................................................................................
623,100 NOVA Corp./Georgia (NON) 21,613,781
....................................................................................................
554,725 Paychex, Inc. 28,533,667
....................................................................................................
268,500 Pitney Bowes, Inc. 17,737,781
....................................................................................................
2,555,400 Rentokil Group PLC (United Kingdom) 19,188,315
....................................................................................................
591,500 Robert Half International, Inc. (NON) 26,432,656
....................................................................................................
274,800 Sanmina Corp. 17,175,000
....................................................................................................
216,900 Select Appointments Holdings PLC ADR
(United Kingdom) 4,663,350
....................................................................................................
793,500 Snyder Communications, Inc. (NON) 26,780,625
- ----------------------------------------------------------------------------------------------------
229,720,138
- ----------------------------------------------------------------------------------------------------
Cable Television (2.6%)
....................................................................................................
608,700 Tele-Comm Liberty Media Group, Inc.
Class A (NON) 28,038,244
....................................................................................................
890,700 Tele-Communications TCI Ventures
Group Class A (NON) 20,987,119
....................................................................................................
782,800 Tele-Communications, Inc. Class A (NON) 43,298,625
- ----------------------------------------------------------------------------------------------------
92,323,988
- ----------------------------------------------------------------------------------------------------
Computer Equipment (4.6%)
....................................................................................................
556,800 Compaq Computer Corp. 23,350,800
....................................................................................................
1,071,000 EMC Corp. (NON) 91,035,000
....................................................................................................
118,300 IBM Corp. 21,855,925
....................................................................................................
323,600 Sun Microsystems, Inc. (NON) 27,708,250
- ----------------------------------------------------------------------------------------------------
163,949,975
- ----------------------------------------------------------------------------------------------------
Computer Services (6.7%)
....................................................................................................
948,200 America Online, Inc. (NON) 151,712,000
....................................................................................................
566,500 Ciber, Inc. (NON) 15,826,594
....................................................................................................
92,300 Complete Business Solutions, Inc. (NON) 3,126,663
....................................................................................................
126,500 Computer Horizons Corp. (NON) 3,368,063
....................................................................................................
162,400 Computer Sciences Corp. (NON) 10,464,650
....................................................................................................
144,100 Keane, Inc. (NON) 5,754,994
....................................................................................................
222,200 Mastech Corp. (NON) 6,360,475
....................................................................................................
137,400 Policy Management Systems Corp. (NON) 6,938,700
....................................................................................................
437,200 Sterling Commerce, Inc. (NON) 19,674,000
....................................................................................................
79,900 VeriSign, Inc. 4,724,088
....................................................................................................
391,700 Whittman-Hart, Inc. (NON) 10,820,713
- ----------------------------------------------------------------------------------------------------
238,770,940
- ----------------------------------------------------------------------------------------------------
Computer Software (9.0%)
....................................................................................................
151,600 Aspect Development, Inc. (NON) 6,717,775
....................................................................................................
409,870 BMC Software, Inc. (NON) 18,264,832
....................................................................................................
1,108,940 Cadence Design Systems, Inc. (NON) 32,990,965
....................................................................................................
755,700 Computer Associates International, Inc. 32,211,713
....................................................................................................
552,500 Compuware Corp. (NON) 43,164,063
....................................................................................................
392,200 Electronic Arts, Inc. (NON) 22,012,225
....................................................................................................
123,600 Entrust Technologies Inc. (NON) 2,950,950
....................................................................................................
230,200 Intuit, Inc. (NON) 16,689,500
....................................................................................................
97,800 Legato Systems, Inc. (NON) 6,448,688
....................................................................................................
86,800 Lernout & Hauspie Speech Products N.V.
(Belgium) (NON) 2,831,850
....................................................................................................
461,800 Microsoft Corp. (NON) 64,045,888
....................................................................................................
1,426,600 Parametric Technology Corp. (NON) 23,182,250
....................................................................................................
23,170 Peregrine Systems, Inc. (NON) 1,074,509
....................................................................................................
406,300 PLATINUM Technology, Inc. (NON) 7,770,488
....................................................................................................
208,000 Software AG Systems, Inc. (NON) 3,770,000
....................................................................................................
496,900 Synopsys, Inc. (NON) 26,956,825
....................................................................................................
391,200 The Learning Company, Inc. (NON) 10,146,750
- ----------------------------------------------------------------------------------------------------
321,229,271
- ----------------------------------------------------------------------------------------------------
Conglomerates (1.3%)
....................................................................................................
623,900 Tyco International Ltd. (NON) 47,065,456
- ----------------------------------------------------------------------------------------------------
Consumer Products (0.7%)
....................................................................................................
278,400 Colgate-Palmolive Co. 25,856,400
- ----------------------------------------------------------------------------------------------------
Cosmetics (0.7%)
....................................................................................................
273,400 Estee Lauder Cos. Class A 23,375,700
- ----------------------------------------------------------------------------------------------------
Education (0.3%)
....................................................................................................
343,400 Apollo Group, Inc. Class A (NON) 11,632,675
- ----------------------------------------------------------------------------------------------------
Electric Utilities (0.2%)
....................................................................................................
177,200 CalEnergy, Inc. (NON) 6,146,625
- ----------------------------------------------------------------------------------------------------
Electronic Components (0.3%)
....................................................................................................
249,000 ASM Lithography Holding N.V.
(Netherlands) (NON) 7,594,500
....................................................................................................
134,700 Celestica Inc. (Canada) (NON) 3,325,406
- ----------------------------------------------------------------------------------------------------
10,919,906
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (2.5%)
....................................................................................................
179,600 American Power Conversion Corp. (NON) 8,699,375
....................................................................................................
396,900 Applied Materials, Inc. (NON) 16,942,669
....................................................................................................
439,300 General Electric Co. 44,836,056
....................................................................................................
207,960 KLA Tencor Corp. (NON) 9,020,265
....................................................................................................
68,750 Novellus Systems, Inc. (NON) 3,403,125
....................................................................................................
54,660 Teradyne, Inc. (NON) 2,316,218
....................................................................................................
81,900 Uniphase Corp. (NON) 5,681,813
- ----------------------------------------------------------------------------------------------------
90,899,521
- ----------------------------------------------------------------------------------------------------
Energy-related (0.1%)
....................................................................................................
296,000 Thermo Electron Corp. (NON) 5,013,500
- ----------------------------------------------------------------------------------------------------
Entertainment (2.1%)
....................................................................................................
117,300 SFX Entertainment, Inc. Class A (NON) 6,436,838
....................................................................................................
681,400 Time Warner, Inc. 42,289,388
....................................................................................................
367,900 Viacom, Inc. Class B (NON) 27,224,600
- ----------------------------------------------------------------------------------------------------
75,950,826
- ----------------------------------------------------------------------------------------------------
Environmental Control (2.3%)
....................................................................................................
692,800 Allied Waste Industries, Inc. (NON) 16,367,400
....................................................................................................
174,000 Eastern Environmental Services, Inc. (NON) 5,154,750
....................................................................................................
387,600 Republic Services, Inc. (NON) 7,146,375
....................................................................................................
1,168,300 Waste Management, Inc. (NON) 54,471,988
- ----------------------------------------------------------------------------------------------------
83,140,513
- ----------------------------------------------------------------------------------------------------
Financial Services (1.7%)
....................................................................................................
337,200 Associates First Capital Corp. 14,288,850
....................................................................................................
219,770 Concord EFS, Inc. (NON) 9,312,754
....................................................................................................
196,200 Finova Group, Inc. 10,582,538
....................................................................................................
224,000 Merrill Lynch & Co., Inc. 14,952,000
....................................................................................................
145,400 Morgan Stanley, Dean Witter, Discover
and Co. 10,323,400
- ----------------------------------------------------------------------------------------------------
59,459,542
- ----------------------------------------------------------------------------------------------------
Funeral/Cemetery Services (1.4%)
....................................................................................................
564,000 Service Corp. International 21,467,250
....................................................................................................
1,363,500 Stewart Enterprises, Inc. Class A 30,337,875
- ----------------------------------------------------------------------------------------------------
51,805,125
- ----------------------------------------------------------------------------------------------------
Health Care Information Services (1.6%)
....................................................................................................
18,300 Eclipsys Corp. (NON) 530,700
....................................................................................................
1,513,600 HBO & Co. 43,421,400
....................................................................................................
193,700 IMS Health Inc. 14,612,244
- ----------------------------------------------------------------------------------------------------
58,564,344
- ----------------------------------------------------------------------------------------------------
Health Care Services (3.0%)
....................................................................................................
430,525 Cardinal Health, Inc. 32,666,084
....................................................................................................
193,600 Carematrix Corp. (NON) 5,929,000
....................................................................................................
564,600 Lincare Holdings, Inc. (NON) 22,901,588
....................................................................................................
552,100 Omnicare, Inc. 19,185,475
....................................................................................................
103,000 Sunrise Assisted Living, Inc. (NON) 5,343,125
....................................................................................................
780,500 Total Renal Care Holdings, Inc. (NON) 23,073,531
- ----------------------------------------------------------------------------------------------------
109,098,803
- ----------------------------------------------------------------------------------------------------
Hospital Management (1.4%)
....................................................................................................
2,248,300 Health Management Assoc., Inc. (NON) 48,619,488
- ----------------------------------------------------------------------------------------------------
Insurance (0.7%)
....................................................................................................
258,250 American International Group, Inc. 24,953,406
- ----------------------------------------------------------------------------------------------------
Lodging (0.8%)
....................................................................................................
848,800 Extended Stay America, Inc. (NON) 8,912,400
....................................................................................................
16,400 Four Seasons Hotels, Inc. (Canada) 479,700
....................................................................................................
388,600 Prime Hospitality Corp. (NON) 4,104,588
....................................................................................................
504,400 Promus Hotel Corp. (NON) 16,329,950
- ----------------------------------------------------------------------------------------------------
29,826,638
- ----------------------------------------------------------------------------------------------------
Medical Management Services (0.3%)
....................................................................................................
69,700 American Oncology Resources, Inc. (NON) 1,015,006
....................................................................................................
169,800 Pediatrix Medical Group, Inc. (NON) 10,177,388
....................................................................................................
54,200 Physician Reliance Network, Inc. (NON) 711,375
- ----------------------------------------------------------------------------------------------------
11,903,769
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (1.5%)
....................................................................................................
54,300 IDEXX Laboratories, Inc. (NON) 1,461,009
....................................................................................................
258,300 Henry Schein, Inc. (NON) 11,558,925
....................................................................................................
924,900 Sybron International Corp. (NON) 25,145,719
....................................................................................................
185,500 Waters Corp. (NON) 16,184,875
- ----------------------------------------------------------------------------------------------------
54,350,528
- ----------------------------------------------------------------------------------------------------
Networking and Communication Equipment (2.8%)
....................................................................................................
234,900 3Com Corp. (NON) 10,526,456
....................................................................................................
673,400 Ascend Communications, Inc. (NON) 44,276,050
....................................................................................................
340,350 Cisco Systems, Inc. (NON) 31,588,734
....................................................................................................
153,600 Comverse Technology, Inc. (NON) 10,905,600
....................................................................................................
21,000 Network Appliance, Inc. (NON) 945,000
....................................................................................................
179,300 Tekelec (NON) 2,969,656
- ----------------------------------------------------------------------------------------------------
101,211,496
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (9.1%)
....................................................................................................
320,500 Bristol-Myers Squibb Co. 42,886,906
....................................................................................................
353,400 Centocor, Inc. (NON) 15,947,175
....................................................................................................
699,900 Elan Corp. PLC ADR (Ireland) (NON) 48,686,794
....................................................................................................
188,300 Jones Medical Industries, Inc. 6,872,950
....................................................................................................
297,200 Lilly (Eli) & Co. 26,413,650
....................................................................................................
197,700 Medicis Pharmaceutical Corp. Class A (NON) 11,787,863
....................................................................................................
375,300 Pfizer, Inc. 47,076,694
....................................................................................................
1,018,400 Schering-Plough Corp. 56,266,600
....................................................................................................
185,900 Sepracor, Inc. (NON) 16,382,438
....................................................................................................
181,000 Transkaryotic Therapies, Inc.
(Malaysia) (NON) 4,592,875
....................................................................................................
651,200 Warner-Lambert Co. 48,962,100
- ----------------------------------------------------------------------------------------------------
325,876,045
- ----------------------------------------------------------------------------------------------------
Recreation (0.2%)
....................................................................................................
169,900 International Speedway Corp. Class A (NON) 6,880,950
- ----------------------------------------------------------------------------------------------------
Restaurants (0.6%)
....................................................................................................
1,878,400 J.D. Wetherspoon PLC (United Kingdom) (NON) 5,573,408
....................................................................................................
121,900 McDonald's Corp. 9,340,588
....................................................................................................
129,100 Papa Johns International, Inc. (NON) 5,696,538
- ----------------------------------------------------------------------------------------------------
20,610,534
- ----------------------------------------------------------------------------------------------------
Retail (11.1%)
....................................................................................................
1,269,800 Bed Bath & Beyond, Inc. (NON) 43,331,925
....................................................................................................
352,500 Borders Group, Inc. (NON) 8,790,469
....................................................................................................
846,400 Costco Companies, Inc. (NON) 61,099,500
....................................................................................................
696,400 CVS Corp. 38,302,000
....................................................................................................
363,300 Dollar Tree Stores, Inc. (NON) 15,871,669
....................................................................................................
751,700 Home Depot, Inc. (The) 45,994,644
....................................................................................................
121,600 Kohls Corp. (NON) 7,470,800
....................................................................................................
256,500 Kroger Co. (NON) 15,518,250
....................................................................................................
1,029,200 Office Depot, Inc. (NON) 38,016,075
....................................................................................................
332,300 Rite Aid Corp. 16,469,619
....................................................................................................
494,600 Safeway, Inc. (NON) 30,139,688
....................................................................................................
1,046,700 TJX Cos., Inc. (The) 30,354,300
....................................................................................................
563,000 Wal-Mart Stores, Inc. 45,849,313
....................................................................................................
20,100 Williams-Sonoma, Inc. (NON) 810,281
- ----------------------------------------------------------------------------------------------------
398,018,533
- ----------------------------------------------------------------------------------------------------
Semiconductors (2.8%)
....................................................................................................
251,560 Analog Devices, Inc. (NON) 7,892,695
....................................................................................................
53,400 Applied Micro Circuits Corp. (NON) 1,813,931
....................................................................................................
213,500 Intel Corp. 25,313,094
....................................................................................................
328,700 Linear Technology Corp. 29,439,194
....................................................................................................
554,200 Maxim Integrated Products Inc. (NON) 24,211,613
....................................................................................................
170,000 PMC Sierra, Inc. (NON) 10,731,250
- ----------------------------------------------------------------------------------------------------
99,401,777
- ----------------------------------------------------------------------------------------------------
Telecommunications (6.6%)
....................................................................................................
246,400 E. Spire Communications, Inc. (NON) 1,570,800
....................................................................................................
187,100 Global Crossing Ltd. (NON) 8,442,888
....................................................................................................
215,800 Global TeleSystems Group, Inc. (NON) 12,030,850
....................................................................................................
629,600 MCI WorldCom, Inc. (NON) 45,173,800
....................................................................................................
718,200 Metromedia Fiber Network, Inc. Class A (NON) 24,059,700
....................................................................................................
127,100 NTL Inc. (NON) 7,173,206
....................................................................................................
236,450 PanAmSat Corp. (NON) 9,206,772
....................................................................................................
602,400 Qwest Communications
International, Inc. (NON) 30,120,000
....................................................................................................
264,700 Intermedia Communications, Inc. (NON) 4,566,075
....................................................................................................
342,700 Lucent Technologies, Inc. 37,697,000
....................................................................................................
261,600 McLeod, Inc. Class A (NON) 8,175,000
....................................................................................................
427,800 NEXTLINK Communications, Inc.
Class A (NON) 12,138,820
....................................................................................................
403,300 RSL Communications, Ltd. Class A (NON) 11,897,350
....................................................................................................
306,800 Sprint Corp. 25,809,550
- ----------------------------------------------------------------------------------------------------
238,061,811
- ----------------------------------------------------------------------------------------------------
Tobacco (0.5%)
....................................................................................................
364,300 Philip Morris Cos., Inc. 19,490,050
- ----------------------------------------------------------------------------------------------------
Wireless Communications (0.9%)
....................................................................................................
269,800 Airtouch Communications, Inc. (NON) 19,459,320
....................................................................................................
406,500 American Tower Corp. Class A 12,017,155
- ----------------------------------------------------------------------------------------------------
31,476,475
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $2,311,003,882) $3,474,443,388
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (3.1%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$24,000,000 Associates Corp. of North America,
effective yield of 5.10%, January 4,1999 $23,989,800
....................................................................................................
23,580,000 Federal Home Loan Mortgage Corp.,
effective yield of 5.00%, March 5, 1999 23,372,810
....................................................................................................
63,000,000 Interest in $500,000,000 joint tri-party
repurchase agreement dated
December 31,1998 with Lehman
Brothers, Inc. , due January 4, 1999
with respect to various U.S. Treasury
obligations -- maturity value of
$63,033,950 for an effective yield
of 4.85%. 63,008,488
- ----------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $110,371,098) $110,371,098
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $2,421,374,980) (b) $3,584,814,486
- ----------------------------------------------------------------------------------------------------
See page 240 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT New Value Fund
Portfolio of investments owned
December 31, 1998
<CAPTION>
COMMON STOCKS (98.0%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C>
Aerospace and Defense (1.0%)
....................................................................................................
52,500 Raytheon Co. Class A $2,713,594
- ----------------------------------------------------------------------------------------------------
Automotive (5.9%)
....................................................................................................
119,800 Ford Motor Co. 7,030,763
....................................................................................................
79,300 General Motors Corp. 5,674,906
....................................................................................................
59,900 Lear Corp. (NON) 2,306,150
- ----------------------------------------------------------------------------------------------------
15,011,819
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (1.9%)
....................................................................................................
161,700 New Holland N.V. (Netherlands) 2,213,269
....................................................................................................
85,300 Owens-Illinois, Inc. (NON) 2,612,313
- ----------------------------------------------------------------------------------------------------
4,825,582
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (5.3%)
....................................................................................................
33,300 IBM Corp. 6,152,175
....................................................................................................
119,800 NCR Corp. (NON) 5,001,650
....................................................................................................
20,000 Xerox Corp. 2,360,000
- ----------------------------------------------------------------------------------------------------
13,513,825
- ----------------------------------------------------------------------------------------------------
Chemicals (2.1%)
....................................................................................................
26,200 Dow Chemical Co. 2,382,563
....................................................................................................
55,400 du Pont (E.I.) de Nemours & Co., Ltd. 2,939,663
- ----------------------------------------------------------------------------------------------------
5,322,226
- ----------------------------------------------------------------------------------------------------
Computers (3.0%)
....................................................................................................
129,000 Compaq Computer Corp. 5,409,938
....................................................................................................
75,000 Seagate Technology, Inc. (NON) 2,268,750
- ----------------------------------------------------------------------------------------------------
7,678,688
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (0.9%)
....................................................................................................
52,900 Computer Associates International, Inc. 2,254,863
- ----------------------------------------------------------------------------------------------------
Conglomerates (1.1%)
....................................................................................................
112,300 Ogden Corp. 2,814,510
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (2.9%)
....................................................................................................
139,200 Philip Morris Cos., Inc. 7,447,200
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (2.2%)
....................................................................................................
59,900 Motorola, Inc. 3,657,644
....................................................................................................
24,000 Texas Instruments, Inc. 2,053,500
- ----------------------------------------------------------------------------------------------------
5,711,144
- ----------------------------------------------------------------------------------------------------
Entertainment (1.1%)
....................................................................................................
37,400 Viacom, Inc. Class B (NON) 2,767,600
- ----------------------------------------------------------------------------------------------------
Food and Beverages (4.8%)
....................................................................................................
77,700 Nabisco Holdings Corp. Class A 3,224,550
....................................................................................................
105,000 Sara Lee Corp. 2,959,688
....................................................................................................
51,500 The Quaker Oats Co. 3,064,250
....................................................................................................
122,500 Whitman Corp. 3,108,438
- ----------------------------------------------------------------------------------------------------
12,356,926
- ----------------------------------------------------------------------------------------------------
Hospital Management and Medical Services (1.1%)
....................................................................................................
104,800 Tenet Healthcare Corp. (NON) 2,751,000
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (27.5%)
....................................................................................................
26,900 American Express Co. 2,750,525
....................................................................................................
63,500 American General Corp. 4,953,000
....................................................................................................
109,084 Banc One Corp. 5,570,102
....................................................................................................
105,000 BankAmerica Corp. 6,313,125
....................................................................................................
112,300 Charter One Financial, Inc. 3,116,325
....................................................................................................
72,500 Chase Manhattan Corp. 4,934,531
....................................................................................................
64,400 CIGNA Corp. 4,978,925
....................................................................................................
114,900 Citigroup, Inc. 5,687,550
....................................................................................................
82,300 KeyCorp 2,633,600
....................................................................................................
119,800 Lehman Brothers Holding, Inc. 5,278,688
....................................................................................................
52,400 Mercantile Bancorpation, Inc. 2,416,950
....................................................................................................
24,000 Morgan (J.P.) & Co., Inc. 2,521,500
....................................................................................................
37,500 Morgan Stanley, Dean Witter, Discover
and Co. 2,662,500
....................................................................................................
59,900 Reliastar Financial Corp. 2,762,888
....................................................................................................
67,500 The Equitable Companies, Inc. 3,906,563
....................................................................................................
26,900 Transamerica Corp. 3,106,950
....................................................................................................
92,800 Washington Mutual, Inc. 3,543,800
....................................................................................................
83,500 Wells Fargo & Co. 3,334,781
- ----------------------------------------------------------------------------------------------------
70,472,303
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (2.1%)
....................................................................................................
82,300 Baxter International, Inc. 5,292,919
- ----------------------------------------------------------------------------------------------------
Oil and Gas (9.8%)
....................................................................................................
76,700 Amoco Corp. 4,525,300
....................................................................................................
59,900 Atlantic Richfield Co. 3,908,475
....................................................................................................
30,000 Chevron, Inc. 2,488,125
....................................................................................................
134,700 Conoco, Inc. (NON) 2,811,863
....................................................................................................
82,300 Halliburton Co. 2,438,138
....................................................................................................
62,900 Mobil Corp. 5,480,163
....................................................................................................
67,400 Texaco, Inc. 3,563,775
- ----------------------------------------------------------------------------------------------------
25,215,839
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (1.0%)
....................................................................................................
82,300 Boise Cascade Corp. 2,551,300
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (3.1%)
....................................................................................................
142,200 Pharmacia & Upjohn, Inc. 8,052,075
- ----------------------------------------------------------------------------------------------------
Photography (1.1%)
....................................................................................................
37,400 Eastman Kodak Co. 2,692,800
- ----------------------------------------------------------------------------------------------------
Publishing (1.2%)
....................................................................................................
55,400 Times Mirror Co. Class A 3,102,400
- ----------------------------------------------------------------------------------------------------
REIT's (Real Estate Investment Trust) (2.0%)
....................................................................................................
70,400 Equity Residential Properties Trust 2,846,800
....................................................................................................
104,800 Starwood Lodging Trust 2,377,650
- ----------------------------------------------------------------------------------------------------
5,224,450
- ----------------------------------------------------------------------------------------------------
Retail (1.2%)
....................................................................................................
194,600 K mart Corp. (NON) 2,979,813
- ----------------------------------------------------------------------------------------------------
Specialty Consumer Products (0.8%)
....................................................................................................
90,000 Mattel, Inc. 2,053,125
- ----------------------------------------------------------------------------------------------------
Telecommunications (2.2%)
....................................................................................................
44,900 ALLTEL Corp. 2,685,581
....................................................................................................
64,400 MediaOne Group, Inc. (NON) 3,026,800
- ----------------------------------------------------------------------------------------------------
5,712,381
- ----------------------------------------------------------------------------------------------------
Transportation (2.0%)
....................................................................................................
79,300 Burlington Northern Santa Fe Corp. 2,676,375
....................................................................................................
52,400 Union Pacific Corp. 2,361,275
- ----------------------------------------------------------------------------------------------------
5,037,650
- ----------------------------------------------------------------------------------------------------
Utilities (10.7%)
....................................................................................................
80,800 American Telephone & Telegraph Co. 6,080,200
....................................................................................................
119,800 DPL, Inc. 2,590,675
....................................................................................................
104,800 Entergy Corp. 3,261,900
....................................................................................................
83,800 GTE Corp. 5,447,000
....................................................................................................
127,200 Potomac Electric Power Co. 3,346,950
....................................................................................................
32,900 Sprint Corp. 2,767,713
....................................................................................................
59,900 U S West, Inc. 3,871,038
- ----------------------------------------------------------------------------------------------------
27,365,476
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $235,805,598) $250,921,508
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (2.0%) (a) (cost $5,186,691)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$5,186,000 Interest in $456,109,000 joint repurchase
agreement dated December 31, 1998 with
Merrill Lynch, Pierce, Fenner and Smith, Inc.
due January 4, 1999 with respect to
various U.S. Treasury obligations -- maturity
value of $5,188,766 for an effective yield
of 4.80% $5,186,691
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $240,992,289) (b) $256,108,199
- ----------------------------------------------------------------------------------------------------
See page 240 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
December 31, 1998
<CAPTION>
COMMON STOCKS (90.9%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Advertising (3.8%)
....................................................................................................
11,000 Lamar Advertising Co. (NON) $409,750
....................................................................................................
22,653 Outdoor Systems, Inc. (NON) 679,590
- ----------------------------------------------------------------------------------------------------
1,089,340
- ----------------------------------------------------------------------------------------------------
Airlines (0.7%)
....................................................................................................
2,433 Atlantic Coast Airlines Holdings (NON) 60,825
....................................................................................................
4,300 SkyWest, Inc. 140,556
- ----------------------------------------------------------------------------------------------------
201,381
- ----------------------------------------------------------------------------------------------------
Apparel (0.3%)
....................................................................................................
2,200 Bebe stores, Inc. (NON) 77,825
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (0.4%)
....................................................................................................
5,590 Asyst Technologies, Inc. (NON) 113,896
- ----------------------------------------------------------------------------------------------------
Biotechnology (0.5%)
....................................................................................................
4,500 Serologicals Corp. 135,000
- ----------------------------------------------------------------------------------------------------
Broadcasting (5.8%)
....................................................................................................
15,350 Chancellor Media Corp. (NON) 734,881
....................................................................................................
7,450 Citadel Communications Corp. (NON) 192,769
....................................................................................................
3,400 Clear Channel Communications, Inc. (NON) 185,300
....................................................................................................
2,987 Gemstar International Group Ltd. (NON) 171,006
....................................................................................................
2,700 Heftel Broadcasting Corp. Class A (NON) 132,975
....................................................................................................
2,700 Sinclair Broadcast Group, Inc. Class A (NON) 52,819
....................................................................................................
5,535 Univision Communications Inc. Class A (NON) 200,298
- ----------------------------------------------------------------------------------------------------
1,670,048
- ----------------------------------------------------------------------------------------------------
Business Services (2.7%)
....................................................................................................
1,200 Affiliated Computer Services, Inc.
Class A (NON) 54,000
....................................................................................................
595 AnswerThink Consulting Group, Inc. (NON) 27,073
....................................................................................................
2,386 Lason Holdings, Inc. (NON) 138,835
....................................................................................................
1,100 NOVA Corp./Georgia (NON) 38,156
....................................................................................................
4,900 Robert Half International, Inc. (NON) 218,969
....................................................................................................
6,300 Romac International, Inc. (NON) 140,175
....................................................................................................
4,350 Snyder Communications, Inc. (NON) 146,813
- ----------------------------------------------------------------------------------------------------
764,021
- ----------------------------------------------------------------------------------------------------
Computer Equipment (1.3%)
....................................................................................................
2,758 Apex PC Solutions, Inc. (NON) 79,637
....................................................................................................
1,500 Artesyn Technologies, Inc. (NON) 21,000
....................................................................................................
3,220 Insight Enterprises, Inc. (NON) 163,818
....................................................................................................
5,000 NeoMagic Corp. (NON) 110,625
- ----------------------------------------------------------------------------------------------------
375,080
- ----------------------------------------------------------------------------------------------------
Computer Services (6.3%)
....................................................................................................
5,575 Ciber, Inc. (NON) 155,752
....................................................................................................
1,269 CMG Information Services, Inc. (NON) 135,149
....................................................................................................
16,464 Complete Business Solutions, Inc. (NON) 557,719
....................................................................................................
3,363 Computer Management Sciences 58,432
....................................................................................................
4,096 EarthLink Network, Inc. (NON) 233,472
....................................................................................................
6,060 Intelligroup, Inc. (NON) 108,323
....................................................................................................
5,993 Keane, Inc. (NON) 239,345
....................................................................................................
1,760 SPR Inc. (NON) 30,360
....................................................................................................
2,500 VeriSign, Inc. 147,813
....................................................................................................
4,900 Whittman-Hart, Inc. (NON) 135,363
- ----------------------------------------------------------------------------------------------------
1,801,728
- ----------------------------------------------------------------------------------------------------
Computer Software (23.0%)
....................................................................................................
6,391 Aspect Development, Inc. (NON) 283,201
....................................................................................................
3,169 Beyond.com Corp. (NON) 65,757
....................................................................................................
4,800 Citrix Systems, Inc. (NON) 465,900
....................................................................................................
10,964 Compuware Corp. (NON) 856,563
....................................................................................................
6,912 Concord Communications, Inc. (NON) 392,256
....................................................................................................
4,500 Electronic Arts, Inc. (NON) 252,563
....................................................................................................
12,039 GeoTel Communications Corp. (NON) 448,453
....................................................................................................
1,480 I2 Technologies, Inc. (NON) 44,955
....................................................................................................
8,900 IMRglobal Corp. (NON) 261,994
....................................................................................................
3,825 Infoseek Corp. (NON) 188,859
....................................................................................................
2,732 Intuit, Inc. (NON) 198,070
....................................................................................................
2,460 ISS Group, Inc. (NON) 135,300
....................................................................................................
7,896 Legato Systems, Inc. (NON) 520,643
....................................................................................................
2,015 Lycos, Inc. (NON) 111,958
....................................................................................................
14,886 New Era of Networks, Inc. (NON) 654,984
....................................................................................................
14,588 Peregrine Systems, Inc. (NON) 676,519
....................................................................................................
3,014 Pinnacle Systems, Inc. (NON) 107,751
....................................................................................................
7,684 TSI International Software, Ltd. (NON) 367,872
....................................................................................................
14,400 Visual Networks, Inc. (NON) 540,000
- ----------------------------------------------------------------------------------------------------
6,573,598
- ----------------------------------------------------------------------------------------------------
Consumer Durable Goods (0.4%)
....................................................................................................
3,990 Restoration Hardware, Inc. (NON) 107,231
- ----------------------------------------------------------------------------------------------------
Consumer Services (0.6%)
....................................................................................................
3,785 MemberWorks Inc. (NON) 111,658
....................................................................................................
1,400 Ticketmaster Online-CitySearch (NON) 78,400
- ----------------------------------------------------------------------------------------------------
190,058
- ----------------------------------------------------------------------------------------------------
Education Services (2.2%)
....................................................................................................
3,100 Apollo Group, Inc. Class A (NON) 105,013
....................................................................................................
22,100 Education Management Corp. (NON) 522,113
- ----------------------------------------------------------------------------------------------------
627,126
- ----------------------------------------------------------------------------------------------------
Electric Utilities (0.7%)
....................................................................................................
2,800 CalEnergy, Inc. (NON) 97,125
....................................................................................................
12,200 Independent Energy Holdings PLC
(United Kingdom) (NON) 109,800
- ----------------------------------------------------------------------------------------------------
206,925
- ----------------------------------------------------------------------------------------------------
Electronic Components (8.9%)
....................................................................................................
2,800 Applied Micro Circuits Corp. (NON) 95,113
....................................................................................................
4,375 ASM Lithography Holding N.V.
(Netherlands) (NON) 133,438
....................................................................................................
771 Broadcom Corp. (NON) 93,098
....................................................................................................
4,389 Celestica Inc. (Canada) (NON) 108,353
....................................................................................................
4,600 Jabil Circuit, Inc. (NON) 343,275
....................................................................................................
38,178 Metromedia Fiber Network, Inc. Class A (NON) 1,278,951
....................................................................................................
6,100 Micrel, Inc. (NON) 335,500
....................................................................................................
2,100 MIPS Technologies, Inc. (NON) 67,200
....................................................................................................
3,499 Power Integrations, Inc. (NON) 87,694
- ----------------------------------------------------------------------------------------------------
2,542,622
- ----------------------------------------------------------------------------------------------------
Electronics (1.1%)
....................................................................................................
100 Flextronics International Ltd. (NON) 8,563
....................................................................................................
2,730 Uniphase Corp. (NON) 189,394
....................................................................................................
2,340 Veeco Instruments, Inc. (NON) 124,313
- ----------------------------------------------------------------------------------------------------
322,270
- ----------------------------------------------------------------------------------------------------
Energy-related (0.6%)
....................................................................................................
4,820 Advanced Energy Industries, Inc. (NON) 120,500
....................................................................................................
2,800 KTI, Inc. (NON) 60,550
- ----------------------------------------------------------------------------------------------------
181,050
- ----------------------------------------------------------------------------------------------------
Entertainment (1.1%)
....................................................................................................
4,200 Cinar Films, Inc. Class B (Canada) (NON) 106,575
....................................................................................................
2,275 SFX Entertainment, Inc. Class A (NON) 124,841
....................................................................................................
2,750 Sotheby's Holdings, Inc. Class A 88,000
- ----------------------------------------------------------------------------------------------------
319,416
- ----------------------------------------------------------------------------------------------------
Financial Services (0.4%)
....................................................................................................
2,500 Concord EFS, Inc. (NON) 105,938
- ----------------------------------------------------------------------------------------------------
Health Care Services (1.4%)
....................................................................................................
1,929 Carematrix Corp. (NON) 59,076
....................................................................................................
1,190 SteriGenics International, Inc. (NON) 30,940
....................................................................................................
100 Superior Consultant Holdings Corp. (NON) 4,350
....................................................................................................
10,000 Total Renal Care Holdings, Inc. (NON) 295,625
- ----------------------------------------------------------------------------------------------------
389,991
- ----------------------------------------------------------------------------------------------------
Home Furnishings (0.5%)
....................................................................................................
5,499 Select Comfort Corp. (NON) 145,380
- ----------------------------------------------------------------------------------------------------
Hospital Management and Medical Services (0.3%)
....................................................................................................
2,500 Advance Paradigm, Inc. (NON) 87,500
- ----------------------------------------------------------------------------------------------------
Information Systems (0.7%)
....................................................................................................
7,072 Mastech Corp. (NON) 202,436
- ----------------------------------------------------------------------------------------------------
Insurance (0.5%)
....................................................................................................
8,250 Inspire Insurance Solutions, Inc. (NON) 151,594
- ----------------------------------------------------------------------------------------------------
Lodging (0.5%)
....................................................................................................
7,400 Extended Stay America, Inc. (NON) 77,700
....................................................................................................
2,800 Four Seasons Hotels, Inc. (Canada) 81,900
- ----------------------------------------------------------------------------------------------------
159,600
- ----------------------------------------------------------------------------------------------------
Medical Management Services (2.1%)
....................................................................................................
5,200 NCS HealthCare, Inc. Class A (NON) 123,500
....................................................................................................
3,500 Pediatrix Medical Group, Inc. (NON) 209,781
....................................................................................................
8,403 Renal Care Group, Inc. (NON) 242,111
....................................................................................................
279 Sunrise Assisted Living, Inc. (NON) 14,473
- ----------------------------------------------------------------------------------------------------
589,865
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (1.6%)
....................................................................................................
1,300 Henry Schein, Inc. (NON) $58,175
....................................................................................................
2,900 Omnicare, Inc. 100,775
....................................................................................................
2,942 Perclose, Inc. (NON) 97,454
....................................................................................................
3,200 Sabratek Corp. (NON) 52,400
....................................................................................................
9,400 Theargenics Corp. (NON) 158,038
- ----------------------------------------------------------------------------------------------------
466,842
- ----------------------------------------------------------------------------------------------------
Networking (1.0%)
....................................................................................................
4,762 Entrust Technologies Inc. (NON) 113,693
....................................................................................................
2,500 Exodus Communications, Inc. (NON) 160,625
- ----------------------------------------------------------------------------------------------------
274,318
- ----------------------------------------------------------------------------------------------------
Networking Equipment (0.3%)
....................................................................................................
2,300 Concur Technologies, Inc. (NON) 70,150
....................................................................................................
200 E-Tek Dynamics, Inc. (NON) 5,350
- ----------------------------------------------------------------------------------------------------
75,500
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (2.3%)
....................................................................................................
6,300 Coulter Pharmaceutical, Inc. (NON) 189,000
....................................................................................................
2,100 Inhale Therapeutic Systems (NON) 69,300
....................................................................................................
1,060 Medicis Pharmaceutical Corp. Class A (NON) 63,203
....................................................................................................
1,435 Medimmune, Inc. (NON) 142,693
....................................................................................................
2,195 Sepracor, Inc. (NON) 193,434
- ----------------------------------------------------------------------------------------------------
657,630
- ----------------------------------------------------------------------------------------------------
Recreation (0.3%)
....................................................................................................
2,200 International Speedway Corp. Class A (NON) 89,100
- ----------------------------------------------------------------------------------------------------
Restaurants (0.2%)
....................................................................................................
1,200 Papa Johns International, Inc. (NON) 52,950
- ----------------------------------------------------------------------------------------------------
Retail (8.1%)
....................................................................................................
13,800 Bed Bath & Beyond, Inc. (NON) 470,925
....................................................................................................
15,560 Linens 'N Things, Inc. (NON) 616,565
....................................................................................................
2,280 Michaels Stores, Inc. (NON) 41,254
....................................................................................................
6,800 Micro Warehouse, Inc. (NON) 229,925
....................................................................................................
3,080 Rent-Way, Inc. 74,883
....................................................................................................
22,100 Williams-Sonoma, Inc. (NON) 890,906
- ----------------------------------------------------------------------------------------------------
2,324,458
- ----------------------------------------------------------------------------------------------------
Semiconductors (1.4%)
....................................................................................................
1,417 KLA Tencor Corp. (NON) 61,462
....................................................................................................
1,026 Novellus Systems, Inc. (NON) 50,787
....................................................................................................
3,700 Photronics, Inc. (NON) 88,684
....................................................................................................
1,425 QLogic Corp. 186,497
- ----------------------------------------------------------------------------------------------------
387,430
- ----------------------------------------------------------------------------------------------------
Specialty Consumer Products (0.7%)
....................................................................................................
8,291 Guitar Center, Inc. (NON) 204,166
- ----------------------------------------------------------------------------------------------------
Telecommunication Equipment (0.5%)
....................................................................................................
7,910 Tekelec (NON) 131,009
- ----------------------------------------------------------------------------------------------------
Telecommunications (2.2%)
....................................................................................................
12,800 E. Spire Communications, Inc. (NON) 81,601
....................................................................................................
1,163 Energis PLC, ADR (NON) 130,256
....................................................................................................
5,900 Global TeleSystems Group, Inc. (NON) 328,925
....................................................................................................
1,824 NTL Inc. (NON) 102,942
- ----------------------------------------------------------------------------------------------------
643,724
- ----------------------------------------------------------------------------------------------------
Telephone Services (4.6%)
....................................................................................................
8,600 Intermedia Communications, Inc. (NON) 148,350
....................................................................................................
12,100 McLeod, Inc. Class A (NON) 378,125
....................................................................................................
16,000 NEXTLINK Communications, Inc.
Class A (NON) 454,000
....................................................................................................
11,148 RSL Communications, Ltd. Class A (NON) 328,866
- ----------------------------------------------------------------------------------------------------
1,309,341
- ----------------------------------------------------------------------------------------------------
Wireless Communications (0.9%)
....................................................................................................
6,100 American Tower Corp. Class A 180,331
....................................................................................................
1,100 ICG Communications, Inc. (NON) 23,650
....................................................................................................
1,025 RF Micro Devices, Inc. (NON) 47,534
- ----------------------------------------------------------------------------------------------------
251,515
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $20,125,642) $25,998,902
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (9.3%) (a) (cost $2,671,356)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$2,671,000 Interest in $456,109,000 joint repurchase
agreement dated December 31, 1998 with
Merrill Lynch, Pierce, Fenner and Smith, Inc.
due January 4, 1999 with respect to
various U.S. Treasury obligations --
maturity value of $2,672,425 for an
effective yield of 4.80% $2,671,356
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $22,796,998)(b) $28,670,258
- ----------------------------------------------------------------------------------------------------
See page 240 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
December 31, 1998
<CAPTION>
COMMON STOCKS (98.4%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Automotive (0.9%)
....................................................................................................
2,900 General Motors Corp. $207,531
- ----------------------------------------------------------------------------------------------------
Banks (6.2%)
....................................................................................................
7,826 BankAmerica Corp. 470,538
....................................................................................................
4,700 Bank One Corp. 240,085
....................................................................................................
6,300 Charter One Financial, Inc. 174,825
....................................................................................................
2,500 First Union Corp. 152,031
....................................................................................................
3,200 Mercantile Bancorpation, Inc. 147,600
....................................................................................................
3,700 Zions Bancorp 230,788
- ----------------------------------------------------------------------------------------------------
1,415,867
- ----------------------------------------------------------------------------------------------------
Broadcasting (1.4%)
....................................................................................................
5,800 Clear Channel Communications, Inc. (NON) 316,100
- ----------------------------------------------------------------------------------------------------
Cable Television (1.2%)
....................................................................................................
4,600 Comcast Corp. Class A 269,963
- ----------------------------------------------------------------------------------------------------
Computer Software (2.6%)
....................................................................................................
7,900 Computer Associates International, Inc. 336,738
....................................................................................................
15,800 Parametric Technology Corp. (NON) 256,750
- ----------------------------------------------------------------------------------------------------
593,488
- ----------------------------------------------------------------------------------------------------
Computers (3.3%)
....................................................................................................
9,000 Compaq Computer Corp. 377,438
....................................................................................................
3,400 Gateway 2000, Inc. (NON) 174,038
....................................................................................................
6,700 Seagate Technology, Inc. (NON) 202,675
- ----------------------------------------------------------------------------------------------------
754,151
- ----------------------------------------------------------------------------------------------------
Conglomerates (2.9%)
....................................................................................................
2,500 United Technologies Corp. 271,875
....................................................................................................
5,300 Tyco International Ltd. 399,819
- ----------------------------------------------------------------------------------------------------
671,694
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (3.1%)
....................................................................................................
3,300 Clorox Co. 385,481
....................................................................................................
3,500 Colgate-Palmolive Co. 325,063
- ----------------------------------------------------------------------------------------------------
710,544
- ----------------------------------------------------------------------------------------------------
Electric Utilities (4.9%)
....................................................................................................
8,500 Duke Energy Corp. 544,531
....................................................................................................
18,400 Entergy Corp. 572,700
- ----------------------------------------------------------------------------------------------------
1,117,231
- ----------------------------------------------------------------------------------------------------
Electronic Components (0.7%)
....................................................................................................
3,100 Rockwell International Corp. 150,544
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (4.7%)
....................................................................................................
8,700 General Electric Co. 887,944
....................................................................................................
3,800 Micron Technology, Inc. (NON) 192,138
- ----------------------------------------------------------------------------------------------------
1,080,082
- ----------------------------------------------------------------------------------------------------
Entertainment (0.8%)
....................................................................................................
3,000 Time Warner, Inc. 186,188
- ----------------------------------------------------------------------------------------------------
Environmental Control (0.7%)
....................................................................................................
3,600 Waste Management, Inc. 167,850
- ----------------------------------------------------------------------------------------------------
Financial Services (6.0%)
....................................................................................................
2,800 American Express Co. 286,300
....................................................................................................
6,300 Associates First Capital Corp. 266,963
....................................................................................................
9,100 Citigroup, Inc. 450,450
....................................................................................................
4,400 Lehman Brothers Holding, Inc. 193,875
....................................................................................................
4,500 Wells Fargo Co. 179,719
- ----------------------------------------------------------------------------------------------------
1,377,307
- ----------------------------------------------------------------------------------------------------
Food and Beverages (2.1%)
....................................................................................................
2,800 Danone (France) 157,500
....................................................................................................
8,000 Nabisco Holdings Corp. Class A 332,000
- ----------------------------------------------------------------------------------------------------
489,500
- ----------------------------------------------------------------------------------------------------
Gas Utilities (1.3%)
....................................................................................................
5,000 Columbia Gas System, Inc. 288,750
- ----------------------------------------------------------------------------------------------------
Health Care (1.3%)
....................................................................................................
4,000 Cardinal Health, Inc. 303,500
- ----------------------------------------------------------------------------------------------------
Insurance (2.0%)
....................................................................................................
3,400 American General Corp. 265,200
....................................................................................................
5,100 MGIC Investment Corp. 203,044
- ----------------------------------------------------------------------------------------------------
468,244
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (2.6%)
....................................................................................................
4,800 Arterial Vascular Engineering, Inc. (NON) 252,000
....................................................................................................
7,700 Centocor, Inc. (NON) 347,463
- ----------------------------------------------------------------------------------------------------
599,463
- ----------------------------------------------------------------------------------------------------
Networking (1.1%)
....................................................................................................
5,450 3Com Corp. (NON) 244,228
- ----------------------------------------------------------------------------------------------------
Oil and Gas (5.4%)
....................................................................................................
5,300 Burlington Resources Inc. 189,806
....................................................................................................
13,400 Conoco, Inc. (NON) 279,725
....................................................................................................
5,600 Ente Nazionale Idrocarburi S.P.A.
(ENI) ADR (Italy) 379,400
....................................................................................................
4,400 Mobil Corp. 383,350
- ----------------------------------------------------------------------------------------------------
1,232,281
- ----------------------------------------------------------------------------------------------------
Packaging and Containers (1.2%)
....................................................................................................
5,300 Sealed Air Corp. (NON) 270,631
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (2.9%)
....................................................................................................
4,500 Merck & Co., Inc. 664,594
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (7.3%)
....................................................................................................
4,700 Bristol-Myers Squibb Co. 628,919
....................................................................................................
8,100 Pharmacia & Upjohn, Inc. 458,663
....................................................................................................
7,800 Warner-Lambert Co. 586,463
- ----------------------------------------------------------------------------------------------------
1,674,045
- ----------------------------------------------------------------------------------------------------
Publishing (1.0%)
....................................................................................................
3,300 Tribune Co. 217,800
- ----------------------------------------------------------------------------------------------------
Reit's (Real Estate Investment Trust) (1.7%)
....................................................................................................
17,300 Starwood Lodging Trust 392,494
- ----------------------------------------------------------------------------------------------------
Restaurants (2.7%)
....................................................................................................
3,400 McDonald's Corp. 260,525
....................................................................................................
7,100 Tricon Global Restaurants, Inc. (NON) 355,888
- ----------------------------------------------------------------------------------------------------
616,413
- ----------------------------------------------------------------------------------------------------
Retail (6.5%)
....................................................................................................
4,100 Costco Companies, Inc. (NON) 295,969
....................................................................................................
6,700 Fred Meyer, Inc. (NON) 403,675
....................................................................................................
9,600 Wal-Mart Stores, Inc. 781,800
- ----------------------------------------------------------------------------------------------------
1,481,444
- ----------------------------------------------------------------------------------------------------
Semiconductors (3.6%)
....................................................................................................
4,800 Intel Corp. 569,100
....................................................................................................
3,100 Texas Instruments, Inc. 265,244
- ----------------------------------------------------------------------------------------------------
834,344
- ----------------------------------------------------------------------------------------------------
Telecommunications (5.5%)
....................................................................................................
8,000 General Instrument Corp. (NON) 271,500
....................................................................................................
6,100 MediaOne Group Inc. (NON) 286,700
....................................................................................................
2,100 Nokia Corp. ADR (Finland) 252,919
....................................................................................................
2,200 Tellabs, Inc. (NON) 150,838
....................................................................................................
4,400 U S West, Inc. 284,350
- ----------------------------------------------------------------------------------------------------
1,246,307
- ----------------------------------------------------------------------------------------------------
Telephone Services (6.2%)
....................................................................................................
4,300 Lucent Technologies, Inc. 473,000
....................................................................................................
10,400 SBC Communications, Inc. 557,700
....................................................................................................
4,700 Sprint Corp. 395,388
- ----------------------------------------------------------------------------------------------------
1,426,088
- ----------------------------------------------------------------------------------------------------
Tobacco (2.5%)
....................................................................................................
10,500 Philip Morris Cos., Inc. 561,750
- ----------------------------------------------------------------------------------------------------
Wireless Communications (2.1%)
....................................................................................................
6,800 AirTouch Communications, Inc. (NON) 490,450
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $20,541,370) $22,520,866
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (5.1%) (a) (cost $1,169,156)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$1,169,000 Interest in $456,109,000 joint repurchase
agreement dated December 31, 1998
with Merrill Lynch, Pierce, Fenner and
Smith, Inc., due January 4, 1999 with
respect to various U.S. Treasury
obligations - maturity value of
$1,169,623 for an effective yield
of 4.80% $1,169,156
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $21,710,526) (b) $23,690,022
- ----------------------------------------------------------------------------------------------------
See page 240 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT U.S. Government and High Quality Bond Fund
Portfolio of investments owned
December 31, 1998
<CAPTION>
CORPORATE BONDS AND NOTES (39.0%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
<S> <C> <C> <C> <C>
Advertising (0.3%)
....................................................................................................
$1,000,000 Adams Outdoor Advertising sr. notes
10 3/4s, 2006 $1,075,000
....................................................................................................
1,000,000 Lamar Advertising Co. company
guaranty 8 5/8s, 2007 1,060,000
....................................................................................................
1,000,000 Outdoor Systems, Inc. company
guaranty 8 7/8s, 2007 1,067,500
- ----------------------------------------------------------------------------------------------------
3,202,500
- ----------------------------------------------------------------------------------------------------
Aerospace and Defense (0.3%)
....................................................................................................
1,000,000 Argo-Tech Corp. company guaranty
8 5/8s, 2007 945,000
....................................................................................................
1,000,000 BE Aerospace, Inc. sr. sub. notes Ser. B,
8s, 2008 980,000
....................................................................................................
1,000,000 Sequa Corp. sr. sub. notes 9 3/8s, 2003 1,017,500
- ----------------------------------------------------------------------------------------------------
2,942,500
- ----------------------------------------------------------------------------------------------------
Agriculture (0.1%)
....................................................................................................
1,000,000 Purina Mills, Inc. 144A sr. sub. notes
9s, 2010 995,000
- ----------------------------------------------------------------------------------------------------
Airlines (0.7%)
....................................................................................................
1,000,000 Continental Airlines, Inc. sr. notes
9 1/2s, 2001 1,050,000
....................................................................................................
5,580,000 Continental Airlines, Inc. pass-through
certificates Ser. 98-2, 6.32s, 2008 5,552,100
- ----------------------------------------------------------------------------------------------------
6,602,100
- ----------------------------------------------------------------------------------------------------
Automotive (1.9%)
....................................................................................................
50,000 Accuride Corp. sr. sub. notes Ser. B,
9 1/4s, 2008 50,000
....................................................................................................
120,000 Aftermarket Technology Corp. sr. sub.
notes 12s, 2004 126,000
....................................................................................................
10,685,000 Chrysler Corp. deb. Ser. B, 7.45s, 2097 12,151,409
....................................................................................................
2,335,000 Ford Motor Co. bonds 6 5/8s, 2028 2,397,882
....................................................................................................
1,000,000 Hayes Wheels International, Inc. 144A
sr. sub. notes 9 1/8s, 2007 1,045,000
....................................................................................................
1,000,000 Lear Corp. sub. notes 9 1/2s, 2006 1,102,500
....................................................................................................
1,250,000 Navistar International Corp. sr. notes
Ser. B, 8s, 2008 1,271,875
....................................................................................................
1,000,000 Safety Components International, Inc.
sr. sub. notes Ser. B, 10 1/8s, 2007 980,000
- ----------------------------------------------------------------------------------------------------
19,124,666
- ----------------------------------------------------------------------------------------------------
Banks (2.2%)
....................................................................................................
1,000,000 Chevy Chase Savings Bank Inc. sub. deb.
9 1/4s, 2008 1,000,000
....................................................................................................
1,400,000 Firstar Bank Milwaukee sr. bank notes
6 1/4s, 2002 1,434,706
....................................................................................................
3,790,000 Firstar Capital Trust I company guaranty
Ser. B, 8.32s, 2026 4,213,343
....................................................................................................
2,350,000 Fuji JGB Inv. LLC 144A FLIRB 9.87s,
2049 (Japan) 1,680,885
....................................................................................................
4,200,000 Merita Bank Ltd. sub. notes 6 1/2s,
2006 (Finland) 4,276,356
....................................................................................................
1,000,000 Riggs Capital Trust 144A company
guaranty 8 7/8s, 2027 1,051,870
....................................................................................................
7,000,000 Scotland International Finance 144A
sub. notes 8.85s, 2006 (Netherlands) 8,168,650
- ----------------------------------------------------------------------------------------------------
21,825,810
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (0.2%)
....................................................................................................
755,000 American Standard Companies, Inc.
sr. notes 7 3/8s, 2008 755,000
....................................................................................................
500,000 Ball Corp. 144A sr. sub. notes 8 1/4s, 2008 523,750
....................................................................................................
1,000,000 Owens-Illinois, Inc. sr. notes 8.1s, 2007 1,058,890
- ----------------------------------------------------------------------------------------------------
2,337,640
- ----------------------------------------------------------------------------------------------------
Beverages (0.1%)
....................................................................................................
1,000,000 Canandaigua Wine Co. sr. sub. notes
Ser. C, 8 3/4s, 2003 1,030,000
- ----------------------------------------------------------------------------------------------------
Broadcasting (1.5%)
....................................................................................................
1,150,000 Capstar Broadcasting sr. sub. notes
9 1/4s, 2007 1,196,000
....................................................................................................
130,000 Chancellor Media Corp. sr.sub notes
Ser. B, 8 1/8s, 2007 130,000
....................................................................................................
910,000 Chancellor Media Corp. 144A sr. notes
8s, 2008 930,475
....................................................................................................
330,000 Fox Family Worldwide, Inc. sr. notes
9 1/4s, 2007 326,700
....................................................................................................
1,000,000 Fox/Liberty Networks LLC sr. notes
8 7/8s, 2007 1,020,000
....................................................................................................
1,000,000 Granite Broadcasting Corp. sr. sub.
notes 8 7/8s, 2008 950,000
....................................................................................................
1,000,000 Jacor Communications, Inc. company
guaranty Ser. B, 8 3/4s, 2007 1,085,000
....................................................................................................
1,000,000 Paramount Communications, Inc. deb.
7 1/2s, 2023 1,012,110
....................................................................................................
5,000,000 Paramount Communications Inc.
sr. notes 7 1/2s, 2002 5,217,650
....................................................................................................
1,000,000 Sinclair Broadcast Group, Inc. sr. sub.
notes 8 3/4s, 2007 1,010,000
....................................................................................................
1,000,000 Time Warner Telecom Inc. sr. notes
9 3/4s, 2008 1,045,000
....................................................................................................
1,000,000 Young Broadcasting Inc. company
guaranty Ser. B, 8 3/4s, 2007 1,005,000
- ----------------------------------------------------------------------------------------------------
14,927,935
- ----------------------------------------------------------------------------------------------------
Building Products (0.1%)
....................................................................................................
1,000,000 Southdown, Inc. sr. sub. notes
Ser. B, 10s, 2006 1,080,000
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (0.4%)
....................................................................................................
1,000,000 Cex Holdings, Inc. company guaranty
Ser. B, 9 5/8s, 2008 900,000
....................................................................................................
1,000,000 Iron Mountain, Inc. company guaranty
8 3/4s, 2009 1,030,000
....................................................................................................
1,000,000 Pierce Leahy Corp. sr. sub. notes
11 1/8s, 2006 1,095,000
....................................................................................................
1,000,000 U.S. Office Products Co. company
guaranty 9 3/4s, 2008 630,000
....................................................................................................
90,000 United Stationer Supply, Inc. 144A
8 3/8s, 2008 89,802
- ----------------------------------------------------------------------------------------------------
3,744,802
- ----------------------------------------------------------------------------------------------------
Cable Television (0.9%)
....................................................................................................
1,000,000 Adelphia Communications Corp.
sr. notes Ser. B, 9 7/8s, 2007 1,106,250
....................................................................................................
1,000,000 Comcast Corp. sr. sub. notes 9 1/2s, 2008 1,046,180
....................................................................................................
1,000,000 CSC Holdings, Inc. sr. notes 7 7/8s, 2007 1,054,000
....................................................................................................
500,000 CSC Holdings, Inc. sr. notes 7 1/4s, 2008 506,850
....................................................................................................
1,000,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon
zero % (10 3/4s, 2/15/02), 2007
(United Kingdom) (STP) 710,000
....................................................................................................
1,000,000 Lenfest Communications, Inc. sr. sub.
notes 10 1/2s, 2006 1,170,000
....................................................................................................
1,250,000 Marcus Cable Co. (L.P.) sr. disc.
notes stepped-coupon zero %
(14 1/4s, 6/15/00), 2005 (STP) 1,193,750
....................................................................................................
1,000,000 SFX Broadcasting, Inc. sr. sub. notes
Ser. B, 10 3/4s, 2006 1,110,000
....................................................................................................
1,000,000 Telewest Communications PLC deb.
9 5/8s, 2006 (United Kingdom) 1,020,000
- ----------------------------------------------------------------------------------------------------
8,917,030
- ----------------------------------------------------------------------------------------------------
Cellular Communications (0.2%)
....................................................................................................
2,820,000 NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero % (9.95s,
2/15/03), 2008 (STP) 1,692,000
....................................................................................................
570,000 NEXTEL Communications, Inc. 144A
sr. notes 12s, 2008 632,700
....................................................................................................
40,000 Price Communications Wireless, Inc.
144A sr. notes 9 1/8s, 2006 40,200
- ----------------------------------------------------------------------------------------------------
2,364,900
- ----------------------------------------------------------------------------------------------------
Chemicals (0.4%)
....................................................................................................
1,000,000 Geo Specialty Chemicals, Inc. 144A
sr. sub. notes 10 1/8s, 2008 970,000
....................................................................................................
2,210,000 Monsanto Co. 144A deb. 6.6s, 2028 2,202,751
....................................................................................................
750,000 Pioneer Americas Acquisition 144A
sr. notes 9 1/4s, 2007 585,000
- ----------------------------------------------------------------------------------------------------
3,757,751
- ----------------------------------------------------------------------------------------------------
Coal (0.1%)
....................................................................................................
500,000 P & L Coal Holdings Corp. company
guaranty Ser. B, 8 7/8s, 2008 510,000
- ----------------------------------------------------------------------------------------------------
Computer Services (0.1%)
....................................................................................................
330,000 PSINet, Inc. 144A sr. notes 11 1/2s,
2008 344,850
....................................................................................................
1,000,000 Unisys Corp. sr. notes 7 7/8s, 2008 1,060,000
- ----------------------------------------------------------------------------------------------------
1,404,850
- ----------------------------------------------------------------------------------------------------
Conglomerates (1.1%)
....................................................................................................
3,411,000 Allied Corp. notes 6 1/8s, 2005 3,437,845
....................................................................................................
3,990,000 Tyco International Ltd. company
guaranty 6 3/8s, 2005 4,067,326
....................................................................................................
3,715,000 Tyco International Ltd. company
guaranty 6 1/4s, 2003 3,753,004
- ----------------------------------------------------------------------------------------------------
11,258,175
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (0.1%)
....................................................................................................
1,000,000 Doane Products Co. 144A sr. sub. notes
9 3/4s, 2007 1,022,500
- ----------------------------------------------------------------------------------------------------
Consumer Products (0.8%)
....................................................................................................
8,065,000 Diageo PLC company guaranty 6 1/8s,
2005 (United Kingdom) 8,328,484
- ----------------------------------------------------------------------------------------------------
Consumer Services (0.4%)
....................................................................................................
4,100,000 McDonald's Corp. notes 6s, 2002 4,190,569
....................................................................................................
11,000 Protection One, Inc. sr. disc. notes
stepped-coupon zero %(13 5/8s,
6/30/00), 2005 (STP) 12,485
- ----------------------------------------------------------------------------------------------------
4,203,054
- ----------------------------------------------------------------------------------------------------
Cosmetics (0.2%)
....................................................................................................
1,000,000 French Fragrances, Inc. sr. notes Ser. B,
10 3/8s, 2007 987,500
....................................................................................................
1,000,000 Revlon Consumer Products sr. sub. notes
8 5/8s, 2008 910,000
- ----------------------------------------------------------------------------------------------------
1,897,500
- ----------------------------------------------------------------------------------------------------
Electric Utilities (3.7%)
....................................................................................................
1,140,000 Cleveland Electric Illuminating Co.
144A bonds 6.86s, 2008 1,151,400
....................................................................................................
3,550,000 Connecticut Light & Power Co.
1st mtge. Ser. A, 7 7/8s, 2001 3,670,203
....................................................................................................
3,550,000 Israel Electric Corp., Ltd. 144A sr. notes
7 1/4s, 2006 (Israel) 3,571,052
....................................................................................................
1,866,992 Midland Funding Corp. I deb. Ser. C-94,
10.33s, 2002 1,991,445
....................................................................................................
500,000 Niagara Mohawk Power Corp. sr. disc.
notes Ser. H, stepped-coupon zero %
(8 1/2s, 7/1/03), 2010 (STP) 385,000
....................................................................................................
2,460,000 Niagara Mohawk Power Corp. sr. notes
Ser. G, 7 3/4s, 2008 2,688,263
....................................................................................................
370,000 Niagara Mohawk Power Corp. sr. notes
Ser. F, 7 5/8s, 2005 389,754
....................................................................................................
894,769 Northeast Utilities System notes
Ser. A, 8.58s, 2006 955,551
....................................................................................................
7,750,000 Ohio Edison Co. med. term notes
7 3/8s, 2023 8,438,200
....................................................................................................
4,000,000 Southwestern Public Service Co.
1st mtge. 8.2s, 2022 4,381,000
....................................................................................................
4,475,000 Teco Energy, Inc. notes 5.54s, 2001 4,416,825
....................................................................................................
5,000,000 West Penn. Power Co. 1st mtge.
7 7/8s, 2022 5,368,350
- ----------------------------------------------------------------------------------------------------
37,407,043
- ----------------------------------------------------------------------------------------------------
Electronic Components (0.2%)
....................................................................................................
1,500,000 Flextronics International Ltd. sr.
sub. notes Ser. B, 8 3/4s, 2007 1,541,250
- ----------------------------------------------------------------------------------------------------
Energy-Related (0.5%)
....................................................................................................
4,985,000 CalEnergy, Inc. sr. notes 7.63s, 2007 5,339,434
....................................................................................................
160,000 Calpine Corp. sr. notes 7 7/8s, 2008 156,000
- ----------------------------------------------------------------------------------------------------
5,495,434
- ----------------------------------------------------------------------------------------------------
Entertainment (0.1%)
....................................................................................................
1,000,000 Premier Parks, Inc. sr. notes 9 1/4s, 2006 1,042,500
- ----------------------------------------------------------------------------------------------------
Environmental Control (0.1%)
....................................................................................................
1,000,000 Allied Waste Industries, Inc. 144A
sr. notes 7 7/8s, 2009 1,012,500
- ----------------------------------------------------------------------------------------------------
Financial Services (7.3%)
....................................................................................................
1,000,000 Aames Financial Corp. sr. notes
9 1/8s, 2003 600,000
....................................................................................................
3,515,000 AFC Capital Trust company guaranty
Ser. B, 8.027s, 2027 4,012,759
....................................................................................................
1,595,000 Allstate Financing II company guaranty
7.83s, 2045 1,766,351
....................................................................................................
5,145,000 American General Institute 144A
company guaranty Ser. B, 8 1/8s, 2046 5,905,174
....................................................................................................
7,000,000 Associates First Capital Corp. sr. notes
6 1/4s, 2008 7,256,123
....................................................................................................
3,680,000 Citicorp sub. notes 6 3/8s, 2008 3,808,910
....................................................................................................
1,250,000 Finova Capital Corp. notes 6 1/4s, 2002 1,261,100
....................................................................................................
2,701,000 Fleet Financial Group, Inc. sub. deb.
6 7/8s, 2028 2,835,321
....................................................................................................
6,730,000 Ford Motor Credit Corp. notes 8.2s, 2002 7,258,709
....................................................................................................
2,239,000 Ford Motor Credit Corp. sr. notes
6s, 2003 2,276,526
....................................................................................................
525,000 Ford Motor Credit Corp. notes
5 1/8s, 2001 522,480
....................................................................................................
2,190,000 Household Finance Corp. notes
6 1/2s, 2008 2,278,739
....................................................................................................
4,000,000 International Lease Finance Corp. notes
6 1/2s, 1999 4,030,800
....................................................................................................
4,080,000 Lehman Bros Holdings, Inc. notes
6 1/4s, 2003 4,043,076
....................................................................................................
2,520,000 Merrill Lynch & Co., Inc. med. term notes
6.13s, 2003 2,570,148
....................................................................................................
2,620,000 Newcourt Credit Group, Inc. 144A
company guaranty 7 1/8s, 2003 2,595,529
....................................................................................................
2,105,000 Norwest Corp. med. term sr. notes
Ser. J, 6 3/4s, 2027 2,184,359
....................................................................................................
1,470,000 Orange Cogen Funding 144A company
guaranty 8.175s, 2022 1,561,287
....................................................................................................
2,660,000 Salomon, Inc. sr. notes 6 3/4s, 2003 2,733,123
....................................................................................................
2,270,000 Sampoerna International Finance Co.
144A company guaranty 8 3/8s, 2006
(Indonesia) 1,157,700
....................................................................................................
3,645,000 Sears Roebuck Acceptance Corp. notes
6 1/2s, 2028 3,601,953
....................................................................................................
2,070,000 State Street Institution 144A company
guaranty 7.94s, 2026 2,323,451
....................................................................................................
6,005,000 Tig Capital Trust I 144A bonds
8.597s, 2027 6,566,768
- ----------------------------------------------------------------------------------------------------
73,150,386
- ----------------------------------------------------------------------------------------------------
Food and Beverages (0.2%)
....................................................................................................
1,000,000 Ameriserve Food Co. company guaranty
8 7/8s, 2006 940,000
....................................................................................................
1,000,000 Aurora Foods, Inc. sr. sub. notes
Ser. B, 9 7/8s, 2007 1,090,000
- ----------------------------------------------------------------------------------------------------
2,030,000
- ----------------------------------------------------------------------------------------------------
Food Chains (0.1%)
....................................................................................................
1,500,000 Southland Corp. deb. Ser. A, 4 1/2s, 2004 1,275,000
- ----------------------------------------------------------------------------------------------------
Gaming (0.9%)
....................................................................................................
1,000,000 Argosy Gaming Co. company guaranty
13 1/4s, 2004 1,121,250
....................................................................................................
1,000,000 Circus Circus Enterprises, Inc. sr. notes
6.45s, 2006 898,680
....................................................................................................
1,000,000 Coast Hotels & Casinos, Inc. 1st mtge.
company guaranty Ser. B, 13s, 2002 1,125,000
....................................................................................................
1,000,000 Harrahs Entertainment, Inc. company
guaranty 7 7/8s, 2005 995,000
....................................................................................................
3,575,000 Mashantucket Pequot Tribe 144A bonds
Ser. A, FSA, 6.57s, 2013 3,561,594
....................................................................................................
1,000,000 Park Place Entertainment sr. sub. notes
7 7/8s, 2005 1,005,000
- ----------------------------------------------------------------------------------------------------
8,706,524
- ----------------------------------------------------------------------------------------------------
Health Care (0.7%)
....................................................................................................
1,000,000 Integrated Health Services, Inc. sr. sub.
notes Ser. A, 9 1/4s, 2008 940,000
....................................................................................................
1,000,000 MedPartners, Inc. sr. sub. notes
6 7/8s, 2000 860,570
....................................................................................................
1,000,000 Multicare Cos., Inc. sr. sub. notes
9s, 2007 920,000
....................................................................................................
1,000,000 Quorum Health Group, Inc. sr. sub.
notes 8 3/4s, 2005 1,000,000
....................................................................................................
3,430,000 Tenet Healthcare Corp. sr. notes 8s, 2005 3,481,450
- ----------------------------------------------------------------------------------------------------
7,202,020
- ----------------------------------------------------------------------------------------------------
Hotels (0.1%)
....................................................................................................
1,000,000 HMH Properties, Inc. company guaranty
Ser. B, 7 7/8s, 2008 972,500
- ----------------------------------------------------------------------------------------------------
Insurance (3.8%)
....................................................................................................
8,000,000 AMBAC Indemnity Corp. deb.
9 3/8s, 2011 10,442,800
....................................................................................................
2,000,000 Fletcher Challenge Finance USA Ltd.
gtd. notes 9s, 1999 (New Zealand) 2,028,060
....................................................................................................
1,000,000 GS Escrow Corp. sr. notes 7 1/8s, 2005 981,640
....................................................................................................
1,000,000 GS Escrow Corp. sr. notes 6 3/4s, 2001 982,900
....................................................................................................
6,030,000 Hartford Life, Inc. deb. 7.65s, 2027 (ITT) 6,718,505
....................................................................................................
2,970,000 Hartford Life, Inc. notes 7.1s, 2007 (ITT) 3,183,840
....................................................................................................
4,655,000 Phoenix Home Life Mutual Insurance
Co. 144A notes 6.95s, 2006 4,914,842
....................................................................................................
3,980,000 Provident Companies, Inc. bonds
7.405s, 2038 4,089,450
....................................................................................................
1,000,000 Reliance Group Holdings, Inc. sr. notes
9s, 2000 1,041,550
....................................................................................................
3,360,000 UNUM Corp. notes 6 3/4s, 2028 3,360,000
- ----------------------------------------------------------------------------------------------------
37,743,587
- ----------------------------------------------------------------------------------------------------
Lodging (0.1%)
....................................................................................................
1,250,000 Host Marriott Travel Plaza sr. notes
Ser. B, 9 1/2s, 2005 1,309,375
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (0.2%)
....................................................................................................
1,000,000 ALARIS Medical Systems, Inc. company
guaranty 9 3/4s, 2006 1,020,000
....................................................................................................
500,000 Leiner Health Products sr. sub. notes
9 5/8s, 2007 520,000
- ----------------------------------------------------------------------------------------------------
1,540,000
- ----------------------------------------------------------------------------------------------------
Motion Picture Distribution (0.1%)
....................................................................................................
575,000 Cinemark USA, Inc. sr. sub. notes
9 5/8s, 2008 602,313
- ----------------------------------------------------------------------------------------------------
Nursing Homes (0.1%)
....................................................................................................
490,000 Sun Healthcare Group, Inc. sr. sub.
notes Ser. B, 9 1/2s, 2007 396,900
- ----------------------------------------------------------------------------------------------------
Office Equipment (0.6%)
....................................................................................................
5,555,000 Newell Co. notes 6.35s, 2008 5,796,865
- ----------------------------------------------------------------------------------------------------
Oil and Gas (2.2%)
....................................................................................................
1,000,000 Chesapeake Energy Corp. company
guaranty Ser. B, 9 5/8s, 2005 770,000
....................................................................................................
500,000 Gulf Canada Resources Ltd. sr. sub. notes
9 5/8s, 2005 (Canada) 522,500
....................................................................................................
2,000,000 Imperial Oil Ltd. deb. 8 3/4s, 2019
(Canada) 2,122,940
....................................................................................................
10,000,000 Norsk Hydro AS deb. 7.15s, 2025
(Norway) 10,332,700
....................................................................................................
140,000 Ocean Energy, Inc. company guaranty
Ser. B, 8 7/8s, 2007 135,800
....................................................................................................
300,000 Ocean Energy, Inc. company guaranty
Ser. B, 8 3/8s, 2008 280,500
....................................................................................................
1,050,000 Petro Geo-Services AS ADR notes
7 1/2s, 2007 (Norway) 1,086,939
....................................................................................................
1,000,000 Snyder Oil Corp. sr. sub. notes
8 3/4s, 2007 960,000
....................................................................................................
5,000,000 Trans-Canada PipeLines Ltd. deb.
8 5/8s, 2012 (Canada) 5,963,450
- ----------------------------------------------------------------------------------------------------
22,174,829
- ----------------------------------------------------------------------------------------------------
Paging (0.1%)
....................................................................................................
1,000,000 Mobile Telecommunications Tech.
sr. notes 13 1/2s, 2002 1,120,000
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (0.3%)
....................................................................................................
710,000 Boise Cascade Co. med. term notes
Ser. A, 7.43s, 2005 701,445
....................................................................................................
1,000,000 Consumers International 144A sr. notes
10 1/4s, 2005 1,045,000
....................................................................................................
660,000 Repap New Brunswick sr. notes 9s,
2004 (Canada) 594,000
....................................................................................................
1,000,000 Riverwood International Corp. company
guaranty 10 1/4s, 2006 980,000
- ----------------------------------------------------------------------------------------------------
3,320,445
- ----------------------------------------------------------------------------------------------------
Publishing (0.4%)
....................................................................................................
1,000,000 American Media Operation, Inc. sr. sub.
notes 11 5/8s, 2004 1,025,000
....................................................................................................
2,000,000 Garden State Newspapers, Inc. sr. sub.
notes Ser. B, 8 3/4s, 2009 2,010,000
....................................................................................................
1,000,000 Hollinger International Publishing,
Inc. company guaranty 9 1/4s, 2007 1,050,000
- ----------------------------------------------------------------------------------------------------
4,085,000
- ----------------------------------------------------------------------------------------------------
REIT's (Real Estate Investment Trust) (0.5%)
....................................................................................................
970,000 EOP Operating L.P. sr. notes 6 3/4s, 2008 953,801
....................................................................................................
4,060,000 Equity Residential Properties notes
6.63s, 2005 4,006,246
- ----------------------------------------------------------------------------------------------------
4,960,047
- ----------------------------------------------------------------------------------------------------
Retail (0.4%)
....................................................................................................
1,000,000 Fred Meyer, Inc. company guaranty
7.45s, 2008 1,078,980
....................................................................................................
600,000 K mart Corp. med. term notes
7.76s, 2002 606,108
....................................................................................................
400,000 K mart Corp. med. term notes
7.74s, 2002 403,800
....................................................................................................
1,000,000 NBTY Inc. 144A sr. sub. notes
8 5/8s, 2007 975,000
....................................................................................................
500,000 William Carter Co. sr. sub. notes Ser. A,
10 3/8s, 2006 537,500
- ----------------------------------------------------------------------------------------------------
3,601,388
- ----------------------------------------------------------------------------------------------------
Satellite Services (--%)
....................................................................................................
60,000 TCI Satellite Entertainment, Inc. sr. sub.
notes 10 7/8s, 2007 19,200
- ----------------------------------------------------------------------------------------------------
Semiconductors (0.1%)
....................................................................................................
1,000,000 Fairchild Semiconductor Corp. sr. sub.
notes 10 1/8s, 2007 1,000,000
- ----------------------------------------------------------------------------------------------------
Specialty Consumer Products (0.5%)
....................................................................................................
4,980,000 US West Capital Funding, Inc. company
guaranty 6 1/4s, 2005 5,150,665
- ----------------------------------------------------------------------------------------------------
Telecommunications (1.1%)
....................................................................................................
1,000,000 Global Crossing Holdings, Ltd.
company guaranty 9 5/8s, 2008 1,045,000
....................................................................................................
600,000 Hyperion Telecommunications Corp.,
Inc. sr. notes Ser. B, 12 1/4s, 2004 606,000
....................................................................................................
1,210,000 Intermedia Communications, Inc. sr.
notes Ser. B, 8.6s, 2008 1,155,550
....................................................................................................
550,000 International Cabletel, Inc. sr. notes
stepped-coupon Ser. B, zero %
(11 1/2s, 2/01/01), 2006 (STP) 462,000
....................................................................................................
1,000,000 MetroNet Communications 12s, 2007 1,110,000
....................................................................................................
840,000 MetroNet Communications Corp. 144A
sr. notes 10 5/8s, 2008 890,400
....................................................................................................
290,000 NTL Inc. 144A sr. notes 11 1/2s, 2008
(United Kingdom) 316,100
....................................................................................................
1,000,000 NTL Inc. sr. notes Ser. B, 10s, 2007
(United Kingdom) 1,020,000
....................................................................................................
1,000,000 Qwest Communications International,
Inc. sr. disc. notes stepped-coupon
zero % (8.29s, 2/1/03), 2008 (STP) 750,000
....................................................................................................
2,905,000 Sprint Capital Corp. company guaranty
5.7s, 2003 2,905,291
....................................................................................................
1,000,000 Telecommunications Techniques, Inc.
company guaranty 9 3/4s, 2008 970,000
....................................................................................................
110,000 WinStar Equipment Corp. company
guaranty 12 1/2s, 2004 110,550
- ----------------------------------------------------------------------------------------------------
11,340,891
- ----------------------------------------------------------------------------------------------------
Telephone Services (0.8%)
....................................................................................................
4,025,000 Bell South Telecommunications notes
6s, 2002 4,130,697
....................................................................................................
1,000,000 Flag Ltd. 144A sr. notes 8 1/4s, 2008
(Bermuda) 980,000
....................................................................................................
2,000,000 ICG Services, Inc. sr. disc. notes
stepped-coupon zero % (9 7/8s,
5/1/03), 2008 (STP) 1,000,000
....................................................................................................
1,935,000 U S West, Inc. notes 5 5/8s, 2008 1,953,131
- ----------------------------------------------------------------------------------------------------
8,063,828
- ----------------------------------------------------------------------------------------------------
Tobacco (0.6%)
....................................................................................................
840,000 Philip Morris Cos., Inc. notes 7 1/2s, 2004 907,670
....................................................................................................
2,705,000 Philip Morris Cos., Inc. notes 7 1/4s, 2003 2,863,946
....................................................................................................
1,750,000 Philip Morris Cos., Inc. notes 7 1/8s, 2004 1,866,550
- ----------------------------------------------------------------------------------------------------
5,638,166
- ----------------------------------------------------------------------------------------------------
Utilities (1.0%)
....................................................................................................
3,610,000 Arizona Public Service Co. sr. notes
6 3/4s, 2006 3,808,694
....................................................................................................
1,415,000 CMS Energy Corp. sr. notes 8 1/8s, 2002 1,467,850
....................................................................................................
3,000,000 Monongahela Power Co. 1st mtge.
8 5/8s, 2021 3,169,680
....................................................................................................
1,670,000 Public Service of New Mexico Co.
sr. notes Ser. B, 7 1/2s, 2018 1,662,752
- ----------------------------------------------------------------------------------------------------
10,108,976
- ----------------------------------------------------------------------------------------------------
Wireless Communications (0.1%)
....................................................................................................
1,000,000 Allbritton Communications Co. sr.
sub. notes Ser. B, 8 7/8s, 2008 1,007,500
....................................................................................................
240,000 Comcast Cellular Holdings sr. notes
Ser. B, 9 1/2s, 2007 255,000
- ----------------------------------------------------------------------------------------------------
1,262,500
- ----------------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $382,683,988) $390,547,329
- ----------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (35.6%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
U.S. Government Agency Mortgage (28.5%)
....................................................................................................
$8,661,932 Federal Home Loan Mortgage Corp.
5 1/2s, with due dates from
March 1, 2011 to April 1, 2011 $8,553,657
....................................................................................................
35,305,000 Federal National Mortgage Association
6s, TBA, 2029 34,841,445
....................................................................................................
Federal National Mortgage Association
Pass-through Certificates
....................................................................................................
4,437,493 7s, Dwarf, with due dates from
January 1, 2008 to February 1, 2013 4,531,789
....................................................................................................
36,928,579 6 1/2s, with due dates from
April 1, 2024 to December 1, 2028 37,172,081
....................................................................................................
3,901,131 6 1/2s, Dwarf, with due dates from
February 1, 2013 to August 1, 2013 3,955,981
....................................................................................................
45,666,203 6s, Dwarf, with due dates from
July 1, 2012 to December 1, 2013 45,780,369
....................................................................................................
9,220,000 5.94s, med-term notes,
December 12, 2005 9,572,942
....................................................................................................
13,070,000 Government National Mortgage
Association 8s, TBA, January 15, 2029 13,584,566
....................................................................................................
Government National Mortgage
Association Pass-through Certificates
....................................................................................................
15,007,819 8s, with due dates from
July 15, 2024 to February 15, 2028 15,600,296
....................................................................................................
102,729 7 3/8s, June 20, 2022 104,511
....................................................................................................
82,770,814 7s, with due dates from
May 15, 2024 to December 15, 2028 84,686,355
....................................................................................................
27,465,033 6 1/2s, with due dates from
February 15, 2026 to
December 15, 2028 27,739,675
- ----------------------------------------------------------------------------------------------------
286,123,667
- ----------------------------------------------------------------------------------------------------
U.S. Treasury Obligations (7.1%)
....................................................................................................
U.S. Treasury Bonds
....................................................................................................
865,000 7 1/2s, November 15, 2024 1,120,988
....................................................................................................
22,040,000 6 1/8s, November 15, 2027 24,670,915
....................................................................................................
36,401,000 5 1/2s, August 15, 2028 38,101,655
....................................................................................................
1,140,000 5 1/4s, November 15, 2028 1,167,075
....................................................................................................
5,560,000 U.S. Treasury Notes 5 7/8s, 2002 (SEG) 5,778,897
- ----------------------------------------------------------------------------------------------------
70,839,530
- ----------------------------------------------------------------------------------------------------
Total U.S. Government and
Agency Obligations
(cost $354,871,013) $356,963,197
- ----------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (12.1%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$787,728 Amresco Commercial Mortgage Funding I
Ser. 97-C1, Class A1, 6.73s, 2029 $804,498
....................................................................................................
Chase Mortgage Finance Corp.
....................................................................................................
1,680,000 Ser. 98-S2, Class A14, 6 3/4s, 2028 1,691,025
....................................................................................................
3,146,416 Ser. 94-1, Class B2, 6.601s, 2025 3,089,387
....................................................................................................
Chase Mortgage Finance Corp. 144A
....................................................................................................
4,038,837 Ser. 94-1, Class B3, 6.601s, 2025 3,965,633
....................................................................................................
4,935,430 Ser. 94-1, Class B4, 6.601s, 2025 4,845,975
....................................................................................................
Commercial Mortgage Acceptance Corp.
....................................................................................................
7,710,000 Ser. 97-ML1, Class A3, 6.57s, 2007 8,067,792
....................................................................................................
2,000,000 Ser. 97-ML1, Class A2, 6.53s, 2007 2,079,375
....................................................................................................
6,510,000 Ser. 98-C2, Class A2, 6.03s, 2008 6,577,134
....................................................................................................
1,297,498 Fannie Mae Strip Ser. 299, Class 2,
IO, 6.5s, 2028 474,241
....................................................................................................
First Union-Lehman Brothers
Commercial Mortgage
....................................................................................................
3,705,000 Ser. 98-C2, Class D, 6.778s, 2013 3,525,105
....................................................................................................
1,625,000 Ser. 97-C2, Class A3, 6.65s, 2008 1,695,269
....................................................................................................
2,390,000 Ser. 98-C2, Class A2, 6.56s, 2008 2,481,119
....................................................................................................
70,055,713 Ser. 98-C2, Interest Only (IO), 0.816s,
2028 2,884,325
....................................................................................................
Freddie Mac Strip
....................................................................................................
4,275,991 Ser. 192, IO, 6.5s, 2026 952,119
....................................................................................................
1,297,498 Ser. 176, Principal Only (PO) zero %
2026 1,078,140
....................................................................................................
4,498,794 Ser. 177, PO, zero %, 2026 3,738,217
....................................................................................................
GMAC Commercial Mortgage
Securities Inc.
....................................................................................................
2,932,000 Ser. 98-C1, Class E, 7.153s, 2011 2,934,520
....................................................................................................
2,400,000 Ser. 98-11, Class 2A4, 6 3/4s, 2028 2,430,048
....................................................................................................
4,024,525 Ser. 98-C1, Class A1, 6.44s, 2030 4,122,780
....................................................................................................
3,060,000 Ser. 98-C2, Class A2, 6.42s, 2008 3,149,170
....................................................................................................
GS Mortgage Securities Corp. II
....................................................................................................
1,310,000 Ser. 98-GLII, Class D, 7.191s, 2031 1,274,384
....................................................................................................
890,000 Ser. 98-GLII, Class A2, 6.562s, 2031 923,653
....................................................................................................
3,142,000 Merrill Lynch Mortgage Investors, Inc.
Ser. 98-C2, Class D, 7.116s, 2030 3,130,218
....................................................................................................
Morgan Stanley Capital I
....................................................................................................
1,450,000 Ser. 96-WF1, Class A2, 7.218s, 2006 1,540,172
....................................................................................................
10,000,000 Ser. WF2, Class B, 6.63s, 2008 10,406,250
....................................................................................................
241,420 Morgan Stanley Mortgage Trust Ser. W,
Class 5, 9.05s, 2018 258,470
....................................................................................................
2,674,325 Paine Webber Mortgage Acceptance
Corp. Ser. 94-3, Class M1, 6 1/2s, 2024 2,719,873
....................................................................................................
Prudential Home Mortgage Securities
Co. 144A
....................................................................................................
3,200,000 Ser. 94-A, Class 3B3, 6.803s, 2024 3,001,000
....................................................................................................
4,717,898 Ser. 94-28, Class B1, 6.803s, 2001 4,707,579
....................................................................................................
9,000,000 Ser. 94-A, Class 1B3, 6.802s, 2024 8,811,564
....................................................................................................
2,557,106 Ser. 95-C, Class 2B, 7.84s, 2001 2,528,339
....................................................................................................
4,861,369 Ser. 93-31, Class B1, 6s, 2000 4,794,528
....................................................................................................
2,575,000 Residential Asset Securitization
Trust, Ser. 98-A12- A14, 8s, 2028 2,694,899
....................................................................................................
13,837,116 Securitized Asset Sales, Inc. Ser. 93-J,
Class 1B1, 6.808s, 2023 13,512,808
....................................................................................................
320,624 Travelers Mortgage Securities Corp.
coll. oblig. Ser. 1, Class Z2, 12s,
2014 355,893
- ----------------------------------------------------------------------------------------------------
Total Collateralized
Mortgage Obligations
(cost $114,084,323) $121,245,502
- ----------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (5.4%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$25,000,000 American Express Credit Account Master
Trust Ser. 96-1, Class A, 6.8s, 2003 $25,812,500
....................................................................................................
15,900,000 First USA, Ser. Mt-98-5, 5.735s, 2006 15,803,109
....................................................................................................
9,372,883 Green Tree Financial Corp. Ser. 93-3,
Class A5, 5 3/4s, 2018 9,355,262
....................................................................................................
2,664,974 Green Tree Recreational Equipment &
Cons. Ser. 98-A, Class A1C, 6.18s, 2019 2,698,182
- ----------------------------------------------------------------------------------------------------
Total Asset-Backed Securities
(cost $51,981,494) $53,669,053
- ----------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BONDS AND NOTES (3.1%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
DEM 5,520,000 Germany (Federal Republic of) Unity
Fund bonds 8s, 2002 $3,758,890
....................................................................................................
DEM 18,045,000 Germany (Federal Republic of) bonds
Ser. 98, 5 5/8s, 2028 12,217,461
....................................................................................................
$9,200,000 Ontario (Province of) sr. unsub.
5 1/2s, 2008 9,279,120
....................................................................................................
5,715,000 Quebec (Province of) deb. Ser. NN,
7 1/8s, 2024 6,240,323
- ----------------------------------------------------------------------------------------------------
Total Foreign Government
Bonds and Notes
(cost $28,996,590) $31,495,794
- ----------------------------------------------------------------------------------------------------
UNITS (--%)(a) (cost $140,000)
- ----------------------------------------------------------------------------------------------------
Number of Units Value
....................................................................................................
140,000 Birch Telecom, Inc. 144A units 14s, 2008 $128,800
- ----------------------------------------------------------------------------------------------------
PREFERRED STOCKS (0.3%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
1,645 Centaur Funding Corp 144A 9.08% pfd. $1,689,645
....................................................................................................
1,000,000 Fresenius Medical Capital Trust II
company guaranty, 7.875%, pfd. (Germany) 992,500
- ----------------------------------------------------------------------------------------------------
Total Preferred Stocks
(cost $2,627,500) $2,682,145
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (10.9%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$20,000,000 Corporate Receivables Corp., effective
yield of 5.4s, January 20, 1999 $19,943,000
....................................................................................................
10,000,000 Eureka Securitization, effective yield of
5.05s, February 10, 1999 9,943,889
....................................................................................................
25,000,000 Ford Motor Credit Corp., effective yield
of 4.99s, January 14, 1999 24,948,062
....................................................................................................
5,000,000 USA Capital Corp., effective yield of 5s,
January 28, 1999 4,981,250
....................................................................................................
49,106,000 Interest in $750,000,000 joint
tri-party repurchase agreement
dated December 31, 1998 with Goldman,
Sachs & Co. due January 4, 1999
with respect to various U.S. Treasury
obligations -- maturity value
of $49,131,644 for an effective yield
of 4.70%. 49,112,411
- ----------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $108,928,612) $108,928,612
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $1,044,313,520) (b) $1,065,660,432
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Buy at December 31, 1998
(aggregate face value $64,081,179)
- ----------------------------------------------------------------------------------------------------
Aggregate Delivery Unrealized
Market Value Face Value Date Appreciation
....................................................................................................
Deutschemarks $14,068,249 $13,997,691 2/17/99 $70,558
....................................................................................................
Deutschemarks 31,278,575 31,095,309 2/17/99 183,266
....................................................................................................
Deutschemarks 19,054,265 18,988,179 2/17/99 66,086
- ----------------------------------------------------------------------------------------------------
$319,910
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell at December 31, 1998
(aggregate face value $78,753,009)
- ----------------------------------------------------------------------------------------------------
Market Aggregate Delivery Unrealized
Value Face Value Date Depreciation
....................................................................................................
Deutschemarks $47,787,233 $47,532,857 2/17/99 $(254,376)
....................................................................................................
Deutschemarks 17,100,494 17,017,098 2/17/99 (83,396)
....................................................................................................
Deutschemarks 14,274,795 14,203,054 2/17/99 (71,741)
- ----------------------------------------------------------------------------------------------------
$(409,513)
- ----------------------------------------------------------------------------------------------------
Futures Contracts Outstanding at December 31, 1998
- ----------------------------------------------------------------------------------------------------
Aggregate Expiration Unrealized
Total Value Face Value Date Appreciation
- ----------------------------------------------------------------------------------------------------
U.S. Treasury 20 Yr.
Bond (Long). $19,039,406 $19,021,506 Mar. 99 $17,900
- ----------------------------------------------------------------------------------------------------
See page 240 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT Utilities Growth and Income Fund
Portfolio of investments owned
December 31, 1998
<CAPTION>
COMMON STOCKS (87.6%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Building and Construction (0.1%)
....................................................................................................
262,100 Willbros Group, Inc. (NON) $1,457,931
- ----------------------------------------------------------------------------------------------------
Cellular Communications (0.3%)
....................................................................................................
191,900 PT Indosat ADR (Indonesia) 2,338,781
....................................................................................................
6,900 Tele Celular Sul Participacoes S.A.
(Brazil) (NON) 120,319
....................................................................................................
1,340 Tele Leste Celular Participacoes S.A.
(Brazil) 38,023
....................................................................................................
3,450 Tele Nordeste Celular Participacoes
S.A. ADR (Brazil) 63,825
....................................................................................................
1,340 Tele Norte Celular Participacoes S.A.
ADR (Brazil) (NON) 30,234
....................................................................................................
13,900 Tele Sudeste Celular Participacoes
S.A. ADR (Brazil) 287,556
....................................................................................................
3,450 Telemig Celular Participacoes S.A.
ADR (Brazil) (NON) 73,313
....................................................................................................
27,700 Telesp Celular Participacoes S.A. ADR
(Brazil) 484,750
- ----------------------------------------------------------------------------------------------------
3,436,801
- ----------------------------------------------------------------------------------------------------
Conglomerates (0.4%)
....................................................................................................
88,000 Ogden Corp. 2,205,500
....................................................................................................
62,600 Southwest Gas Corp. 1,682,375
- ----------------------------------------------------------------------------------------------------
3,887,875
- ----------------------------------------------------------------------------------------------------
Construction (0.1%)
....................................................................................................
56,500 Centrais Electricas Bras S. A. (Brazil) 972,848
- ----------------------------------------------------------------------------------------------------
Electric Utilities (34.4%)
....................................................................................................
84,800 Ameren Corp. 3,619,900
....................................................................................................
159,900 Baltimore Gas & Electric Co. 4,936,913
....................................................................................................
168,600 Carolina Power & Light Co. 7,934,738
....................................................................................................
55,400 Centrais Geradoras do Sul do Brasil
SA (Brazil) 72,460
....................................................................................................
13,950 Chilectra S.A. 144A ADR (Chile) 303,413
....................................................................................................
240,200 CiNergy Corp. 8,256,875
....................................................................................................
134,200 CMS Energy Corp. Class G 3,388,550
....................................................................................................
68,988 Companhia Energetica de Minas Gerais
ADR (Brazil) 1,328,019
....................................................................................................
182,300 Companhia Paranaense de
Energia-Copel ADR (Brazil) (NON) 1,298,888
....................................................................................................
166,800 Conectiv, Inc. 4,086,600
....................................................................................................
170,100 Consolidated Edison, Inc. 8,994,038
....................................................................................................
144,200 Dominion Resources, Inc. 6,741,350
....................................................................................................
464,800 DPL, Inc. 10,051,300
....................................................................................................
655,002 Duke Energy Corp. 41,961,066
....................................................................................................
389,660 Edison International 10,861,773
....................................................................................................
33,800 EDP-Electricidade de Portugal, S.A. ADR
(Portugal) (NON) 1,506,213
....................................................................................................
9,610 Eletropaulo Metropolitana S.A. (Brazil) 445,497
....................................................................................................
9,610 Empresa Bandeirante de Energia S.A.
(Brazil) 103,419
....................................................................................................
9,610 Empresa Paulista de Transmissao de
Energia Electrica S.A. (Brazil) 27,684
....................................................................................................
182,300 Energy East Corp. 10,299,950
....................................................................................................
484,100 Entergy Corp. 15,067,613
....................................................................................................
153,600 Florida Progress Corp. 6,883,200
....................................................................................................
142,900 GPU, Inc. 6,314,394
....................................................................................................
56,500 Hawaiian Electric Industries, Inc. 2,274,125
....................................................................................................
266,500 Houston Industries, Inc. 8,561,313
....................................................................................................
349,800 Iberdola S.A. (Spain) (NON) 6,544,423
....................................................................................................
349,800 Korea Electric Power Corp. (South Korea) 8,686,700
....................................................................................................
5,700 Light Participacoes, S.A. (Brazil) 3,020
....................................................................................................
58,300 MidAmerican Energy Holdings Co. 1,566,813
....................................................................................................
279,800 New Century Energies, Inc. 13,640,250
....................................................................................................
73,800 New England Electric Systems Inc. 3,551,625
....................................................................................................
416,200 NIPSCO Industries, Inc. 12,668,088
....................................................................................................
647,100 Northeast Utilities Co. (NON) 10,353,600
....................................................................................................
232,900 OGE Energy Corp. (NON) 6,754,100
....................................................................................................
347,800 P P & L Resources, Inc. 9,694,925
....................................................................................................
381,500 PacifiCorp 8,035,344
....................................................................................................
239,500 Peco Energy Co. 9,969,188
....................................................................................................
88,500 Pinnacle West Capital Corp. 3,750,188
....................................................................................................
246,000 Potomac Electric Power Co. 6,472,875
....................................................................................................
157,980 Puget Sound Energy, Inc. 4,403,693
....................................................................................................
220,600 Scana Corp. 7,114,350
....................................................................................................
326,898 Scottish Power PLC (United Kingdom) 3,346,023
....................................................................................................
324,800 Sierra Pacific Resources 12,342,400
....................................................................................................
79,300 Southern Co. 2,304,656
....................................................................................................
146,700 Teco Energy, Inc. 4,135,106
....................................................................................................
242,600 Texas Utilities Co. 11,326,388
....................................................................................................
305,400 TNP Enterprises, Inc. 11,586,113
....................................................................................................
197,600 Union Electrica Fenosa S.A. (Spain) 3,418,420
....................................................................................................
56,500 UniSource Energy Corp. (NON) 762,750
....................................................................................................
113,100 United Illuminating Co. 5,824,650
....................................................................................................
92,000 Utilicorp United, Inc. 3,375,250
....................................................................................................
417,600 Wisconsin Energy Corp. 13,128,300
- ----------------------------------------------------------------------------------------------------
350,078,529
- ----------------------------------------------------------------------------------------------------
Energy-Related (0.7%)
....................................................................................................
9,610 Empresa Metropolitana de Aguas
Energia S.A. (Brazil) 9,944
....................................................................................................
239,200 KeySpan Energy 7,415,200
- ----------------------------------------------------------------------------------------------------
7,425,144
- ----------------------------------------------------------------------------------------------------
Gas Pipelines (4.4%)
....................................................................................................
368,300 Coastal Corp. (NON) 12,867,481
....................................................................................................
378,000 Dynegy, Inc. 4,134,375
....................................................................................................
349,800 Enron Corp. 19,960,463
....................................................................................................
135,400 Sonat, Inc. 3,664,263
....................................................................................................
133,300 Williams Cos., Inc. 4,157,294
- ----------------------------------------------------------------------------------------------------
44,783,876
- ----------------------------------------------------------------------------------------------------
Gas Utilities (16.0%)
....................................................................................................
238,800 AGL Resources, Inc. 5,507,325
....................................................................................................
281,000 Atmos Energy Corp. 9,062,250
....................................................................................................
140,100 Bay State Gas Co. 5,577,731
....................................................................................................
131,000 Cascade Natural Gas Corp. 2,374,375
....................................................................................................
139,800 Central Hudson Gas & Electric 6,256,050
....................................................................................................
216,200 Columbia Gas System, Inc. 12,485,550
....................................................................................................
93,300 Connecticut Energy Corp. (NON) 2,845,650
....................................................................................................
248,200 Eastern Enterprises 10,858,750
....................................................................................................
366,700 Energen Corp. 7,150,650
....................................................................................................
67,900 Equitable Resources, Inc. 1,977,588
....................................................................................................
56,966 Indiana Energy, Inc. (NON) 1,402,788
....................................................................................................
208,300 K N Energy, Inc. (NON) 7,576,913
....................................................................................................
82,400 Laclede Gas Co. 2,204,200
....................................................................................................
203,200 MCN Corp. 3,873,500
....................................................................................................
208,600 National Fuel Gas Co. 9,426,113
....................................................................................................
42,600 New Jersey Resources Corp. 1,682,700
....................................................................................................
189,900 NICOR Inc. 8,023,275
....................................................................................................
281,200 Northwest Natural Gas Co. 7,276,050
....................................................................................................
143,200 NUI Corp. 3,839,550
....................................................................................................
195,200 ONEOK, Inc. 7,051,600
....................................................................................................
135,400 Peoples Energy Corp. 5,399,075
....................................................................................................
116,000 Piedmont Natural Gas Co., Inc. 4,190,500
....................................................................................................
39,500 Providence Energy Corp. 829,500
....................................................................................................
122,600 Public Service Co. of North Carolina, Inc. 3,187,600
....................................................................................................
146,700 Questar Corp. (NON) 2,842,313
....................................................................................................
506,255 Sempra Energy 12,846,221
....................................................................................................
46,500 South Jersey Industries, Inc. 1,217,719
....................................................................................................
175,000 Transportadora de Gas del Sur ADR
(Argentina) (NON) 1,771,875
....................................................................................................
116,700 Washington Gas Light Co. 3,165,488
....................................................................................................
157,900 Westcoast Energy, Inc. 3,138,263
....................................................................................................
179,300 WICOR, Inc. (NON) 3,910,981
....................................................................................................
119,100 Yankee Energy System, Inc. 3,468,788
- ----------------------------------------------------------------------------------------------------
162,420,931
- ----------------------------------------------------------------------------------------------------
Oil and Gas (1.1%)
....................................................................................................
319,400 El Paso Energy Corp. 11,119,113
....................................................................................................
17,000 Mitchell Energy & Development Corp.
Class B 197,625
- ----------------------------------------------------------------------------------------------------
11,316,738
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (1.4%)
....................................................................................................
243,100 Pharmacia & Upjohn, Inc. 13,765,538
- ----------------------------------------------------------------------------------------------------
REIT's (Real Estate Investment Trust) (0.9%)
....................................................................................................
200,933 Equity Office Properties Trust 4,822,392
....................................................................................................
100,900 Equity Residential Properties Trust 4,080,144
- ----------------------------------------------------------------------------------------------------
8,902,536
- ----------------------------------------------------------------------------------------------------
Retail (0.1%)
....................................................................................................
75,200 Toys "R" US, Inc. (NON) 1,269,000
- ----------------------------------------------------------------------------------------------------
Satellite Services (0.3%)
....................................................................................................
209,200 Hellenic Telecommunication
Organization SA ADR (Greece) (NON) 2,771,900
- ----------------------------------------------------------------------------------------------------
Telecommunications (1.0%)
....................................................................................................
50,090 ALLTEL Corp. 2,996,008
....................................................................................................
85,300 Royal PTT Nederland N.V. ADR
(Netherlands) 4,286,325
....................................................................................................
318,133 Telecom Italia SPA (Italy) 2,716,286
- ----------------------------------------------------------------------------------------------------
9,998,619
- ----------------------------------------------------------------------------------------------------
Telephone Services (2.8%)
....................................................................................................
64,000 British Telecommunications PLC ADR
(United Kingdom) 9,708,000
....................................................................................................
299,200 Cincinnati Bell, Inc. 11,313,500
....................................................................................................
69,300 Embratel Participacoes S.A. ADR (Brazil) (NON) 965,869
....................................................................................................
56,500 Philippine Long Distance Telephone Co.
ADR (Philippines) 1,465,469
....................................................................................................
124,200 PT Telekomunikasi Indonesia ADR
(Indonesia) 807,300
....................................................................................................
10,000 Sonera Group GDR 144A (Finland) 702,500
....................................................................................................
23,133 Tele Centro Oeste Celular Participacoes
ADR (Brazil) (NON) 67,953
....................................................................................................
13,900 Tele Centro Sul Participacoes S.A.
(Brazil) (NON) 581,194
....................................................................................................
69,300 Tele Norte Leste Participacoes S.A. ADR
(Brazil) (NON) 861,919
....................................................................................................
69,300 Telesp Participacoes S.A. ADR (Brazil) 1,533,263
- ----------------------------------------------------------------------------------------------------
28,006,967
- ----------------------------------------------------------------------------------------------------
Telephone Utilities (23.4%)
....................................................................................................
649,200 American Telephone & Telegraph Co. 48,852,300
....................................................................................................
396,300 Ameritech Corp. 25,115,513
....................................................................................................
486,056 Bell Atlantic Corp. 25,760,968
....................................................................................................
686,400 BellSouth Corp. 34,234,200
....................................................................................................
58,300 Cable & Wireless PLC ADR
(United Kingdom) 2,142,525
....................................................................................................
236,900 GTE Corp. 15,398,500
....................................................................................................
50,800 Portugal Telecom S.A. ADR (Portugal) 2,266,950
....................................................................................................
894,000 SBC Communications, Inc. 47,940,750
....................................................................................................
219,600 Sprint Corp. 18,473,850
....................................................................................................
69,300 Telebras Co. ADR (Brazil) 7,580
....................................................................................................
56,500 Telecom Argentina S.A. ADR (Argentina) 1,553,750
....................................................................................................
27,330 Telecom Corp. of New Zealand Ltd.
(New Zealand) 490,232
....................................................................................................
50,800 Telecom Corp. of New Zealand Ltd. ADR
(New Zealand) 1,812,925
....................................................................................................
11,600 Telefonica de Argentina S.A. ADR
(Argentina) 324,075
....................................................................................................
181,000 Telefonica del Peru S.A. ADR (Peru) 2,296,438
....................................................................................................
175,000 U S West, Inc. 11,309,375
- ----------------------------------------------------------------------------------------------------
237,979,931
- ----------------------------------------------------------------------------------------------------
Water Utilities (0.2%)
....................................................................................................
59,600 American Water Works, Inc. 2,011,500
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $634,844,227) $890,486,664
- ----------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES (7.5%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
Combined Utilities (0.3%)
....................................................................................................
$2,000,000 PG&E Gas Transmission Northwest
sr. notes 7.1s, 2005 2,173,220
....................................................................................................
1,100,000 Public Service Electric & Gas Co.
1st mortgage 6 1/2s, 2000 1,113,684
- ----------------------------------------------------------------------------------------------------
3,286,904
- ----------------------------------------------------------------------------------------------------
Consumer Services (0.2%)
....................................................................................................
1,500,000 Pennsylvania American Water Co. 144A
mtge. 7.8s, 2026 1,678,545
- ----------------------------------------------------------------------------------------------------
Electric Utilities (3.9%)
....................................................................................................
2,000,000 Arizona Public Service Co. notes
6 1/4s, 2005 2,042,460
....................................................................................................
1,200,000 CMS Energy Corp. pass through
certificates 7s, 2005 1,189,740
....................................................................................................
2,000,000 Consolidated Edison, Inc. deb. 6.45s, 2007 2,125,980
....................................................................................................
2,493,000 Commonwealth Edison Co. 1st mtge.
Ser. 83, 8s, 2008 2,855,507
....................................................................................................
1,000,000 Connecticut Light & Power Co. 1st mtge.
Ser. D, 7 7/8s, 2024 1,037,400
....................................................................................................
1,005,000 Connecticut Light & Power Co. 1st mtge.
Ser. A, 5 1/2s, 1999 1,005,121
....................................................................................................
1,492,000 Duquesne Light Co. deb. 8.7s, 2016 1,848,871
....................................................................................................
3,000,000 Hydro Quebec, local government
guaranty, Ser HY, 8.4s, 2022 (Canada) 3,731,880
....................................................................................................
2,000,000 Israel Electric Corp., Ltd. 144A sr. notes
7 1/4s, 2006 (Israel) 2,011,860
....................................................................................................
1,000,000 Kansas Gas & Electric deb. 8.29s, 2016 1,126,210
....................................................................................................
2,000,000 Niagara Mohawk Power Corp. sr. notes
Ser. G, 7 3/4s, 2008 2,185,580
....................................................................................................
1,500,000 Ohio Edison Co. 1st mtge. 8 1/4s, 2002 1,610,715
....................................................................................................
1,146,000 Otter Tail Power Co. 1st mtge.
7 1/4s, 2002 1,212,308
....................................................................................................
2,000,000 Public Service Co. of Colorado coll. trust
6 3/8s, 2005 2,063,040
....................................................................................................
1,500,000 Sierra Pacific Power Co. med. term notes
Ser. C, 6.82s, 2006 1,597,230
....................................................................................................
2,750,000 Southern California Edison Co. notes
6 1/2s, 2001 2,821,363
....................................................................................................
2,000,000 Teco Energy, Inc. notes 5.54s, 2001 1,974,000
....................................................................................................
1,000,000 Texas Utilities Co. secd. lease fac. bonds
7.46s, 2015 1,100,660
....................................................................................................
1,600,000 Texas Utilities Electric Capital Trust V
company guaranty 8.175s, 2037 1,789,008
....................................................................................................
2,000,000 Utilicorp United, Inc. sr. notes 8.2s, 2007 2,261,900
....................................................................................................
2,000,000 Western Resources, Inc. sr. notes
6 7/8s, 2004 2,099,240
- ----------------------------------------------------------------------------------------------------
39,690,073
- ----------------------------------------------------------------------------------------------------
Energy-Related (0.1%)
....................................................................................................
1,000,000 CalEnergy, Inc. sr. notes 7.63s, 2007 1,071,100
....................................................................................................
380,000 KN Capital Trust III company guaranty
7.63s, 2028 358,150
- ----------------------------------------------------------------------------------------------------
1,429,250
- ----------------------------------------------------------------------------------------------------
Financial Services (0.4%)
....................................................................................................
825,000 Salton Sea Funding Corp. company
guaranty Ser. E, 8.3s, 2011 916,493
....................................................................................................
2,660,000 Southern Investments Service Co.
sr. notes 6.8s, 2006 (United Kingdom) 2,751,797
- ----------------------------------------------------------------------------------------------------
3,668,290
- ----------------------------------------------------------------------------------------------------
Gas Utilities (0.2%)
....................................................................................................
2,390,000 K N Energy, Inc. sr. notes 6.45s, 2003 2,403,719
- ----------------------------------------------------------------------------------------------------
Oil and Gas (0.7%)
....................................................................................................
2,000,000 Coastal Corp. deb. 6 1/2s, 2008 2,050,100
....................................................................................................
1,500,000 Columbia Gas System, Inc. notes Ser. E,
7.32s, 2010 1,595,985
....................................................................................................
1,250,000 Louis Dreyfus Natural Gas notes
6 7/8s, 2007 1,188,175
....................................................................................................
1,500,000 Southwest Gas Corp. deb. 7 1/2s, 2006 1,690,875
- ----------------------------------------------------------------------------------------------------
6,525,135
- ----------------------------------------------------------------------------------------------------
Telephone Services (1.1%)
....................................................................................................
2,000,000 Century Telephone Enterprises, Inc.
deb. Ser. G, 6 7/8s, 2028 2,061,540
....................................................................................................
2,650,000 LCI International, Inc. sr. notes
7 1/4s, 2007 2,683,178
....................................................................................................
2,000,000 Sprint Capital Corp. company guaranty
6 7/8s, 2028 2,078,600
....................................................................................................
1,200,000 U S West, Inc. notes 5 5/8s, 2008 1,211,244
....................................................................................................
2,750,000 WorldCom, Inc. notes 7 3/4s, 2007 3,106,538
- ----------------------------------------------------------------------------------------------------
11,141,100
- ----------------------------------------------------------------------------------------------------
Telephone Utilities (0.3%)
....................................................................................................
2,650,000 Bell Atlantic Corp. deb. 7 7/8s, 2029 3,268,616
- ----------------------------------------------------------------------------------------------------
Utilities (0.3%)
....................................................................................................
1,000,000 Australian Gas & Light Co.144A sr. notes
6 3/8s, 2003 (Australia) 1,018,620
....................................................................................................
2,000,000 Public Service Co. of New Mexico
sr. notes Ser. A, 7.1s, 2005 2,012,100
- ----------------------------------------------------------------------------------------------------
3,030,720
- ----------------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $72,987,534) $76,122,352
- ----------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (1.7%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
U.S. Treasury Obligations (1.7%)
....................................................................................................
$1,575,000 U.S. Treasury Bonds 6 1/8s,
November 15, 2027 $1,763,008
....................................................................................................
U.S. Treasury Notes
....................................................................................................
11,905,000 6 1/4s, June 30, 2002 12,496,519
....................................................................................................
3,110,000 5 5/8s, May 15, 2008 3,318,463
- ----------------------------------------------------------------------------------------------------
Total U.S. Government and
Agency Obligations
(cost $17,138,864) $17,577,990
- ----------------------------------------------------------------------------------------------------
PREFERRED STOCKS (0.4%) (a)
- ----------------------------------------------------------------------------------------------------
Number Of Shares Value
....................................................................................................
110,000 Bankers Trust New York Corp. Ser. Q,
$1.125 Adjustable Rate Preferred (ARP) (CUS) $2,543,750
....................................................................................................
1,500 Centaur Funding Corp 144A 9.08% pfd. 1,540,710
- ----------------------------------------------------------------------------------------------------
Total Preferred Stocks
(cost $4,250,000) $4,084,460
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (2.6%) (cost $ 26,793,572) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$26,790,000 Interest in $456,109,000 joint repurchase
agreement dated December 31, 1998
with Mertill Lynch, Pierce, Fenner and
Smith, Inc. due January 4, 1999 with
respect to various U.S. Treasury
obligations - maturity value of
$26,804,288 for an effective yield
of 4.80% $26,793,572
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $756,014,197) (b) $1,015,065,038
- ----------------------------------------------------------------------------------------------------
See page 240 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT Vista Fund
Portfolio of investments owned
December 31, 1998
<CAPTION>
COMMON STOCKS (97.5%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Advertising (1.1%)
....................................................................................................
61,500 Omnicom Group, Inc. $3,567,000
- ----------------------------------------------------------------------------------------------------
Apparel (0.5%)
....................................................................................................
27,100 Tommy Hilfiger Corp. (NON) 1,626,000
- ----------------------------------------------------------------------------------------------------
Banks (4.7%)
....................................................................................................
46,664 Firstar Corp. 4,351,418
....................................................................................................
3,964 M & T Bank Corp. 2,057,068
....................................................................................................
53,100 Northern Trust Corp. 4,636,294
....................................................................................................
61,100 Zions Bancorp 3,811,113
- ----------------------------------------------------------------------------------------------------
14,855,893
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (1.1%)
....................................................................................................
61,900 Danaher Corp. 3,361,944
- ----------------------------------------------------------------------------------------------------
Broadcasting (2.0%)
....................................................................................................
76,900 Chancellor Media Corp. (NON) 3,681,588
....................................................................................................
48,500 Clear Channel Communications, Inc. (NON) 2,643,250
- ----------------------------------------------------------------------------------------------------
6,324,838
- ----------------------------------------------------------------------------------------------------
Business Services (2.9%)
....................................................................................................
76,910 Cintas Corp. 5,417,336
....................................................................................................
69,600 Paychex, Inc. 3,580,050
- ----------------------------------------------------------------------------------------------------
8,997,386
- ----------------------------------------------------------------------------------------------------
Cable Television (4.5%)
....................................................................................................
55,000 Cablevision Systems Corp. Class A (NON) 2,760,313
....................................................................................................
80,900 Comcast Corp. Class A 4,747,819
....................................................................................................
69,800 Tele-Comm Liberty Media Group, Inc.
Class A (NON) 3,215,163
....................................................................................................
145,600 Tele-Communications TCI Ventures
Group Class A (NON) 3,430,700
- ----------------------------------------------------------------------------------------------------
14,153,995
- ----------------------------------------------------------------------------------------------------
Cellular Communications (0.7%)
....................................................................................................
32,150 Cellular Communications
International, Inc. (NON) 2,186,200
- ----------------------------------------------------------------------------------------------------
Computer Equipment (3.6%)
....................................................................................................
80,900 Computer Sciences Corp. (NON) 5,212,994
....................................................................................................
19,800 EMC Corp. (NON) 1,683,000
....................................................................................................
44,100 Lexmark International Group, Inc.
Class A (NON) 4,432,050
- ----------------------------------------------------------------------------------------------------
11,328,044
- ----------------------------------------------------------------------------------------------------
Computer Services (3.8%)
....................................................................................................
47,940 Comverse Technology, Inc. (NON) 3,403,740
....................................................................................................
95,300 Fiserv, Inc. (NON) 4,901,994
....................................................................................................
92,200 SunGard Data Systems, Inc. (NON) 3,659,188
- ----------------------------------------------------------------------------------------------------
11,964,922
- ----------------------------------------------------------------------------------------------------
Computer Software (10.0%)
....................................................................................................
45,000 Aspect Development, Inc. (NON) 1,994,063
....................................................................................................
52,200 BMC Software, Inc. (NON) 2,326,163
....................................................................................................
45,700 Cadence Design Systems, Inc. (NON) 1,359,575
....................................................................................................
36,400 Citrix Systems, Inc. (NON) 3,533,075
....................................................................................................
20,700 Compuware Corp. (NON) 1,617,188
....................................................................................................
61,500 Intuit, Inc. (NON) 4,458,750
....................................................................................................
42,500 Legato Systems, Inc. (NON) 2,802,344
....................................................................................................
71,200 Netscape Communications Corp. (NON) 4,325,400
....................................................................................................
87,400 Parametric Technology Corp. (NON) 1,420,250
....................................................................................................
79,700 Sterling Commerce, Inc. (NON) 3,586,500
....................................................................................................
64,300 VERITAS Software Corp. (NON) 3,853,981
- ----------------------------------------------------------------------------------------------------
31,277,289
- ----------------------------------------------------------------------------------------------------
Computers (0.9%)
....................................................................................................
53,000 Gateway 2000, Inc. (NON) 2,712,938
- ----------------------------------------------------------------------------------------------------
Consumer Durable Goods (1.7%)
....................................................................................................
113,700 Furniture Brands International, Inc. (NON) 3,098,325
....................................................................................................
80,500 Herman Miller, Inc. 2,163,438
- ----------------------------------------------------------------------------------------------------
5,261,763
- ----------------------------------------------------------------------------------------------------
Cosmetics (1.7%)
....................................................................................................
61,400 Estee Lauder Cos. Class A 5,249,700
- ----------------------------------------------------------------------------------------------------
Education Services (0.8%)
....................................................................................................
73,440 Apollo Group, Inc. Class A (NON) 2,487,780
- ----------------------------------------------------------------------------------------------------
Electric Utilities (1.3%)
....................................................................................................
28,700 Florida Progress Corp. 1,286,119
....................................................................................................
27,100 IPALCO Enterprises, Inc. 1,502,356
....................................................................................................
36,000 Scana Corp. 1,161,000
- ----------------------------------------------------------------------------------------------------
3,949,475
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (8.1%)
....................................................................................................
94,000 American Power Conversion Corp. (NON) 4,553,125
....................................................................................................
49,400 Jabil Circuit, Inc. (NON) 3,686,475
....................................................................................................
63,900 Micron Technology, Inc. (NON) 3,230,944
....................................................................................................
37,600 Molex Inc. 1,433,500
....................................................................................................
42,500 SCI Systems, Inc. (NON) 2,454,375
....................................................................................................
53,800 Seagate Technology, Inc. (NON) 1,627,450
....................................................................................................
30,700 Solectron Corp. (NON) 2,853,181
....................................................................................................
64,700 Teradyne, Inc. (NON) 2,741,663
....................................................................................................
30,700 Waters Corp. (NON) 2,678,575
- ----------------------------------------------------------------------------------------------------
25,259,288
- ----------------------------------------------------------------------------------------------------
Environmental Control (0.2%)
....................................................................................................
21,650 Allied Waste Industries, Inc. (NON) 511,481
- ----------------------------------------------------------------------------------------------------
Financial Services (4.5%)
....................................................................................................
21,400 Capital One Financial Corp. 2,461,000
....................................................................................................
63,500 Finova Group, Inc. 3,425,031
....................................................................................................
74,800 Greenpoint Financial Corp. 2,627,350
....................................................................................................
48,500 Providian Financial Corp. 3,637,500
....................................................................................................
29,900 State Street Corp. 2,079,919
- ----------------------------------------------------------------------------------------------------
14,230,800
- ----------------------------------------------------------------------------------------------------
Gas Pipelines (0.6%)
....................................................................................................
53,000 Coastal Corp. 1,851,688
- ----------------------------------------------------------------------------------------------------
Health Care (0.8%)
....................................................................................................
38,000 AmeriSource Health Corp. Class A (NON) 2,470,000
- ----------------------------------------------------------------------------------------------------
Hospital Management (0.6%)
....................................................................................................
81,075 Health Management Assoc., Inc. (NON) 1,753,247
- ----------------------------------------------------------------------------------------------------
Insurance (1.0%)
....................................................................................................
57,800 Hartford Financial Services Group (ITT) 3,171,775
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (5.7%)
....................................................................................................
85,800 Bergen Brunswig Corp. Class A 2,992,275
....................................................................................................
74,000 Biomet, Inc. 2,978,500
....................................................................................................
64,700 Henry Schein, Inc. (NON) 2,895,325
....................................................................................................
63,900 McKesson Corp. 5,052,094
....................................................................................................
27,500 Omnicare, Inc. 955,625
....................................................................................................
23,900 Sofamor Danek Group, Inc. (NON) 2,909,825
- ----------------------------------------------------------------------------------------------------
17,783,644
- ----------------------------------------------------------------------------------------------------
Networking (0.9%)
....................................................................................................
65,100 3Com Corp. (NON) 2,917,294
- ----------------------------------------------------------------------------------------------------
Networking Equipment (2.3%)
....................................................................................................
95,500 Ascend Communications, Inc. (NON) 6,279,125
....................................................................................................
17,000 Network Appliance, Inc. (NON) 765,000
- ----------------------------------------------------------------------------------------------------
7,044,125
- ----------------------------------------------------------------------------------------------------
Oil and Gas (0.7%)
....................................................................................................
57,800 Burlington Resources Inc. 2,069,963
- ----------------------------------------------------------------------------------------------------
Packaging and Containers (0.5%)
....................................................................................................
29,100 Sealed Air Corp. (NON) 1,485,919
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (5.8%)
....................................................................................................
25,680 Agouron Pharmaceuticals, Inc. (NON) 1,508,700
....................................................................................................
53,400 Elan Corp. PLC ADR (Ireland) (NON) 3,714,638
....................................................................................................
59,100 IDEXX Laboratories, Inc. (NON) 1,590,159
....................................................................................................
27,500 Perkin-Elmer Corp. (The) 2,682,969
....................................................................................................
61,900 Quintiles Transnational Corp. (NON) 3,303,913
....................................................................................................
85,000 Watson Pharmaceuticals, Inc. (NON) 5,344,375
- ----------------------------------------------------------------------------------------------------
18,144,754
- ----------------------------------------------------------------------------------------------------
Publishing (1.5%)
....................................................................................................
44,900 McGraw-Hill, Inc. 4,574,188
- ----------------------------------------------------------------------------------------------------
Recreation (0.8%)
....................................................................................................
69,600 Royal Caribbean Cruises Ltd. 2,575,200
- ----------------------------------------------------------------------------------------------------
REIT's (Real Estate Investment Trust) (0.6%)
....................................................................................................
86,200 Starwood Lodging Trust 1,955,663
- ----------------------------------------------------------------------------------------------------
Restaurants (1.1%)
....................................................................................................
68,000 Tricon Global Restaurants, Inc. (NON) 3,408,500
- ----------------------------------------------------------------------------------------------------
Retail (10.4%)
....................................................................................................
25,900 Abercrombie & Fitch Co. Class A (NON) 1,832,425
....................................................................................................
92,200 Bed Bath & Beyond, Inc. (NON) 3,146,325
....................................................................................................
50,600 Costco Cos., Inc. (NON) 3,652,688
....................................................................................................
247,300 Family Dollar Stores, Inc. 5,440,600
....................................................................................................
61,900 Fred Meyer, Inc. (NON) 3,729,475
....................................................................................................
81,700 Linens 'N Things, Inc. (NON) 3,237,363
....................................................................................................
122,200 Office Depot, Inc. (NON) 4,513,763
....................................................................................................
55,800 Staples, Inc. (NON) 2,437,763
....................................................................................................
160,200 TJX Cos., Inc. (The) 4,645,800
- ----------------------------------------------------------------------------------------------------
32,636,202
- ----------------------------------------------------------------------------------------------------
Semiconductors (2.2%)
....................................................................................................
50,600 Analog Devices, Inc. (NON) 1,587,575
....................................................................................................
48,100 KLA Tencor Corp. (NON) 2,086,338
....................................................................................................
32,400 Novellus Systems, Inc. (NON) 1,603,800
....................................................................................................
23,900 Xilinx, Inc. (NON) 1,556,488
- ----------------------------------------------------------------------------------------------------
6,834,201
- ----------------------------------------------------------------------------------------------------
Telecommunication Equipment (1.4%)
....................................................................................................
131,900 General Instrument Corp. (NON) 4,476,356
- ----------------------------------------------------------------------------------------------------
Telecommunications (2.9%)
....................................................................................................
40,900 Cox Communications, Inc. (NON) 2,827,213
....................................................................................................
123,000 Qwest Communications International, Inc. (NON) 6,150,000
- ----------------------------------------------------------------------------------------------------
8,977,213
- ----------------------------------------------------------------------------------------------------
Telephone Services (1.2%)
....................................................................................................
102,900 Cincinnati Bell, Inc. 3,890,906
- ----------------------------------------------------------------------------------------------------
Textiles (2.4%)
....................................................................................................
81,420 Mohawk Industries, Inc. (NON) 3,424,729
....................................................................................................
126,500 Westpoint Stevens, Inc. (NON) 3,992,656
- ----------------------------------------------------------------------------------------------------
7,417,385
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $229,008,803) $304,744,959
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (4.4%)(a) (cost $13,711,828) Value
- ----------------------------------------------------------------------------------------------------
Principal Amount
....................................................................................................
$13,710,000 Interest in $456,109,000 joint repurchase
agreement dated December 31, 1998
with Merrill Lynch, Pierce, Fenner and
Smith, Inc. due January 4, 1999 with respect
to various U.S. Treasury obligations --
maturity value of $13,717,312 for an
effective yield of 4.80% $13,711,828
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $242,720,631) (b) $318,456,787
- ----------------------------------------------------------------------------------------------------
See page 240 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam VT Voyager Fund
Portfolio of investments owned
December 31, 1998
<CAPTION>
COMMON STOCKS (98.5%) (a)
- ----------------------------------------------------------------------------------------------------
Number Of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Advertising (1.7%)
....................................................................................................
383,303 Lamar Advertising Co. (NON) $14,278,037
....................................................................................................
495,668 Omnicom Group, Inc. 28,748,744
....................................................................................................
1,748,158 Outdoor Systems, Inc. (NON) 52,444,710
- ----------------------------------------------------------------------------------------------------
95,471,491
- ----------------------------------------------------------------------------------------------------
Apparel (0.4%)
....................................................................................................
257,700 Gucci Group N.V. (Netherlands) 12,530,663
....................................................................................................
245,100 Nike, Inc. 9,941,869
- ----------------------------------------------------------------------------------------------------
22,472,532
- ----------------------------------------------------------------------------------------------------
Automotive (0.1%)
....................................................................................................
173,200 Snap-On Inc. 6,029,525
- ----------------------------------------------------------------------------------------------------
Banks (3.8%)
....................................................................................................
1 BankAmerica Corp. 60
....................................................................................................
498,200 Bank One Corp. 25,439,338
....................................................................................................
804,475 Fifth Third Bancorp 57,369,123
....................................................................................................
508,100 First Union Corp. 30,898,831
....................................................................................................
674,596 Firstar Corp. 62,906,077
....................................................................................................
75,200 Northern Trust Corp. 6,565,900
....................................................................................................
226,800 PNC Bank Corp. 12,275,550
....................................................................................................
192,600 SunTrust Banks, Inc. 14,733,900
....................................................................................................
220,500 Wells Fargo Co. 8,806,219
- ----------------------------------------------------------------------------------------------------
218,994,998
- ----------------------------------------------------------------------------------------------------
Broadcasting (6.1%)
....................................................................................................
3,352,125 CBS Corp. 109,782,094
....................................................................................................
1,177,828 Chancellor Media Corp. (NON) 56,388,516
....................................................................................................
1,732,320 Clear Channel Communications, Inc. (NON) 94,411,440
....................................................................................................
258,505 Heftel Broadcasting Corp. Class A (NON) 12,731,371
....................................................................................................
1,542,800 Infinity Broadcasting Corp. Class A (NON) 42,234,150
....................................................................................................
777,170 Sinclair Broadcast Group, Inc. Class A (NON) 15,203,388
....................................................................................................
360,300 Univision Communications Inc. Class A (NON) 13,038,356
....................................................................................................
417,183 WestWood One, Inc. (NON) 12,724,082
- ----------------------------------------------------------------------------------------------------
356,513,397
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (4.9%)
....................................................................................................
75,855 Abacus Direct Corp. (NON) 3,451,403
....................................................................................................
157,201 Affiliated Computer Services, Inc.
Class A (NON) 7,074,045
....................................................................................................
3,189,045 Cendant Corp. (NON) 60,791,170
....................................................................................................
575,090 Cintas Corp. 40,507,902
....................................................................................................
270,000 Interim Services Inc. (NON) 6,311,250
....................................................................................................
192,400 Metamor Worldwide, Inc. (NON) 4,810,000
....................................................................................................
256,965 NOVA Corp./Georgia (NON) 8,913,473
....................................................................................................
1,209,000 Officemax, Inc. (NON) 14,810,250
....................................................................................................
432,440 Paychex, Inc. 22,243,633
....................................................................................................
9,225,000 Rentokil Group PLC (United Kingdom) 69,269,861
....................................................................................................
334,310 Robert Half International, Inc. (NON) 14,939,478
....................................................................................................
85,200 Select Appointments Holdings PLC
ADR (United Kingdom) 1,831,800
....................................................................................................
648,400 Serco Group PLC (United Kingdom) (NON) 12,386,930
....................................................................................................
482,300 Snyder Communications, Inc. (NON) 16,277,625
- ----------------------------------------------------------------------------------------------------
283,618,820
- ----------------------------------------------------------------------------------------------------
Cable Television (1.5%)
....................................................................................................
423,800 Comcast Corp. Class A 24,871,763
....................................................................................................
885,000 Tele-Comm Liberty Media Group,
Inc. Class A (NON) 40,765,313
....................................................................................................
730,300 USA Networks, Inc. (NON) 24,191,288
- ----------------------------------------------------------------------------------------------------
89,828,364
- ----------------------------------------------------------------------------------------------------
Chemicals (0.2%)
....................................................................................................
286,100 Avery Dennison Corp. 12,892,381
- ----------------------------------------------------------------------------------------------------
Computers (1.1%)
....................................................................................................
876,800 Compaq Computer Corp. 36,770,800
....................................................................................................
306,750 Gateway 2000, Inc. (NON) 15,701,766
....................................................................................................
288,700 Seagate Technology, Inc. (NON) 8,733,175
- ----------------------------------------------------------------------------------------------------
61,205,741
- ----------------------------------------------------------------------------------------------------
Computer Services (4.4%)
....................................................................................................
683,000 America Online, Inc. (NON) 109,280,000
....................................................................................................
646,891 Capita Group PLC (United Kingdom) 5,940,467
....................................................................................................
117,700 Comverse Technology, Inc. (NON) 8,356,700
....................................................................................................
474,100 Electronic Data Systems Corp. 23,823,525
....................................................................................................
283,600 IBM Corp. 52,395,100
....................................................................................................
204,573 IDT Corp. (NON) 3,145,310
....................................................................................................
161,526 IMS Health Inc. 12,185,118
....................................................................................................
573,850 Keane, Inc. (NON) 22,918,134
....................................................................................................
525,965 Misys PLC (United Kingdom) (NON) 3,816,478
....................................................................................................
276,438 Sterling Commerce, Inc. (NON) 12,439,710
....................................................................................................
29,800 SunGard Data Systems Inc. (NON) 1,182,688
- ----------------------------------------------------------------------------------------------------
255,483,230
- ----------------------------------------------------------------------------------------------------
Computer Software (9.0%)
....................................................................................................
808,299 BMC Software, Inc. (NON) 36,019,824
....................................................................................................
1,269,918 Cadence Design Systems, Inc. (NON) 37,780,061
....................................................................................................
206,127 Cerner Corp. (NON) 5,513,897
....................................................................................................
93,000 Citrix Systems, Inc. (NON) 9,026,813
....................................................................................................
1,390,015 Computer Associates International, Inc. 59,249,389
....................................................................................................
662,011 Compuware Corp. (NON) 51,719,609
....................................................................................................
739,277 Electronic Arts, Inc. (NON) 41,491,922
....................................................................................................
480,775 EMC Corp. (NON) 40,865,875
....................................................................................................
382,818 Intuit, Inc. (NON) 27,754,305
....................................................................................................
217,300 Legato Systems, Inc. (NON) 14,328,219
....................................................................................................
737,500 Microsoft Corp. (NON) 102,282,031
....................................................................................................
3,248,543 Parametric Technology Corp. (NON) 52,788,824
....................................................................................................
157,000 PMC - Sierra, Inc. (NON) 9,910,625
....................................................................................................
106,000 Policy Management Systems Corp. (NON) 5,353,000
....................................................................................................
381,162 Synopsys, Inc. (NON) 20,678,039
....................................................................................................
323,000 The Learning Company, Inc. (NON) 8,377,813
- ----------------------------------------------------------------------------------------------------
523,140,246
- ----------------------------------------------------------------------------------------------------
Conglomerates (1.8%)
....................................................................................................
1,289,878 Tyco International Ltd. 97,305,172
....................................................................................................
105,300 Allied-Signal, Inc. 4,666,106
- ----------------------------------------------------------------------------------------------------
101,971,278
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (0.6%)
....................................................................................................
1,101,900 Luxottica Group S.P.A. ADR (Italy) 13,222,800
....................................................................................................
457,500 Philip Morris Cos., Inc. 24,476,250
- ----------------------------------------------------------------------------------------------------
37,699,050
- ----------------------------------------------------------------------------------------------------
Consumer Services (1.8%)
....................................................................................................
118,282 Applied Graphics Technologies, Inc. (NON) 1,951,653
....................................................................................................
256,400 Galileo International, Inc. (NON) 11,153,400
....................................................................................................
494,100 Hillenbrand Industries, Inc. 28,101,938
....................................................................................................
490,200 Interpublic Group Cos. Inc. 39,093,450
....................................................................................................
1,191,525 ServiceMaster Co. (The) 26,288,020
- ----------------------------------------------------------------------------------------------------
106,588,461
- ----------------------------------------------------------------------------------------------------
Cosmetics (--%)
....................................................................................................
53,702 ThermoLase Corp. (NON) 245,015
- ----------------------------------------------------------------------------------------------------
Educational Services (0.1%)
....................................................................................................
250,010 Apollo Group, Inc. Class A (NON) 8,469,089
- ----------------------------------------------------------------------------------------------------
Electric Utilities (0.9%)
....................................................................................................
305,700 CalEnergy, Inc. (NON) 10,603,969
....................................................................................................
189,200 CiNergy Corp. 6,503,750
....................................................................................................
258,700 Duke Energy Corp. 16,572,969
....................................................................................................
212,800 Entergy Corp. 6,623,400
....................................................................................................
151,600 Peco Energy Co. 6,310,350
....................................................................................................
126,500 Public Service Enterprise Group, Inc. 5,060,000
- ----------------------------------------------------------------------------------------------------
51,674,438
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (3.2%)
....................................................................................................
479,021 American Power Conversion Corp. (NON) 23,202,579
....................................................................................................
684,300 Applied Materials, Inc. (NON) 29,211,056
....................................................................................................
174,000 ASM Lithography Holding N.V.
(Netherlands) (NON) 5,307,000
....................................................................................................
374,200 General Electric Co. 38,191,788
....................................................................................................
350,562 Lernout & Hauspie Speech
Products N.V. (Belgium) (NON) 11,437,085
....................................................................................................
315,300 Motorola, Inc. 19,253,006
....................................................................................................
192,566 Sanmina Corp. (NON) 12,035,375
....................................................................................................
215,398 Sipex Corp. (NON) 7,565,855
....................................................................................................
202,370 Solectron Corp. (NON) 18,807,762
....................................................................................................
42,940 Teradyne, Inc. (NON) 1,819,583
....................................................................................................
466,200 Thermo Instrument Systems, Inc. (NON) 7,022,138
....................................................................................................
76,425 Uniphase Corp. (NON) 5,301,984
....................................................................................................
108,789 Waters Corp. (NON) 9,491,840
- ----------------------------------------------------------------------------------------------------
188,647,051
- ----------------------------------------------------------------------------------------------------
Energy-Related (0.3%)
....................................................................................................
1,081,632 Thermo Electron Corp. (NON) 18,320,142
- ----------------------------------------------------------------------------------------------------
Entertainment (1.0%)
....................................................................................................
104,000 SFX Entertainment, Inc. Class A (NON) 5,707,000
....................................................................................................
535,900 Time Warner, Inc. 33,259,294
....................................................................................................
222,200 Viacom, Inc. Class B (NON) 16,442,800
- ----------------------------------------------------------------------------------------------------
55,409,094
- ----------------------------------------------------------------------------------------------------
Environmental Control (1.8%)
....................................................................................................
600,563 Allied Waste Industries, Inc. (NON) 14,188,301
....................................................................................................
648,300 Republic Industries, Inc. (NON) 9,562,425
....................................................................................................
936,793 Republic Services, Inc. (NON) 17,272,121
....................................................................................................
156,700 U.S. Filter Corp. (NON) 3,584,513
....................................................................................................
1,266,671 Waste Management, Inc. (NON) 59,058,535
- ----------------------------------------------------------------------------------------------------
103,665,895
- ----------------------------------------------------------------------------------------------------
Financial Services (5.5%)
....................................................................................................
278,956 American Express Co. 28,523,251
....................................................................................................
197,940 Charter One Financial, Inc. 5,492,835
....................................................................................................
493,799 Concord EFS, Inc. (NON) 20,924,733
....................................................................................................
513,400 Fannie Mae 37,991,600
....................................................................................................
541,636 Federal Home Loan Mortgage Corp. 34,901,670
....................................................................................................
994,171 MBNA Corp. 24,792,139
....................................................................................................
202,050 Providian Financial Corp. 15,153,750
....................................................................................................
557,336 TCF Financial Corp. 13,480,565
....................................................................................................
5,955,482 Tele-Communications TCI Ventures
Group Class A (NON) 140,326,045
- ----------------------------------------------------------------------------------------------------
321,586,588
- ----------------------------------------------------------------------------------------------------
Food and Beverages (1.0%)
....................................................................................................
1,123,200 Sara Lee Corp. 31,660,200
....................................................................................................
931,200 Whitman Corp. 23,629,200
- ----------------------------------------------------------------------------------------------------
55,289,400
- ----------------------------------------------------------------------------------------------------
Funeral/Cemetery Services (0.2%)
....................................................................................................
492,516 Stewart Enterprises, Inc. Class A 10,958,481
- ----------------------------------------------------------------------------------------------------
....................................................................................................
Health Care Information Systems (0.4%)
....................................................................................................
897,768 HBO & Co. 25,754,720
- ----------------------------------------------------------------------------------------------------
Health Care Services (0.6%)
....................................................................................................
114,871 CareMatrix Corp. (NON) 3,517,924
....................................................................................................
339,494 Lincare Holdings, Inc. (NON) 13,770,725
....................................................................................................
586,745 Total Renal Care Holdings, Inc. (NON) 17,345,649
- ----------------------------------------------------------------------------------------------------
34,634,298
- ----------------------------------------------------------------------------------------------------
Hospital Management (0.6%)
....................................................................................................
1,527,719 Health Management Assoc., Inc. (NON) 33,036,923
- ----------------------------------------------------------------------------------------------------
Insurance (1.7%)
....................................................................................................
785,900 AFLAC Inc. 34,579,600
....................................................................................................
550,400 American General Corp. 42,931,200
....................................................................................................
188,907 American International Group, Inc. 18,253,139
....................................................................................................
196,600 Century Business Services, Inc. (NON) 2,826,125
- ----------------------------------------------------------------------------------------------------
98,590,064
- ----------------------------------------------------------------------------------------------------
Lodging (0.5%)
....................................................................................................
769,438 Extended Stay America, Inc. (NON) 8,079,099
....................................................................................................
445,800 Prime Hospitality Corp. (NON) 4,708,763
....................................................................................................
441,634 Promus Hotel Corp. (NON) 14,297,901
- ----------------------------------------------------------------------------------------------------
27,085,763
- ----------------------------------------------------------------------------------------------------
Machinery (0.1%)
....................................................................................................
99,243 Sidel S.A. (France) 8,417,196
- ----------------------------------------------------------------------------------------------------
Medical Management Services (0.1%)
....................................................................................................
25,800 NCS HealthCare, Inc. Class A (NON) 612,750
....................................................................................................
67,000 Sunrise Assisted Living, Inc. (NON) 3,475,625
- ----------------------------------------------------------------------------------------------------
4,088,375
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (3.5%)
....................................................................................................
274,800 Baxter International, Inc. 17,673,075
....................................................................................................
368,800 Bergen Brunswig Corp. Class A 12,861,900
....................................................................................................
223,105 Centocor, Inc. (NON) 10,067,613
....................................................................................................
122,392 Henry Schein, Inc. (NON) 5,477,042
....................................................................................................
162,835 LifeCore Biomedical, Inc. (NON) 1,669,059
....................................................................................................
126,100 McKesson Corp. 9,969,781
....................................................................................................
870,780 Medtronic, Inc. 64,655,415
....................................................................................................
69,400 Minimed, Inc. (NON) 7,269,650
....................................................................................................
445,359 Omnicare, Inc. 15,476,225
....................................................................................................
641,966 Stryker Corp. 35,348,253
....................................................................................................
596,988 Sybron International Corp. (NON) 16,230,611
....................................................................................................
599,523 Thermo Cardiosystems, Inc. (NON) 6,257,521
....................................................................................................
99,500 Thermotrex Corp. (NON) 851,969
- ----------------------------------------------------------------------------------------------------
203,808,114
- ----------------------------------------------------------------------------------------------------
Networking Equipment (2.6%)
....................................................................................................
1,448,844 Ascend Communications, Inc. (NON) 95,261,493
....................................................................................................
133,200 Cisco Systems, Inc. (NON) 12,362,625
....................................................................................................
796,500 3Com Corp. (NON) 35,693,156
....................................................................................................
119,800 Entrust Technologies Inc. (NON) 2,860,225
....................................................................................................
46,600 Network Appliance, Inc. (NON) 2,097,000
- ----------------------------------------------------------------------------------------------------
148,274,499
- ----------------------------------------------------------------------------------------------------
Oil and Gas (1.2%)
....................................................................................................
68,200 Chevron, Inc. 5,656,338
....................................................................................................
152,650 Columbia Gas System, Inc. 8,815,538
....................................................................................................
624,800 Conoco, Inc. (NON) 13,042,700
....................................................................................................
332,750 Nabors Industries, Inc. (NON) 4,512,922
....................................................................................................
530,600 National-Oilwell, Inc. (NON) 5,936,088
....................................................................................................
360,734 Schlumberger Ltd. 16,638,856
....................................................................................................
281,200 Total Corp. ADR (France) 13,989,700
....................................................................................................
405,550 Varco International, Inc. (NON) 3,143,013
- ----------------------------------------------------------------------------------------------------
71,735,155
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (7.8%)
....................................................................................................
541,400 American Home Products Corp. 30,487,588
....................................................................................................
161,500 Bristol-Myers Squibb Co. 21,610,719
....................................................................................................
491,389 Elan Corp. PLC ADR (Ireland) (NON) 34,182,247
....................................................................................................
258,100 Genentech, Inc. (NON) 20,567,344
....................................................................................................
168,400 Lilly (Eli) & Co. 14,966,550
....................................................................................................
748,400 Merck & Co., Inc. 110,529,325
....................................................................................................
29,600 Novartis AG ADR (Switzerland) 58,187,113
....................................................................................................
322,500 Pfizer, Inc. 40,453,594
....................................................................................................
685,859 Pharmacia & Upjohn, Inc. 38,836,766
....................................................................................................
581,000 Schering-Plough Corp. 32,100,250
....................................................................................................
230,540 Sepracor, Inc. (NON) 20,316,338
....................................................................................................
70,000 Transkaryotic Therapies, Inc. (Malaysia) (NON) 1,776,250
....................................................................................................
314,208 Vertex Pharmaceuticals, Inc. (NON) 9,347,688
....................................................................................................
298,700 Warner-Lambert Co. 22,458,506
- ----------------------------------------------------------------------------------------------------
455,820,278
- ----------------------------------------------------------------------------------------------------
Publishing (1.6%)
....................................................................................................
249,900 Harcourt General, Inc. 13,291,556
....................................................................................................
168,400 McGraw-Hill, Inc. 17,155,750
....................................................................................................
286,402 Wolters Kluwer N.V. (Netherlands) 61,227,094
- ----------------------------------------------------------------------------------------------------
91,674,400
- ----------------------------------------------------------------------------------------------------
Recreation (--%)
....................................................................................................
60,300 International Speedway Corp. Class A (NON) 2,442,150
- ----------------------------------------------------------------------------------------------------
Restaurants (1.3%)
....................................................................................................
2,449,756 J.D. Wetherspoon PLC
(United Kingdom) (NON) 7,268,681
....................................................................................................
245,300 McDonald's Corp. 18,796,113
....................................................................................................
253,524 PizzaExpress PLC (United Kingdom) 3,370,336
....................................................................................................
619,400 Starbucks Corp. (NON) 34,763,825
....................................................................................................
199,100 Tricon Global Restaurants, Inc. (NON) 9,979,888
- ----------------------------------------------------------------------------------------------------
74,178,843
- ----------------------------------------------------------------------------------------------------
Retail (12.0%)
....................................................................................................
387,600 Albertsons, Inc. 24,685,275
....................................................................................................
658,124 Bed Bath & Beyond, Inc. (NON) 22,458,482
....................................................................................................
360,800 Borders Group, Inc. (NON) 8,997,450
....................................................................................................
10,000 CompUSA, Inc. (NON) 130,625
....................................................................................................
889,951 Consolidated Stores Corp. (NON) 17,965,886
....................................................................................................
1,927,500 Costco Companies, Inc. (NON) 139,141,406
....................................................................................................
632,056 CVS Corp. 34,763,080
....................................................................................................
1,029,057 Dollar Tree Stores, Inc. (NON) 44,956,928
....................................................................................................
1,193,600 Home Depot, Inc. (The) 73,033,400
....................................................................................................
1,520,684 Kohls Corp. (NON) 93,427,023
....................................................................................................
631,600 Lowe's Cos., Inc. 32,330,025
....................................................................................................
336,448 Michaels Stores, Inc. (NON) 6,087,606
....................................................................................................
1,866,878 Office Depot, Inc. (NON) 68,957,806
....................................................................................................
983,000 Rite Aid Corp. 48,719,938
....................................................................................................
196,500 Safeway, Inc. (NON) 11,974,219
....................................................................................................
1,384,700 TJX Cos., Inc. (The) 40,156,300
....................................................................................................
187,700 Walgreen Co. 10,992,181
....................................................................................................
384,838 Williams-Sonoma, Inc. (NON) 15,513,782
- ----------------------------------------------------------------------------------------------------
694,291,412
- ----------------------------------------------------------------------------------------------------
Semiconductors (4.1%)
....................................................................................................
192,861 Analog Devices, Inc. (NON) 6,051,014
....................................................................................................
322,400 Intel Corp. 38,224,550
....................................................................................................
253,800 KLA Tencor Corp. (NON) 11,008,575
....................................................................................................
966,238 Linear Technology Corp. 86,538,691
....................................................................................................
1,374,698 Maxim Integrated Products Inc. (NON) 60,057,119
....................................................................................................
196,645 Novellus Systems, Inc. (NON) 9,733,928
....................................................................................................
168,300 Texas Instruments, Inc. 14,400,169
....................................................................................................
147,000 Xilinx, Inc. (NON) 9,573,375
- ----------------------------------------------------------------------------------------------------
235,587,421
- ----------------------------------------------------------------------------------------------------
Steel (-%)
....................................................................................................
108,700 Lone Star Technologies, Inc. (NON) 1,100,588
- ----------------------------------------------------------------------------------------------------
Telecommunications (5.5%)
....................................................................................................
191,750 E. Spire Communications, Inc. (NON) 1,222,406
....................................................................................................
164,315 Global Crossing Ltd. (NON) 7,414,714
....................................................................................................
436,850 Global TeleSystems Group, Inc. (NON) 24,354,388
....................................................................................................
626,243 MCI WorldCom, Inc. (NON) 44,932,935
....................................................................................................
1,144,100 MediaOne Group Inc. (NON) 53,772,700
....................................................................................................
237,550 NTL Inc. (NON) 13,406,728
....................................................................................................
246,400 Oy Nokia AB Class A, (Finland) 29,975,081
....................................................................................................
462,968 PanAmSat Corp. (NON) 18,026,817
....................................................................................................
1,398,383 Tele-Communications, Inc. Class A (NON) 77,348,060
....................................................................................................
1,003,380 Qwest Communications
International, Inc. (NON) 50,169,000
- ----------------------------------------------------------------------------------------------------
320,622,829
- ----------------------------------------------------------------------------------------------------
Telephone Services (2.3%)
....................................................................................................
298,034 Intermedia Communications, Inc. (NON) 5,141,087
....................................................................................................
209,400 Lucent Technologies, Inc. 23,034,000
....................................................................................................
423,200 McLeod, Inc. Class A (NON) 13,225,000
....................................................................................................
285,931 NEXTLINK Communications, Inc.
Class A (NON) 8,113,292
....................................................................................................
273,700 RSL Communications, Ltd. Class A (NON) 8,074,150
....................................................................................................
208,300 SBC Communications, Inc. 11,170,088
....................................................................................................
767,200 Sprint Corp. 64,540,700
- ----------------------------------------------------------------------------------------------------
133,298,317
- ----------------------------------------------------------------------------------------------------
Transportation (0.1%)
....................................................................................................
54,350 FDX Corp. (NON) 4,837,150
- ----------------------------------------------------------------------------------------------------
Wireless Communications (1.1%)
....................................................................................................
303,300 Airtouch Communications, Inc. (NON) 21,875,513
....................................................................................................
344,900 American Tower Corp. Class A 10,196,106
....................................................................................................
763,512 Metromedia Fiber Network, Inc.
Class A (NON) 25,577,652
....................................................................................................
321,700 Sprint PCS (NON) 7,439,196
- ----------------------------------------------------------------------------------------------------
65,088,467
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $3,899,804,367) $5,720,541,669
- ----------------------------------------------------------------------------------------------------
UNITS (--%) (a) (cost $1,078,996)
- ----------------------------------------------------------------------------------------------------
Number Of Units Value
....................................................................................................
39,701 ThermoLase Corp.(NON) $640,179
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (1.6%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$30,000,000 Chevron Transport Inc., for an effective
yield of 5.06%, March 16, 1999 $29,687,967
....................................................................................................
14,000,000 General Electric Capital Corp., for an
effective yield of 5.07%, March 9, 1999 13,867,898
....................................................................................................
49,489,000 Interest in $750,000,000 joint
tri-party repurchase agreement dated
December 31,1998 with Goldman,
Sachs, & Co. due January 4, 1999 with
respect to various U.S. Treasury
obligations - maturity value of
$49,514,844 for an effective yield
of 4.7% 49,495,461
- ----------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $93,051,326) $93,051,326
....................................................................................................
Total Investments
(cost $3,993,934,689) (b) $5,814,233,174
- ----------------------------------------------------------------------------------------------------
See page 240 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST
Notes to the Portfolios
December 31, 1998
(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 each 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 U.S. Government and High Quality Bond Fund at December 31, 1998.
(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 with a domestic custodian bank.
TBA after the name of a security represents to be announced securities (Note 1).
FSA represents Financial Security Assistance.
MBIA represents Municipal Bond Investors Assurance Corporation.
FLIRB represents Front Loaded Interest Reduction Bond.
The rates shown on Floating Rate Bonds (FRB) and Floating Rate Notes (FRN) are the current interest
rates shown at December 31, 1998, which are subject to change based on the terms of the security.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
(b) On December 31, 1998, the composition of unrealized appreciation and (depreciation) of investment
securities based on the aggregate cost of investments on a tax basis was as follows:
<CAPTION>
Federal Tax
Appreciation Depreciation Net Cost
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund $13,983,765 $3,177,143 $10,806,622 $81,550,518
Putnam VT Diversified Income Fund 12,967,373 43,259,678 (30,292,305) 695,797,640
Putnam VT The George Putnam Fund 6,757,869 2,121,530 4,636,339 114,932,468
Putnam VT Global Asset Allocation Fund 188,449,129 31,408,915 157,040,214 836,674,177
Putnam VT Global Growth Fund 414,052,596 20,954,438 393,098,158 1,585,819,312
Putnam VT Growth & Income Fund 2,213,528,147 427,835,637 1,785,692,510 8,205,123,524
Putnam VT Health Sciences Fund 18,571,508 983,688 117,587,820 125,271,669
Putnam VT High Yield Fund 27,336,348 144,718,900 (117,382,552) 1,135,914,825
Putnam VT International Growth Fund 50,370,228 10,318,948 40,051,280 281,931,816
Putnam VT International Growth and Income Fund 39,752,433 20,921,389 18,831,044 292,553,132
Putnam VT International New Opportunities Fund 27,870,873 3,796,025 24,074,848 111,135,806
Putnam VT Investors Fund 38,665,314 841,626 37,823,688 212,950,725
Putnam VT Money Market Fund -- -- -- --
Putnam VT New Opportunities Fund 1,231,562,512 71,900,298 1,159,662,214 2,425,152,272
Putnam VT New Value Fund 32,080,585 18,094,927 13,985,658 242,122,541
Putnam VT OTC & Emerging Growth Fund 6,237,107 652,256 5,584,851 23,085,407
Putnam VT Research Fund 2,165,452 191,577 1,973,875 21,716,147
Putnam VT U.S. Government and
High Quality Bond Fund 28,453,277 7,283,820 21,169,457 1,044,490,975
Putnam VT Utilities Growth and Income Fund 285,051,247 26,093,027 258,958,220 756,106,818
Putnam VT Vista Fund 77,102,458 2,384,289 74,718,169 243,738,618
Putnam VT Voyager Fund 1,994,149,758 192,553,977 1,801,595,781 4,012,637,393
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Assets and Liabilities
- -----------------------------------------------------------------------------------------------------------------------------------
December 31, 1998
Putnam VT Putnam VT Putnam VT Putnam VT
Asia Pacific Diversified The George Putnam Global Asset
Growth Fund Income Fund Fund of Boston Allocation Fund
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments in securities, at value (Note 1)................... $ 86,694,385 $ 638,670,795 $ 107,241,164 $ 955,734,380
Repurchase agreements, at value (Note 1) ...................... 5,662,755 26,834,540 12,327,643 37,980,011
Cash........................................................... 29,847 54,200 4,749 861,352
Foreign currency, at value..................................... 18,333 287,890 -- 36,457,395
Dividends, interest, and other receivables..................... 361,210 9,592,997 461,932 7,368,315
Receivable for shares of the fund sold......................... 36,535 46,566 549,167 11,775
Receivable for securities sold................................. 142,370 261,171 367,295 1,148,576
Receivable for variation margin................................ -- -- -- 429,034
Receivable for open forward currency contracts................. -- 2,483,862 -- 3,344,212
Receivable for closed forward currency contracts............... 46,664 118,302 -- 45,649
Receivable from Manager (Note 2) .............................. -- -- -- --
Foreign tax reclaim............................................ -- -- -- 3,904
...................................................................................................................................
Total assets................................................... 92,992,099 678,350,323 120,951,950 1,043,384,603
...................................................................................................................................
Liabilities
Payable to subcustodian (Note 2)............................... -- -- -- --
Payable for variation margin................................... -- 8,125 -- --
Payable for securities purchased............................... 281,984 3,051,402 5,687,794 16,359,482
Payable for shares of the fund repurchased..................... 12,215 251,815 -- 394,783
Payable for compensation of Manager (Note 2)................... 172,418 1,103,628 43,818 1,577,993
Payable for investor servicing and custodian fees (Note 2)..... 42,682 20,757 42,253 139,593
Payable for compensation of Trustees (Note 2).................. 9,968 17,495 147 24,614
Payable for administrative services (Note 2)................... 1,211 2,680 1,039 2,702
Payable for distribution fees (Note 2)......................... 12 201 220 158
Payable for open forward currency contracts.................... -- 2,672,786 -- 2,266,110
Payable for closed forward currency contracts.................. 1,659,744 144,105 -- 882,427
Other accrued expenses......................................... 33,848 60,868 50,323 64,109
...................................................................................................................................
Total liabilities.............................................. 2,214,082 7,333,862 5,825,594 21,711,971
...................................................................................................................................
Net assets..................................................... $ 90,778,017 $671,016,461 $115,126,356 $1,021,672,632
...................................................................................................................................
Represented by:
Paid-in capital (Notes 1, 4 and 5)............................. $115,694,544 $672,643,842 $ 110,261,125 $ 788,157,111
Undistributed net investment income (loss)/Distributions in
excess of net investment income (Note 1)..................... (12,294) 46,307,097 (44,081) 18,368,225
Accumulated net realized gain (loss) on investments
and foreign currency transactions (Note 1)................... (36,821,470) (18,407,063) (15,829) 54,031,084
Net unrealized appreciation (depreciation) of
investments and assets and liabilities in
foreign currencies........................................... 11,917,237 (29,527,415) 4,925,141 161,116,212
...................................................................................................................................
Total -- Representing net assets applicable to capital
shares outstanding........................................... $ 90,778,017 $671,016,461 $115,126,356 $1,021,672,632
...................................................................................................................................
Computation of net asset value Class IA
Net Assets..................................................... $ 90,666,770 $669,053,172 $113,202,149 $1,020,353,642
Number of shares outstanding................................... 10,883,238 63,809,394 11,013,542 53,881,407
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding) ...................................... $ 8.33 $ 10.49 $ 10.28 $ 18.94
Computation of net asset value Class IB
Net Assets..................................................... $ 111,247 $ 1,963,289 $ 1,924,207 $ 1,318,990
Number of shares outstanding 13,353 187,484 187,141 69,604
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)....................................... $ 8.33 $ 10.47 $ 10.28 $ 18.95
...................................................................................................................................
Cost of investments, including repurchase agreement (Note 1)... $ 80,459,159 $694,750,810 $114,643,666 $ 834,022,547
Cost of foreign currency (Note 1).............................. 24,267 276,640 -- 36,818,794
- -----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Assets and Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------------------------------
December 31, 1998
Putnam VT Putnam VT Putnam VT Putnam VT
Global Growth Growth and Health Sciences High Yield
Fund Income Fund Fund Fund
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments in securities, at value (Note 1)................... $1,978,917,470 $9,919,019,362 $ 130,579,852 $ 997,456,463
Repurchase agreements, at value (Note 1)....................... -- 71,796,671 12,279,637 21,075,810
Cash........................................................... 6,987,462 564,068 520 --
Foreign currency, at value..................................... 221,892 -- -- 398
Dividends, interest, and other receivables..................... 3,521,211 18,084,891 29,137 19,385,101
Receivable for shares of the fund sold......................... -- 50,272 466,192 26,983
Receivable for securities sold................................. 3,985,829 19,075,292 870,310 3,088,676
Receivable for variation margin................................ -- -- -- --
Receivable for open forward currency contracts................. -- -- -- --
Receivable for closed forward currency contracts............... 13,925 -- -- --
Receivable from Manager (Note 2) .............................. -- -- -- --
Foreign tax reclaim............................................ 1,182,214 -- -- --
...................................................................................................................................
Total assets................................................... 1,994,830,003 10,028,590,556 144,225,648 1,041,033,431
...................................................................................................................................
Liabilities
Payable to subcustodian (Note 2)............................... -- -- -- 367,553
Payable for variation margin................................... -- -- -- --
Payable for securities purchased............................... 4,026,719 60,871,662 7,448,779 3,364,066
Payable for shares of the fund repurchased..................... 54,167 496,089 -- 399,574
Payable for compensation of Manager (Note 2)................... 2,646,410 10,827,705 160,180 1,655,040
Payable for investor servicing and custodian fees (Note 2)..... 113,921 301,242 21,460 57,283
Payable for compensation of Trustees (Note 2).................. 21,362 9,472 197 21,518
Payable for administrative services (Note 2)................... 4,032 9,796 1,124 4,678
Payable for distribution fees (Note 2)......................... 81 819 210 207
Payable for open forward currency contracts.................... -- -- -- 7,631
Payable for closed forward currency contracts.................. -- -- -- --
Other accrued expenses 45,859 104,450 29,024 424,628
...................................................................................................................................
Total liabilities.............................................. 6,912,551 72,621,235 7,660,974 6,302,178
...................................................................................................................................
Net assets..................................................... $1,987,917,452 $9,955,969,321 $ 136,564,674 $1,034,731,253
...................................................................................................................................
Represented by:
Paid-in capital (Notes 1, 4 and 5)............................. $1,416,165,613 $7,336,374,553 $ 123,436,616 $1,060,453,710
Undistributed net investment income (loss) (Note 1)............ 7,163,966 139,548,823 -- 110,935,694
Accumulated net realized gain (loss) on investments
and foreign currency transactions (Note 1)................... 163,271,934 641,667,817 (4,823,757) (19,501,164)
Net unrealized appreciation (depreciation) of
investments and assets and liabilities in
foreign currencies........................................... 401,315,939 1,838,378,128 17,951,815 (117,156,987)
...................................................................................................................................
Total -- Representing net assets applicable to capital
shares outstanding........................................... $1,987,917,452 $9,955,969,321 $ 136,564,674 $1,034,731,253
...................................................................................................................................
Computation of net asset value Class IA
Net Assets..................................................... $1,987,094,158 $9,948,386,379 $ 134,436,138 $1,032,891,731
Number of shares outstanding................................... 98,005,512 345,731,715 12,283,877 88,260,675
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)....................................... $ 20.28 $ 28.77 $ 10.94 $ 11.70
Computation of net asset value Class IB
Net Assets..................................................... $ 823,294 $ 7,582,942 $ 2,128,536 $ 1,839,522
Number of shares outstanding................................... 40,606 263,744 194,680 157,186
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding) ...................................... $ 20.28 $ 28.75 $ 10.93 $ 11.70
...................................................................................................................................
Cost of investments, including repurchase agreement (Note 1)... $1,577,608,901 $8,152,437,905 $ 124,911,399 $1,135,682,518
Cost of foreign currency (Note 1).............................. 226,725 -- -- 362
- -----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Assets and Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------------------------------
December 31, 1998
Putnam VT Putnam VT
Putnam VT International International Putnam VT
International Growth and New Opportunities Investors
Growth Fund Income Fund Fund Fund
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments in securities, at value (Note 1)................... $ 308,181,256 $ 297,883,376 $ 132,431,283 $ 235,567,386
Repurchase agreements, at value (Note 1)....................... 13,801,840 13,500,800 2,779,371 15,207,027
Cash........................................................... 7,345 146 -- 475
Foreign currency, at value..................................... -- -- 689,199 --
Dividends, interest, and other receivables..................... 263,747 282,506 64,516 100,891
Receivable for shares of the fund sold......................... 13,237 -- 646,403 1,906,731
Receivable for securities sold................................. 2,126,759 2,869,918 2,563,236 550,460
Receivable for variation margin................................ -- -- -- --
Receivable for open forward currency contracts................. -- -- -- --
Receivable for closed forward currency contracts............... -- -- -- --
Receivable from Manager (Note 2) .............................. -- -- -- --
Foreign tax reclaim ........................................... 279,299 30,566 6,835 --
...................................................................................................................................
Total assets................................................... 324,673,483 314,567,312 139,180,843 253,332,970
...................................................................................................................................
Liabilities
Payable to subcustodian (Note 2)............................... -- -- -- --
Payable for variation margin................................... -- -- -- --
Payable for securities purchased............................... 3,094,406 4,740,438 2,122,562 7,052,644
Payable for shares of the fund repurchased..................... 44,322 100,077 981,766 --
Payable for compensation of Manager (Note 2)................... 570,773 577,433 342,932 312,482
Payable for investor servicing and custodian fees (Note 2)..... 134,948 66,833 85,522 26,356
Payable for compensation of Trustees (Note 2).................. 3,948 4,203 3,813 162
Payable for administrative services (Note 2)................... 1,813 1,824 1,749 1,588
Payable for distribution fees (Note 2)......................... 557 140 15 109
Payable for open forward currency contracts.................... -- -- -- --
Payable for closed forward currency contracts.................. 1,824,738 3,063,023 -- --
Other accrued expenses......................................... 161,784 40,539 106,360 24,575
...................................................................................................................................
Total liabilities.............................................. 5,837,289 8,594,510 3,644,719 7,417,916
...................................................................................................................................
Net assets..................................................... $318,836,194 $305,972,802 $135,536,124 $245,915,054
...................................................................................................................................
Represented by:
Paid-in capital (Notes 1, 4 and 5)............................. $282,196,509 $287,979,082 $123,597,238 $215,660,283
Undistributed net investment income (loss)/Distributions in
excess of net investment income (Note 1)..................... (336,147) (654,990) (233,349) --
Accumulated net realized gain (loss) on investments
and foreign currency transactions (Note 1) (6,212,481) (2,067,655) (13,837,772) (8,838,294)
Net unrealized appreciation (depreciation) of
investments and assets and liabilities in
foreign currencies........................................... 43,188,313 20,716,365 26,010,007 39,093,065
...................................................................................................................................
Total -- Representing net assets applicable to capital
shares outstanding........................................... $318,836,194 $305,972,802 $135,536,124 $245,915,054
...................................................................................................................................
Computation of net asset value Class IA
Net Assets..................................................... $317,601,817 $305,046,991 $135,451,087 $243,295,658
Number of shares outstanding................................... 23,488,832 24,912,249 11,788,244 20,891,466
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding) ........................................ $ 13.52 $ 12.24 $ 11.49 $ 11.65
Computation of net asset value Class IB
Net Assets..................................................... $ 1,234,377 $ 925,811 $ 85,037 $ 2,619,396
Number of shares outstanding................................... 91,357 75,625 7,405 225,024
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding) ........................................ $ 13.51 $ 12.24 $ 11.48 $ 11.64
...................................................................................................................................
Cost of investments, including repurchase agreement (Note 1)... $278,844,842 $290,613,340 $109,212,054 $211,681,348
Cost of foreign currency (Note 1).............................. -- -- 688,746 --
- -----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Assets and Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------------------------------
December 31, 1998
Putnam VT Putnam VT Putnam VT Putnam VT
Money New Opportunities New Value OTC & Emerging
Market Fund Fund Fund Growth Fund
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments in securities, at value (Note 1)................... $ 611,499,838 $3,521,805,998 $ 250,921,508 $ 25,998,902
Repurchase agreements, at value (Note 1)....................... -- 63,008,488 5,186,691 2,671,356
Cash........................................................... 9,443 1,401,117 36 213
Foreign currency, at value..................................... -- -- -- --
Dividends, interest, and other receivables..................... 1,674,905 708,142 471,231 --
Receivable for shares of the fund sold......................... 11,817 1,928,290 2,358 --
Receivable for securities sold................................. -- 9,873,332 512,719 188,773
Receivable for variation margin................................ -- -- -- --
Receivable for open forward currency contracts................. -- -- -- --
Receivable for closed forward currency contracts............... -- -- -- --
Receivable from Manager (Note 2)............................... -- -- -- 10,740
Foreign tax reclaim............................................ -- -- -- --
...................................................................................................................................
Total assets................................................... 613,196,003 3,598,725,367 257,094,543 28,869,984
...................................................................................................................................
Liabilities
Payable to subcustodian (Note 2)............................... -- -- -- --
Payable for variation margin................................... -- -- -- --
Payable for securities purchased............................... -- 6,693,582 159,828 207,986
Payable for shares of the fund repurchased..................... 4,042,707 -- 288,539 156
Payable for compensation of Manager (Note 2)................... 730,957 4,202,238 424,080 --
Payable for investor servicing and custodian fees (Note 2)..... 41,270 117,585 26,422 28,856
Payable for compensation of Trustees (Note 2).................. 8,670 56,260 2,809 61
Payable for administrative services (Note 2)................... 2,390 7,972 1,652 25
Payable for distribution fees (Note 2)......................... 1,089 144 44 52
Payable for open forward currency contracts.................... -- -- -- --
Payable for closed forward currency contracts.................. -- -- -- --
Other accrued expenses......................................... 22,887 64,162 23,385 32,869
...................................................................................................................................
Total liabilities.............................................. 4,849,970 11,141,943 926,759 270,005
...................................................................................................................................
Net assets..................................................... $608,346,033 $3,587,583,424 $256,167,784 $28,599,979
...................................................................................................................................
Represented by:
Paid-in capital (Notes 1, 4 and 5)............................. $608,346,033 $2,376,710,610 $237,846,959 $25,459,263
Undistributed net investment income (loss) (Note 1)............ -- -- 57,759 --
Accumulated net realized gain (loss) on investments
and foreign currency transactions (Note 1)................... -- 47,433,308 3,147,156 (2,732,544)
Net unrealized appreciation (depreciation) of
investments and assets and liabilities in
foreign currencies........................................... -- 1,163,439,506 15,115,910 5,873,260
...................................................................................................................................
Total -- Representing net assets applicable to capital
shares outstanding........................................... $608,346,033 $3,587,583,424 $256,167,784 $28,599,979
...................................................................................................................................
Computation of net asset value Class IA
Net Assets..................................................... $595,158,086 $3,586,224,781 $255,753,500 $28,059,426
Number of shares outstanding................................... 595,158,086 137,628,302 21,267,484 2,781,247
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)....................................... $ 1.00 $ 26.06 $ 12.03 $ 10.09
Computation of net asset value Class IB
Net Assets..................................................... $ 13,187,947 $ 1,358,643 $ 414,284 $ 540,553
Number of shares outstanding................................... 13,187,947 52,178 34,458 53,638
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)....................................... $ 1.00 $ 26.04 $ 12.02 $ 10.08
...................................................................................................................................
Cost of investments, including repurchase agreement (Note 1)... $611,499,838 $2,421,374,980 $240,992,289 $22,796,998
Cost of foreign currency (Note 1).............................. -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Assets and Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------------------------------
December 31, 1998
Putnam VT Putnam VT
Putnam VT U.S. Government Utilities
Research and High Quality Growth and
Fund Bond Fund Income Fund
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Assets
Investments in securities, at value (Note 1)................... $22,520,866 $1,016,548,021 $988,271,466
Repurchase agreements, at value (Note 1)....................... 1,169,156 49,112,411 26,793,572
Cash........................................................... 433 139,237 18,998
Foreign currency, at value..................................... -- -- --
Dividends, interest, and other receivables..................... 15,521 11,582,883 3,591,354
Receivable for shares of the fund sold......................... 137,734 1,060,416 284,442
Receivable for securities sold................................. 413,487 579,901 --
Receivable for variation margin................................ -- 18,625 --
Receivable for open forward currency contracts................. -- 319,910 --
Receivable for closed forward currency contracts............... -- -- --
Receivable from Manager (Note 2)............................... 8,950 -- --
Foreign tax reclaim............................................ -- -- 32,448
...................................................................................................................................
Total assets................................................... 24,266,147 1,079,361,404 1,018,992,280
...................................................................................................................................
Liabilities
Payable to subcustodian (Note 2)............................... -- -- --
Payable for variation margin................................... -- -- --
Payable for securities purchased............................... 1,355,389 74,926,744 --
Payable for shares of the fund repurchased..................... 10 95 173,444
Payable for compensation of Manager (Note 2)................... -- 1,496,033 1,583,632
Payable for investor servicing and custodian fees (Note 2)..... 9,496 14,290 46,627
Payable for compensation of Trustees (Note 2).................. 2 15,543 21,395
Payable for administrative services (Note 2)................... 978 2,616 2,766
Payable for distribution fees (Note 2)......................... 22 259 172
Payable for open forward currency contracts.................... -- 409,513 --
Payable for closed forward currency contracts.................. -- -- --
Other accrued expenses......................................... 19,007 47,371 38,203
...................................................................................................................................
Total liabilities.............................................. 1,384,904 76,912,464 1,866,239
...................................................................................................................................
Net assets..................................................... $22,881,243 $1,002,448,940 $1,017,126,041
...................................................................................................................................
Represented by:
Paid-in capital (Notes 1, 4 and 5)............................. $20,640,566 $ 912,746,579 $ 701,041,702
Undistributed net investment income (loss) (Note 1)............ -- 52,744,212 28,000,418
Accumulated net realized gain (loss) on investments
and foreign currency transactions (Note 1)..................... 261,181 15,682,940 29,013,180
Net unrealized appreciation (depreciation) of
investments and assets and liabilities in
foreign currencies........................................... 1,979,496 21,275,209 259,070,741
...................................................................................................................................
Total -- Representing net assets applicable
to capital shares outstanding................................ $22,881,243 $1,002,448,940 $1,017,126,041
...................................................................................................................................
Computation of net asset value Class IA
Net Assets..................................................... $22,626,383 $1,000,161,066 $1,015,326,928
Number of shares outstanding................................... 1,897,004 72,869,819 55,812,807
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)....................................... $ 11.93 $ 13.73 $ 18.19
Computation of net asset value Class IB
Net Assets..................................................... $ 254,860 $ 2,287,874 $ 1,799,113
Number of shares outstanding................................... 21,410 166,693 98,901
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding) ...................................... $ 11.90 $ 13.73 $ 18.19
...................................................................................................................................
Cost of investments, including repurchase agreement (Note 1) $21,710,526 $1,044,313,520 $ 756,014,197
Cost of foreign currency (Note 1).............................. -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets and Liabilities (continued)
- --------------------------------------------------------------------------------------------------------------
December 31, 1998
Putnam VT Putnam VT
Vista Voyager
Fund Fund
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Assets
Investments in securities, at value (Note 1)................... $304,744,959 $5,764,737,713
Repurchase agreements, at value (Note 1)....................... 13,711,828 49,495,461
Cash........................................................... 300 524,112
Foreign currency, at value..................................... -- 390,861
Dividends, interest, and other receivables..................... 142,555 2,315,546
Receivable for shares of the fund sold......................... 12,203 427,815
Receivable for securities sold................................. 843,733 15,668,319
Receivable for variation margin................................ -- --
Receivable for open forward currency contracts................. -- --
Receivable for closed forward currency contracts............... -- --
Receivable from Manager (Note 2)............................... -- --
Foreign tax reclaim............................................ -- 4,500
..............................................................................................................
Total assets................................................... 319,455,578 5,833,564,327
..............................................................................................................
Liabilities
Payable to subcustodian (Note 2)............................... -- --
Payable for variation margin................................... -- --
Payable for securities purchased............................... 5,963,413 19,074,048
Payable for shares of the fund repurchased..................... 454,152 --
Payable for compensation of Manager (Note 2)................... 426,266 6,698,206
Payable for investor servicing and custodian fees (Note 2)..... 31,661 206,981
Payable for compensation of Trustees (Note 2).................. 2,714 99,136
Payable for administrative services (Note 2)................... 1,652 8,681
Payable for distribution fees (Note 2)......................... 94 454
Payable for open forward currency contracts.................... -- --
Payable for closed forward currency contracts.................. -- --
Other accrued expenses......................................... 111,887 71,415
..............................................................................................................
Total liabilities.............................................. 6,991,839 26,158,921
..............................................................................................................
Net assets..................................................... $312,463,739 $5,807,405,406
..............................................................................................................
Represented by:
Paid-in capital (Notes 1, 4 and 5)............................. $250,867,863 $3,478,638,960
Undistributed net investment income (loss) (Note 1)............ -- 6,388,437
Accumulated net realized gain (loss) on investments
and foreign currency transactions (Note 1)..................... (14,140,280) 502,080,922
Net unrealized appreciation (depreciation) of
investments and assets and liabilities in
foreign currencies........................................... 75,736,156 1,820,297,087
..............................................................................................................
Total -- Representing net assets applicable
to capital shares outstanding................................ $312,463,739 $5,807,405,406
..............................................................................................................
Computation of net asset value Class IA
Net Assets..................................................... $311,612,432 $5,803,073,215
Number of shares outstanding................................... 21,162,504 126,573,538
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)....................................... $ 14.72 $ 45.85
Computation of net asset value Class IB
Net Assets..................................................... $ 851,307 $ 4,332,191
Number of shares outstanding................................... 57,810 94,559
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding) ...................................... $ 14.73 $ 45.81
..............................................................................................................
Cost of investments, including repurchase agreement (Note 1) $242,720,631 $3,993,934,689
Cost of foreign currency (Note 1).............................. -- 391,647
- --------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Operations
- -----------------------------------------------------------------------------------------------------------------------------------
Year ended December 31, 1998
Putnam VT Putnam VT Putnam VT Putnam VT
Asia Pacific Diversified The George Putnam Global Asset
Growth Fund Income Fund Fund of Boston** Allocation Fund
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income
Dividends...................................................... $ 2,028,022 $ 2,453,732 $ 434,723 $ 8,886,595
Interest....................................................... 106,549 53,844,425 708,080 24,283,063
Less: foreign taxes withheld................................... (99,985) -- -- (208,866)
...................................................................................................................................
Total investment income........................................ 2,034,586 56,298,157 1,142,803 32,960,792
...................................................................................................................................
Expenses
Compensation of Manager (Note 2)............................... 769,751 4,373,212 207,992 6,476,330
Investor servicing and custodian fees (Note 2)................. 241,755 571,343 140,225 1,167,771
Compensation of Trustees (Note 2).............................. 17,321 22,499 1,251 27,367
Administrative services (Note 2)............................... 5,365 10,613 2,103 14,460
Distribution fees-Class IB (Note 2)............................ 25 459 457 378
Reports to Shareholders........................................ 234 3,207 53 2,413
Registration Fees.............................................. 4 4 4 4
Auditing....................................................... 32,187 65,054 50,782 61,588
Legal.......................................................... 3,797 6,864 2,543 8,640
Other.......................................................... 1,587 10,562 283 8,309
Fees waived and reimbursed by Manager (Note 2)................. -- -- (133,702) --
...................................................................................................................................
Total expenses................................................. 1,072,026 5,063,817 271,991 7,767,260
...................................................................................................................................
Expense reduction (Note 2)..................................... (8,280) (226,307) (3,957) (162,126)
Net expenses................................................... 1,063,746 4,837,510 268,034 7,605,134
...................................................................................................................................
Net investment income (loss)................................... 970,840 51,460,647 874,769 25,365,658
...................................................................................................................................
Net realized gain (loss) on investments (Notes 1 and 3)........ (22,468,238) (16,484,846) (15,776) 54,869,134
Net realized gain (loss) on futures contracts (Note 1)......... -- 1,323,362 -- (2,656,372)
Net realized gain (loss) on written options (Notes 1 and 3).... -- -- -- 92,311
Net realized gain (loss) on foreign currency
transactions (Note 1)........................................ 237,354 (6,875,342) -- (3,736,904)
Net unrealized appreciation (depreciation) of assets and
liabilities in foreign currencies during the period............ (1,362,790) 1,500,861 -- 909,964
Net unrealized appreciation (depreciation) of investments,
futures, written options and TBA sale commitments
during the period............................................ 16,282,372 (41,162,188) 4,925,141 42,385,015
...................................................................................................................................
Net gain (loss) on investments................................. (7,311,302) (61,698,153) 4,909,365 91,863,148
...................................................................................................................................
Net increase (decrease) in net assets resulting
from operations.............................................. $(6,340,462) $(10,237,506) $5,784,134 $117,218,806
- -----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Operations (continued)
- -----------------------------------------------------------------------------------------------------------------------------------
Year ended December 31, 1998
Putnam VT Putnam VT Putnam VT Putnam VT
Global Growth Growth Health Sciences High Yield
Fund and Income Fund Fund** Fund
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income
Dividends.......................................................... $ 16,573,798 $ 182,923,637 $ 222,881 $ 10,374,200
Interest........................................................... 1,876,290 8,178,035 236,556 108,393,204
Less: foreign taxes withheld....................................... (1,333,333) (583,636) -- (14,077)
...................................................................................................................................
Total investment income............................................ 17,116,755 190,518,036 459,437 118,753,327
...................................................................................................................................
Expenses
Compensation of Manager (Note 2)................................... 10,690,208 42,223,532 295,300 6,936,557
Investor servicing and custodian fees (Note 2)..................... 1,969,635 3,279,224 87,655 548,581
Compensation of Trustees (Note 2).................................. 47,289 117,563 4,224 34,565
Administrative services (Note 2)................................... 19,000 39,057 3,355 20,549
Distribution fees-Class IB (Note 2)................................ 156 1,566 341 500
Reports to Shareholders............................................ 5,887 26,590 360 5,411
Registration Fees.................................................. 4 4 4 4
Auditing........................................................... 54,764 86,930 29,626 50,829
Legal.............................................................. 12,289 51,601 2,613 36,350
Other.............................................................. 15,809 79,850 363 --
Fees waived and reimbursed by Manager (Note 2)..................... -- -- (43,829) --
...................................................................................................................................
Total expenses..................................................... 12,815,041 45,905,917 380,012 7,633,346
...................................................................................................................................
Expense reduction (Note 2)......................................... (311,654) (1,075,191) (4,930) (228,997)
Net expenses....................................................... 12,503,387 44,830,726 375,082 7,404,349
...................................................................................................................................
Net investment income (loss)....................................... 4,613,368 145,687,310 84,355 111,348,978
...................................................................................................................................
Net realized gain (loss) on investments (Notes 1 and 3)............ 187,622,416 655,640,236 (4,823,757) (19,591,587)
Net realized gain (loss) on futures contracts (Note 1)............. 488,331 -- -- --
Net realized gain (loss) on written options (Notes 1 and 3)........ -- -- -- --
Net realized gain (loss) on foreign currency transactions (Note 1). 8,744,069 (619,669) -- (66,455)
Net realized gain (loss) on swap contracts (Note 1)................ (328,218) -- -- --
Net unrealized appreciation (depreciation) of assets and
liabilities in foreign currencies during the period.............. (4,961,450) 758,482 -- (1,056)
Net unrealized appreciation (depreciation) of investments, futures,
written options and TBA sale commitments during the period....... 263,853,828 494,341,035 17,951,815 (155,029,453)
...................................................................................................................................
Net gain (loss) on investments..................................... 455,418,976 1,150,120,084 13,128,058 (174,688,551)
...................................................................................................................................
Net increase (decrease) in net assets resulting
from operations.................................................. $460,032,344 $1,295,807,394 $13,212,413 $ (63,339,573)
- -----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Operations (continued)
- ----------------------------------------------------------------------------------------------------------------------------------
Year ended December 31, 1998
Putnam VT Putnam VT
Putnam VT International Growth International Putnam VT
International and Income New Opportunities Investors
Growth Fund Fund Fund Fund**
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income
Dividends...................................................... $ 3,937,002 $ 6,473,551 $ 1,369,767 $ 439,025
Interest....................................................... 897,847 1,941,726 312,196 300,888
Less: foreign taxes withheld................................... (288,072) (640,634) (164,870) (138)
..................................................................................................................................
Total investment income........................................ 4,546,777 7,774,643 1,517,093 739,775
..................................................................................................................................
Expenses
Compensation of Manager (Note 2)............................... 1,920,623 2,185,230 1,488,974 425,193
Investor servicing and custodian fees (Note 2)................. 585,120 454,949 450,827 110,304
Compensation of Trustees (Note 2).............................. 18,297 19,412 17,201 3,371
Administrative services (Note 2)............................... 7,180 7,263 6,970 4,212
Distribution fees-Class IB (Note 2)............................ 1,083 275 43 406
Reports to Shareholders........................................ 1,101 1,537 1,164 474
Registration Fees.............................................. 4 4 4 4
Auditing....................................................... 41,119 42,067 40,164 24,638
Legal.......................................................... 4,905 5,175 4,165 2,716
Other.......................................................... 2,090 2,158 1,126 560
Fees waived and reimbursed by Manager (Note 2)................. -- -- (25,296) (15,450)
..................................................................................................................................
Total expenses................................................. 2,581,522 2,718,070 1,985,342 556,428
..................................................................................................................................
Expense reduction (Note 2)..................................... (44,499) (32,200) (26,659) --
Net expenses................................................... 2,537,023 2,685,870 1,958,683 556,428
..................................................................................................................................
Net investment income (loss)................................... 2,009,754 5,088,773 (441,590) 183,347
..................................................................................................................................
Net realized gain (loss) on investments (Notes 1 and 3)........ (4,538,924) 7,491,895 (8,750,553) (8,838,294)
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)........................................ (1,880,370) (2,797,212) 464,154 --
Net unrealized appreciation (depreciation) of assets and
liabilities in foreign currencies during the period.......... (15,270) (150,848) (233,626) --
Net unrealized appreciation (depreciation) of investments,
futures, written options and TBA sale commitments
during the period............................................ 38,604,202 14,532,067 26,708,140 39,093,065
..................................................................................................................................
Net gain (loss) on investments................................. 32,169,638 19,075,902 18,188,115 30,254,771
..................................................................................................................................
Net increase (decrease) in net assets resulting
from operations.............................................. $34,179,392 $24,164,675 $17,746,525 $30,438,118
- ----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Operations (continued)
- ----------------------------------------------------------------------------------------------------------------------------------
Year ended December 31, 1998
Putnam VT Putnam VT Putnam VT Putnam VT
Money New Opportunities New Value OTC & Emerging
Market Fund Fund Fund Growth Fund**
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income
Dividends......................................................... $ -- $ 8,280,131 $ 4,459,875 $ 2,404
Interest.......................................................... 28,274,095 4,885,727 460,965 54,580
Less: foreign taxes withheld...................................... -- (24,079) -- --
.................................................................................................................................
Total investment income........................................... 28,274,095 13,141,779 4,920,840 56,984
.................................................................................................................................
Expenses
Compensation of Manager (Note 2).................................. 2,267,755 16,639,549 1,622,770 62,785
Investor servicing and custodian fees (Note 2).................... 307,015 1,234,729 190,013 75,905
Compensation of Trustees (Note 2)................................. 9,497 56,653 12,945 1,060
Administrative services (Note 2).................................. 7,763 38,169 6,574 60
Distribution fees-Class IB (Note 2)............................... 2,562 330 89 105
Reports to Shareholders........................................... 746 12,852 1,055 139
Registration Fees................................................. 4 4 4 4
Auditing.......................................................... 23,133 61,666 28,525 32,192
Legal............................................................. 21,785 27,937 4,889 2,440
Other............................................................. 69,154 23,120 4,652 78
Fees waived and reimbursed by Manager (Note 2).................... -- -- -- (93,939)
..................................................................................................................................
Total expenses.................................................... 2,709,414 18,095,009 1,871,516 80,829
..................................................................................................................................
Expense reduction (Note 2)........................................ (17,688) (273,735) (67,459) (2,436)
Net expenses...................................................... 2,691,726 17,821,274 1,804,057 78,393
..................................................................................................................................
Net investment income (loss)...................................... 25,582,369 (4,679,495) 3,116,783 (21,409)
..................................................................................................................................
Net realized gain (loss) on investments (Notes 1 and 3)........... -- 52,251,084 3,826,660 (2,732,544)
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) -- (7,687) (93,575) --
Net unrealized appreciation (depreciation) of assets and
liabilities in foreign currencies during the period............. -- -- 73,741 --
Net unrealized appreciation (depreciation) of investments, futures,
written options and TBA sale commitments during the period...... -- 621,550,838 7,418,537 5,873,260
..................................................................................................................................
Net gain (loss) on investments.................................... -- 673,794,235 11,225,363 3,140,716
..................................................................................................................................
Net increase (decrease) in net assets resulting
from operations................................................. $25,582,369 $669,114,740 $14,342,146 $3,119,307
- ----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam Variable Trust
<CAPTION>
Statement of Operations (continued)
- ---------------------------------------------------------------------------------------------------------------------------
Year ended December 31, 1998
Putnam VT
Putnam VT U.S. Government Putnam VT
Research and High Quality Utilities Growth
Fund*** Bond Fund and Income Fund
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment Income
Dividends.......................................................... $ 30,883 $ -- $ 25,646,413
Interest........................................................... 14,966 59,006,505 9,268,474
Less: foreign taxes withheld....................................... -- -- (224,922)
............................................................................................................................
Total investment income............................................ 45,849 59,006,505 34,689,965
............................................................................................................................
Expenses
Compensation of Manager (Note 2)................................... 19,146 5,276,417 5,824,579
Investor servicing and custodian fees (Note 2)..................... 10,825 491,252 500,817
Compensation of Trustees (Note 2).................................. 5 18,025 26,495
Administrative services (Note 2)................................... 978 10,289 10,977
Distribution fees-Class IB (Note 2)................................ 42 608 316
Reports to Shareholders............................................ -- 2,261 2,625
Registration Fees.................................................. 4 4 4
Auditing........................................................... 20,700 45,918 34,829
Legal.............................................................. 1,413 7,821 8,175
Other.............................................................. 21 4,901 7,919
Fees waived and reimbursed by Manager (Note 2)..................... (28,096) -- --
............................................................................................................................
Total expenses..................................................... 25,038 5,857,496 6,416,736
............................................................................................................................
Expense reduction (Note 2)......................................... (1,070) (151,067) (86,250)
Net expenses....................................................... 23,968 5,706,429 6,330,486
............................................................................................................................
Net investment income (loss)....................................... 21,881 53,300,076 28,359,479
............................................................................................................................
Net realized gain (loss) on investments (Notes 1 and 3)............ 273,279 14,898,072 29,501,961
Net realized gain (loss) on futures contracts (Note 1)............. -- 1,998,295 --
Net realized gain (loss) on written options (Notes 1 and 3)........ -- -- --
Net realized gain (loss) on foreign currency
transactions (Note 1)............................................ -- 219,956 (4,434)
Net unrealized appreciation (depreciation) of assets and
liabilities in foreign currencies during the period.............. -- (1,412,701) 23,448
Net unrealized appreciation (depreciation) of investments,
futures, written options and TBA sale commitments
during the period................................................ 1,979,496 (1,680,677) 70,669,760
............................................................................................................................
Net gain (loss) on investments..................................... 2,252,775 14,022,945 100,190,735
............................................................................................................................
Net increase (decrease) in net assets resulting
from operations.................................................. $2,274,656 $67,323,021 $128,550,214
- ----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (continued)
- --------------------------------------------------------------------------------------------------------
Year ended December 31, 1998
Putnam VT Putnam VT
Vista Voyager
Fund Fund
- -------------------------------------------------------------------------------------------------------
<S> <C> <C>
Investment Income
Dividends.......................................................... $ 895,546 $ 26,549,776
Interest........................................................... 621,919 9,058,506
Less: foreign taxes withheld....................................... -- (290,657)
.......................................................................................................
Total investment income............................................ 1,517,465 35,317,625
.......................................................................................................
Expenses
Compensation of Manager (Note 2)................................... 1,526,540 26,815,677
Investor servicing and custodian fees (Note 2)..................... 230,030 1,964,864
Compensation of Trustees (Note 2).................................. 12,642 88,745
Administrative services (Note 2)................................... 6,574 32,201
Distribution fees-Class IB (Note 2)................................ 219 983
Reports to Shareholders............................................ 1,009 7,958
Registration Fees.................................................. 4 4
Auditing........................................................... 34,296 54,340
Legal.............................................................. 4,931 32,420
Other.............................................................. 2,076 44,168
Fees waived and reimbursed by Manager (Note 2)..................... -- --
.......................................................................................................
Total expenses..................................................... 1,818,321 29,041,360
.......................................................................................................
Expense reduction (Note 2)......................................... (25,095) (506,402)
Net expenses....................................................... 1,793,226 28,534,958
.......................................................................................................
Net investment income (loss)....................................... (275,761) 6,782,667
.......................................................................................................
Net realized gain (loss) on investments (Notes 1 and 3)............ (10,989,282) 508,085,782
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)............................................ -- 883
Net unrealized appreciation (depreciation) of assets and
liabilities in foreign currencies during the period.............. -- (1,398)
Net unrealized appreciation (depreciation) of investments,
futures, written options and TBA sale commitments
during the period................................................ 53,652,396 594,983,726
.......................................................................................................
Net gain (loss) on investments..................................... 42,663,114 1,103,068,993
.......................................................................................................
Net increase (decrease) in net assets resulting
from operations.................................................. $42,387,353 $1,109,851,660
- -------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
Asia Pacific Growth Fund Diversified Income Fund
Year ended December 31 Year ended December 31
1998 1997 1998 1997
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income........................................... $ 970,840 $ 941,178 $ 51,460,647 $ 41,048,375
Net realized loss on investments and
foreign currency transactions................................. (22,230,884) (8,695,246) (22,036,826) (1,694,515)
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies............................. 14,919,582 (11,278,930) (39,661,327) 888,492
...................................................................................................................................
Net increase (decrease) in net assets
resulting from operations..................................... (6,340,462) (19,032,998) (10,237,506) 40,242,352
...................................................................................................................................
Distributions to shareholders:
From net investment income
Class IA...................................................... (4,516,269) (2,664,413) (26,682,103) (29,111,302)
Class IB...................................................... -- -- -- --
From net realized gain on investments
Class IA...................................................... -- -- (11,333,017) (4,589,202)
Class IB...................................................... -- -- -- --
From return of capital
Class IA...................................................... (127,308) -- -- --
Class IB...................................................... -- -- -- --
Increase (decrease) from capital share
transactions (Note 4) ........................................ (11,140,017) 4,051,900 111,121,414 106,794,510
...................................................................................................................................
Total increase (decrease) in net assets......................... (22,124,056) (17,645,511) 62,868,788 113,336,358
...................................................................................................................................
Net assets:
Beginning of period (Note 5).................................... 112,902,073 130,547,584 608,147,673 494,811,315
...................................................................................................................................
End of period................................................... $ 90,778,017 $112,902,073 $671,016,461 $608,147,673
...................................................................................................................................
Undistributed net investment income (loss), end
of period..................................................... $ (12,294) $ 3,110,245 $ 46,307,097 $ 24,946,121
- -----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued)
- -----------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
The George Putnam Fund of Boston Global Asset Allocation Fund
Period ended December 31 Year ended December 31
1998** 1998 1997
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income........................................... $ 874,769 $ 25,355,658 $ 26,362,418
Net realized gain (loss) on investments and
foreign currency transactions................................... (15,776) 48,568,169 93,474,412
Net unrealized appreciation
of investments and assets and
liabilities in foreign currencies............................. 4,925,141 43,294,979 32,963,374
...................................................................................................................................
Net increase in net assets
resulting from operations..................................... 5,784,134 117,218,806 152,800,204
...................................................................................................................................
Distributions to shareholders:
From net investment income
Class IA...................................................... (909,452) (21,801,279) (26,895,274)
Class IB...................................................... (15,315) -- --
From net realized gain on investments
Class IA...................................................... -- (93,644,097) (45,515,619)
Class IB...................................................... -- -- --
Increase from capital share
transactions (Note 4)........................................... 108,265,989 63,367,043 128,408,589
...................................................................................................................................
Total increase in net assets.................................... 113,125,356 65,140,473 208,797,900
...................................................................................................................................
Net assets:
Beginning of period (Note 5)................................... 2,001,000 956,532,159 747,734,259
...................................................................................................................................
End of period $115,126,356 $1,021,672,632 $956,532,159
...................................................................................................................................
Undistributed net investment income (loss), end
of period.................................................... $ (44,081) $ 18,368,225 $ 19,696,988
- -----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued)
- -----------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
Global Growth Fund Growth and Income Fund
Year ended December 31 Year ended December 31
1998 1997 1998 1997
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income......................................... $ 4,613,368 $ 12,009,717 $ 145,687,310 $ 151,064,527
Net realized gain on investments and
foreign currency transactions............................... 196,526,598 237,026,255 655,020,567 979,781,001
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies........................... 258,892,378 (49,925,874) 495,099,517 367,746,315
...................................................................................................................................
Net increase in net assets
resulting from operations..................................... 460,032,344 199,110,098 1,295,807,394 1,498,591,843
...................................................................................................................................
Distributions to shareholders:
From net investment income
Class IA.................................................... (45,115,988) (33,624,622) (149,956,847) (128,693,999)
Class IB.................................................... -- -- -- --
From net realized gain on investments
Class IA.................................................... (225,579,941) (36,166,971) (978,918,294) (313,245,625)
Class IB.................................................... -- -- -- --
Increase from capital share
transactions (Note 4)....................................... 187,077,579 137,298,121 1,451,702,995 1,601,582,252
...................................................................................................................................
Total increase in net assets.................................. 376,413,994 266,616,626 1,618,635,248 2,658,234,471
...................................................................................................................................
Net assets:
Beginning of period (Note 5) ................................. 1,611,503,458 1,344,886,832 8,337,334,073 5,679,099,602
...................................................................................................................................
End of period................................................. $1,987,917,452 $1,611,503,458 $9,955,969,321 $8,337,334,073
...................................................................................................................................
Undistributed net investment income (loss), end
of period................................................... $ 7,163,966 $ 39,155,023 $ 139,548,823 $ 145,500,331
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued)
- -----------------------------------------------------------------------------------------------------------------------------------
Putnam VT
Health Sciences Fund Putnam VT
Period ended High Yield Fund
December 31 Year ended December 31
1998** 1998 1997
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income.......................................... $ 84,355 $ 111,348,978 $ 82,488,860
Net realized gain (loss) on investments and
foreign currency transactions................................ (4,823,757) (19,658,042) 19,263,536
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies............................ 17,951,815 (155,030,509) 17,958,850
...................................................................................................................................
Net increase (decrease) in net assets
resulting from operations.................................... 13,212,413 (63,339,573) 119,711,246
...................................................................................................................................
Distributions to shareholders:
From net investment income
Class IA..................................................... (83,480) (84,098,235) (58,024,885)
Class IB..................................................... (1,104) -- --
From net realized gain on investments
Class IA..................................................... -- (13,196,473) (6,728,418)
Class IB..................................................... -- -- --
From return of capital
Class IA..................................................... (32,926) -- --
Class IB..................................................... (435) -- --
Increase from capital share
transactions (Note 4)....................................... 121,469,206 170,067,410 200,422,382
...................................................................................................................................
Total increase in net assets................................... 134,563,674 9,433,129 255,380,325
...................................................................................................................................
Net assets:
Beginning of period (Note 5) .................................. 2,001,000 1,025,298,124 769,917,799
...................................................................................................................................
End of period.................................................. $136,564,674 $1,034,731,253 $1,025,298,124
...................................................................................................................................
Undistributed net investment income (loss), end
of period.................................................... $ -- $ 110,935,694 $ 82,916,513
- -----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued)
- -----------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
International Growth Fund International Growth and Income Fund
Year ended Period ended Year ended Period ended
December 31 December 31 December 31 December 31
1998 1997* 1998 1997*
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income.......................................... $ 2,009,754 $ 598,784 $ 5,088,773 $ 1,211,873
Net realized gain (loss) on investments and
foreign currency transactions................................ (6,419,294) 434,252 4,694,683 5,522,841
Net unrealized appreciation
of investments and assets and
liabilities in foreign currencies............................ 38,588,932 4,599,381 14,381,219 6,335,146
...................................................................................................................................
Net increase in net assets
resulting from operations.................................... 34,179,392 5,632,417 24,164,675 13,069,860
...................................................................................................................................
Distributions to shareholders:
From net investment income
Class IA..................................................... (843,870) (598,784) (2,590,484) (1,211,873)
Class IB..................................................... (20,511) -- (9,677) --
In excess of net investment income
Class IA..................................................... -- (334,985) -- (760,143)
Class IB..................................................... -- -- -- --
From net realized gain on investments
Class IA..................................................... -- (434,252) (5,311,565) (4,894,779)
Class IB..................................................... -- -- (18,886) --
In excess of net realized gain on investments
Class IA..................................................... -- (787,174) (4,427,665) --
Class IB..................................................... -- -- (15,743) --
From return of capital
Class IA..................................................... (191,218) (105,318) (1,529,177) --
Class IB..................................................... (4,648) -- (5,628) --
Increase from capital share
transactions (Note 4) ....................................... 134,832,557 145,012,588 89,118,942 197,894,945
...................................................................................................................................
Total increase in net assets................................... 167,951,702 148,384,492 99,374,792 204,098,010
...................................................................................................................................
Net assets:
Beginning of period (Note 5) .................................. 150,884,492 2,500,000 206,598,010 2,500,000
...................................................................................................................................
End of period.................................................. $318,836,194 $150,884,492 $305,972,802 $206,598,010
...................................................................................................................................
Undistributed net investment income (loss), end
of period.................................................... $ (336,147) $ (138,410) $ (654,990) $ (346,390)
- -----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued)
- -----------------------------------------------------------------------------------------------------------------------------------
Putnam VT International Putnam VT
New Opportunities Fund Investors Fund
Year ended Period ended Period ended
December 31 December 31 December 31
1998 1997* 1998**
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss) .................................. $ (441,590) $ 63,700 $ 183,347
Net realized loss on investments and
foreign currency transactions................................ (8,286,399) (4,862,745) (8,838,294)
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies............................ 26,474,514 (464,507) 39,093,065
...................................................................................................................................
Net increase (decrease) in net assets
resulting from operations.................................... 17,746,525 (5,263,552) 30,438,118
...................................................................................................................................
Distributions to shareholders:
From net investment income
Class IA..................................................... (235,886) (63,700) (181,901)
Class IB..................................................... -- -- (1,605)
In excess of net investment income
Class IA..................................................... -- (244,501) --
Class IB..................................................... -- -- --
From net realized gain on investments
Class IA..................................................... -- -- --
Class IB..................................................... -- -- --
From return of capital
Class IA..................................................... -- -- (110,129)
Class IB..................................................... -- -- (972)
Increase from capital share
transactions (Note 4) ....................................... 11,025,001 110,072,237 213,770,543
...................................................................................................................................
Total increase in net assets................................... 28,535,640 104,500,484 243,914,054
...................................................................................................................................
Net assets:
Beginning of period (Note 5) .................................. 107,000,484 2,500,000 2,001,000
...................................................................................................................................
End of period.................................................. $135,536,124 $107,000,484 $245,915,054
...................................................................................................................................
Undistributed net investment income (loss), end
of period.................................................... $ (233,349) $ (20,027) $ --
- -----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued)
- -----------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
Money Market Fund New Opportunities Fund
Year ended December 31 Year ended December 31
1998 1997 1998 1997
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss)................................... $ 25,582,369 $ 23,808,416 $ (4,679,495) $ (168,377)
Net realized gain on investments and
foreign currency transactions................................ -- -- 52,243,397 68,314,810
Net unrealized appreciation
of investments and assets and
liabilities in foreign currencies............................ -- -- 621,550,838 376,452,164
...................................................................................................................................
Net increase in net assets
resulting from operations.................................... 25,582,369 23,808,416 669,114,740 444,598,597
...................................................................................................................................
Distributions to shareholders:
From net investment income
Class IA..................................................... (25,507,476) (23,808,416) -- --
Class IB..................................................... (74,893) -- -- --
From net realized gain on investments
Class IA..................................................... -- -- (40,377,073) --
Class IB..................................................... -- -- -- --
Increase from capital share
transactions (Note 4) ....................................... 202,768,885 (31,555,153) 368,601,899 471,448,564
...................................................................................................................................
Total increase (decrease) in net assets........................ 202,768,885 (31,555,153) 997,339,566 916,047,161
...................................................................................................................................
Net assets:
Beginning of period (Note 5) .................................. 405,577,148 437,132,301 2,590,243,858 1,674,196,697
...................................................................................................................................
End of period.................................................. $608,346,033 $405,577,148 $3,587,583,424 $2,590,243,858
...................................................................................................................................
Undistributed net investment income (loss), end
of period.................................................... $ -- $ -- $ -- $ --
- -----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued)
- -----------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
New Value Fund OTC & Emerging Growth Fund
Year ended Period ended Period ended
December 31 December 31 December 31
1998 1997* 1998**
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss)................................... $ 3,116,783 $ 1,720,282 $ (21,409)
Net realized gain (loss) on investments and
foreign currency transactions................................ 3,733,085 3,630,551 (2,732,544)
Net unrealized appreciation
of investments and assets and
liabilities in foreign currencies............................ 7,492,278 7,623,632 5,873,260
...................................................................................................................................
Net increase in net assets
resulting from operations.................................... 14,342,146 12,974,465 3,119,307
...................................................................................................................................
Distributions to shareholders:
From net investment income
Class IA..................................................... (4,522,395) -- --
Class IB..................................................... (3,988) -- --
From net realized gain on investments
Class IA..................................................... (4,472,218) -- --
Class IB..................................................... (755) -- --
From return of capital
Class IA..................................................... -- -- (10,506)
Class IB..................................................... -- -- (91)
Increase from capital share
transactions (Note 4) ....................................... 55,434,143 182,166,386 23,490,269
...................................................................................................................................
Total increase in net assets................................... 60,776,933 195,140,851 26,598,979
...................................................................................................................................
Net assets:
Beginning of period (Note 5) .................................. 195,390,851 250,000 2,001,000
...................................................................................................................................
End of period.................................................. $256,167,784 $195,390,851 $28,599,979
...................................................................................................................................
Undistributed net investment income (loss), end
of period.................................................... $ 57,759 $ 1,560,934 $ --
- -----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued)
- -----------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
Research Fund U.S. Government
Period ended and High Quality Bond Fund
December 31 Year ended December 31
1998*** 1998 1997
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income.......................................... $ 21,881 $ 53,300,076 $ 50,686,903
Net realized gain (loss) on investments and
foreign currency transactions................................ 273,279 17,116,323 (2,397,818)
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies............................ 1,979,496 (3,093,378) 15,536,395
...................................................................................................................................
Net increase in net assets
resulting from operations.................................... 2,274,656 67,323,021 63,825,480
...................................................................................................................................
Distributions to shareholders:
From net investment income
Class IA..................................................... (21,723) (42,868,771) (49,260,624)
Class IB..................................................... (158) -- --
From net realized gain on investments
Class IA..................................................... (11,993) (1,115,763) --
Class IB..................................................... (105) -- --
Increase from capital share
transactions (Note 4) ....................................... 18,640,566 189,570,369 (3,948,335)
...................................................................................................................................
Total increase in net assets................................... 20,881,243 212,908,856 10,616,521
...................................................................................................................................
Net assets:
Beginning of period (Note 5) .................................. 2,000,000 789,540,084 778,923,563
...................................................................................................................................
End of period.................................................. $22,881,243 $1,002,448,940 $789,540,084
...................................................................................................................................
Undistributed net investment income (loss), end
of period.................................................... $ -- $ 52,744,212 $ 41,308,267
- -----------------------------------------------------------------------------------------------------------------------------------
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
Utilities Growth and Income Fund Year ended Period ended
Year ended December 31 December 31 December 31
1998 1997 1998 1997*
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss)................................... $ 28,359,479 $ 25,451,494 $ (275,761) $ 4,017
Net realized gain (loss) on investments and
foreign currency transactions................................ 29,497,527 42,912,552 (10,989,282) (3,150,998)
Net unrealized appreciation
of investments and assets and
liabilities in foreign currencies............................ 70,693,208 106,798,904 53,652,396 22,083,760
...................................................................................................................................
Net increase in net assets
resulting from operations.................................... 128,550,214 175,162,950 42,387,353 18,936,779
...................................................................................................................................
Distributions to shareholders:
From net investment income
Class IA..................................................... (25,052,399) (24,529,426) -- (4,017)
Class IB..................................................... -- -- -- --
From net realized gain on investments
Class IA..................................................... (43,178,545) (33,449,218) -- --
Class IB..................................................... -- -- -- --
From return of capital
Class IA..................................................... -- -- -- (9,239)
Class IB..................................................... -- -- -- --
Increase from capital share
transactions (Note 4)........................................ 134,550,230 47,643,201 99,415,966 149,236,897
...................................................................................................................................
Total increase in net assets................................... 194,869,500 164,827,507 141,803,319 168,160,420
...................................................................................................................................
Net assets:
Beginning of period (Note 5)................................... 822,256,541 657,429,034 170,660,420 2,500,000
...................................................................................................................................
End of period.................................................. $1,017,126,041 $822,256,541 $312,463,739 $170,660,420
...................................................................................................................................
Undistributed net investment income (loss), end
of period.................................................... $ 28,000,418 $ 24,966,593 $ -- $ --
- -----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued)
- -----------------------------------------------------------------------------------------------------------------------------------
Putnam VT
Voyager Fund
Year ended December 31
1998 1997
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income.......................................... $ 6,782,667 $ 11,685,570
Net realized gain on investments and
foreign currency transactions................................ 508,086,665 297,725,044
Net unrealized appreciation
of investments and assets and
liabilities in foreign currencies............................ 594,982,328 601,292,487
...................................................................................................................................
Net increase in net assets
resulting from operations.................................... 1,109,851,660 910,703,101
...................................................................................................................................
Distributions to shareholders:
From net investment income
Class IA..................................................... (11,793,024) (7,180,496)
Class IB..................................................... -- --
From net realized gain on investments
Class IA..................................................... (287,749,794) (154,744,905)
Class IB..................................................... -- --
Increase from capital share
transactions (Note 4) ....................................... 458,561,422 508,267,410
...................................................................................................................................
Total increase in net assets................................... 1,268,870,264 1,257,045,110
...................................................................................................................................
Net assets:
Beginning of period (Note 5)................................... 4,538,535,142 3,281,490,032
...................................................................................................................................
End of period.................................................. $5,807,405,406 $4,538,535,142
...................................................................................................................................
Undistributed net investment income (loss), end
of period.................................................... $ 6,388,437 $ 11,397,910
- -----------------------------------------------------------------------------------------------------------------------------------
* From January 2, 1997 (commencement of operations) to December 31, 1997.
** From April 30, 1998 (commencement of operations) to December 31, 1998.
***From September 30, 1998 (commencement of operations) to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
Financial Highlights
<CAPTION>
CLASS IA
- --------------------------------------------------------------------------------------------------------
Investment Operations
Net
Net Realized and
Asset Unrealized
Value, Net Gain (Loss) Total from
Beginning Investment on Investment
Period ended of Period Income (Loss) Investments Operations
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
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
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
December 31, 1998****** $10.00 $ .18(a)(b) $ .19 $ .37
........................................................................................................
Putnam VT Global Asset Allocation Fund
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
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
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
December 31, 1998****** $10.00 $ .01(a)(b) $ .94 $ .95
........................................................................................................
Putnam VT High Yield Fund
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)
........................................................................................................
Putnam VT International Growth Fund
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
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
December 31, 1998 $ 9.96 $ (.04)(a)(b) $ 1.59 $ 1.55
December 31, 1997**** 10.00 .01(b) (.02) (.01)
- --------------------------------------------------------------------------------------------------------
<CAPTION>
Financial Highlights (continued)
CLASS IA
- --------------------------------------------------------------------------------------------------------
Less Distributions:
From In Excess
From In Excess Net of Net
Net of Net Realized Realized From
Investment Investment Gain on Gain on Return
Period ended Income Income Investments Investments of Capital
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
December 31, 1998 $ (.38) $ -- $ -- $ -- $ (.01)
December 31, 1997 (.22) -- -- -- --
December 31, 1996 (.15) -- -- -- --
December 31, 1995*** -- -- -- -- --
........................................................................................................
Putnam VT Diversified Income Fund
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
December 31, 1998****** $ (.09) $ -- $ -- $ -- $ --
........................................................................................................
Putnam VT Global Asset Allocation Fund
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
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
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
December 31, 1998****** $ (.01) $ -- $ -- $ -- $ --(e)
........................................................................................................
Putnam VT High Yield Fund
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) --
........................................................................................................
Putnam VT International Growth Fund
December 31, 1998 $ (.04) $ -- $ -- $ -- $ (.01)
December 31, 1997**** (.05) (.02) (.04) (.06) (.01)
........................................................................................................
Putnam VT International Growth and Income Fund
December 31, 1998 $ (.11) $ -- $ (.22) $ (.19) $ (.06)
December 31, 1997**** (.08) (.05) (.28) -- --
........................................................................................................
Putnam VT International New Opportunities Fund
December 31, 1998 $ (.02) $ -- $ -- $ -- $ --
December 31, 1997**** (.01) (.02) -- -- --
- --------------------------------------------------------------------------------------------------------
<CAPTION>
Financial Highlights (Continued)
CLASS IA
- --------------------------------------------------------------------------------------------------------
Total
Investment
Return at Net Assets,
Total Net Asset Value, Net Asset End of Period
Period ended Distributions End of Period Value (%)(c) (in thousands)
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
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
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
December 31, 1998****** $ (.09) $10.28 3.69* $ 113,202
........................................................................................................
Putnam VT Global Asset Allocation Fund
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
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
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
December 31, 1998****** $ (.01) $10.94 9.51* $ 134,436
........................................................................................................
Putnam VT High Yield Fund
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
........................................................................................................
Putnam VT International Growth Fund
December 31, 1998 $ (.05) $13.52 18.69 $ 317,602
December 31, 1997**** (.18) 11.43 16.13 150,884
........................................................................................................
Putnam VT International Grow
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
December 31, 1998 $ (.02) $11.49 15.58 $ 135,451
December 31, 1997**** (.03) 9.96 (.10) 107,000
- --------------------------------------------------------------------------------------------------------
<CAPTION>
Financial Highlights (continued)
CLASS IA
- --------------------------------------------------------------------------------------------------------
Ratio of Net
Ratio of Investment
Expenses Income to
to Average Net Average Net Portfolio
Assets (%)(d) Assets (%) Turnover (%)
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
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
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
December 31, 1998****** .57(b)* 1.84(b)* 99.85*
........................................................................................................
Putnam VT Global Asset Allocation Fund
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
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
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
December 31, 1998****** .61(b)* .14(b)* 39.68*
........................................................................................................
Putnam VT High Yield Fund
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
........................................................................................................
Putnam VT International Growth Fund
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
December 31, 1998 .99 1.86 62.61
December 31, 1997**** 1.12 1.11 53.20
........................................................................................................
Putnam VT International New Opportunities Fund
December 31, 1998 1.60 (b) (.36)(b) 157.72
December 31, 1997**** 1.60 (b) .09 (b) 131.89
- --------------------------------------------------------------------------------------------------------
See page 270 for Notes to Financial Highlights.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
Financial Highlights
<CAPTION>
CLASS IA
- --------------------------------------------------------------------------------------------------------
Investment Operations
Net
Realized and
Unrealized
Net Asset Value, Net Gain (Loss) Total from
Beginning of Investment on Investment
Period ended Period Income (Loss) Investments Operations
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Investors Fund
December 31, 1998****** $10.00 $ .02(a)(b) $ 1.65 $ 1.67
........................................................................................................
Putnam VT Money Market Fund
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
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
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
December 31, 1998****** $10.00 $ (.01)(a) (b) $ .10 $ .09
........................................................................................................
Putnam VT Research Fund
December 31, 1998******* $10.00 $ .02(a) (b) $ 1.93 $ 1.95
........................................................................................................
Putnam VT U.S. Government and High
Quality Bond Fund
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 Utilities Growth and
Income Fund
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
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
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 Net of Net From
Net Realized Realized Return
Investment Gain on Gain on of
Period ended Income Investments Investments Capital
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Investors Fund
December 31, 1998****** $ (.01) $ -- $ -- $ (.01)
........................................................................................................
Putnam VT Money Market Fund
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
December 31, 1998 $ -- $ (.32) $ -- $ --
December 31, 1997 -- -- -- --
December 31, 1996 -- -- -- --
December 31, 1995 -- (.02) -- (.01)
December 31, 1994** -- -- -- --
........................................................................................................
Putnam VT New Value Fund
December 31, 1998 $ (.23) $ (.23) $ -- $ --
December 31, 1997**** -- -- -- --
........................................................................................................
Putnam VT OTC & Emerging Growth Fund
December 31, 1998****** $ -- $ -- $ -- $ --(e)
........................................................................................................
Putnam VT Research Fund
December 31, 1998******* $ (.01) $ (.01) $ -- $ --
........................................................................................................
Putnam VT U.S. Government and High
Quality Bond Fund
December 31, 1998 $ (.73) $ (.02) $ -- $ --
December 31, 1997 (.85) -- -- --
December 31, 1996 (.82) -- -- --
December 31, 1995 (.85) -- -- --
December 31, 1994 (.66) (.22) -- --
........................................................................................................
Putnam VT Utilities Growth and
Income Fund
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
December 31, 1998 $ -- $ -- $ -- $ --
December 31, 1997**** --(e) -- -- --(e)
........................................................................................................
Putnam VT Voyager Fund
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 Investors Fund
December 31, 1998****** $ (.02) $11.65 16.66* $ 243,296
........................................................................................................
Putnam VT Money Market Fund
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
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
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
December 31, 1998****** $ -- $10.09 .94* $ 28,059
........................................................................................................
Putnam VT Research Fund
December 31, 1998******* $ (.02) $11.93 19.51* $ 22,626
........................................................................................................
Putnam VT U.S. Government and High
Quality Bond Fund
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 Utilities Growth and
Income Fund
December 31, 1998 $ (1.39) $18.19 14.92 $1,015,327
December 31, 1997 (1.30) 17.14 27.10 822,257
December 31, 1996 (.51) 14.80 15.80 657,429
December 31, 1995 (.58) 13.28 31.08 530,461
December 31, 1994 (.48) 10.68 (7.02) 384,169
........................................................................................................
Putnam VT Vista Fund
December 31, 1998 $ -- $14.72 19.48 $ 311,612
December 31, 1997**** -- 12.32 23.21 170,660
........................................................................................................
Putnam VT Voyager Fund
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 (Loss)
to Average Net to Average Net Portfolio
Period ended Assets (%)(d) Assets (%) Turnover (%)
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT Investors Fund
December 31, 1998****** .57(b)* .19(b)* 42.97*
........................................................................................................
Putnam VT Money Market Fund
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
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
December 31, 1998 .81 1.34 130.96
December 31, 1997**** .85 1.59 64.15
........................................................................................................
Putnam VT OTC & Emerging Growth Fund
December 31, 1998****** .60(b)* (.16)(b)* 59.93*
........................................................................................................
Putnam VT Research Fund
December 31, 1998******* .22(b)* .19(b)* 19.76*
........................................................................................................
Putnam VT U.S. Government and High
Quality Bond Fund
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 Utilities Growth and
Income Fund
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
December 31, 1998 .77 (.12) 116.48
December 31, 1997**** .87 -- 75.43
........................................................................................................
Putnam VT Voyager Fund
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 270 for Notes to Financial Highlights.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Financial Highlights
CLASS IB
- -----------------------------------------------------------------------------------------------------------------------------------
Investment Operations Less Distributions:
Net
Net Realized and From
Asset Unrealized From Net
Value, Net Gain (Loss) Total from Net Realized
Beginning Investment on Investment Investment Gain on
Period ended of Period Income (Loss) Investments Operations Income Investments
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
December 31, 1998****** $ 8.57 $ (.01)(a) $ (.23) $ (.24) $ -- $ --
...................................................................................................................................
Putnam VT Diversified Income Fund
December 31, 1998***** $10.95 $ .62(a) $(1.10) $ (.48) $ -- $ --
...................................................................................................................................
Putnam VT The George Putnam Fund of Boston
December 31, 1998****** $10.00 $ .17(a)(b) $ .20 $ .37 $ (.09) $ --
...................................................................................................................................
Putnam VT Global Asset Allocation Fund
December 31, 1998****** $18.16 $ .33(a) $ .46 $ .79 $ -- $ --
...................................................................................................................................
Putnam VT Global Growth Fund
December 31, 1998****** $18.03 $ (.05)(a) $ 2.30 $ 2.25 $ -- $ --
...................................................................................................................................
Putnam VT Growth and Income Fund
December 31, 1998***** $28.02 $ .26(a) $ .47 $ .73 $ -- $ --
...................................................................................................................................
Putnam VT Health Sciences Fund
December 31, 1998****** $10.00 $ (.01)(a)(b) $ .95 $ .94 $ (.01) $ --
...................................................................................................................................
Putnam VT High Yield Fund
December 31, 1998****** $12.99 $ .79(a) $(2.08) $(1.29) $ -- $ --
...................................................................................................................................
Putnam VT International Growth Fund
December 31, 1998****** $13.44 $ (.04)(a) $ .15 $ .11 $ (.03) $ --
...................................................................................................................................
Putnam VT International Growth and Income Fund
December 31, 1998***** $13.36 $ (.01)(a) $ (.57) $ (.58) $ (.11) $ (.19)
...................................................................................................................................
Putnam VT International New Opportunities Fund
December 31, 1998****** $11.39 $ (.05)(a)(b) $ .14 $ .09 $ -- $ --
...................................................................................................................................
Putnam VT Investors Fund
December 31, 1998****** $10.00 $ .01(a)(b) $ 1.64 $ 1.65 $ (.01) $ --
...................................................................................................................................
Putnam VT Money Market Fund
December 31, 1998****** $ 1.00 $ .0338(a) $ -- $.0338 $(.0338) $ --
...................................................................................................................................
Putnam VT New Opportunities Fund
December 31, 1998****** $23.94 $ (.05)(a) $ 2.15 $ 2.10 $ -- $ --
...................................................................................................................................
Putnam VT New Value Fund
December 31, 1998****** $11.91 $ .13(a) $ .13 $ .26 $ (.13) $ (.02)
...................................................................................................................................
Putnam VT OTC & Emerging Growth Fund
December 31, 1998****** $10.00 $ (.03)(a)(b) $ .11 $ .08 $ -- $ --
...................................................................................................................................
Putnam VT Research Fund
December 31, 1998******* $10.00 $ .02(a)(b) $ 1.90 $ 1.92 $ (.01) $ (.01)
...................................................................................................................................
Putnam VT U.S. Government and High
Quality Bond Fund
December 31, 1998****** $12.88 $ .50(a) $ .35 $ .85 $ -- $ --
...................................................................................................................................
Putnam VT Utilities Growth and
Income Fund
December 31, 1998****** $16.19 $ .29(a) $ 1.71 $ 2.00 $ -- $ --
...................................................................................................................................
Putnam VT Vista Fund
December 31, 1998****** $13.76 $ (.02)(a) $ .99 $ .97 $ -- $ --
...................................................................................................................................
Putnam VT Voyager Fund
December 31, 1998****** $41.55 $ (.01)(a) $ 4.27 $ 4.26 $ -- $ --
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Financial Highlights (continued)
CLASS IB
- -----------------------------------------------------------------------------------------------------------------------------------
In Excess Total
of Net From Investment
Realized Return Return at Net Assets,
Gain on of Total Net Asset Value, Net Asset End of Period
Period ended Investments Capital Distributions End of Period Value (%)(c) (in thousands)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
December 31, 1998****** $ -- $ -- $ -- $ 8.33 (2.80)* $ 111
...................................................................................................................................
Putnam VT Diversified Income Fund
December 31, 1998***** $ -- $ -- $ -- $10.47 (4.38)* $ 1,963
...................................................................................................................................
Putnam VT The George Putnam Fund of Boston
December 31, 1998****** $ -- $ -- $ (.09) $10.28 3.69* $ 1,924
...................................................................................................................................
Putnam VT Global Asset Allocation Fund
December 31, 1998****** $ -- $ -- $ -- $18.95 4.35* $ 1,319
...................................................................................................................................
Putnam VT Global Growth Fund
December 31, 1998****** $ -- $ -- $ -- $20.28 12.48* $ 823
...................................................................................................................................
Putnam VT Growth and Income Fund
December 31, 1998***** $ -- $ -- $ -- $28.75 2.61* $ 7,583
...................................................................................................................................
Putnam VT Health Sciences Fund
December 31, 1998****** $ -- $ --(e) $ (.01) $10.93 9.40* $ 2,129
...................................................................................................................................
Putnam VT High Yield Fund
December 31, 1998****** $ -- $ -- $ -- $11.70 (9.93)* $ 1,840
...................................................................................................................................
Putnam VT International Growth Fund
December 31, 1998****** $ -- $ (.01) $ (.04) $13.51 .81* $ 1,234
...................................................................................................................................
Putnam VT International Growth and Income Fund
December 31, 1998***** $ (.18) $ (.06) $ (.54) $12.24 (4.24)* $ 926
...................................................................................................................................
Putnam VT International New Opportunities Fund
December 31, 1998****** $ -- $ -- $ -- $11.48 .79* $ 85
...................................................................................................................................
Putnam VT Investors Fund
December 31, 1998****** $ -- $ --(e) $ (.01) $11.64 16.54* $ 2,619
...................................................................................................................................
Putnam VT Money Market Fund
December 31, 1998****** $ -- $ -- $(.0338) $ 1.00 3.42* $13,188
...................................................................................................................................
Putnam VT New Opportunities Fund
December 31, 1998****** $ -- $ -- $ -- $26.04 8.77* $ 1,359
...................................................................................................................................
Putnam VT New Value Fund
December 31, 1998****** $ -- $ -- $ (.15) $12.02 2.28* $ 414
...................................................................................................................................
Putnam VT OTC & Emerging Growth Fund
December 31, 1998****** $ -- $ --(e) $ -- $10.08 .82* $ 541
...................................................................................................................................
Putnam VT Research Fund
December 31, 1998******* $ -- $ -- $ (.02) $11.90 19.19* $ 255
...................................................................................................................................
Putnam VT U.S. Government and High
Quality Bond Fund
December 31, 1998****** $ -- $ -- $ -- $13.73 6.60* $ 2,288
...................................................................................................................................
Putnam VT Utilities Growth and
Income Fund
December 31, 1998****** $ -- $ -- $ -- $18.19 12.35* $ 1,799
...................................................................................................................................
Putnam VT Vista Fund
December 31, 1998****** $ -- $ -- $ -- $14.73 7.05* $ 851
...................................................................................................................................
Putnam VT Voyager Fund
December 31, 1998****** $ -- $ -- $ -- $45.81 10.25* $ 4,332
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Financial Highlights (continued)
CLASS IB
- --------------------------------------------------------------------------------------------------------
Ratio of Net
Ratio of Investment
Expenses Income
to Average Net to Average Net Portfolio
Period ended Assets (%)(d) Assets (%) Turnover (%)
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
December 31, 1998****** .85* (.10)* 136.49
........................................................................................................
Putnam VT Diversified Income Fund
December 31, 1998***** .69* 5.74* 186.80
........................................................................................................
Putnam VT The George Putnam Fund of Boston
December 31, 1998****** .67(b)* 1.74(b)* 99.85*
........................................................................................................
Putnam VT Global Asset Allocation Fund
December 31, 1998****** .63* 1.82* 133.80
........................................................................................................
Putnam VT Global Growth Fund
December 31, 1998****** .59* (.34)* 164.56
........................................................................................................
Putnam VT Growth and Income Fund
December 31, 1998***** .49* 1.20* 63.62
........................................................................................................
Putnam VT Health Sciences Fund
December 31, 1998****** .71(b)* (.11)(b)* 39.68*
........................................................................................................
Putnam VT High Yield Fund
December 31, 1998****** .58* 7.63* 52.00
........................................................................................................
Putnam VT International Growth Fund
December 31, 1998****** .83* (.29)* 98.31
........................................................................................................
Putnam VT International Growth and Income Fund
December 31, 1998***** .84(b)* (.07)(b)* 62.61
........................................................................................................
Putnam VT International New Opportunities Fund
December 31, 1998****** 1.18* (.44)(b)* 157.72
........................................................................................................
Putnam VT Investors Fund
December 31, 1998****** .67(b)* .03(b)* 42.97*
........................................................................................................
Putnam VT Money Market Fund
December 31, 1998****** .46* 3.18* --
........................................................................................................
Putnam VT New Opportunities Fund
December 31, 1998****** .51* (.25)* 59.75
........................................................................................................
Putnam VT New Value Fund
December 31, 1998****** .65* 1.26* 130.96
........................................................................................................
Putnam VT OTC & Emerging Growth Fund
December 31, 1998****** .71(b)* (.42)(b)* 59.93*
........................................................................................................
Putnam VT Research Fund
December 31, 1998******* .25(b)* .15(b)* 19.76*
........................................................................................................
Putnam VT U.S. Government and High
Quality Bond Fund
December 31, 1998****** .56* 4.03* 233.04
........................................................................................................
Putnam VT Utilities Growth and
Income Fund
December 31, 1998****** .59* 1.98* 24.77
........................................................................................................
Putnam VT Vista Fund
December 31, 1998****** .62* (.18)* 116.48
........................................................................................................
Putnam VT Voyager Fund
December 31, 1998****** .49* (.04)* 62.99
- --------------------------------------------------------------------------------------------------------
See page 270 for Notes to Financial Highlights.
PUTNAM VARIABLE TRUST
Notes to Financial Highlights
* 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.
(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:
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 0.06
Putnam VT OTC and Emerging Markets Fund Class IB 0.05
Putnam VT Research Fund Class IA 0.03
Putnam VT Research Fund Class IB 0.03
(c) Total investment return assumes dividend reinvestment.
(d) The ratio of expenses to average net assets for the periods ended December 31, 1995, and thereafter, includes
amounts paid through expense offset and brokerage service arrangements. Prior period ratios exclude these amounts
(Note 2).
(e) Net investment income, distributions from net investment income and returns of capital were less than $0.01 per share.
</TABLE>
PUTNAM VARIABLE TRUST
Notes to Financial Statements
December 31, 1998
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-one funds: Putnam VT Asia Pacific Growth Fund, Putnam
VT Diversified Income Fund, Putnam VT The George Putnam Fund of Boston,
Putnam VT Global Asset Allocation Fund, Putnam VT Global Growth Fund,
Putnam VT Growth and Income Fund, Putnam VT Health Sciences Fund,
Putnam VT High Yield Fund, Putnam VT International Growth Fund, Putnam
VT International Growth and Income Fund, Putnam VT International New
Opportunities Fund, Putnam VT Investors Fund, Putnam VT Money Market
Fund, Putnam VT New Opportunities Fund, Putnam VT New Value Fund,
Putnam VT OTC & Emerging Growth Fund, Putnam VT Research Fund, Putnam
VT U.S. Government and High Quality Bond Fund, Putnam VT Utilities
Growth and Income Fund, Putnam VT Vista Fund and Putnam VT Voyager
Fund.
The Trust offers class IA and class IB shares. The Trust began offering
class IB shares on April 6, 1998 for Putnam VT Diversified Income Fund,
Putnam VT Growth and Income Fund and Putnam VT International Growth and
Income fund. On April 30, 1998, the Trust began offering class IB
shares for Putnam VT Asia Pacific Growth Fund, Putnam VT Global Asset
Allocation Fund, Putnam VT Global Growth Fund, Putnam VT High Yield
Fund, Putnam VT International Growth Fund, Putnam VT International New
Opportunities Fund, Putnam VT Money Market Fund, Putnam VT New
Opportunities Fund, Putnam VT New Value Fund, Putnam VT U.S. Government
and High Quality Bond Fund, Putnam VT Utilities Growth and Income Fund,
Putnam VT Vista fund, Putnam VT Voyager Fund and class IA and class IB
shares for Putnam VT The George Putnam Fund of Boston, Putnam VT Health
Sciences Fund, Putnam VT Investors Fund and Putnam VT OTC & Emerging
Growth Fund. On September 30, 1998, the Trust began offering class IA
and class IB shares for Putnam VT Research 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 its portfolio or for delivery
pursuant to options contracts it has entered into, the fund may dispose
of a commitment prior to settlement if Putnam Management deems it
appropriate to do so.
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 and
Putnam VT Research 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 year ended
December 31, 1998, the funds had no borrowings against the line of
credit.
L) Federal income taxes Each fund of the Trust is created as a separate
entity for federal income tax purposes. It is the policy of each fund
to distribute all of its taxable income within the prescribed time and
otherwise comply with the provisions of the Internal Revenue Code
applicable to regulated investment companies. Therefore, no provision
has been made for federal taxes on income, capital gains or unrealized
appreciation on securities held and for excise tax on income and
capital gains.
At December 31, 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. The differences include temporary and permanent differences
of losses on wash sale transactions, foreign currency gains and losses,
post-October loss deferrals, foreign taxes, nontaxable dividends,
defaulted bond interest, unrealized gains and losses on certain futures
contracts, paydown gains and losses on mortgage-backed securities,
market discount, interest on payment-in-kind securities, realized and
unrealized gains and losses on passive foreign investment companies, net
operating loss, foreign tax credit and market premium. Reclassifications
are made to the fund's capital accounts to reflect income and gains
available for distribution (or available capital loss carryovers) under
income tax regulations. For the year ended December 31, 1998, the fund
reclassified the following amounts.
<TABLE>
<CAPTION>
Accumulated
Undistributed Net Realized
Net Gain/(Loss) on
Investment Investment Paid-in-
Income /(Loss) Transactions Capital
- ---------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT Asia Pacific
Growth Fund $422,890 $(292,654) $(130,236)
Putnam VT Diversified
Income Fund (3,417,568) 3,240,847 176,721
Putnam VT The George
Putnam Fund of Boston 5,917 (53) (5,864)
Putnam VT Global Asset
Allocation Fund (4,883,142) 4,685,440 197,702
Putnam VT Global
Growth Fund 8,511,563 (8,772,067) 260,504
Putnam VT Growth and
Income Fund (1,681,971) 2,540,228 (858,257)
Putnam VT Health
Sciences Fund 229 -- (229)
Putnam VT High Yield Fund 768,438 694,370 (1,462,808)
Putnam VT International
Growth Fund $(1,343,110) $1,190,562 $152,548
Putnam VT International
Growth and Income Fund (2,797,212) 2,797,212 --
Putnam VT International
New Opportunities Fund 464,154 (464,154) --
Putnam VT Investors Fund 159 -- (159)
Putnam VT Money Market Fund -- -- --
Putnam VT New
Opportunities Fund 4,679,495 7,686 (4,687,181)
Putnam VT New Value Fund (93,575) 97,145 (3,570)
Putnam VT OTC &
Emerging Growth Fund 21,409 -- (21,409)
Putnam VT Research Fund -- -- --
Putnam VT U.S. Government
and High Quality
Bond Fund 1,004,640 (1,004,640) --
Putnam VT Utilities Growth
and Income Fund (273,255) 107,066 166,189
Putnam VT Vista Fund 275,761 -- (275,761)
Putnam VT Voyager Fund 884 (884) --
- ---------------------------------------------------------------------------
</TABLE>
The calculation of net investment income per share in the financial
highlights table excludes these adjustments.
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 December 31, 1998, insurance companies or
their separate accounts were record owners of all but a de minimis
number of the shares of each fund. From 76.5% to almost 100% of each
fund is owned by accounts of one group of insurance companies.
<TABLE>
NOTE 2
MANAGEMENT FEE, ADMINISTRATIVE SERVICES,
AND OTHER TRANSACTIONS
Compensation of Putnam Management, for management and investment advisory services is paid quarterly based on the
average net assets of the funds. The following summarizes the management fee rates in effect at December 31, 1998:
<CAPTION>
Rate
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C>
Putnam VT Asia Pacific Growth Fund 0.80% of the first $500 million of average net assets,
Putnam VT International Growth Fund 0.70% of the next $500 million,
Putnam VT International Growth and Income Fund 0.65% of the next $500 million,
0.60% of the next $5 billion,
0.575% of the next $5 billion,
0.555% of the next $5 billion,
0.54% of the next $5 billion,
and 0.53% thereafter.
.................................................................................................................................
Putnam VT Global Growth Fund 0.60% of average net assets.
.................................................................................................................................
Putnam VT Money Market Fund 0.45% of first $500 million of average net assets,
0.35% of the next $500 million,
0.30% of the next $500 million,
0.25% of the next $5 billion,
0.225% of the next $5 billion,
0.205% of the next $5 billion,
0.19% of the next $5 billion,
and 0.18% thereafter.
.................................................................................................................................
Putnam VT The George Putnam Fund of Boston 0.65% of first $500 million of average net assets,
Putnam VT Growth and Income Fund 0.55% of the next $500 million,
Putnam VT Investors Fund 0.50% of the next $500 million,
Putnam VT Research Fund 0.45% of the next $5 billion,
Putnam VT U.S. Government and High Quality Bond 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.
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Putnam Management has voluntarily agreed to limit expenses of Putnam VT
The George Putnam Fund of Boston, Putnam VT Health Sciences Fund, Putnam
VT International Growth Fund, Putnam VT International Growth and Income
Fund, Putnam VT International New Opportunities Fund, Putnam VT
Investors Fund, Putnam VT New Value Fund, Putnam VT OTC & Emerging
Growth Fund, Putnam VT Research Fund and Putnam VT Vista Fund to an
annual rate of 0.85%, 0.90%, 1.20%, 1.20%, 1.60%, 0.85%, 1.10%, 0.90%,
0.85% and 1.05%, respectively, of the fund's average daily net assets.
The fund's expenses subject to this limitation are exclusive of
brokerage, interest, taxes, insurance, amortization of deferred
organization expenses, extraordinary expenses, 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 Health Sciences
Fund, Putnam VT International Growth Fund, Putnam VT International
Growth and Income Fund, Putnam VT International New Opportunities Fund,
Putnam VT Investors Fund, Putnam VT New Value Fund, and Putnam VT Vista
Fund expired on December 31, 1998. 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.
As part of the custodian contract between the subcustodian bank and
PFTC, the subcustodian bank has a lien on the securities of Putnam VT
High Yield 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 December 31, 1998,
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 funds' assets are provided by PFTC. Investor
servicing agent functions are provided by Putnam Investor Services, a
division of PFTC.
For the year ended December 31, 1998, each fund's expenses were reduced
by the following amounts under expense offset arrangements with PFTC and
brokerage service arrangements.
Putnam VT Asia Pacific Growth Fund $ 8,280
Putnam VT Diversified Income Fund 226,307
Putnam VT The George Putnam Fund of Boston 3,957
Putnam VT Global Asset Allocation Fund 162,126
Putnam VT Global Growth Fund 311,654
Putnam VT Growth and Income Fund 1,075,191
Putnam VT Health Sciences Fund 4,930
Putnam VT High Yield Fund 228,997
Putnam VT International Growth Fund 44,499
Putnam VT International Growth and
Income Fund 32,200
Putnam VT International New
Opportunities Fund 26,659
Putnam VT Investors Fund --
Putnam VT Money Market Fund 17,688
Putnam VT New Opportunities Fund 273,735
Putnam VT New Value Fund 67,459
Putnam VT OTC & Emerging Growth Fund 2,436
Putnam VT Research Fund 1,070
Putnam VT U.S. Government and
High Quality Bond Fund 151,067
Putnam VT Utilities Growth and Income Fund 86,250
Putnam VT Vista Fund 25,095
Putnam VT Voyager Fund 506,402
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
$24,490 has been allocated to the Trust, and an additional fee for each
Trustee's meeting attended. Trustees who are not interested persons of
Putnam Management and who serve on committees of the Trustees receive
additional fees for attendance at certain committee meetings.
Each fund has adopted a Trustee Fee Deferral Plan (the "Deferral Plan")
which allows the Trustees to defer the receipt of all or a portion of
Trustees Fees payable on or after July 1, 1995. The deferred fees remain
in the fund and are invested in certain Putnam funds until distribution
in accordance with the Deferral Plan.
Each fund has adopted an unfunded noncontributory defined benefit
pension plan (the "Pension Plan") covering all Trustees of the fund who
have served as Trustee for at least five years. Benefits under the
Pension Plan are equal to 50% of the Trustee's average total retainer
and meeting fees for the three years preceding retirement. Pension
expense for the fund is included in Compensation of trustees in the
Statement of Operations. Accrued pension liability is included in
Payable for compensation of Trustees in the Statement of Assets and
Liabilities.
Each fund has adopted a distribution plan (the "Plan") with respect to
its class IB shares, pursuant to Rule 12b-1 under the Investment Company
Act of 1940. The purpose of the Plan is to compensate Putnam Mutual
Funds Corp., a wholly-owned subsidiary of Putnam Investments, Inc., for
services provided and expenses incurred by it in distributing shares of
the fund. The Plan provides for payment by the fund to Putnam Mutual
Funds Corp. at an annual rate of up to 0.35% of the fund's average net
assets. The Trustees currently limit payment by the fund to an annual
rate of 0.15% of the average net assets.
<TABLE>
NOTE 3
PURCHASES AND SALES OF SECURITIES
During the year ended December 31, 1998, purchases and sales of investment securities (other than short-term
investments) were as follows:
<CAPTION>
U.S. Government
Obligations Other Securities
- ---------------------------------------------------------------------------------------------------------------------------
Purchases Sales Purchases Sales
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund $ -- $ -- $ 127,805,614 $ 136,945,789
Putnam VT Diversified Income Fund 400,407,250 398,410,053 847,390,101 753,921,113
Putnam VT The George Putnam Fund of Boston 45,332,378 26,416,431 100,650,525 17,232,185
Putnam VT Global Asset Allocation Fund 343,460,232 326,574,016 904,148,815 958,943,801
Putnam VT Global Growth Fund -- -- 2,873,420,265 2,940,781,924
Putnam VT Growth and Income Fund -- -- 6,144,530,797 5,671,241,965
Putnam VT Health Sciences Fund -- -- 140,580,496 23,124,977
Putnam VT High Yield Fund -- -- 681,978,795 540,056,410
Putnam VT International Growth Fund -- -- 360,018,097 221,389,147
Putnam VT International Growth and Income Fund -- -- 241,719,724 160,978,506
Putnam VT International New Opportunities Fund -- -- 200,394,162 186,981,372
Putnam VT Investors Fund -- -- 244,811,466 39,498,851
Putnam VT New Opportunities Fund -- -- 2,017,748,894 1,723,677,082
Putnam VT New Value Fund -- -- 340,574,470 291,711,693
Putnam VT OTC & Emerging Growth Fund -- -- 30,931,022 8,070,589
Putnam VT Research Fund -- -- 23,293,479 3,025,388
Putnam VT U.S. Government and
High Quality Bond Fund 1,329,289,466 1,413,599,653 536,104,409 478,485,405
Putnam VT Utilities Growth and Income Fund -- -- 286,607,063 209,486,130
Putnam VT Vista Fund -- -- 367,101,278 270,228,296
Putnam VT Voyager Fund -- -- 3,306,782,553 3,052,998,080
Putnam VT Money Market Fund: Purchases and sales (including maturities) of investment securities
(all short-term obligations) aggregated $10,514,731,127 and $10,314,731,127, respectively.
In determining net gain or loss on securities sold, the cost of securities has been determined on the identified cost basis.
Written option transactions during the period are summarized as follows:
<CAPTION>
Contract Amounts Premiums Received
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT Diversified Income Fund
Written options outstanding at beginning of year 195,000 $111,848
Options opened -- --
Options expired (195,000) (111,848)
...........................................................................................................................
Written options outstanding at end of year -- $ --
- ---------------------------------------------------------------------------------------------------------------------------
Contract Amounts Premiums Received
- ---------------------------------------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
Written options outstanding at beginning of year 110,000 $ 63,094
Options opened 8,700,000 68,730
Options expired (8,700,000) (63,730)
Options closed (110,000) (63,094)
...........................................................................................................................
Written options outstanding at end of year -- $ --
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
NOTE 4
CAPITAL SHARES
At December 31, 1998, there was an unlimited number of shares of beneficial interest authorized. Transactions in capital
shares were as follows:
<CAPTION>
Year ended December 31
- -----------------------------------------------------------------------------------------------------------------------------------
Class IA 1998 1997
- -----------------------------------------------------------------------------------------------------------------------------------
Shares Amount Shares Amount
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
Shares sold 14,515,839 $121,743,149 14,980,776 $159,622,762
Shares issued in connection with reinvestment of distributions 522,362 4,643,577 257,429 2,664,413
...................................................................................................................................
15,038,201 126,386,726 15,238,205 162,287,175
Shares repurchased (16,420,839) (137,629,809) (14,827,774) (158,235,275)
...................................................................................................................................
Net increase / (decrease) (1,382,638) $(11,243,083) 410,431 $4,051,900
...................................................................................................................................
Putnam VT Diversified Income Fund
Shares sold 8,709,460 $94,044,101 9,541,469 $105,120,942
Shares issued in connection with reinvestment of distributions 3,487,558 38,015,120 3,243,553 33,700,504
...................................................................................................................................
12,197,018 132,059,221 12,785,022 138,821,446
Shares repurchased (2,147,661) (22,878,046) (2,918,154) (32,026,936)
...................................................................................................................................
Net increase 10,049,357 $109,181,175 9,866,868 $106,794,510
...................................................................................................................................
Putnam VT Global Asset Allocation Fund
Shares sold 1,663,813 $30,691,597 5,393,308 $96,152,920
Shares issued in connection with reinvestment of distributions 6,281,033 115,445,376 4,508,773 72,410,893
...................................................................................................................................
7,944,846 146,136,973 9,902,081 168,563,813
Shares repurchased (5,049,801) (83,976,270) (2,265,912) (40,155,224)
...................................................................................................................................
Net increase 2,895,045 $62,160,703 7,636,169 $128,408,589
...................................................................................................................................
Putnam VT Global Growth Fund
Shares sold 5,476,202 $101,077,420 15,785,671 $282,076,454
Shares issued in connection with reinvestment of distributions 15,013,640 270,695,929 4,289,449 69,791,593
...................................................................................................................................
20,489,842 371,773,349 20,075,120 351,868,047
Shares repurchased (10,353,865) (185,434,709) (11,889,504) (214,569,926)
...................................................................................................................................
Net increase 10,135,977 $186,338,640 8,185,616 $137,298,121
...................................................................................................................................
Putnam VT Growth and Income Fund
Shares sold 20,985,496 $581,667,698 47,137,172 $1,236,095,794
Shares issued in connection with reinvestment of distributions 40,815,316 1,128,875,141 18,862,126 441,939,624
...................................................................................................................................
61,800,812 1,710,542,839 65,999,298 1,678,035,418
Shares repurchased (10,426,008) (265,941,519) (2,856,470) (76,453,166)
...................................................................................................................................
Net increase 51,374,804 $1,444,601,320 63,142,828 $1,601,582,252
...................................................................................................................................
Putnam VT High Yield Fund
Shares sold 18,556,404 $235,392,170 25,952,072 $333,531,634
Shares issued in connection with reinvestment of distributions 7,489,969 97,294,708 5,432,325 64,753,303
...................................................................................................................................
26,046,373 332,686,878 31,384,397 398,284,937
Shares repurchased (13,073,429) (164,448,561) (15,521,671) (197,862,555)
...................................................................................................................................
Net increase 12,972,944 $168,238,317 15,862,726 $200,422,382
...................................................................................................................................
<CAPTION>
Year ended December 31
- -----------------------------------------------------------------------------------------------------------------------------------
Class IA 1998 1997
- -----------------------------------------------------------------------------------------------------------------------------------
Shares Amount Shares Amount
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Money Market Fund*
Shares sold -- $1,326,313,560 -- $1,150,816,521
Shares issued in connection with reinvestment of distributions -- 25,507,476 -- 23,808,416
...................................................................................................................................
-- 1,351,821,036 -- 1,174,624,937
Shares repurchased -- (1,162,240,098) -- (1,206,180,090)
...................................................................................................................................
Net increase / (decrease) -- $189,580,938 -- $(31,555,153)
...................................................................................................................................
Putnam VT New Opportunities Fund
Shares sold 27,436,458 $623,952,044 42,527,077 $825,207,792
Shares issued in connection with reinvestment of distributions 1,675,396 40,377,073 -- --
...................................................................................................................................
29,111,854 664,329,117 42,527,077 825,207,792
Shares repurchased (13,491,638) (296,850,106) (17,725,793) (353,759,228)
...................................................................................................................................
Net increase 15,620,216 $367,479,011 24,801,284 $471,448,564
...................................................................................................................................
Putnam VT U.S. Government and High Quality Bond Fund
Shares sold 17,955,653 $240,755,061 4,028,621 $52,586,470
Shares issued in connection with reinvestment of distributions 3,409,652 43,984,534 4,021,287 49,260,624
...................................................................................................................................
21,365,305 284,739,595 8,049,908 101,847,094
Shares repurchased (7,327,772) (97,430,466) (8,201,591) (105,795,429)
...................................................................................................................................
Net increase / (decrease) 14,037,533 $187,309,129 (151,683) $(3,948,335)
...................................................................................................................................
Putnam VT Utilities Growth and Income Fund
Shares sold 7,091,793 $119,907,018 3,065,697 $46,150,502
Shares issued in connection with reinvestment of distributions 4,068,620 68,230,944 4,346,225 57,978,644
...................................................................................................................................
11,160,413 188,137,962 7,411,922 104,129,146
Shares repurchased (3,313,634) (55,299,872) (3,862,391) (56,485,945)
...................................................................................................................................
Net increase 7,846,779 $132,838,090 3,549,531 $47,643,201
...................................................................................................................................
Putnam VT Voyager Fund
Shares sold 11,171,124 $472,514,985 15,684,768 $548,622,563
Shares issued in connection with reinvestment of distributions 7,074,700 299,542,818 5,526,440 161,925,401
...................................................................................................................................
18,245,824 772,057,803 21,211,208 710,547,964
Shares repurchased (7,792,260) (317,254,923) (5,965,623) (202,280,554)
...................................................................................................................................
Net increase 10,453,564 $454,802,880 15,245,585 $508,267,410
...................................................................................................................................
<CAPTION>
For the period January 2, 1997
(commencement of operations)
Year ended December 31 to December 31
- -----------------------------------------------------------------------------------------------------------------------------------
Class IA 1998 1997
- -----------------------------------------------------------------------------------------------------------------------------------
Shares Amount Shares Amount
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT International Growth Fund
Shares sold 21,731,822 $278,376,472 15,588,769 $176,706,662
Shares issued in connection with reinvestment of distributions 77,443 1,035,088 197,659 2,260,513
...................................................................................................................................
21,809,265 279,411,560 15,786,428 178,967,175
Shares repurchased (11,524,363) (145,094,826) (2,832,498) (33,954,587)
...................................................................................................................................
Net increase 10,284,902 $134,316,734 12,953,930 $145,012,588
...................................................................................................................................
Putnam VT International Growth and Income Fund
Shares sold 21,724,405 $270,979,799 21,411,817 $242,336,069
Shares issued in connection with reinvestment of distributions 1,155,897 13,858,891 601,961 6,866,795
...................................................................................................................................
22,880,302 284,838,690 22,013,778 249,202,864
Shares repurchased (15,879,232) (196,633,807) (4,352,599) (51,307,919)
...................................................................................................................................
Net increase 7,001,070 $88,204,883 17,661,179 $197,894,945
...................................................................................................................................
Putnam VT International New Opportunities Fund
Shares sold 12,231,470 $132,101,452 13,100,759 $137,247,387
Shares issued in connection with reinvestment of distributions 20,301 235,886 30,962 308,201
...................................................................................................................................
12,251,771 $132,337,338 13,131,721 137,555,588
Shares repurchased (11,210,273) (121,386,304) (2,634,975) (27,483,351)
...................................................................................................................................
Net increase 1,041,498 $10,951,034 10,496,746 $110,072,237
...................................................................................................................................
Putnam VT New Value Fund
Shares sold 4,966,193 $58,040,751 16,943,165 $186,035,346
Shares issued in connection with reinvestment of distributions 749,867 8,994,613 -- --
...................................................................................................................................
5,716,060 67,035,364 16,943,165 186,035,346
Shares repurchased (1,068,232) (11,996,883) (348,509) (3,868,960)
...................................................................................................................................
Net increase 4,647,828 $55,038,481 16,594,656 $182,166,386
...................................................................................................................................
Putnam VT Vista Fund
Shares sold 8,782,307 $117,572,026 15,177,780 $166,041,176
Shares issued in connection with reinvestment of distributions -- -- 1,132 13,256
...................................................................................................................................
8,782,307 117,572,026 15,178,912 166,054,432
Shares repurchased (1,468,312) (18,868,164) (1,580,403) (16,817,535)
...................................................................................................................................
Net increase 7,313,995 $98,703,862 13,598,509 $149,236,897
...................................................................................................................................
<CAPTION>
For the period April 30, 1998
(commencement of operations)
to December 31
- -----------------------------------------------------------------------------------------------------------------------------------
Class IA 1998
- -----------------------------------------------------------------------------------------------------------------------------------
Shares Amount
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT The George Putnam Fund of Boston
Shares sold 10,809,311 $106,347,285
Shares issued in connection with reinvestment of distributions 88,215 909,452
...................................................................................................................................
10,897,526 107,256,737
Shares repurchased (83,984) (839,455)
...................................................................................................................................
Net increase 10,813,542 $106,417,282
...................................................................................................................................
Putnam VT Health Sciences Fund
Shares sold 12,220,083 $120,760,740
Shares issued in connection with reinvestment of distributions 11,140 116,406
...................................................................................................................................
12,231,223 120,877,146
Shares repurchased (147,346) (1,374,766)
...................................................................................................................................
Net increase 12,083,877 $119,502,380
...................................................................................................................................
Putnam VT Investors Fund
Shares sold 21,117,159 $215,592,502
Shares issued in connection with reinvestment of distributions 26,323 292,030
...................................................................................................................................
21,143,482 215,884,532
Shares repurchased (452,016) (4,380,042)
...................................................................................................................................
Net increase 20,691,466 $211,504,490
...................................................................................................................................
Putnam VT OTC & Emerging Growth Fund
Shares sold 3,246,140 $28,933,251
Shares issued in connection with reinvestment of distributions 1,071 10,506
...................................................................................................................................
3,247,211 28,943,757
Shares repurchased (665,964) (5,915,549)
...................................................................................................................................
Net increase 2,581,247 $23,028,208
...................................................................................................................................
<CAPTION>
For the period September 30, 1998
(commencement of operations)
to December 31
- -----------------------------------------------------------------------------------------------------------------------------------
Class IA 1998
- -----------------------------------------------------------------------------------------------------------------------------------
Shares Amount
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT Research Fund
Shares sold 1,730,005 $18,765,825
Shares issued in connection with reinvestment of distributions 2,596 33,716
...................................................................................................................................
1,732,601 18,799,541
Shares repurchased (35,497) (388,854)
...................................................................................................................................
Net increase 1,697,104 $18,410,687
...................................................................................................................................
<CAPTION>
For the period April 6, 1998
(commencement of operations)
to December 31
- -----------------------------------------------------------------------------------------------------------------------------------
Class IB 1998
- -----------------------------------------------------------------------------------------------------------------------------------
Shares Amount
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT Diversified Income Fund
Shares sold 195,858 $2,027,314
Shares issued in connection with reinvestment of distributions -- --
...................................................................................................................................
195,858 2,027,314
Shares repurchased (8,374) (87,075)
...................................................................................................................................
Net increase 187,484 $1,940,239
...................................................................................................................................
Putnam VT Growth and Income Fund
Shares sold 276,080 $7,428,789
Shares issued in connection with reinvestment of distributions -- --
...................................................................................................................................
276,080 7,428,789
Shares repurchased (12,336) (327,114)
...................................................................................................................................
Net increase 263,744 $7,101,675
...................................................................................................................................
Putnam VT International Growth and Income Fund
Shares sold 608,066 $7,391,930
Shares issued in connection with reinvestment of distributions 3,639 49,934
...................................................................................................................................
611,705 7,441,864
Shares repurchased (536,080) (6,527,805)
...................................................................................................................................
Net increase 75,625 $914,059
...................................................................................................................................
<CAPTION>
For the period April 30, 1998
(commencement of operations)
to December 31
- -----------------------------------------------------------------------------------------------------------------------------------
Class IB 1998
- -----------------------------------------------------------------------------------------------------------------------------------
Shares Amount
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT Asia Pacific Growth Fund
Shares sold 53,802 $429,706
Shares issued in connection with reinvestment of distributions -- --
...................................................................................................................................
53,802 429,706
Shares repurchased (40,449) (326,640)
...................................................................................................................................
Net increase 13,353 $103,066
...................................................................................................................................
Putnam VT The George Putnam Fund of Boston
Shares sold 199,620 1,968,137
Shares issued in connection with reinvestment of distributions 1,515 15,315
...................................................................................................................................
201,135 1,983,452
Shares repurchased (14,094) (134,745)
...................................................................................................................................
Net increase 187,041 $1,848,707
...................................................................................................................................
Putnam VT Global Asset Allocation Fund
Shares sold 96,750 1,660,404
Shares issued in connection with reinvestment of distributions -- --
...................................................................................................................................
96,750 1,660,404
Shares repurchased (27,146) (454,064)
...................................................................................................................................
Net increase 69,604 $1,206,340
...................................................................................................................................
<CAPTION>
For the period April 30, 1998
(commencement of operations)
to December 31
- -----------------------------------------------------------------------------------------------------------------------------------
Class IB 1998
- -----------------------------------------------------------------------------------------------------------------------------------
Shares Amount
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT Global Growth Fund
Shares sold 42,380 $770,977
Shares issued in connection with reinvestment of distributions -- --
...................................................................................................................................
42,380 770,977
Shares repurchased (1,774) (32,038)
...................................................................................................................................
Net increase 40,606 $738,939
...................................................................................................................................
Putnam VT Health Sciences
Shares sold 212,762 $2,141,302
Shares issued in connection with reinvestment of distributions 150 1,539
...................................................................................................................................
212,912 2,142,841
Shares repurchased (18,332) (176,015)
...................................................................................................................................
Net increase 194,580 $1,966,826
...................................................................................................................................
Putnam VT High Yield Fund
Shares sold 171,952 $2,001,433
Shares issued in connection with reinvestment of distributions -- --
...................................................................................................................................
171,952 2,001,433
Shares repurchased (14,766) (172,340)
...................................................................................................................................
Net increase 157,186 $1,829,093
...................................................................................................................................
Putnam VT International Growth Fund
Shares sold 5,852,161 $73,651,911
Shares issued in connection with reinvestment of distributions 1,921 25,159
...................................................................................................................................
5,854,082 73,677,070
Shares repurchased (5,762,725) (73,161,247)
...................................................................................................................................
Net increase 91,357 $515,823
...................................................................................................................................
Putnam VT International New Opportunities Fund
Shares sold 108,166 $1,152,171
Shares issued in connection with reinvestment of distributions -- --
...................................................................................................................................
108,166 1,152,171
Shares repurchased (100,761) (1,078,204)
...................................................................................................................................
Net increase 7,405 $73,967
...................................................................................................................................
Putnam VT Investors Fund
Shares sold 247,380 $2,485,702
Shares issued in connection with reinvestment of distributions 235 2,577
...................................................................................................................................
247,615 2,488,279
Shares repurchased (22,691) (222,226)
...................................................................................................................................
Net increase 224,924 $2,266,053
...................................................................................................................................
<CAPTION>
For the period April 30, 1998
(commencement of operations)
to December 31
- -----------------------------------------------------------------------------------------------------------------------------------
Class IB 1998
- -----------------------------------------------------------------------------------------------------------------------------------
Shares Amount
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT Money Market Fund*
Shares sold -- $90,825,384
Shares issued in connection with reinvestment of distributions -- 74,893
...................................................................................................................................
90,900,277
Shares repurchased -- (77,712,330)
...................................................................................................................................
Net increase -- $13,187,947
...................................................................................................................................
Putnam VT New Opportunities Fund
Shares sold 52,748 $1,135,739
Shares issued in connection with reinvestment of distributions -- --
...................................................................................................................................
52,748 1,135,739
Shares repurchased (570) (12,851)
...................................................................................................................................
Net increase 52,178 $1,122,888
...................................................................................................................................
Putnam VT New Value Fund
Shares sold 36,641 $419,909
Shares issued in connection with reinvestment of distributions 235 4,743
...................................................................................................................................
36,876 424,652
Shares repurchased (2,418) (28,990)
...................................................................................................................................
Net increase 34,458 $395,662
...................................................................................................................................
Putnam VT OTC & Emerging Growth Fund
Shares sold 60,996 $517,701
Shares issued in connection with reinvestment of distributions 10 91
...................................................................................................................................
61,006 517,792
Shares repurchased (7,468) (55,731)
...................................................................................................................................
Net increase 53,538 $462,061
...................................................................................................................................
Putnam VT U.S. Government and High Qualtiy Bond Fund
Shares sold 179,630 $2,436,861
Shares issued in connection with reinvestment of distributions -- --
...................................................................................................................................
179,630 2,436,861
Shares repurchased (12,937) (175,621)
...................................................................................................................................
Net increase 166,693 $2,261,240
...................................................................................................................................
Putnam VT Utilities Growth and Income Fund
Shares sold 104,468 $1,806,219
Shares issued in connection with reinvestment of distributions -- --
...................................................................................................................................
104,468 1,806,219
Shares repurchased (5,567) (94,079)
...................................................................................................................................
Net increase 98,901 $1,712,140
...................................................................................................................................
<CAPTION>
For the period April 30, 1998
(commencement of operations)
to December 31
- -----------------------------------------------------------------------------------------------------------------------------------
Class IB 1998
- -----------------------------------------------------------------------------------------------------------------------------------
Shares Amount
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT Vista Fund
Shares sold 61,163 $755,629
Shares issued in connection with reinvestment of distributions -- --
...................................................................................................................................
61,163 755,629
Shares repurchased (3,353) (43,525)
...................................................................................................................................
Net increase 57,810 $712,104
...................................................................................................................................
Putnam VT Voyager Fund
Shares sold 98,970 $3,926,028
Shares issued in connection with reinvestment of distributions -- --
...................................................................................................................................
98,970 3,926,028
Shares repurchased (4,411) (167,486)
...................................................................................................................................
Net increase 94,559 $3,758,542
...................................................................................................................................
<CAPTION>
For the period September 30, 1998
(commencement of operations)
to December 31
- -----------------------------------------------------------------------------------------------------------------------------------
Class IB 1998
- -----------------------------------------------------------------------------------------------------------------------------------
Shares Amount
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT Research Fund
Shares sold 21,319 $229,977
Shares issued in connection with reinvestment of distributions 23 263
...................................................................................................................................
21,342 230,240
Shares repurchased (32) (361)
...................................................................................................................................
Net increase 21,310 $229,879
...................................................................................................................................
*Putnam VT Money Market Fund transactions were at a constant net asset value of $1.00 per share.
</TABLE>
<TABLE>
NOTE 5
INITIAL CAPITALIZATION AND OFFERING OF SHARES
The following were established as a series of Putnam Variable Trust, a Massachusetts business trusts on April 29, 1998. During
the period April 29, 1998 to April 30, 1998 the following funds had no operations other than those related to organizational
matters including as noted below the initial capital contributions and the issuance of shares for each fund.
<CAPTION>
Fund name Capital contribution Shares issued
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Class IA
Putnam VT The George Putnam Fund of Boston $2,000,000 200,000
Putnam VT Health Sciences Fund 2,000,000 200,000
Putnam VT Investors Fund 2,000,000 200,000
Putnam VT OTC & Emerging Growth Fund 2,000,000 200,000
Class IB
Putnam VT The George Putnam Fund of Boston $ 1,000 100
Putnam VT Health Sciences Fund 1,000 100
Putnam VT Investors Fund 1,000 100
Putnam VT OTC & Emerging Growth Fund 1,000 100
The following was established as a series of Putnam Variable Trust, a Massachusetts business trusts on September 29, 1998.
During the period September 29, 1998 to September 30, 1998 the following funds had no operations other than those related to
organizational matters including as noted below the initial capital contributions and the issuance of shares for each fund.
<CAPTION>
Fund name Capital contribution Shares issued
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Class IA
Putnam VT Research Fund $1,999,000 199,900
Class IB
Putnam VT Research Fund $ 1,000 100
The following were established as a series of Putnam Variable Trust, a Massachusetts business trusts on January 1, 1997.
During the period January 1, 1997 to January 2, 1997 the following funds had no operations other than those related to
organizational matters including as noted below the initial capital contributions and the issuance of shares for each fund.
<CAPTION>
Fund name Capital contribution Shares issued
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT International Growth and Income $2,500,000 250,000
Putnam VT International Growth 2,500,000 250,000
Putnam VT International New Opportunities 2,500,000 250,000
Putnam VT Vista 2,500,000 250,000
Putnam VT New Value 250,000 25,000
</TABLE>
PUTNAM VARIABLE TRUST
Federal tax information
(Unaudited)
Pursuant to section 852 of the Internal Revenue Code, as amended, the
Fund hereby designates the following amounts as capital gain, for its
taxable year ended December 31, 1998.
Putnam VT Asia Pacific Growth Fund $--
Putnam VT Diversified Income Fund 6,247,903
Putnam VT The George Putnam Fund of Boston 278
Putnam VT Global Asset Allocation Fund 109,304,705
Putnam VT Global Growth 319,736,151
Putnam VT Growth and Income Fund 1,373,169,762
Putnam VT Health Sciences Fund --
Putnam VT High Yield Fund 9,370,273
Putnam VT International Growth Fund --
Putnam VT International Growth and Income Fund 6,457,825
Putnam VT International New Opportunities Fund --
Putnam VT Investors Fund --
Putnam VT Money Market Fund --
Putnam VT New Opportunities Fund 91,589,783
Putnam VT New Value Fund 1,515,986
Putnam VT OTC & Emerging Growth Fund --
Putnam VT Research Fund --
Putnam VT U.S. Government and High Quality Bond Fund 5,603,976
Putnam VT Utilities Growth and Income Fund 56,431,745
Putnam VT Vista --
Putnam VT Voyager 810,358,740
<TABLE>
For the period, interest and dividends from foreign countries and per share and taxes paid to foreign countries and per
share were the following:
<CAPTION>
Interest and
Fund Name Dividends Per Share Taxes Paid Per Share
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund $2,073,203 $0.19026 $99,985 $0.00918
Punam VT Diversified Income Fund -- -- -- --
Putnam VT The George Putnam Fund of Boston -- -- -- --
Putnam VT Global Asset Allocation Fund -- -- -- --
Putnam VT Global Growth 14,843,390 0.015139 1,333,333 0.013600
Putnam VT Growth and Income Fund -- -- -- --
Putnam VT Health Sciences Fund -- -- -- --
Putnam VT High Yield Fund -- -- -- --
Putnam VT International Growth Fund 3,937,002 0.166962 288,072 0.012217
Putnam VT International Growth and Income Fund 6,374,542 0.255105 640,634 0.025638
Putnam VT International New Opportunities Fund 1,091,779 0.092558 164,870 0.013977
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 U.S. Government and High Quality Bond Fund -- -- -- --
Putnam VT Utilities Growth and Income Fund -- -- -- --
Putnam VT Vista -- -- -- --
Putnam VT Voyager -- -- -- --
</TABLE>
The Fund has designated the following amounts of the distributions from
net investment income as qualifying for the dividends received deduction
for coporations.
Putnam VT Asia Pacific Growth Fund --%
Punam VT Diversified Income Fund 5.11
Putnam VT The George Putnam Fund of Boston 32.92
Putnam VT Global Asset Allocation Fund 28.88
Putnam VT Global Growth 36.45
Putnam VT Growth and Income Fund 55.23
Putnam VT Health Sciences Fund 100.00
Putnam VT High Yield Fund 9.20
Putnam VT International Growth Fund --
Putnam VT International Growth and Income Fund 1.67
Putnam VT International New Opportunities Fund --
Putnam VT Investors Fund 100.00
Putnam VT Money Market Fund --
Putnam VT New Opportunities Fund --
Putnam VT New Value Fund 100.00
Putnam VT OTC & Emerging Growth Fund --
Putnam VT Research Fund 100.00
Putnam VT U.S. Government and High Quality Bond Fund --
Putnam VT Utilities Growth and Income Fund 78.40
Putnam VT Vista 100.00
Putnam VT Voyager 100.00
[THIS PAGE INTENTIONALLY LEFT BLANK]
Hartford Life Insurance Company
P.O. Box 2999
Hartford, CT 06104-2999
The Hartford Life Insurance Companies
Variable Insurance Separate Accounts
Hartford Life Insurance Company
Putnam Capital Manager Trust
Separate Account
Hartford Life Insurance Company
Putnam Capital Manager Trust
Separate Account
Variable Life One
Hartford Life Insurance Company
Putnam Capital Manager Trust
Separate Account
Variable Life Two
Hartford Life Insurance Company
Putnam Capital Manager Trust
Separate Account Five
Hartford Life and Annuity
Insurance Company
Putnam Capital Manager Trust
Separate Account Two
Hartford Life and Annuity
Insurance Company
Putnam Capital Manager Trust
Separate Account Five
Hartford Life and Annuity
Insurance Company
Putnam Capital Manager Trust
Separate Account
Variable Life One
Hartford Life and Annuity
Insurance Company
Putnam Capital Manager Trust
Separate Account
Variable Life Two
FUND INFORMATION
Investment Manager
Putnam Investment Management, Inc.
One Post Office Square
Boston, MA 02109
Marketing Services
Putnam Mutual Funds Corp.
One Post Office Square
Boston, MA 02109
Investor Servicing Agent
Putnam Investor Services
Mailing address:
P.O. Box 41203
Providence, RI 02940-1203
1-800-225-1581
Custodian
Putnam Fiduciary
Trust Company
Legal Counsel
Ropes & Gray
Independent Accountants
Arthur Andersen LLP
PricewaterhouseCoopers LLP
Separate Accounts
Hartford Life Insurance Companies
Underwriter
Hartford Securities Distribution Company, Inc. (HSD)
Trustees
George Putnam, Chairman
William F. Pounds, Vice Chairman
John A. Hill, Vice Chairman
Jameson Adkins Baxter
Hans H. Estin
Ronald J. Jackson
Paul L. Joskow
Elizabeth T. Kennan
Lawrence J. Lasser
John H. Mullin III
Robert E. Patterson
Donald S. Perkins
George Putnam, III
A.J.C. Smith
W. Thomas Stephens
W. Nicholas Thorndike
[HARTFORD LOGO OMITTED]
PUTNAM INVESTMENTS Hartford Life
This report has been prepared for the contract owners of Putnam Hartford
Capital Manager variable insurance separate accounts issued by the
Hartford Life Insurance Companies. It is not authorized for other
distribution unless preceded or accompanied by an effective prospectus
that describes the separate accounts' policies, charges, and other
matters of interest for the prospective investor.
BULK RATE
U.S. POSTAGE PAID
PERMIT #20
HOLLISTON, MA
01746
S500-50115 HV-2234-0
